# EDGAR Filing Document

**Accession Number:** 0001535538
**File Stem:** 0000940400-26-014752
**Filing Date:** 2026-4
**Character Count:** 2945865
**Document Hash:** fb2619a82c8430080d12ee52f4ef10af
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-014752.hdr.sgml**: 20260424

**ACCESSION NUMBER**: 0000940400-26-014752

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260227

**FILED AS OF DATE**: 20260424

**DATE AS OF CHANGE**: 20260424

**PERIOD START**: 20260531

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22641
- **FILM NUMBER:** 26893271

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

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

## Series and Classes Contracts Data

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

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

## Nport-Ex

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

**Consolidated Schedule of Investments, February 28, 2026 (unaudited)** 

**Franklin Alternative Strategies Fund** 

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Shares/**<br> **Warrants/**<br> **Rights** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Common Stocks and Other Equity Interests 18.5%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Aerospace & Defense 0.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>The Boeing Co. | United States | 6962 | $1584064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Intuitive Machines, Inc., A | United States | 700 | 11536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Satellogic Inc., A, 1/25/27, wts. | United States | 2058 | 1029 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1596629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Air Freight & Logistics 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>C.H. Robinson Worldwide Inc. | United States | 5247 | 972007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobiles 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Stellantis NV | United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;117093 | 950078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Biotechnology 5.5%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Abivax SA, ADR | France | 3794 | 460136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Apellis Pharmaceuticals Inc. | United States | 39182 | 821255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Apogee Therapeutics Inc. | United States | 14531 | 1017170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Arcutis Biotherapeutics Inc. | United States | 26910 | 725763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Argenx SE, ADR | Netherlands | 2580 | 1978654 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Beone Medicines Ltd., ADR | United States | 5727 | 1815402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Bridgebio Pharma Inc. | United States | 1070 | 71134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Celcuity Inc. | United States | 7384 | 824867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Disc Medicine Inc., A | United States | 19401 | 1292495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Gilead Sciences Inc. | United States | 6193 | 922447 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Ideaya Biosciences Inc. | United States | 14332 | 461490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Immunovant Inc. | United States | 18634 | 516721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Insmed Inc. | United States | 10474 | 1564082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Kymera Therapeutics Inc. | United States | 11780 | 1076103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Mineralys Therapeutics Inc. | United States | 40511 | 1185352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>NewAmsterdam Pharma Co. NV | Netherlands | 29107 | 1032134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Olema Pharmaceuticals Inc. | United States | 28134 | 680843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Protagonist Therapeutics Inc. | United States | 8512 | 783785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Regeneron Pharmaceuticals Inc. | United States | 1818 | 1421076 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Revolution Medicines Inc. | United States | 9813 | 1001122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Roivant Sciences Ltd. | United States | 56233 | 1627383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Scholar Rock Holding Corp. | United States | 40344 | 1786029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>uniQure NV | Netherlands | 40132 | 627263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Vaxcyte Inc. | United States | 30742 | 1898011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Vertex Pharmaceuticals Inc. | United States | 2227 | 1106440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Viridian Therapeutics Inc. | United States | 30396 | 893034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Xenon Pharmaceuticals Inc. | Canada | 32692 | 1413275 |
|  |  |  | 29003466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Building Products 0.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Builders FirstSource Inc. | United States | 830 | 86561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Johnson Controls International PLC | United States | 9128 | 1317170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Masterbrand Inc. | United States | 6992 | 70759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Owens Corning | United States | 700 | 85449 |
|  |  |  | 1559939 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Chemicals 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dow Inc. | United States | 26006 | 799164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Communications Equipment 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,d</sup>Riverbed Technology, Inc. | United States | 1499 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Construction & Engineering 0.7%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Mastec Inc. | United States | 10784 | 3213847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Solv Energy Inc., A | United States | 10459 | 329668 |
|  |  |  | 3543515 |

---

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Shares/**<br> **Warrants/**<br> **Rights** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Common Stocks and Other Equity Interests (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Construction Materials 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>James Hardie Ind PLC | United States | 3517 | $85639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Consumer Discretionary 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,d</sup>Vinty Holding 5 SA | Luxembourg | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11369458 | 51163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comcast Corp., A | United States | 11219 | 347340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,c</sup>Uniti Group Inc. | United States | 54767 | 400895 |
|  |  |  | 748235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electric Utilities 2.8%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Constellation Energy Corp. | United States | 8471 | 2794414 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Edison International | United States | 5156 | 385359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Entergy Corp. | United States | 19689 | 2108889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>FirstEnergy Corp. | United States | 41495 | 2122884 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>NextEra Energy Inc. | United States | 24955 | 2340030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NRG Energy Inc. | United States | 6509 | 1164851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>PG&E Corp. | United States | 54731 | 1039889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Xcel Energy Inc. | United States | 29800 | 2484128 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14440444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electrical Equipment 0.8%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,c</sup>Enovix Corp. | United States | 59126 | 311594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Forgent Power Solutions Inc., A | United States | 11250 | 386887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fujikura Ltd. | Japan | 3889 | 664057 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mitsubishi Electric Corp. | Japan | 59687 | 2271868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nidec Corp. | Japan | 40451 | 636144 |
|  |  |  | 4270550 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electronic Equipment, Instruments & Components 0.6%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Aeva Technologies Inc. | United States | 12534 | 166201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,c</sup>Coherent Corp. | United States | 5521 | 1429552 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Flex Ltd. | United States | 15201 | 957967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Keysight Technologies Inc. | United States | 2593 | 796907 |
|  |  |  | 3350627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Financial Services 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>DSG TopCo Inc. | United States | 27996 | 391944 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,d</sup>Pershing Square Tontine Holdings Ltd., A | United States | 42829 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>d</sup>Pershing Square Tontine Holdings Ltd., A, 12/31/33, Contingent Value, rts. | United States | 10707 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Shift4 Payments Inc., A | United States | 285 | 12560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,d</sup>Spree Acquisition Corp. 1 Ltd., 12/22/28, wts. | Israel | 3069 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,d</sup>Target Global Acquisition I Corp., A, 12/31/27, wts. | Israel | 3516 | 37 |
|  |  |  | 404541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Ground Transportation 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp; <sup>a,b,f</sup>Hertz Global Holdings Inc. | United States | 10955 | 49736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Equipment & Supplies 1.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Abbott Laboratories | United States | 16578 | 1928850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Align Technology Inc. | United States | 7797 | 1482209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Edwards Lifesciences Corp. | United States | 25842 | 2234558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Lantheus Holdings Inc. | United States | 169 | 12660 |
|  |  |  | 5658277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services 0.7%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,c</sup>Community Health Systems Inc. | United States | 77602 | 268503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp. | United States | 33420 | 2670258 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Shares/**<br> **Warrants/**<br> **Rights** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Common Stocks and Other Equity Interests (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UnitedHealth Group Inc. | United States | 2829 | $829661 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3768422 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Hotels, Restaurants & Leisure 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,g</sup>Delivery Hero SE, A, 144A | South Korea | 9830 | 226089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Household Durables 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Mohawk Industries Inc. | United States | 652 | 81676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Independent Power & Renewable Electricity Producers 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The AES Corp. | United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24649 | 425935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Interactive Media & Services 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,c</sup>IAC Inc. | United States | 6365 | 243907 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Match Group Inc. | United States | 191 | 6036 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Ziff Davis Inc. | United States | 420 | 11373 |
|  |  |  | 261316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **IT Services 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Brand Engagement Network Inc., A, 3/14/29, wts. | United States | 241 | 79 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Life Sciences Tools & Services 1.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Agilent Technologies Inc. | United States | 16539 | 2007504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Danaher Corp., W | United States | 3337 | 702906 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lonza Group AG | Switzerland | 3547 | 2467091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Thermo Fisher Scientific Inc. | United States | 1251 | 651908 |
|  |  |  | 5829409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Machinery 0.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dover Corp. | United States | 5318 | 1199209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ihi Corp. | Japan | 16020 | 438269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,d</sup>Maxeon Solar Technologies, 1/15/28, wts. | United States | 32750 | 3906 |
|  |  |  | 1641384 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Echostar Corp., A | United States | 7221 | 834242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Optimum Communications Inc., A | United States | 59384 | 85513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Sirius XM Holdings Inc. | United States | 460 | 10102 |
|  |  |  | 929857 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Metals & Mining 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,c</sup>Cleveland-Cliffs Inc. | United States | 27280 | 290805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,d</sup>Samarco Mineracao SA Escrow | Brazil | 384000 | 15763 |
|  |  |  | 306568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Multi-Utilities 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>CenterPoint Energy Inc. | United States | 74 | 3219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>CMS Energy Corp. | United States | 29 | 2264 |
|  |  |  | 5483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels 0.4%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; China Petroleum & Chemical Corp., H | China | 791498 | 550779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,d</sup>Gazprom PJSC | Russia | 615160 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The Williams Cos. Inc. | United States | 17663 | 1319779 |
|  |  |  | 1870558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Pharmaceuticals 2.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Astrazeneca PLC | United Kingdom | 5089 | 1060802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bayer AG | Germany | 20004 | 989816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Crinetics Pharmaceuticals Inc. | United States | 23451 | 963836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Eli Lilly & Co. | United States | 1702 | 1790487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Merck & Co. Inc. | United States | 21868 | 2707696 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Shares/**<br> **Warrants/**<br> **Rights** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Common Stocks and Other Equity Interests (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Pharmaceuticals (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Pacira Biosciences Inc. | United States | 218 | $4776 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Tarsus Pharmaceuticals Inc. | United States | 13185 | 995731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Teva Pharmaceutical Industries Ltd., ADR | Israel | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49821 | 1686939 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UCB SA | Belgium | 2280 | 684875 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10884958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Professional Services 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,c</sup>Falcon's Beyond Global, Inc., A, 3/16/26, wts. | United States | 180 | 135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Ul Solutions Inc., A | United States | 11456 | 961960 |
|  |  |  | 962095 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Real Estate Management & Development 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Compass, Inc., A | United States | 501 | 4885 |
| &nbsp;&nbsp;&nbsp; <sup>a,c,d</sup>Conx Corp., A, 10/30/27, wts. | United States | 14679 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Kaisa Group Holdings Ltd. | China | 56339 | 640 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Opendoor Technologies Inc., A, 11/20/26, wts. | United States | 28 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Opendoor Technologies Inc., K, 11/20/26, wts. | United States | 28 | 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Opendoor Technologies Inc., Z, 11/20/26, wts. | United States | 28 | 10 |
|  |  |  | 5571 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Semiconductors & Semiconductor Equipment 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Enphase Energy Inc. | United States | 5607 | 237008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,c</sup>SolarEdge Technologies Inc. | United States | 20402 | 722231 |
|  |  |  | 959239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Bill Holdings Inc. | United States | 609 | 27107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Nebius Group NV, A | Netherlands | 350 | 31916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>PAR Technology Corp. | United States | 215 | 3524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Porch Group Inc. | United States | 115 | 944 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Vertex Inc., A | United States | 642 | 9296 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Zscaler Inc. | United States | 4 | 588 |
|  |  |  | 73375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail 0.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,c</sup>Carmax Inc. | United States | 15697 | 677639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Carvana Co., A | United States | 1804 | 602825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Gamestop Corp., 10/30/26, wts. | United States | 320 | 1376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Teract SA, 2/08/27, wts. | France | 3920 | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Wayfair Inc., A | United States | 400 | 30532 |
|  |  |  | 1312390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Technology Hardware, Storage & Peripherals 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,d</sup>Pivotal Software Escrow NPV | United States | 73957 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks and Other Equity Interests <br>(Cost $80,887,340)** |  |  | 97028414 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Preferred Stocks (Cost $12,500) 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Consumer Discretionary 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Whirlpool Corp., 8.50%, pfd., A | United States | 250 | 12463 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Country** | **Principal**<br> **Amount<sup>\*</sup>** | | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Convertible Bonds 21.0%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Aerospace & Defense 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Astronics Corp., senior note, 144A, zero cpn., 1/15/31 | United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;136000 |  | $219096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Intuitive Machines Inc., senior note, 144A, 2.50%, 10/01/30 | United States | 254000 |  | 413791 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;632887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobile Components 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Indie Semiconductor Inc., senior note, 144A, 4.50%, 11/15/27 | China | 354000 |  | 363735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobiles 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LI Auto Inc., senior note, 0.25%, 5/01/28 | China | 282000 |  | 282917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rivian Automotive Inc., senior note, 4.625%, 3/15/29 | United States | 20000 |  | 21834 |
|  |  |  |  | 304751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Biotechnology 1.3%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ani Pharmaceuticals Inc., senior note, 2.25%, 9/01/29 | United States | 14000 |  | 17028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Arrowhead Pharmaceuticals Inc., senior note, zero cpn., 1/15/32 | United States | 290000 |  | 306095 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>BioMarin Pharmaceutical Inc., senior sub. note, 1.25%, 5/15/27 | United States | 343000 |  | 331707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bridgebio Pharma Inc., senior note, 2.50%, 3/15/27 | United States | 645000 |  | 1059574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Cytokinetics Inc., senior note, 144A, 1.75%, 10/01/31 | United States | 63000 |  | 78041 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Exact Sciences Corp., senior note, 0.375%, 3/01/28 | United States | 891000 |  | 927531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Guardant Health Inc., senior note, 1.25%, 2/15/31 | United States | 7000 |  | 12001 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Halozyme Therapeutics Inc., senior note, 144A, zero cpn., 2/15/31 | United States | 32000 |  | 32592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ionis Pharmaceuticals Inc., senior note, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 6/15/28 | United States | 183000 |  | 293258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>144A, zero cpn., 12/01/30 | United States | 135000 |  | 148884 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Mirum Pharmaceuticals Inc., senior note, 4.00%, 5/01/29 | United States | 513000 |  | 1533549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Pharming Group NV, senior note, Reg S, 4.50%, 4/25/29 | Netherlands | 100000 | EUR | 165599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>PTC Therapeutics Inc., senior note, 1.50%, 9/15/26 | United States | 632000 |  | 856897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Transmedics Group Inc., senior note, 1.50%, 6/01/28 | United States | 512000 |  | 864742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Travere Therapeutics Inc., senior note, 2.25%, 3/01/29 | United States | 14000 |  | 17757 |
|  |  |  |  | 6645255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Building Products 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Patrick Industries Inc., senior note, 1.75%, 12/01/28 | United States | 174000 |  | 332514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Chemicals 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Amyris Inc., senior note, zero cpn., 11/15/26 | United States | 1108000 |  | 6094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Commercial Services & Supplies 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>The Hertz Corp., senior note, 144A, 5.50%, 10/01/30 | United States | 187000 |  | 129965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,g</sup>Pitney Bowes Inc., senior note, 144A, 1.50%, 8/15/30 | United States | 107000 |  | 108525 |
|  |  |  |  | 238490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Communications Equipment 1.9%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comcast Holdings Corp., |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 2.00%, 10/15/29 | United States | 386500 |  | 248326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; sub. bond, 2.00%, 11/15/29 | United States | 338600 |  | 244639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>InterDigital Inc., senior note, 3.50%, 6/01/27 | United States | 808000 |  | 3835980 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lumentum Holdings Inc., senior note, 0.50%, 12/15/26 | United States | 773000 |  | 5455447 |
|  |  |  |  | 9784392 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Computers 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Check Point Software Technologies Ltd., senior note, 144A, zero cpn., 12/15/30 | Israel | 203000 |  | 193362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Cyberark Software Ltd., senior note, 144A, zero cpn., 6/15/30 | United States | 44000 |  | 44884 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Lenovo Group Ltd., senior note, Reg S, 2.50%, 8/26/29 | China | 306000 |  | 384719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Par Technology Corp., senior note, 1.00%, 1/15/30 | United States | 71000 |  | 56445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Varonis Systems Inc., senior note, 1.00%, 9/15/29 | United States | 342000 |  | 307885 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Zscaler Inc., senior note, 144A, zero cpn., 7/15/28 | United States | 27000 |  | 24773 |
|  |  |  |  | 1012068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Construction & Engineering 0.3%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Fluor Corp., senior note, 1.125%, 8/15/29 | United States | 486000 |  | 648688 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Principal**<br> **Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Convertible Bonds (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Construction & Engineering (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Granite Construction Inc., senior note, 3.75%, 5/15/28 | United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;361000 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1064409 |
|  |  |  | 1713097 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Consumer Cyclical 0.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>H World Group Ltd., senior note, 3.00%, 5/01/26 | China | 661000 | 970017 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wayfair Inc., senior note, 3.50%, 11/15/28 | United States | 423000 | 756113 |
|  |  |  | 1726130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Consumer Finance 0.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Encore Capital Group Inc., senior note, 4.00%, 3/15/29 | United States | 392000 | 489020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>SoFi Technologies Inc., senior note, 144A, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 3/15/29 | United States | 399000 | 796803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; zero cpn., 10/15/26 | United States | 428000 | 453252 |
|  |  |  | 1739075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Cosmetics & Personal Care 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Oddity Finance LLC, senior note, 144A, zero cpn., 6/15/30 | United States | 292000 | 191625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Consumer Services 0.5%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Affirm Holdings Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b,c</sup>0.75%, 12/15/29 | United States | 488000 | 464039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; zero cpn., 11/15/26 | United States | 728000 | 702520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Stride Inc., senior note, 1.125%, 9/01/27 | United States | 779000 | 1295867 |
|  |  |  | 2462426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Financial Services 0.5%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,g</sup>Galaxy Digital Holdings LP, senior note, 144A, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 12/15/26 | United States | 500000 | 529000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 12/01/29 | United States | 500000 | 609750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Terawulf Inc., senior note, 144A, 2.75%, 2/01/30 | United States | 581000 | 1242643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Upstart Holdings Inc., senior note, 2.00%, 10/01/29 | United States | 214000 | 213914 |
|  |  |  | 2595307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,g</sup>A10 Networks Inc., senior note, 144A, 2.75%, 4/01/30 | United States | 35000 | 38198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,g</sup>Match Group Financeco 3 Inc., senior bond, 144A, 2.00%, 1/15/30 | United States | 713000 | 643839 |
|  |  |  | 682037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electric Utilities 0.6%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,h</sup>Echostar Corp., senior secured note, PIK, 3.875%, 11/30/30 | United States | 545407 | 1928014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Evergy Inc., senior note, 4.50%, 12/15/27 | United States | 769000 | 1051800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PG&E Corp., senior secured note, 4.25%, 12/01/27 | United States | 141000 | 150806 |
|  |  |  | 3130620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electrical Equipment 1.5%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bloom Energy Corp., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 6/01/28 | United States | 489000 | 4064812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 6/01/29 | United States | 520000 | 3919500 |
|  |  |  | 7984312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electronic Equipment, Instruments & Components 0.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Applied Optoelectronics Inc., senior note, 2.75%, 1/15/30 | United States | 12000 | 26011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Itron Inc., senior note, 1.375%, 7/15/30 | United States | 81000 | 84544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Mirion Technologies Inc., 144A, 0.25%, 6/01/30 | United States | 145000 | 172731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>OSI Systems Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>2.25%, 8/01/29 | United States | 230000 | 373118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>144A, 0.50%, 2/01/31 | United States | 403000 | 428147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PAR Technology Corp., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 4/15/26 | United States | 36000 | 35888 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>1.50%, 10/15/27 | United States | 202000 | 191153 |
|  |  |  | 1311592 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Principal**<br> **Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Convertible Bonds (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electronics 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Avnet Inc., senior note, 144A, 1.75%, 9/01/30 | United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15000 | $16920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Energy Equipment & Services 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Eos Energy Enterprises Inc., senior note, 144A, 6.75%, 6/15/30 | United States | 182000 | 271192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TETRA Tech Inc., senior note, 2.25%, 8/15/28 | United States | 185000 | 210826 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;482018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Energy-Alternate Sources 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Canadian Solar Inc., senior note, 144A, 3.25%, 1/15/31 | Canada | 138000 | 133722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Energy Vault Holdings Inc., senior note, 144A, 5.25%, 3/01/31 | United States | 19000 | 17565 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Eos Energy Enterprises Inc., senior note, 144A, 1.75%, 12/01/31 | United States | 176000 | 119592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Plug Power Inc., senior note, 144A, 6.75%, 12/01/33 | United States | 122000 | 124020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Solaredge Technologies Inc., senior note, 2.25%, 7/01/29 | United States | 25000 | 33388 |
|  |  |  | 428287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Entertainment 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Live Nation Entertainment Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.125%, 1/15/29 | United States | 41000 | 65756 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 1/15/30 | United States | 34000 | 38165 |
|  |  |  | 103921 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Equity Real Estate Investment Trusts (REITs) 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Hat Holdings I LLC / Hat Holdings II LLC, senior note, 144A, 3.75%, 8/15/28 | United States | 36000 | 50992 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Financial Services 1.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Bitdeer Technologies Group, senior note, 144A, 4.00%, 11/15/31 | United States | 169000 | 124215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cipher Digital Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 5/15/30 | United States | 287000 | 1054366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>144A, zero cpn., 10/01/31 | United States | 492000 | 620227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Iren Ltd., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 6/15/30 | Australia | 277000 | 730311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>144A, 0.25%, 6/01/32 | Australia | 32000 | 31842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>144A, 3.50%, 12/15/29 | Australia | 1056000 | 3387331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Wisdomtree Inc., senior note, 3.25%, 8/15/29 | United States | 693000 | 1063409 |
|  |  |  | 7011701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Food & Beverage 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,g</sup>The Cheesecake Factory Inc., senior note, 144A, 2.00%, 3/15/30 | United States | 125000 | 139066 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>MGP Ingredients Inc., senior bond, 1.875%, 11/15/41 | United States | 437000 | 425524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Premium Brands Holdings Corp., senior note, 5.50%, 12/31/32 | Canada | 27000 CAD | 20642 |
|  |  |  | 585232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Food & Staples Retailing 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,g</sup>Jbt Marel Corp., senior note, 144A, 0.375%, 9/15/30 | United States | 542000 | 577230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Gas Utilities 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UGI Corp., senior note, 5.00%, 6/01/28 | United States | 70000 | 100082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Equipment & Supplies 0.6%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Alphatec Holdings Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 8/01/26 | United States | 187000 | 191208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>144A, 0.75%, 3/15/30 | United States | 13000 | 15128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Conmed Corp., senior note, 2.25%, 6/15/27 | United States | 827000 | 808393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>DexCom Inc., senior note, 0.375%, 5/15/28 | United States | 539000 | 505447 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Enovis Corp., senior note, 3.875%, 10/15/28 | United States | 315000 | 313031 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Haemonetics Corp., senior note, 2.50%, 6/01/29 | United States | 162000 | 159683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lantheus Holdings Inc., senior note, 2.625%, 12/15/27 | United States | 345000 | 414086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Livanova PLC, senior note, 2.50%, 3/15/29 | United States | 564000 | 701729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Tandem Diabetes Care Inc., 2024, senior note, 1.50%, 3/15/29 | United States | 137000 | 153526 |
|  |  |  | 3262231 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Country** | **Principal**<br> **Amount<sup>\*</sup>** | | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Convertible Bonds (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Guardant Health Inc., senior note, zero cpn., 11/15/27 | United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;931000 |  | $972849 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Technology 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bill Holdings Inc., senior note, zero cpn., 4/01/27 | United States | 49000 |  | 47530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>iRhythm Holdings Inc., senior note, 1.50%, 9/01/29 | United States | 7000 |  | 8235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Pagerduty Inc., senior note, 1.50%, 10/15/28 | United States | 178000 |  | 162559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unity Software Inc., senior note, zero cpn., 11/15/26 | United States | 234000 |  | 226863 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;445187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Healthcare-Products 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lemaitre Vascular Inc., senior note, 2.50%, 2/01/30 | United States | 56000 |  | 63159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Omnicell Inc., senior note, 1.00%, 12/01/29 | United States | 70000 |  | 72380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Spectrum Brands Inc., senior note, 3.375%, 6/01/29 | United States | 70000 |  | 71067 |
|  |  |  |  | 206606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Healthcare-Services 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Oscar Health Inc., senior sub. note, 144A, 2.25%, 9/01/30 | United States | 132000 |  | 129954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Hotel & Resort REITs 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pebblebrook Hotel Trust, senior note, 1.75%, 12/15/26 | United States | 67000 |  | 65752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Hotels, Restaurants & Leisure 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Draftkings Holdings Inc., senior note, zero cpn., 3/15/28 | United States | 14000 |  | 12663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Shake Shack Inc., senior note, zero cpn., 3/01/28 | United States | 36000 |  | 34785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Trip.com Group Ltd., senior note, 0.75%, 6/15/29 | China | 81000 |  | 85738 |
|  |  |  |  | 133186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Insurance 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Ping An Insurance Group Co. of China Ltd., senior note, Reg S, 0.875%, 7/22/29 | China | 700000 |  | 1180025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Interactive Media & Services 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Snap Inc., senior note, 0.125%, 3/01/28 | United States | 409000 |  | 374726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Internet & Direct Marketing Retail 0.5%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Delivery Hero SE, senior note, Reg S, 3.25%, 2/21/30 | South Korea | 100000 | EUR | 113201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Doordash Inc., senior note, 144A, zero cpn., 5/15/30 | United States | 250000 |  | 241375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Etsy Inc., senior note, 0.25%, 6/15/28 | United States | 503000 |  | 452952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Grab Holdings Ltd., senior note, zero cpn., 6/15/30 | Singapore | 34000 |  | 34187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Lyft Inc., senior note, 144A, zero cpn., 9/15/30 | United States | 87000 |  | 84165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Opendoor Technologies Inc., senior note, 144A, 7.00%, 5/15/30 | United States | 131000 |  | 489115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Uber Technologies Inc., senior secured note, 144A, zero cpn., 5/15/28 | United States | 439000 |  | 448548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Wix.Com Ltd., senior note, 144A, zero cpn., 9/15/30 | Israel | 419000 |  | 347016 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Ziff Davis Inc., senior note, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 11/01/26 | United States | 32000 |  | 31320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>144A, 3.625%, 3/01/28 | United States | 639000 |  | 614558 |
|  |  |  |  | 2856437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **IT Services 3.0%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Akamai Technologies Inc., senior note, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.375%, 9/01/27 | United States | 75000 |  | 80857 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.125%, 2/15/29 | United States | 203000 |  | 217961 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Core Scientific Inc., senior note, 144A, 3.00%, 9/01/29 | United States | 636000 |  | 1121348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Digitalocean Holdings Inc., senior note, zero cpn., 12/01/26 | United States | 31000 |  | 30109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Rapid7 Inc., senior note, 0.25%, 3/15/27 | United States | 511000 |  | 482895 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Seagate HDD Cayman, senior note, 3.50%, 6/01/28 | United States | 821000 |  | 4051840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Shift4 Payments Inc., senior note, 0.50%, 8/01/27 | United States | 771000 |  | 721849 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Digital Corp., senior note, 3.00%, 11/15/28 | United States | 1201000 |  | 8916584 |
|  |  |  |  | 15623443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Leisure Products 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Callaway Golf Co., senior note, 2.75%, 5/01/26 | United States | 212000 |  | 213484 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Principal**<br> **Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Convertible Bonds (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Leisure Products (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NCL Corp. Ltd., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.125%, 2/15/27 | United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;263000 | $269444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>144A, 0.875%, 4/15/30 | United States | 67000 | 80266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,g</sup>144A, 0.75%, 9/15/30 | United States | 68000 | 70631 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Peloton Interactive Inc., senior note, 5.50%, 12/01/29 | United States | 23000 | 30268 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;664093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Life Sciences Tools & Services 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Inotiv Inc., senior note, 3.25%, 10/15/27 | United States | 244000 | 58865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Tempus AI Inc., senior note, 144A, 0.75%, 7/15/30 | United States | 32000 | 32872 |
|  |  |  | 91737 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Machinery 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>The Greenbrier Cos. Inc., senior note, 2.875%, 4/15/28 | United States | 455000 | 547183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Liberty Interactive LLC, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 4.00%, 11/15/29 | United States | 366000 | 18300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 3.75%, 2/15/30 | United States | 860000 | 38700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Liberty Live Holdings Inc., senior bond, 144A, 2.375%, 9/30/53 | United States | 740000 | 1195470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Sirius XM Holdings Inc., senior note, 3.75%, 3/15/28 | United States | 27000 | 27864 |
|  |  |  | 1280334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Metals & Mining 0.5%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>B2gold Corp., senior note, 144A, 2.75%, 2/01/30 | Canada | 221000 | 454652 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equinox Gold Corp., senior note, 4.75%, 10/15/28 | Canada | 327000 | 1005525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Fortuna Mining Corp., senior note, 3.75%, 6/30/29 | Canada | 191000 | 428890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Silvercorp Metals Inc., senior note, 4.75%, 12/15/29 | China | 158000 | 507433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Vizsla Silver Corp., senior note, 144A, 5.00%, 1/15/31 | Canada | 135000 | 161393 |
|  |  |  | 2557893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels 0.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Array Technologies Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 12/01/28 | United States | 14000 | 12586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>144A, 2.875%, 7/01/31 | United States | 49000 | 62818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Solaris Energy Infrastructure Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 5/01/30 | United States | 495000 | 1059052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>0.25%, 10/01/31 | United States | 285000 | 333308 |
|  |  |  | 1467764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Pharmaceuticals 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ascendis Pharma A/S, senior note, 2.25%, 4/01/28 | Denmark | 10000 | 15052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Collegium Pharmaceutical Inc., senior note, 2.875%, 2/15/29 | United States | 35000 | 46778 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Cormedix Inc., senior note, 144A, 4.00%, 8/01/30 | United States | 219000 | 214051 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Herbalife Ltd., senior note, 4.25%, 6/15/28 | United States | 92000 | 128156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Pacira Biosciences Inc., senior note, 2.125%, 5/15/29 | United States | 340000 | 329154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Zoetis Inc., senior note, 144A, 0.25%, 6/15/29 | United States | 315000 | 331537 |
|  |  |  | 1064728 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Professional Services 0.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Dayforce Inc., senior note, 0.25%, 3/15/26 | United States | 997000 | 995504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Upwork Inc., senior note, 0.25%, 8/15/26 | United States | 492000 | 482775 |
|  |  |  | 1478279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Real Estate Management & Development 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,g</sup>Compass Inc., senior note, 144A, 0.25%, 4/15/31 | United States | 277000 | 264906 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Kaisa Group Holdings Ltd., senior secured note, 144A, zero cpn., |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12/31/26 | China | 45451 | 159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12/31/27 | China | 56816 | 114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12/31/28 | China | 90902 | 136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12/31/29 | China | 90902 | 109 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Principal**<br> **Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Convertible Bonds (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Real Estate Management & Development (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Kaisa Group Holdings Ltd., senior secured note, 144A, zero cpn., (continued) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12/31/30 | China | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;113628 | $199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12/31/31 | China | 113628 | 125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12/31/32 | China | 214367 | 2144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Storagevault Canada Inc., senior note, 144A, 5.00%, 3/31/28 | Canada | 296000 CAD | 220212 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;488104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Retail REITs 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Kite Realty Group LP, senior note, 144A, 0.75%, 4/01/27 | United States | 36000 | 40539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Welltower Op LLC, senior note, 144A, 3.125%, 7/15/29 | United States | 44000 | 73018 |
|  |  |  | 113557 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Semiconductors & Semiconductor Equipment 1.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Camtek Ltd., senior note, 144A, zero cpn., 9/15/30 | Israel | 181000 | 300369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>COHU Inc., senior note, 144A, 1.50%, 1/15/31 | United States | 334000 | 447894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Impinj Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.125%, 5/15/27 | United States | 352000 | 445914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>144A, zero cpn., 9/15/29 | United States | 6000 | 5502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,g</sup>Indie Semiconductor Inc., senior note, 144A, 3.50%, 12/15/29 | China | 370000 | 393310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Microchip Technology Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>0.75%, 6/01/30 | United States | 304000 | 310385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>144A, zero cpn., 2/15/30 | United States | 23000 | 23839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MKS Inc., senior note, 1.25%, 6/01/30 | United States | 432000 | 752544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; On Semiconductor Corp., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>0.50%, 3/01/29 | United States | 680000 | 684760 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; zero cpn., 5/01/27 | United States | 438000 | 590862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Penguin Solutions Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 2/01/29 | United States | 327000 | 396324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 8/15/30 | United States | 342000 | 372284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Semtech Corp., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.625%, 11/01/27 | United States | 267000 | 657688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>144A, zero cpn., 10/15/30 | United States | 101000 | 121983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Synaptics Inc., senior note, 0.75%, 12/01/31 | United States | 43000 | 49439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Ultra Clean Holdings Inc., senior note, 144A, zero cpn., 3/15/31 | United States | 14000 | 14711 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b,c</sup>Veeco Instruments Inc., senior note, 2.875%, 6/01/29 | United States | 69000 | 89717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Vishay Intertechnology Inc., senior note, 2.25%, 9/15/30 | United States | 429000 | 424925 |
|  |  |  | 6082450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software 2.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,g</sup>Akamai Technologies Inc., senior note, 144A, 0.25%, 5/15/33 | United States | 120000 | 150402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Alarm.com Holdings Inc., senior note, 2.25%, 6/01/29 | United States | 81000 | 76707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bentley Systems Inc., senior note, 0.375%, 7/01/27 | United States | 116000 | 110954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bill Holdings Inc., senior note, zero cpn., 4/01/30 | United States | 694000 | 641082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Bitdeer Technologies Group, senior note, 144A, 5.00%, 3/01/32 | United States | 107000 | 105462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Blackline Inc., senior note, 1.00%, 6/01/29 | United States | 338000 | 315607 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Box Inc., senior note, 1.50%, 9/15/29 | United States | 129000 | 120615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Cloudflare Inc., senior note, 144A, zero cpn., 6/15/30 | United States | 190000 | 199576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Commvault Systems Inc., senior note, 144A, zero cpn., 9/15/30 | United States | 195000 | 163995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Core Scientific Inc., senior note, 144A, zero cpn., 6/15/31 | United States | 135000 | 155287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Coreweave Inc., senior note, 144A, 1.75%, 12/01/31 | United States | 189000 | 195576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Datadog Inc., senior note, zero cpn., 12/01/29 | United States | 14000 | 13555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Digitalocean Holdings Inc., senior note, 144A, zero cpn., 8/15/30 | United States | 38000 | 61085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Dropbox Inc., senior note, zero cpn., 3/01/28 | United States | 819000 | 809991 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Five9 Inc., senior note, 1.00%, 3/15/29 | United States | 599000 | 530714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Guidewire Software Inc., senior note, 1.25%, 11/01/29 | United States | 280000 | 279720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Life360 Inc., senior note, 144A, zero cpn., 6/01/30 | United States | 294000 | 297602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Nebius Group NV, senior note, 144A, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 6/05/29 | Netherlands | 815000 | 1586601 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>3.00%, 6/05/31 | Netherlands | 870000 | 1716162 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Principal**<br> **Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Convertible Bonds (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Nutanix Inc., senior note, 0.50%, 12/15/29 | United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;162000 | $149364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pagaya Technologies Ltd., senior note, 6.125%, 10/01/29 | United States | 260000 | 304850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Planet Labs Pbc, senior note, 144A, 0.50%, 10/15/30 | United States | 198000 | 438818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,g</sup>Porch Group Inc., senior secured note, 144A, 6.75%, 10/01/28 | United States | 348000 | 352002 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Progress Software Corp., senior note, 3.50%, 3/01/30 | United States | 26000 | 26202 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Q2 Holdings Inc., senior note, 0.75%, 6/01/26 | United States | 615000 | 609465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Rubrik Inc., senior note, 144A, zero cpn., 6/15/30 | United States | 618000 | 552338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Snowflake Inc., senior note, zero cpn., |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10/01/27 | United States | 309000 | 390267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10/01/29 | United States | 147000 | 192864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Unity Software Inc., senior note, zero cpn., 3/15/30 | United States | 63000 | 58826 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Workiva Inc., senior note, 1.25%, 8/15/28 | United States | 467000 | 441198 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11046887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail 0.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The Cheesecake Factory Inc., senior note, 0.375%, 6/15/26 | United States | 78000 | 80692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Etsy Inc., senior note, 0.125%, 9/01/27 | United States | 69000 | 64481 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Gamestop Corp., senior note, 144A, zero cpn., |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4/01/30 | United States | 14000 | 15078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6/15/32 | United States | 448000 | 483168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,g</sup>The Realreal Inc., senior note, 144A, 4.00%, 2/15/31 | United States | 280000 | 406140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wayfair Inc., senior note, 3.25%, 9/15/27 | United States | 572000 | 762762 |
|  |  |  | 1812321 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Technology Hardware, Storage & Peripherals 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Parsons Corp., senior note, 2.625%, 3/01/29 | United States | 312000 | 327600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Super Micro Computer Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>2.25%, 7/15/28 | United States | 272000 | 268804 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 3/01/29 | United States | 134000 | 124745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>144A, zero cpn., 6/15/30 | United States | 400000 | 360280 |
|  |  |  | 1081429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Telecommunications 0.4%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Applied Digital Corp., senior note, 2.75%, 6/01/30 | United States | 438000 | 1309578 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Ast Spacemobile Inc., senior note, 144A, 2.375%, 10/15/32 | United States | 156000 | 224445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Viavi Solutions Inc., senior note, 144A, 0.625%, 3/01/31 | United States | 154000 | 341688 |
|  |  |  | 1875711 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Trading Companies & Distributors 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Xometry Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>1.00%, 2/01/27 | United States | 459000 | 483786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>144A, 0.75%, 6/15/30 | United States | 255000 | 301920 |
|  |  |  | 785706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Transportation 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; World Kinect Corp., senior note, 3.25%, 7/01/28 | United States | 135000 | 147987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Convertible Bonds (Cost $94,429,699)** |  |  | 110049349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Convertible Bonds in Reorganization 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobiles 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g,i</sup>Fisker Inc., senior note, 144A, 2.50%, 9/15/26 | United States | 943587 | 1514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Basic Materials 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>i</sup>Danimer Scientific Inc., senior note, 3.25%, 12/15/26 | United States | 264000 | 554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g,i</sup>Shift Technologies Inc., senior note, 144A, 4.75%, 5/15/26 | United States | 1014000 | 1118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Convertible Bonds in Reorganization (Cost $1,968,101)** |  |  | 3186 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Country** | **Principal**<br> **Amount<sup>\*</sup>** | | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Corporate Bonds and Notes 3.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Airlines 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,g</sup>GOL Finance Inc., senior secured note, 144A, 14.375%, 6/06/30 | Brazil | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;131500 |  | $136102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Banks 0.5%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g,j</sup>Akbank TAS, junior sub. note, 144A, 9.369%, Perpetual | Turkey | 536000 |  | 562561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asian Development Bank, senior note, zero cpn., 3/03/35 | Supranational<sup>k</sup> | 59920000 | TRY | 171779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; European Bank for Reconstruction & Development, zero cpn., |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, EMTN, 7/11/36 | Supranational<sup>k</sup> | 133400000 | TRY | 247236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 3/04/31 | Supranational<sup>k</sup> | 57000000 | TRY | 351258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>d,g</sup>ICBC Standard Bank PLC, EMTN, 144A, zero cpn., 3/19/26 | United Kingdom | 1387000000 | NGN | 974341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Yapi Kredi Bankasi, senior bond, 9.25%, 1/17/34 | Turkey | 537000 |  | 572917 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2880092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Building Products 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>d,e</sup>Atlas Security Products, senior note, zero cpn., |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; A, 2/08/27 | United States | 364401 |  | 340421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; B, 2/08/28 | United States | 364401 |  | 318296 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; C, 2/08/29 | United States | 364401 |  | 296847 |
|  |  |  |  | 955564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Financial Services 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>d</sup>Goldman Sachs International, senior note, zero cpn., |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5/12/26 | United States | 19925000 | EGP | 392234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4/02/26 | United States | 21550000 | EGP | 442344 |
|  |  |  |  | 834578 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electric Utilities 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Luz del Sur Saa, senior note, 144A, 6.75%, 10/09/32 | Peru | 1739000 | PEN | 531289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Financial Services 0.3%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Credicorp Capital Sociedad Titulizadora SA, senior bond, 144A, Reg S, 10.10%, 12/15/43 | Peru | 500000 | PEN | 163486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,g</sup>Icahn Enterprises LP / Icahn Enterprises Finance Corp., senior secured note, 144A, 10.00%, 11/15/29 | United States | 670000 |  | 662422 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,g</sup>LBM Acquisition LLC, senior secured note, 144A, 9.50%, 6/15/31 | United States | 716000 |  | 668708 |
|  |  |  |  | 1494616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Equipment & Supplies 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Baxter International Inc., senior bond, 3.132%, 12/01/51 | United States | 721000 |  | 449810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,g</sup>CHS/Community Health Systems Inc., senior secured note, 144A, 9.75%, 1/15/34 | United States | 191000 |  | 201518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Home Builders 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,g</sup>K Hovnanian Enterprises Inc., senior note, 144A, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 4/01/31 | United States | 463000 |  | 476548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.375%, 10/01/33 | United States | 506000 |  | 519333 |
|  |  |  |  | 995881 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>CSC Holdings LLC, 144A, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 5.75%, 1/15/30 | United States | 561000 |  | 217311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>senior bond, 4.625%, 12/01/30 | United States | 21000 |  | 7792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 5.00%, 11/15/31 | United States | 24000 |  | 8989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 11.25%, 5/15/28 | United States | 12000 |  | 9519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 11.75%, 1/31/29 | United States | 18000 |  | 12838 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Country** | **Principal**<br> **Amount<sup>\*</sup>** | | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Corporate Bonds and Notes (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>VZ Secured Financing BV, senior secured note, 144A, 7.50%, 1/15/33 | Netherlands | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;539000 |  | $530148 |
|  |  |  |  | 786597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Metals & Mining 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g,h</sup>Samarco Mineracao SA, senior note, PIK, Reg S, 9.50%, 6/30/31 | Brazil | 947916 |  | 951705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels 0.8%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ecopetrol SA, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 8.875%, 1/13/33 | Colombia | 649000 |  | 689229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 5.875%, 11/02/51 | Colombia | 440000 |  | 318083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 7.75%, 2/01/32 | Colombia | 717000 |  | 732219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,g</sup>Nabors Industries Inc., senior note, 144A, 7.625%, 11/15/32 | United States | 453000 |  | 466971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Petroleos Mexicanos, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 6.375%, 1/23/45 | Mexico | 1096000 |  | 908237 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 6.95%, 1/28/60 | Mexico | 494000 |  | 407970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g,j</sup>senior note, Reg S, 6.625%, Perpetual | Mexico | 230000 |  | 175078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Yinson Boronia Production BV, senior secured bond, Reg S, 8.947%, 7/31/42 | Brazil | 562475 |  | 620702 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4318489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Pharmaceuticals 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Abbvie Inc., senior bond, 4.75%, 3/15/36 | United States | 50000 |  | 50282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Centrient Holding BV, senior secured note, Reg S, 6.75%, 5/30/30 | Netherlands | 200000 | EUR | 213077 |
|  |  |  |  | 263359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Real Estate Management & Development 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g,h</sup>Kaisa Group Holdings Ltd., senior secured note, 144A, PIK, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.721%, 12/28/27 | China | 52295 |  | 1308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 12/28/28 | China | 76436 |  | 1911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 12/28/29 | China | 127961 |  | 2559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 12/28/30 | China | 154233 |  | 3470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 12/28/31 | China | 232370 |  | 5228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 12/28/32 | China | 218681 |  | 3554 |
|  |  |  |  | 18030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Concentrix Corp., senior note, 6.50%, 3/01/29 | United States | 25000 |  | 24716 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; <sup>c,g,h</sup>Guitar Center Inc., senior secured note, 144A, PIK, 8.50%, 1/15/29 | United States | 461953 |  | 371873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,g</sup>S&S Holdings LLC, senior secured note, 144A, 8.375%, 10/01/31 | United States | 832000 |  | 780436 |
|  |  |  |  | 1152309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Telecommunications 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; America Movil SAB de CV, senior note, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.125%, 1/22/29 | Mexico | 3790000 <sup>l</sup> | MXN | 231796 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.30%, 1/30/34 | Mexico | 7540000 <sup>l</sup> | MXN | 468503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Sv Rno Property Owner 1 LLC, senior secured note, 144A, 5.875%, 3/01/31 | United States | 39000 |  | 39202 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,g</sup>Uniti Services LLC, senior secured note, 144A, 7.50%, 10/15/33 | United States | 228000 |  | 237385 |
|  |  |  |  | 976886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Corporate Bonds and Notes (Cost $17,104,256)** |  |  |  | 16971541 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Principal**<br> **Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Corporate Bonds and Notes in Reorganization 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g,i</sup>Ligado Networks LLC, senior secured note, 144A, 15.50%, 7/07/24 | United States | 1762066 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;625533 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Packaging & Containers 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>i</sup>LABL Inc., senior note, 9.50%, 11/01/28 | United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;320000 | 129600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Real Estate Management & Development 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>i</sup>Zhenro Properties Group Ltd., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 3/06/23 | China | 981000 | 4905 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Reg S, 6.63%, 1/07/26 | China | 203000 | 1015 |
|  |  |  | 5920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Corporate Bonds and Notes in Reorganization<br>(Cost $904,403)** |  |  | 761053 |
| &nbsp;&nbsp;&nbsp;&nbsp; **<sup>m</sup>Senior Floating Rate Interests 1.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobile Components 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>First Brands Group LLC, First Lien Term Loan, 10.786%, (3-Month SOFR + 5.00%), 3/30/27 | United States | 25282 | 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Building Products 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cornerstone Building Brands, Inc., Term Loan B, 7.01%, (1-Month SOFR + 3.25%), 4/12/28 | United States | 86210 | 63765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Communications Equipment 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ligado Networks LLC, Roll-Up Loan, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15.50%, (fixed), 3/31/26 | United States | 229840 | 203983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>d</sup>17.50%, (fixed), 3/31/26 | United States | 234479 | 192273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>d</sup>17.50%, (fixed), 12/31/27 | United States | 23196 | 20296 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>h</sup>Riverbed Technology Inc., Exit Term Loan, PIK, 8.172%, (1-Month SOFR + 4.50%), 7/01/28 | United States | 58552 | 26907 |
|  |  |  | 443459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DTI Holdings Inc., 2025 Refinancing Term Loan, 7.673%, (SOFR + 4.00%), 4/26/29 | United States | 55572 | 48096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>Liberty Communications of Puerto Rico LLC, Term Loan B, 7.664%, (SOFR + 3.75%), 10/16/28 | United States | 118167 | 82231 |
|  |  |  | 130327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Entertainment 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Stubhub, Term Loan B, 8.423%, (SOFR + 4.75%), 3/15/30 | United States | 69322 | 67271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Financial Services 0.4%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>d</sup>Midcap Financial Issuer Trust, Initial Term Loan, 8.25%, (fixed), 1/07/32 | United States | 2020000 | 2081459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Food & Staples Retailing 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>d</sup>H-Food Holdings LLC, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Initial Term Loan, 12.188%, (3-Month SOFR + 3.95%), 3/31/26 | United States | 1000742 | 500371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Initial Term Loan, 12.50%, (3-Month SOFR + 4.26%), 3/31/26 | United States | 339377 | 169689 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Incremental Term Loan B-3, 13.75%, (3-Month SOFR + 5.26%), 3/31/26 | United States | 49841 | 24920 |
|  |  |  | 694980 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Gainwell Acquisition Corp, Term Loan B, 7.772%, (1-Month SOFR + 4.10%), 10/01/27 | United States | 536918 | 510743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Petco Health & Wellness Co. Inc., First Lien Term Loan, 7.184%, (3-Month SOFR + 3.51%), 3/03/28 | United States | 372047 | 371956 |
|  |  |  | 882699 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Country** | **Principal**<br> **Amount<sup>\*</sup>** | | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; **<sup>m</sup>Senior Floating Rate Interests (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **IT Services 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Databricks Inc., |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2026 Delayed Draw Term Loan, 1.00%, (fixed), 1/12/28 | United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;198224 |  | $199091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Initial Delayed Draw Term Loan, 8.809%, (1-Month SOFR + 4.50%), 1/03/31 | United States | 91517 |  | 92433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2026 Term Loan, 8.171%, (1-Month SOFR + 4.50%), 1/05/32 | United States | 413483 |  | 417100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Idera, Inc., Bank Debt Term Loan, 7.16%, (SOFR + 3.50%), 3/02/28 | United States | 26890 |  | 21647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>SonicWall, Bank Debt Term Loan, 8.672%, (SOFR + 5.00%), 5/18/28 | United States | 10466 |  | 3424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Starlight Parent LLC, Initial Term Loan (First Lien), 7.701%, (SOFR + 4.00%), 4/16/32 | United States | 123276 |  | 106557 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;840252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Leisure Products 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>888 Holdings Ltd., Term Loan B, 9.048%, (1-Month SOFR + 5.25%), 7/03/28 | United States | 92317 |  | 87086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Peloton Interactive Inc., Initial Term Loan, 9.173%, (1-Month SOFR + 6.00%), 5/30/29 | United States | 153448 |  | 154359 |
|  |  |  |  | 241445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Altice USA Inc., Term Loan B-5, 8.25%, (1-Month SOFR + 2.50%), 4/15/27 | United States | 281675 |  | 244089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MH Sub I LLC, Bank Debt Term Loan, 7.923%, (1- Month SOFR + 4.25%), 12/31/31 | United States | 130686 |  | 89847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; X Corp., Term Loan B-3, 9.50%, (fixed), 10/26/29 | United States | 22256 |  | 23386 |
|  |  |  |  | 357322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Packaging & Containers 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LABL Inc., Initial Euro Term Loan, 7.026%, (EURIBOR + 5.00%), 10/30/28 | United States | 18108 | EUR | 9799 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Multi-Color, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interim New Money Dollar Term Loan, 10.41%, (1-Month SOFR + 6.75%), 12/02/26 | United States | 55558 |  | 55489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Initial Revolving Loan, 7.667%, (1-Month SOFR + 4.00%), 10/08/28 | United States | 37569 |  | 16906 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Initial Dollar Term Loan, 8.767%, (1-Month SOFR + 5.00%), 10/30/28 | United States | 942911 |  | 438850 |
|  |  |  |  | 521044 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Professional Services 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pre Paid Legal Services Inc., First Lien Initial Term Loan, 6.923%, (SOFR + 3.25%), 12/15/28 | United States | 221 |  | 189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>Perforce, Term Loan B, 8.423%, (SOFR + 4.75%), 7/02/29 | United States | 129184 |  | 99473 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Skopima Consilio Parent LLC, Amendment No. 5 Term Loan, 7.423%, (SOFR + 3.75%), 5/12/28 | United States | 28561 |  | 22824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; XAI Holdings, Initial Fixed Rate Term Loan, 12.50%, (fixed), 6/28/30 | United States | 31759 |  | 36030 |
|  |  |  |  | 158327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Harbor Freight Tools, Term Loan B, 5.923%, (SOFR + 2.50%), 6/11/31 | United States | 21486 |  | 21197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Senior Floating Rate Interests (Cost $7,703,500)** |  |  |  | 6503832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Foreign Government and Agency Securities 5.8%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Bogota Distrito Capital, senior bond, 144A, 13.14%, 11/05/35 | Colombia | 5133000000 | COP | 1368358 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Development Bank of Kazakhstan JSC, senior note, 144A, 13.489%, 5/23/28 | Kazakhstan | 100000000 | KZT | 190416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Egypt Government International Bond, senior bond, Reg S, 8.15%, 11/20/59 | Egypt | 348000 |  | 317426 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Country** | **Principal**<br> **Amount<sup>\*</sup>** | | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Foreign Government and Agency Securities (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Government of Angola, 144A, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 9.875%, 10/15/35 | Angola | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;450000 |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;460167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 9.244%, 1/15/31 | Angola | 510000 |  | 518833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government of Argentina, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 5.00%, 1/09/38 | Argentina | 1367591 |  | 1025337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, zero cpn., 12/15/35 | Argentina | 6518000 |  | 519869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 0.75%, 7/09/30 | Argentina | 796320 |  | 676872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 0.125%, 7/09/30 | Argentina | 421920 | EUR | 421364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government of Brazil, senior bond, 6.25%, 5/22/36 | Brazil | 724000 |  | 730299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government of Colombia, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, B, 13.25%, 2/09/33 | Colombia | 4526100000 | COP | 1171497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, B, 7.25%, 10/26/50 | Colombia | 1573700000 | COP | 237356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 6.50%, 1/21/33 | Colombia | 243000 |  | 241617 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Government of Dominican Republic, senior bond, 144A, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11.25%, 9/15/35 | Dominican Republic | 11150000 | DOP | 209547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.75%, 6/01/36 | Dominican Republic | 22300000 | DOP | 413875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Government of Ecuador, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, Reg S, 6.90%, 7/31/35 | Ecuador | 1115441 |  | 1014808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 144A, 9.25%, 1/29/39 | Ecuador | 558000 |  | 566370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 144A, 8.75%, 1/29/34 | Ecuador | 475000 |  | 479275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Government of Egypt, senior bond, Reg S, 7.903%, 2/21/48 | Egypt | 775000 |  | 700796 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government of El Salvador, senior bond, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.50%, 7/15/52 | El Salvador | 345000 |  | 390281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Reg S, 9.65%, 11/21/54 | El Salvador | 650000 |  | 741000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government of Indonesia, senior bond, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.46%, 3/04/38 | Indonesia | 290000 | EUR | 344743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.97%, 3/04/46 | Indonesia | 245000 | EUR | 294094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.125%, 6/15/38 | Indonesia | 15015000000 | IDR | 935919 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Government of Kenya, 144A, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 8.80%, 10/09/38 | Kenya | 570000 |  | 565709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 8.70%, 2/26/39 | Kenya | 455000 |  | 444217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 7.875%, 10/09/33 | Kenya | 365000 |  | 363901 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 7.875%, 2/26/34 | Kenya | 670000 |  | 660730 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government of Mexico, senior bond, 6.75%, 2/09/56 | Mexico | 752000 |  | 763844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Government of Nigeria, senior bond, 144A, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.631%, 1/13/36 | Nigeria | 369000 |  | 397235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.13%, 1/13/46 | Nigeria | 360000 |  | 392301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Government of Pakistan, senior bond, Reg S, 7.375%, 4/08/31 | Pakistan | 516000 |  | 511592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Government of Paraguay, senior bond, 144A, 8.50%, 4/04/38 | Paraguay | 2013000000 | PYG | 313796 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Government of Peru, senior bond, 144A, 7.60%, 8/12/39 | Peru | 2270000 | PEN | 733932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Government of Romania, 144A, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 5.75%, 7/04/36 | Romania | 300000 |  | 299355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 4.625%, 3/04/33 | Romania | 440000 | EUR | 518969 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Government of Senegal, senior bond, Reg S, 4.75%, 3/13/28 | Senegal | 270000 | EUR | 254563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government of South Africa, senior bond, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>144A, 7.25%, 12/11/55 | South Africa | 460000 |  | 460687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/12/46 | South Africa | 220000 |  | 172229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 7/24/44 | South Africa | 220000 |  | 185556 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 1/31/44 | South Africa | 9388000 | ZAR | 595806 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 2/28/48 | South Africa | 5725000 | ZAR | 364742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government of Sri Lanka, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 3.60%, 6/15/35 | Sri Lanka | 333000 |  | 317827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 3.35%, 3/15/33 | Sri Lanka | 105000 |  | 98700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>senior note, Reg S, 4.00%, 4/15/28 | Sri Lanka | 69350 |  | 67579 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Government of Suriname, 144A, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 8.50%, 11/06/35 | Suriname | 474000 |  | 504514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 7.70%, 11/06/30 | Suriname | 387000 |  | 398707 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Country** | **Principal**<br> **Amount<sup>\*</sup>** | | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Foreign Government and Agency Securities (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Government of Tunisia, senior note, Reg S, 6.375%, 7/15/26 | Tunisia | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;586000 | EUR | $686618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government of Turkey, senior note, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 3/10/34 | Turkey | 496000 | EUR | 592262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26.20%, 10/05/33 | Turkey | 10324000 | TRY | 219888 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31.08%, 11/08/28 | Turkey | 6051000 | TRY | 136500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27.70%, 9/27/34 | Turkey | 34568000 | TRY | 769916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Government of Ukraine, senior note, 144A, 4.00%, 2/01/32 | Ukraine | 578000 |  | 452846 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mexican Bonos, M, senior bond, 8.00%, 2/21/36 | Mexico | 6000000 <sup>l</sup> | MXN | 333435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Petroleos Mexicanos, senior bond, 10.80%, 8/08/34 | Mexico | 23000000 <sup>l</sup> | MXN | 1354706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Provincia de Buenos Aires, senior bond, Reg S, 6.625%, 9/01/37 | Argentina | 2266405 |  | 1802679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Provincia de Cordoba, senior note, Reg S, 9.75%, 7/02/32 | Argentina | 437000 |  | 456883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Foreign Government and Agency Securities<br>(Cost $27,919,310)** |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30162343 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Foreign Government and Agency Securities in<br>Reorganization 0.4%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g,i</sup>Government of Lebanon, Reg S, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 8.25%, 4/12/21 | Lebanon | 50000 |  | 14994 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 6.00%, 1/27/23 | Lebanon | 212000 |  | 62222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 6.75%, 11/29/27 | Lebanon | 163000 |  | 48217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, E, 6.85%, 5/25/29 | Lebanon | 212000 |  | 63070 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, G, 6.25%, 11/04/24 | Lebanon | 212000 |  | 62254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>i</sup>Government of Venezuela, senior bond |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 10/13/19 | Venezuela | 405000 |  | 152928 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 12/09/20 | Venezuela | 135000 |  | 47803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12.75%, 8/23/22 | Venezuela | 1100000 |  | 516010 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Reg S, 9.00%, 5/07/23 | Venezuela | 1381000 |  | 562896 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Reg S, 8.25%, 10/13/24 | Venezuela | 305000 |  | 119743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Reg S, 7.65%, 4/21/25 | Venezuela | 750000 |  | 291450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Reg S, 11.75%, 10/21/26 | Venezuela | 380000 |  | 177118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Foreign Government and Agency Securities in<br>Reorganization (Cost $1,670,691)** |  |  |  | 2118705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **U.S. Government and Agency Securities 4.0%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bond, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 2/15/36 | United States | 537900 |  | 545086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 11/15/45 | United States | 312500 |  | 314624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 2/15/46 | United States | 105600 |  | 106351 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 8/15/55 | United States | 5918700 |  | 6028751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 11/15/55 | United States | 309300 |  | 308841 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Note, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 11/30/27 | United States | 163000 |  | 162911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 12/31/27 | United States | 60000 |  | 59974 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 1/31/28 | United States | 142900 |  | 143185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/15/28 | United States | 220000 |  | 220645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 12/15/28 | United States | 44000 |  | 44136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 1/15/29 | United States | 279500 |  | 280384 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 2/15/29 | United States | 182700 |  | 183278 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 3/31/30 | United States | 4627000 |  | 4720263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 8/31/30 | United States | 914000 |  | 918820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/30/30 | United States | 466000 |  | 465818 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Principal**<br> **Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **U.S. Government and Agency Securities (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Note, (continued) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 12/31/30 | United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;461900 | $464101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 1/31/31 | United States | 203100 | 205194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 12/31/32 | United States | 97000 | 97970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 1/31/33 | United States | 204000 | 207538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 8/15/35 | United States | 2191000 | 2245775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/35 | United States | 3389000 | 3401709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total U.S. Government and Agency Securities<br>(Cost $20,693,782)** |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21125354 |
|  | **Number of<br>Contracts** | **Notional<br>Amount<sup>#</sup>** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Options Purchased 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Calls - Exchange-Traded 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; B2Gold Corp., April Strike Price $5.00, Expires 4/17/26 | 6 | 4290 | 768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BILL Holdings Inc., March Strike Price $50.00, Expires 3/20/26 | 6 | 26184 | 816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BlackLine Inc., March Strike Price $45.00, Expires 3/20/26 | 6 | 22224 | 180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bridgebio Pharma Inc., April Strike Price $85.00, Expires 4/17/26 | 4 | 26616 | 480 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bridgebio Pharma Inc., April Strike Price $90.00, Expires 4/17/26 | 7 | 46578 | 700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Compass Inc., March Strike Price $13.00, Expires 3/20/26 | 7 | 6643 | 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CorMedix Inc., March Strike Price $13.00, Expires 3/20/26 | 14 | 9968 | 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Delivery Hero SE, September Strike Price 26.00 EUR, Expires 9/18/26 | 403 | 846300 | 97618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dropbox Inc., April Strike Price $30.00, Expires 4/17/26 | 7 | 18319 | 420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Galaxy Digital Inc., April Strike Price $35.00, Expires 4/17/26 | 7 | 15047 | 196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Guardant Health Inc., April Strike Price $135.00, Expires 4/17/26 | 6 | 54720 | 765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Guidewire Software Inc., April Strike Price $160.00, Expires 4/17/26 | 3 | 46137 | 2445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indie Semiconductor Inc., May Strike Price $4.00, Expires 5/15/26 | 29 | 7511 | 1305 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indie Semiconductor Inc., May Strike Price $5.50, Expires 5/15/26 | 14 | 3626 | 315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; IREN Ltd., March Strike Price $50.00, Expires 3/02/26 | 10 | 43840 | 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nutanix Inc., March Strike Price $45.00, Expires 3/20/26 | 3 | 12096 | 114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nutanix Inc., March Strike Price $60.00, Expires 3/20/26 | 7 | 28224 | 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Progress Software Corp., March Strike Price $50.00, Expires 3/20/26 | 6 | 23220 | 600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shift4 Payments Inc., March Strike Price $65.00, Expires 3/20/26 | 3 | 14238 | 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shift4 Payments Inc., April Strike Price $85.00, Expires 4/17/26 | 5 | 23730 | 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Stride Inc., March Strike Price $85.00, Expires 3/20/26 | 3 | 26007 | 1020 |
|  |  |  | 108030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Calls - Over-the-Counter 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Currency Options 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; USD/JPY, Counterparty DBAB, July Strike Price 170.00 JPY, Expires 7/30/26 | 1 | 13800000 | 22789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; USD/ZAR, Counterparty BZWS, April Strike Price 17.25 ZAR, Expires 4/01/26 | 1 | 116129 | 9000 |
|  |  |  | 31789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Puts - Exchange-Traded 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Aston Martin Lagonda Global Holdings PLC, March Strike Price 60.00 GBP, Expires 3/20/26 | 960 | 54605 | 18112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Concentrix Corp., July Strike Price $25.00, Expires 7/17/26 | 80 | 263680 | 19400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; E-mini S&P 500 Futures, March Strike Price $6,600.00, Expires 3/31/26 | 5 | 3444500 | 29850 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Number of**<br> **Contracts** | **Notional<br>Amount<sup>#</sup>** | | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Options Purchased (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Puts - Exchange-Traded (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hertz Global Holdings Inc., March Strike Price $4.00, Expires 3/20/26 | 26 | 11284 |  | $338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; iShares MSCI Europe Financials ETF, March Strike Price $37.00, Expires 3/20/26 | 276 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;990840 |  | 17940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; iShares Russell 2000 ETF, March Strike Price $259.00, Expires 3/02/26 | 15 | 392640 |  | 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., May Strike Price $250.00, Expires 5/15/26 | 82 | 2454998 |  | 31160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NVIDIA Corp., March Strike Price $165.00, Expires 3/20/26 | 114 | 2086656 |  | 43320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pagaya Technologies Ltd., April Strike Price $10.00, Expires 4/17/26 | 13 | 15184 |  | 1040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Plug Power Inc., March Strike Price $1.50, Expires 3/06/26 | 68 | 16864 |  | 136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Plug Power Inc., March Strike Price $1.50, Expires 3/13/26 | 68 | 16864 |  | 204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Progressive Corp., March Strike Price $200.00, Expires 3/20/26 | 21 | 443940 |  | 4620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; S&P E-Mini 3rd Week, December Strike Price $6,500.00, Expires 12/18/26 | 3 | 1034850 |  | 40125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; State Street Financial Select Sector SPDR ETF, March Strike Price $50.00, Expires 3/20/26 | 210 | 1081500 |  | 13020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; State Street Industrial Select Sector SPDR ETF, March Strike Price $171.00, Expires 3/27/26 | 223 | 3924131 |  | 52628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; State Street SPDR S&P Regional Banking ETF, May Strike Price $63.00, Expires 5/15/26 | 106 | 715500 |  | 28620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; VanEck Semiconductor ETF, March Strike Price $370.00, Expires 3/20/26 | 153 | 6106230 |  | 74970 |
|  |  |  |  | 375498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Puts - Over-the-Counter 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Currency Options 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EUR/USD, Counterparty BZWS, April Strike Price $1.12, Expires 4/17/26 | 1 | 20408163 | EUR | 6609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Options Purchased (Cost $729,445)** |  |  |  | 521926 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments before Short Term Investments<br>(Cost $254,023,027)** |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;285258166 |
|  | **Country** | **Shares** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Short Term Investments 36.6%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Money Market Funds 24.4%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>o,p</sup>Dreyfus Government Cash Management, Institutional, 3.56% | United States | 86394345 |  | 86394345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>o</sup>Fidelity Investments Money Market Government Portfolio, Institutional, 3.55% | United States | 41400873 |  | 41400873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Money Market Funds (Cost $127,795,218)** |  |  |  | 127795218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Investments from Cash Collateral Received for Loaned Securities (Cost $581,000) 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Money Market Fund 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>o,q</sup>Franklin Institutional U.S. Government Money Market Fund, 3.58% | United States | 581000 |  | 581000 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Principal<br>Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Short Term Investments (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **U.S. Government and Agency Securities 12.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bill, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>r</sup>1.225%, 3/03/26 | United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500000 | $499950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>r</sup>3.113%, 3/12/26 | United States | 15000000 | 14984892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>r</sup>3.457%, 3/26/26 | United States | 12000000 | 11970988 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>r</sup>3.553%, 4/09/26 | United States | 14000000 | 13946541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>r</sup>3.596%, 4/21/26 | United States | 5000000 | 4974896 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>r</sup>3.592%, 4/23/26 | United States | 1000000 | 994793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>r</sup>3.632%, 4/30/26 | United States | 2000000 | 1988110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>r</sup>3.589%, 5/05/26 | United States | 7500000 | 7452336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>r</sup>3.613%, 5/07/26 | United States | 1000000 | 993409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>r</sup>3.615%, 5/14/26 | United States | 3500000 | 3474557 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>r</sup>3.619%, 5/21/26 | United States | 2500000 | 2480110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total U.S. Government and Agency Securities<br>(Cost $63,756,293)** |  |  | 63760582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Short Term Investments (Cost $192,132,511)** |  |  | 192136800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (Cost $446,155,538) 91.0%** |  |  | 477394966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Options Written (0.0)%<sup>†</sup>** |  |  | (196607) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (25.0)%** |  |  | (130966201) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, less Liabilities 34.0%** |  |  | 178210484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets 100.0%** |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;524442642 |
|  | **Number of**<br> **Contracts** | **Notional<br>Amount<sup>#</sup>** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Options Written (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Calls - Exchange-Traded (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Delivery Hero SE, September Strike Price 36.00 EUR, Expires 9/18/26 | 403 | 846300 | (35714) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hertz Global Holdings Inc., March Strike Price $6.00, Expires 3/20/26 | 26 | 11284 | (156) |
|  |  |  | (35870) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Puts - Exchange-Traded (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Aston Martin Lagonda Global Holdings PLC, March Strike Price 50.00 GBP, Expires 3/20/26 | 960 | 54605 | (6469) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bridgebio Pharma Inc., April Strike Price $55.00, Expires 4/17/26 | 4 | 26616 | (450) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bridgebio Pharma Inc., April Strike Price $65.00, Expires 4/17/26 | 7 | 46578 | (3255) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CorMedix Inc., March Strike Price $10.00, Expires 3/20/26 | 14 | 9968 | (3675) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; E-mini S&P 500 Futures, March Strike Price $6,200.00, Expires 3/31/26 | 5 | 3444500 | (11950) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Guardant Health Inc., April Strike Price $85.00, Expires 4/17/26 | 6 | 54720 | (2430) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; iShares Russell 2000 ETF, March Strike Price $247.00, Expires 3/03/26 | 119 | 3114944 | (119) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nutanix Inc., March Strike Price $47.50, Expires 3/20/26 | 7 | 28224 | (6503) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; S&P E-Mini 3rd Week, December Strike Price $7,200.00, Expires 12/18/26 | 3 | 1034850 | (55387) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; State Street Industrial Select Sector SPDR ETF, March Strike Price $164.00, Expires 3/27/26 | 223 | 3924131 | (22969) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; VanEck Semiconductor ETF, March Strike Price $370.00, Expires 3/20/26 | 97 | 3871270 | (47530) |
|  |  |  | (160737) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Options Written (Premiums Received $291,363)** |  |  | (196607) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Shares** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (25.0)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Common Stocks (16.7)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Aerospace & Defense (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Astronics Corp. | United States | 2153 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(173575) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Intuitive Machines, Inc., A | United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17640 | (290707) |
|  |  |  | (464282) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobile Components (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Aptiv PLC | United States | 6526 | (479922) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Patrick Industries Inc. | United States | 2519 | (311827) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Quantumscape Corp., A | United States | 19795 | (136982) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Solid Power Inc. | United States | 15006 | (53121) |
|  |  |  | (981852) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobiles (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LI Auto Inc., ADR | China | 925 | (16271) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mercedes-Benz Group AG | Germany | 3575 | (247349) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rivian Automotive Inc., A | United States | 6698 | (102681) |
|  |  |  | (366301) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Biotechnology (0.8)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Arrowhead Pharmaceuticals Inc. | United States | 2652 | (167792) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ascendis Pharma A/S, ADR | Denmark | 47 | (10974) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BioMarin Pharmaceutical Inc. | United States | 135 | (8334) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bridgebio Pharma Inc. | United States | 14271 | (948736) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cytokinetics Inc. | United States | 709 | (44114) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exact Sciences Corp. | United States | 1827 | (188875) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Halozyme Therapeutics Inc. | United States | 243 | (16896) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ionis Pharmaceuticals Inc. | United States | 3940 | (319731) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mirum Pharmaceuticals Inc. | United States | 15620 | (1441570) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pharming Group NV | Netherlands | 62852 | (103844) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PTC Therapeutics Inc. | United States | 10165 | (693151) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Travere Therapeutics Inc. | United States | 274 | (8162) |
|  |  |  | (3952179) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Capital Markets (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Galaxy Digital Inc., A | United States | 21047 | (433358) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wisdomtree Inc. | United States | 49783 | (851787) |
|  |  |  | (1285145) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Commercial Services & Supplies (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pitney Bowes Inc. | United States | 4723 | (50678) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TETRA Tech Inc. | United States | 2813 | (100818) |
|  |  |  | (151496) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Communications Equipment (1.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Applied Optoelectronics Inc. | United States | 253 | (21310) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lumentum Holdings Inc. | United States | 7783 | (5455182) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Viavi Solutions Inc. | United States | 10363 | (307885) |
|  |  |  | (5784377) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Shares** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Common Stocks (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Construction & Engineering (0.3)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fluor Corp. | United States | 7838 | $(410006) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Granite Construction Inc. | United States | 7677 | (1032249) |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1442255) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Consumer Finance (0.3)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Acceptance Corp. | United States | 394 | (186433) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Encore Capital Group Inc. | United States | 4513 | (308193) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SoFi Technologies Inc. | United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44324 | (787194) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Upstart Holdings Inc. | United States | 3178 | (86537) |
|  |  |  | (1368357) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Consumer Services (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Stride Inc. | United States | 13059 | (1101918) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AST Spacemobile Inc., A | United States | 1986 | (157271) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electric Utilities (0.7)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Duke Energy Corp. | United States | 10553 | (1380860) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Evergy Inc. | United States | 11431 | (956318) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NextEra Energy Inc. | United States | 270 | (25318) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Oklo Inc., A | United States | 820 | (51619) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PG&E Corp. | United States | 2862 | (54378) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The Southern Co. | United States | 13159 | (1281423) |
|  |  |  | (3749916) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electrical Equipment (1.7)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Array Technologies Inc. | United States | 5400 | (40932) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bloom Energy Corp., A | United States | 51572 | (8028213) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Eaton Corp. PLC | United States | 1841 | (692069) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Vault Holdings Inc. | United States | 3083 | (9249) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Eos Energy Enterprises Inc. | United States | 39564 | (225317) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nuscale Power Corp. | United States | 3411 | (43832) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Plug Power Inc. | United States | 35532 | (63602) |
|  |  |  | (9103214) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electronic Equipment, Instruments & Components (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Avnet Inc. | United States | 132 | (8691) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Itron Inc. | United States | 364 | (34198) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mirion Technologies Inc., A | United States | 4679 | (101113) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OSI Systems Inc. | United States | 1790 | (510508) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Vishay Intertechnology Inc. | United States | 7232 | (135383) |
|  |  |  | (789893) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Energy Equipment & Services (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Solaris Energy Infrastructure Inc., A | United States | 21084 | (1046399) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Entertainment (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Live Nation Entertainment Inc. | United States | 6833 | (1107903) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Financial Services (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Affirm Holdings Inc., A | United States | 2532 | (118954) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; HA Sustainable Infrastructure Capital Inc. | United States | 1091 | (39843) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shift4 Payments Inc., A | United States | 662 | (29174) |
|  |  |  | (187971) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Shares** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Common Stocks (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Food Products (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Premium Brands Holdings Corp. | Canada | 79 | $(6140) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Gas Utilities (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UGI Corp. | United States | 2128 | (79608) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Ground Transportation (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Grab Holdings Ltd. | Singapore | 2276 | (9605) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lyft Inc., A | United States | 2429 | (33617) |
|  |  |  | (43222) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Equipment & Supplies (0.3)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Alphatec Holdings Inc. | United States | 2902 | (39525) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DexCom Inc. | United States | 725 | (53237) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Enovis Corp. | United States | 1912 | (48699) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Haemonetics Corp. | United States | 492 | (31153) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; iRhythm Technologies Inc. | United States | 34 | (4547) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lantheus Holdings Inc. | United States | 2893 | (216715) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lemaitre Vascular Inc. | United States | 300 | (32454) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LivaNova PLC | United States | 5873 | (414634) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Omnicell Inc. | United States | 800 | (32880) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tandem Diabetes Care Inc. | United States | 2667 | (67475) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Transmedics Group Inc. | United States | 4669 | (678219) |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1619538) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Guardant Health Inc. | United States | 3319 | (311654) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care REITs (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Welltower Inc. | United States | 321 | (66485) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Hotels, Restaurants & Leisure (0.3)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The Cheesecake Factory Inc. | United States | 1508 | (97688) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Doordash Inc., A | United States | 457 | (80647) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; H World Group Ltd., ADR | China | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17572 | (962945) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MGM Resorts International | United States | 5451 | (200924) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Norwegian Cruise Line Holdings Ltd. | United States | 5695 | (141179) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shake Shack Inc., A | United States | 68 | (6529) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trip.Com Group Ltd., ADR | China | 629 | (33098) |
|  |  |  | (1523010) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Household Durables (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lennar Corp., A | United States | 2983 | (341136) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Household Products (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Spectrum Brands Holdings Inc. | United States | 229 | (17949) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Independent Power & Renewable Electricity Producers (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; RWE AG | Germany | 8844 | (568924) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Insurance (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Oscar Health Inc., A | United States | 3623 | (49418) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ping An Insurance Group Co. of China Ltd., H | China | 127600 | (1103822) |
|  |  |  | (1153240) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Interactive Media & Services (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Match Group Inc. | United States | 1277 | (40353) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ziff Davis Inc. | United States | 420 | (11374) |
|  |  |  | (51727) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **IT Services (0.4)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Akamai Technologies Inc. | United States | 2268 | (223149) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Shares** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Common Stocks (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **IT Services (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Applied Digital Corp. | United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42359 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1155130) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cloudflare Inc., A | United States | 507 | (87300) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Coreweave Inc., A | United States | 1521 | (121011) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Digitalocean Holdings Inc. | United States | 832 | (46642) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Snowflake Inc., A | United States | 2041 | (343725) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wix.com Ltd. | Israel | 938 | (66091) |
|  |  |  | (2043048) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Leisure Products (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Peloton Interactive Inc., A | United States | 3617 | (14540) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Life Sciences Tools & Services (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Inotiv Inc. | United States | 18533 | (5017) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tempus AI Inc., A | United States | 265 | (14111) |
|  |  |  | (19128) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Machinery (0.3)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The Greenbrier Cos. Inc. | United States | 5475 | (308899) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Illinois Tool Works Inc. | United States | 3004 | (873053) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; John Bean Technologies Corp. | United States | 1887 | (290598) |
|  |  |  | (1472550) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media (0.3)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Echostar Corp., A | United States | 11851 | (1369146) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sirius XM Holdings Inc. | United States | 778 | (17085) |
|  |  |  | (1386231) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Metals & Mining (0.4)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; B2gold Corp. | Canada | 61913 | (381384) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equinox Gold Corp. | Canada | 49555 | (929652) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fortuna Mining Corp. | Canada | 26519 | (362250) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Silvercorp Metals Inc. | China | 32093 | (447055) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Vizsla Silver Corp. | Canada | 17917 | (78476) |
|  |  |  | (2198817) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Multi-Utilities (0.7)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ameren Corp. | United States | 7541 | (854244) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CenterPoint Energy Inc. | United States | 17790 | (773865) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CMS Energy Corp. | United States | 29 | (2264) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; E.ON Se | Germany | 18712 | (435127) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NiSource Inc. | United States | 10148 | (480000) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Public Service Enterprise Group Inc. | United States | 8327 | (716705) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; WEC Energy Group Inc. | United States | 2959 | (346085) |
|  |  |  | (3608290) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kinder Morgan Inc. | United States | 25008 | (832016) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; World Kinect Corp. | United States | 2776 | (69261) |
|  |  |  | (901277) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Personal Care Products (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Herbalife Ltd. | United States | 3905 | (76226) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Oddity Tech Ltd. | Israel | 1308 | (15395) |
|  |  |  | (91621) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Pharmaceuticals (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ANI Pharmaceuticals Inc. | United States | 141 | (10420) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collegium Pharmaceutical Inc. | United States | 753 | (31378) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Shares** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Common Stocks (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Pharmaceuticals (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cormedix Inc. | United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10842 | $(77303) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pacira Biosciences Inc. | United States | 4021 | (88100) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Zoetis Inc., A | United States | 1245 | (163219) |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(370420) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Professional Services (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Parsons Corp. | United States | 1658 | (109428) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Planet Labs Pbc | United States | 15161 | (365987) |
|  |  |  | (475415) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Real Estate Management & Development (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Compass, Inc., A | United States | 12373 | (120637) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Opendoor Technologies Inc. | United States | 79971 | (433443) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Storagevault Canada Inc. | Canada | 4108 | (14907) |
|  |  |  | (568987) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Retail REITs (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kite Realty Group Trust | United States | 1115 | (29046) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Semiconductors & Semiconductor Equipment (0.8)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Camtek Ltd. | Israel | 1420 | (237694) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Canadian Solar Inc. | Canada | 3721 | (65899) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; COHU Inc. | United States | 9817 | (296473) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; First Solar Inc. | United States | 757 | (149280) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Impinj Inc. | United States | 1987 | (243726) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indie Semiconductor Inc., A | China | 67270 | (246208) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Microchip Technology Inc. | United States | 978 | (72998) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MKS Inc. | United States | 2411 | (589393) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ON Semiconductor Corp. | United States | 12791 | (850346) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Penguin Solutions Inc. | United States | 18967 | (394134) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Semtech Corp. | United States | 7750 | (699205) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SolarEdge Technologies Inc. | United States | 611 | (21629) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Synaptics Inc. | United States | 326 | (26556) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ultra Clean Holdings Inc. | United States | 120 | (7282) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Veeco Instruments Inc. | United States | 1575 | (48132) |
|  |  |  | (3948955) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software (2.8)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; A10 Networks Inc. | United States | 955 | (18393) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Alarm.Com Holdings Inc. | United States | 327 | (15647) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Aurora Innovation Inc., A | United States | 25628 | (119939) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bill Holdings Inc. | United States | 722 | (32136) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bitdeer Technologies Group | United States | 16290 | (125433) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Blackline Inc. | United States | 1597 | (56294) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Box Inc., A | United States | 1026 | (24162) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Check Point Software Technologies Ltd. | Israel | 293 | (44557) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cipher Digital Inc. | United States | 87311 | (1362052) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commvault Systems Inc. | United States | 40 | (3403) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Core Scientific Inc. | United States | 54719 | (928581) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Datadog Inc., A | United States | 27 | (3023) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dropbox Inc., A | United States | 8192 | (204718) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Guidewire Software Inc. | United States | 569 | (82687) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; InterDigital Inc. | United States | 10463 | (3835003) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Iren Ltd. | Australia | 88969 | (3643281) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Life360 Inc. | United States | 2333 | (122833) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nebius Group NV, A | Netherlands | 28691 | (2616332) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nutanix Inc., A | United States | 1245 | (47659) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Shares** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Common Stocks (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pagaya Technologies, Ltd. | United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15652 | $(175146) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palo Alto Networks Inc. | United States | 96 | (14296) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PAR Technology Corp. | United States | 449 | (7359) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Porch Group Inc. | United States | 115 | (944) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Progress Software Corp. | United States | 172 | (7203) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rubrik Inc., A | United States | 2610 | (135616) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Terawulf Inc. | United States | 61777 | (1002023) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unity Software Inc. | United States | 1029 | (18759) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Varonis Systems Inc., B | United States | 1753 | (40494) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Vertex Inc., A | United States | 642 | (9296) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Workiva Inc., A | United States | 962 | (59240) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Zscaler Inc. | United States | 12 | (1764) |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(14758273) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail (0.4)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Gamestop Corp., A | United States | 11244 | (270193) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The Realreal Inc. | United States | 22837 | (279982) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wayfair Inc., A | United States | 20493 | (1564231) |
|  |  |  | (2114406) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Technology Hardware, Storage & Peripherals (2.6)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ionq Inc. | United States | 1835 | (70409) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lenovo Group Ltd. | China | 197500 | (243779) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Quantum Computing Inc. | United States | 7156 | (60182) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Seagate Technology Holdings PLC | United States | 9955 | (4060047) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Super Micro Computer Inc. | United States | 8206 | (265793) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Digital Corp. | United States | 31863 | (8912081) |
|  |  |  | (13612291) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Trading Companies & Distributors (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Xometry Inc., A | United States | 7183 | (294611) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Water Utilities (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; American Water Works Co. Inc. | United States | 5200 | (707356) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks (Proceeds $79,446,963)** |  |  | (87438624) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Exchange Traded Funds (0.9)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Eldridge BBB-B CLO | United States | 27334 | (703030) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; iShares iBoxx High Yield Corporate Bond ETF | United States | 17844 | (1440368) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; iShares MSCI Brazil ETF | Brazil | 21808 | (844624) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Janus Henderson B-BBB CLO | United States | 17104 | (798928) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; State Street Industrial Select Sector SPDR ETF | United States | 5382 | (953367) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Exchange Traded Funds (Proceeds $4,503,083)** |  |  | (4740317) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Preferred Stocks (Proceeds $361,734) (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobiles (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Volkswagen AG, pfd., 2.08% | Germany | 3086 | (366928) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Principal<br>Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **U.S. Government and Agency Securities (3.3)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bond, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 2/15/36 | United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;433600 | $(439393) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 11/15/45 | United States | 240000 | (241631) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 8/15/55 | United States | 4212600 | (4290928) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 11/15/55 | United States | 1397400 | (1395326) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 3/31/27 | United States | 375000 | (376479) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 4/30/27 | United States | 490000 | (491464) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 6/30/27 | United States | 703000 | (705691) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 7/31/27 | United States | 709000 | (713168) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 8/31/27 | United States | 674000 | (675817) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/15/28 | United States | 65000 | (65190) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 12/15/28 | United States | 342800 | (343858) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 1/15/29 | United States | 111500 | (111853) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 2/15/29 | United States | 88300 | (88579) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 4/30/30 | United States | 979000 | (994144) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 6/30/30 | United States | 349000 | (354467) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/30/30 | United States | 290000 | (289887) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 12/31/30 | United States | 325000 | (326549) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 1/31/31 | United States | 179000 | (180846) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 12/31/32 | United States | 96000 | (96960) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 1/31/33 | United States | 204000 | (207538) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 8/15/35 | United States | 2191000 | (2245775) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/35 | United States | 2419200 | (2428272) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total U.S. Government and Agency Securities<br>(Proceeds $16,774,204)** |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(17063815) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Corporate Bonds and Notes (2.7)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Advertising (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Dotdash Meredith Inc., senior secured note, 144A, 7.625%, 6/15/32 | United States | 444000 | (411053) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Stagwell Global LLC, senior note, 144A, 5.625%, 8/15/29 | United States | 160000 | (147633) |
|  |  |  | (558686) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Airlines (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Vistajet Malta Finance PLC / Vista Management Holding Inc., senior note, 144A, 9.50%, 6/01/28 | Switzerland | 143000 | (147607) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Banks (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g,j</sup>Industrial & Commercial Bank of China Ltd., junior sub. note, Reg S, 3.2% to 9/24/26, FRN thereafter, Perpetual | China | 279000 | (277752) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Basic Materials (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Cleveland-Cliffs Inc., senior note, 144A, 7.375%, 5/01/33 | United States | 105000 | (107842) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Chemicals (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Celanese US Holdings LLC, senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 4/15/30 | United States | 449000 | (460384) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.375%, 2/15/34 | United States | 572000 | (588002) |
|  |  |  | (1048386) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Commercial Services & Supplies (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Ion Platform Finance US Inc., senior secured note, 144A, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.50%, 5/30/29 | United States | 103000 | (96858) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.875%, 9/30/32 | United States | 44000 | (35335) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Vt Topco Inc., senior secured note, 144A, 8.50%, 8/15/30 | United States | 202000 | (200844) |
|  |  |  | (333037) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Principal<br>Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Corporate Bonds and Notes (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Communications Equipment (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Equipmentshare.Com Inc., secured note, 144A, 8.00%, 3/15/33 | United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;192000 | $(204189) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Financial Services (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Assured Guaranty US Holdings Inc., senior bond, 3.15%, 6/15/31 | United States | 92000 | (86766) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Goeasy Ltd., senior note, 144A, 6.875%, 2/15/31 | Canada | 204000 | (176104) |
|  |  |  | (262870) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Financial Services (0.5)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Blue Owl Technology Finance Corp., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 3/15/28 | United States | 168000 | (167419) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 4/04/29 | United States | 847000 | (843956) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Encore Capital Group Inc., senior secured note, 144A, 8.50%, 5/15/30 | United States | 205000 | (219426) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Jefferson Capital Holdings LLC, senior note, 144A, 8.25%, 5/15/30 | United States | 194000 | (203402) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>LBM Acquisition LLC, senior note, 144A, 6.25%, 1/15/29 | United States | 701000 | (535159) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>PRA Group Inc., senior note, 144A, 8.875%, 1/31/30 | United States | 243000 | (247556) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>RFNA LP, senior note, 144A, 7.875%, 2/15/30 | United States | 195000 | (194283) |
|  |  |  | (2411201) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Food & Beverages (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Albertsons Cos. Inc. / Safeway Inc. / New Albertsons LP / Albertsons LLC, senior note, 144A, 5.75%, 3/31/34 | United States | 714000 | (711342) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Industrial Conglomerates (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3M Co., senior bond, 2.25%, 9/19/26 | United States | 220000 | (218086) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Icahn Enterprises LP / Icahn Enterprises Finance Corp., senior secured note, 9.00%, 6/15/30 | United States | 735000 | (699748) |
|  |  |  | (917834) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Insurance (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g,s</sup>Meiji Yasuda Life Insurance Co., sub. bond, 144A, FRN, 6.10%, (US 5 Year CMT T-Note + 2.91%), 6/11/55 | Japan | 276000 | (286070) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g,s</sup>Nippon Life Insurance Co., sub. bond, 144A, FRN, 6.50%, (US 5 Year CMT T-Note + 3.19%), 4/30/55 | Japan | 412000 | (443307) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>SBL Holdings Inc., 144A, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 7.20%, 10/30/34 | United States | 23000 | (21075) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 5.90%, 9/26/28 | United States | 23000 | (22340) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g,s</sup>Sumitomo Life Insurance Co., sub. bond, 144A, FRN, 5.875%, (US 5 Year CMT T-Note + 2.65%), 9/10/55 | Japan | 258000 | (261750) |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1034542) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Internet (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Meta Platforms Inc., senior bond, 5.625%, 11/15/55 | United States | 711000 | (696494) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **IT Services (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Booz Allen Hamilton Inc., senior note, 144A, 4.00%, 7/01/29 | United States | 488000 | (478360) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Univision Communications Inc., senior secured note, 144A, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 5/01/29 | United States | 534000 | (507003) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.375%, 6/30/30 | United States | 431000 | (431364) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.375%, 8/01/32 | United States | 48000 | (50832) |
|  |  |  | (989199) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels (0.3)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Helmerich & Payne Inc., senior note, 4.85%, 12/01/29 | United States | 342000 | (348845) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Nabors Industries Inc., senior note, 144A, 8.875%, 8/15/31 | United States | 451000 | (467473) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Principal<br>Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Corporate Bonds and Notes (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Saturn Oil & Gas Inc., senior secured note, 144A, 9.625%, 6/15/29 | Canada | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;525000 | $(540164) |
|  |  |  | (1356482) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Pharmaceuticals (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Organon & Co. / Organon Foreign Debt Co.-Issuer BV, senior secured note, 144A, 4.125%, 4/30/28 | United States | 93000 | (91352) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Retail REITs (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kilroy Realty LP, senior bond, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 2/15/30 | United States | 84000 | (78303) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 10/15/35 | United States | 45000 | (44380) |
|  |  |  | (122683) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Semiconductors (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NVIDIA Corp., senior bond, 3.50%, 4/01/50 | United States | 190000 | (145134) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Concentrix Corp., |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 6.60%, 8/02/28 | United States | 173000 | (174554) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 6.50%, 3/01/29 | United States | 144000 | (142367) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 6.85%, 8/02/33 | United States | 189000 | (181837) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Oracle Corp., senior bond, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.55%, 2/04/46 | United States | 210000 | (204747) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.70%, 2/04/56 | United States | 252000 | (244534) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Pagaya US Holdings Co. LLC, senior note, 144A, 8.875%, 8/01/30 | United States | 220000 | (159606) |
|  |  |  | (1107645) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Advance Auto Parts Inc., senior note, 144A, 7.375%, 8/01/33 | United States | 168000 | (172284) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Victra Holdings LLC / Victra Finance Corp., senior secured note, 144A, 8.75%, 9/15/29 | United States | 988000 | (1039093) |
|  |  |  | (1211377) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Corporate Bonds and Notes (Proceeds $14,322,323)** |  |  | **(14214014)** |
| &nbsp;&nbsp;&nbsp;&nbsp; **<sup>m</sup>Senior Floating Rate Interests (1.4)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobile Components (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>First Brands Group LLC, First Lien Term Loan, 10.786%,<br>(3-Month SOFR + 5.00%), 3/30/27 | United States | 726035 | (2755) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Building Products (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cornerstone Building Brands, Inc., Term Loan B, 7.01%,<br>(1-Month SOFR + 3.25%), 4/12/28 | United States | 86210 | (63765) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Gulfside Supply, Initial Term Loan, 7.002%, (SOFR + 3.00%), 6/17/31 | United States | 400555 | (371265) |
|  |  |  | (435030) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Commercial Services & Supplies (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; VT Topco Inc., Second Amendment Term Loan (First Lien), 6.873%,<br>(SOFR + 3.00%), 8/09/30 | United States | 527273 | (498107) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DTI Holdings Inc., 2025 Refinancing Term Loan, 7.673%,<br>(SOFR + 4.00%), 4/26/29 | United States | 744899 | (644688) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Principal<br>Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; **<sup>m</sup>Senior Floating Rate Interests (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>Liberty Communications of Puerto Rico LLC, Term Loan B,<br>7.664%, (SOFR + 3.75%), 10/16/28 | United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;163623 | $(113864) |
|  |  |  | (758552) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Entertainment (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Stubhub, Term Loan B, 8.423%, (SOFR + 4.75%), 3/15/30 | United States | 1004956 | (975224) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Financial Services (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Amwins Group, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Initial Term Loan, 6.423%, (1-Month SOFR + 2.75%), 2/15/29 | United States | 92317 | (90162) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2026 Refinancing Term Loan, 5.673%, (1-Month SOFR + 2.00%), 1/30/32 | United States | 46158 | (45754) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Baldwin INS Group Holdings, Refinancing Term B-2 Loan, 6.16%, (1-Month SOFR + 2.50%), 5/27/31 | United States | 27695 | (27222) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Broadstreet Partner, 2025 Tranche B, 6.173%, (1-Month SOFR + 2.50%), 6/13/31 | United States | 110780 | (106372) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hub International, 2025 Incremental Term Loan, 5.92%, (1-Month SOFR + 2.25%), 6/20/30 | United States | 92317 | (91455) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nexus, Initial Term Loan, 7.173%, (1-Month SOFR + 3.50%), 7/31/31 | United States | 92317 | (87038) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OneDigital Borrowers, 2025 Refinancing Term Loan, 6.673%, (1-Month SOFR + 3.00%), 7/02/31 | United States | 27695 | (26769) |
|  |  |  | (474772) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Petco Health & Wellness Co. Inc., First Lien Term Loan, 7.184%, (3-Month SOFR + 3.51%), 3/03/28 | United States | 372047 | (371955) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Technology (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Project Ruby Ultimate Parent, Incremental Term B-5 Loan, 6.537%, (1-Month SOFR + 2.75%), 3/10/28 | United States | 138475 | (136138) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Raven Acquisition Holdings, 2024 Delayed Draw Term Loan, 3.00%, (1-Month SOFR + 3.00%), 11/19/31 | United States | 7437 | (7103) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Raven Acquisition Holdings, Initial Term Loan, 6.673%, (1-Month SOFR + 3.00%), 11/19/31 | United States | 103342 | (98692) |
|  |  |  | (241933) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **IT Services (0.4)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ConnectWise, Initial Term Loan, 7.434%, (1-Month SOFR + 3.50%), 9/29/28 | United States | 27695 | (25050) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; First Advantage Holdings, Term B-3 Loan, 6.423%, (1-Month SOFR + 2.75%), 10/31/31 | United States | 288215 | (276831) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Idera, Inc., Bank Debt Term Loan, 7.16%, (SOFR + 3.50%), 3/02/28 | United States | 29225 | (23527) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ION Platform Finance, Initial Dollar Term Loan, 7.422%, (1-Month SOFR + 3.75%), 10/07/32 | United States | 138475 | (114501) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nord SE, Initial Term Loan, 7.937%, (SOFR + 4.00%), 10/08/32 | United States | 507426 | (500662) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>Proofpoint, 2025-B Incremental Term Loan, 6.672%, (1-Month SOFR + 3.00%), 8/31/28 | United States | 92317 | (88638) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>SonicWall, Bank Debt Term Loan, 8.672%, (SOFR + 5.00%), 5/18/28 | United States | 380816 | (124582) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Starlight Parent LLC, Initial Term Loan (First Lien), 7.701%, (SOFR + 4.00%), 4/16/32 | United States | 924236 | (798887) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UK, 2024 Refinancing Term Loan, 6.167%, (1-Month SOFR + 2.50%), 2/10/31 | United States | 27695 | (26290) |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1978968) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Principal<br>Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; **<sup>m</sup>Senior Floating Rate Interests (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dotdash Meredith Inc., Term B-2 Loan, 7.373%, (SOFR + 3.50%), 6/17/32 | United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;67925 | $(62968) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MH Sub I LLC, Bank Debt Term Loan, 7.923%, (1- Month SOFR + 4.25%), 12/31/31 | United States | 130686 | (89847) |
|  |  |  | (152815) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Professional Services (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>Sedgwick Claims, 2024 Term Loan, 6.173%, (1-Month SOFR + 2.50%), 7/31/31 | United States | 138475 | (134528) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Real Estate Management & Development (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Oceankey US II, Initial Term Loan (First Lien), 7.516%, (SOFR + 3.60%), 12/15/28 | United States | 492268 | (440334) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Avalara, First Amendment Term Loan, 6.422%, (1-Month SOFR + 2.75%), 3/26/32 | United States | 46158 | (43043) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cloud Software Group, Tenth Amendment Tranche B-2, 6.922%, (1-Month SOFR + 3.25%), 3/21/31 | United States | 46158 | (43020) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ellucian Holdings, Initial Term Loan, 6.173%, (1-Month SOFR + 2.50%), 10/08/29 | United States | 92317 | (89580) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Epicor Software, Term F Loan, 6.173%, (1-Month SOFR + 2.50%), 5/30/31 | United States | 41542 | (40400) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Javelin, First Amendment Term Loan, 6.417%, (1-Month SOFR + 2.75%), 12/05/31 | United States | 46158 | (43216) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>Perforce, Term Loan B, 8.423%, (SOFR + 4.75%), 7/02/29 | United States | 259000 | (199431) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>Project Boost, 2025-2 Refinancing Term Loan, 6.422%, (1-Month SOFR + 2.75%), 7/16/31 | United States | 64459 | (61609) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; RealPage, Initial Term Loan, 6.934%, (1-Month SOFR + 3.00%), 4/24/28 | United States | 92317 | (85605) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Skopima Consilio Parent LLC, Amendment No. 5 Term Loan, 7.423%, (SOFR + 3.75%), 5/12/28 | United States | 29319 | (23429) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>Zodiac Purchaser LLC, Term Loan, 7.416%, (SOFR + 3.50%), 2/14/32 | United States | 29674 | (26892) |
|  |  |  | (656225) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Harbor Freight Tools, Term Loan B, 5.923%, (SOFR + 2.50%), 6/11/31 | United States | 21595 | (21305) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Senior Floating Rate Interests (Proceeds $8,466,703)** |  |  | (7142503) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Securities Sold Short (Proceeds $123,875,010)** |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(130966201) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

---

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

---

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

---

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

---

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

<sup>b</sup> A portion or all of the security is on loan at February 28, 2026.

<sup>c</sup> A portion or all of the security has been segregated as collateral for securities sold short, open swap contracts, open forward exchange contracts, open futures contracts and/or open written option contracts. At February 28, 2026, the aggregate value of these securities and/or cash pledged amounted to $175,167,029, representing 33.4% of net assets. 

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

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

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

<sup>g</sup> Security was purchased pursuant to Rule 144A or Regulation S under the Securities Act of 1933. 144A securities may be sold in transactions exempt from registration only to qualified institutional buyers or in public offering registered under the Securities Act of 1933. Regulation S securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. At February 28, 2026, the net value of these securities was $50,626,708, representing 9.7% of net assets. 

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

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

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

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

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

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

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

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

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

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

<sup>r</sup> Rate shown represents yield-to-maturity.

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

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

At February 28, 2026, the Fund had the following futures contracts outstanding.

**Futures Contracts** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Type** | **Number of<br>Contracts** | **Notional<br>Amount<sup>\*</sup>** | **Expiration<br>Date** | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **Commodity Contracts<sup>a</sup>** |  |  |  |  |  |
|  Aluminum | Long | 9 | $706354 | 3/16/26 | $54658 |
|  Aluminum | Short | 9 | 706354 | 3/16/26 | (8865) |
|  Aluminum | Long | 9 | 707600 | 6/15/26 | 8010 |
|  Brent Crude Oil | Long | 46 | 3352020 | 3/31/26 | 174807 |
|  Brent Crude Oil | Long | 15 | 1084350 | 4/30/26 | 25734 |
|  Brent Crude Oil | Long | 3 | 214830 | 5/29/26 | 9787 |
|  Canola | Short | 7 | 70582 | 5/14/26 | (1387) |
|  Canola | Short | 3 | 30725 | 7/14/26 | (541) |
|  Canola | Short | 2 | 20290 | 11/13/26 | (417) |
|  Cattle Feeder | Long | 2 | 355425 | 3/26/26 | (11054) |
|  Cattle Feeder | Long | 3 | 526800 | 4/30/26 | (20094) |
|  Cattle Feeder | Long | 1 | 173600 | 5/21/26 | (6702) |
|  Cattle Feeder | Long | 1 | 173663 | 8/27/26 | (6677) |
|  Cocoa | Short | 4 | 113202 | 5/13/26 | 52388 |
|  Cocoa | Short | 1 | 29420 | 7/16/26 | 32968 |
|  Coffee | Long | 3 | 315844 | 5/18/26 | (19902) |
|  Copper | Long | 10 | 3325215 | 3/16/26 | 480468 |
|  Copper | Short | 10 | 3325215 | 3/16/26 | (26369) |
|  Copper | Long | 11 | 1666363 | 5/27/26 | 31694 |
|  Copper | Long | 4 | 1336916 | 6/15/26 | 22469 |
|  Copper | Short | 1 | 334229 | 6/15/26 | (7564) |
|  Corn | Short | 68 | 1524900 | 5/14/26 | (26477) |
|  Corn | Short | 14 | 319200 | 7/14/26 | (918) |
|  Corn | Short | 3 | 68362 | 9/14/26 | (1132) |
|  Corn | Short | 19 | 446025 | 12/14/26 | (7254) |
|  Corn | Short | 1 | 24037 | 3/12/27 | (215) |
|  Cotton | Long | 13 | 426465 | 5/06/26 | 9776 |
|  Cotton | Long | 1 | 33660 | 7/09/26 | 308 |
|  Cotton | Long | 1 | 34850 | 12/08/26 | 303 |
|  ECX Emission | Short | 1 | 83055 | 12/14/26 | 16607 |
|  Frozen Orange Juice | Long | 1 | 27225 | 5/08/26 | 320 |
|  Gasoline | Long | 13 | 1247883 | 3/31/26 | 62658 |
|  Gasoline | Long | 3 | 288918 | 4/30/26 | 8345 |
|  Gasoline | Long | 3 | 287582 | 5/29/26 | 12969 |
|  Gasoline | Long | 2 | 189890 | 6/30/26 | 10199 |
|  Gold 100 Oz | Long | 14 | 7347060 | 4/28/26 | 15175 |
|  Gold 100 Oz | Long | 1 | 528760 | 6/26/26 | 25948 |
|  Hard Red Winter Wheat | Short | 37 | 1073925 | 5/14/26 | (48132) |
|  Hard Red Winter Wheat | Short | 25 | 741875 | 7/14/26 | (36424) |
|  Hard Red Winter Wheat | Short | 2 | 60800 | 9/14/26 | (279) |
|  Hard Red Winter Wheat | Short | 1 | 31450 | 12/14/26 | (302) |
|  Lean Hogs | Short | 4 | 153160 | 4/15/26 | (7209) |
|  Lean Hogs | Short | 1 | 43820 | 6/12/26 | (1692) |
|  Lean Hogs | Short | 1 | 44670 | 7/15/26 | (2782) |
|  Live Cattle | Long | 13 | 1207570 | 4/30/26 | 4102 |
|  Live Cattle | Long | 5 | 458300 | 6/30/26 | (4871) |
|  Live Cattle | Long | 3 | 273360 | 8/31/26 | (2017) |
|  Live Cattle | Long | 1 | 90890 | 10/30/26 | (2262) |
|  Low Sulphur Gas Oil | Long | 4 | 301100 | 3/12/26 | 30521 |
|  Low Sulphur Gas Oil | Long | 22 | 1634600 | 4/10/26 | 151819 |
|  Low Sulphur Gas Oil | Long | 4 | 291000 | 5/12/26 | 16846 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Futures Contracts (continued)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Type** | **Number of<br>Contracts** | **Notional<br>Amount<sup>\*</sup>** | **Expiration<br>Date** | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **Commodity Contracts<sup>a</sup> (continued)** |  |  |  |  |  |
|  Low Sulphur Gas Oil | Long | 1 | $71400 | 6/11/26 | $1974 |
|  Milling Wheat | Short | 60 | 714278 | 5/11/26 | (28604) |
|  Milling Wheat | Short | 15 | 182557 | 9/10/26 | (8446) |
|  Milling Wheat | Short | 11 | 137612 | 12/10/26 | (4330) |
|  Natural Gas | Short | 24 | 686160 | 3/27/26 | 49699 |
|  Natural Gas | Short | 5 | 144050 | 4/28/26 | 10602 |
|  Natural Gas | Short | 1 | 30630 | 5/27/26 | 5888 |
|  NY Harbor Ultra Low Sulfur Diesel | Long | 12 | 1308384 | 3/31/26 | 144673 |
|  NY Harbor Ultra Low Sulfur Diesel | Long | 1 | 106319 | 4/30/26 | 11326 |
|  NY Harbor Ultra Low Sulfur Diesel | Long | 2 | 208866 | 5/29/26 | 20123 |
|  Palladium | Short | 4 | 731400 | 6/26/26 | (4657) |
|  Platinum | Short | 6 | 712050 | 4/28/26 | (31355) |
|  Rapeseed | Short | 8 | 230176 | 4/30/26 | (3925) |
|  Rapeseed | Short | 2 | 55683 | 7/31/26 | (1075) |
|  Rapeseed | Short | 1 | 27989 | 10/30/26 | (810) |
|  Robusta Coffee | Long | 5 | 181200 | 5/22/26 | (6456) |
|  Robusta Coffee | Long | 3 | 106560 | 7/27/26 | (4274) |
|  Silver | Long | 1 | 466455 | 5/27/26 | 31178 |
|  Silver | Short | 2 | 932910 | 5/27/26 | (37713) |
|  Soybean Meal | Short | 23 | 737150 | 5/14/26 | (28049) |
|  Soybean Meal | Short | 3 | 96840 | 7/14/26 | 1883 |
|  Soybean Meal | Short | 1 | 32180 | 8/14/26 | (662) |
|  Soybean Meal | Short | 1 | 31950 | 9/14/26 | (1052) |
|  Soybean Oil | Long | 12 | 445320 | 5/14/26 | 32792 |
|  Soybean Oil | Short | 13 | 482430 | 5/14/26 | (44567) |
|  Soybean Oil | Short | 5 | 185670 | 7/14/26 | (11189) |
|  Soybean Oil | Short | 1 | 36822 | 8/14/26 | (746) |
|  Soybean Oil | Short | 1 | 36450 | 9/14/26 | (4682) |
|  Soybeans | Long | 15 | 878062 | 5/14/26 | 11756 |
|  Soybeans | Short | 18 | 1053675 | 5/14/26 | (41540) |
|  Soybeans | Short | 8 | 473100 | 7/14/26 | (21643) |
|  Soybeans | Short | 6 | 339675 | 9/14/26 | (2851) |
|  Sugar | Short | 50 | 777840 | 4/30/26 | 5835 |
|  Sugar | Short | 5 | 77672 | 6/30/26 | 2072 |
|  UK Natural Gas | Long | 15 | 476482 | 3/30/26 | 19505 |
|  Wheat | Short | 25 | 739375 | 5/14/26 | (50663) |
|  Wheat | Short | 6 | 179625 | 7/14/26 | (10426) |
|  Wheat | Short | 1 | 30488 | 9/14/26 | (2377) |
|  Wheat | Short | 1 | 31338 | 12/14/26 | (2440) |
|  White Sugar | Short | 6 | 122310 | 4/15/26 | 1843 |
|  White Sugar | Short | 1 | 20285 | 7/16/26 | 119 |
|  WTI Crude Oil | Long | 2 | 134040 | 3/19/26 | 14908 |
|  WTI Crude Oil | Long | 21 | 1407420 | 3/20/26 | 88046 |
|  WTI Crude Oil | Long | 2 | 133780 | 4/20/26 | 11988 |
|  WTI Crude Oil | Long | 6 | 401340 | 4/21/26 | 25961 |
|  WTI Crude Oil | Long | 2 | 133120 | 5/18/26 | 6158 |
|  WTI Crude Oil | Long | 4 | 266240 | 5/19/26 | 28994 |
|  WTI Crude Oil | Long | 1 | 66180 | 6/22/26 | 918 |
|  Zinc | Long | 6 | 496449 | 3/16/26 | 37514 |
|  Zinc | Short | 6 | 496449 | 3/16/26 | 3780 |
|  Zinc | Long | 5 | 415219 | 6/15/26 | (5858) |
|  |  |  |  |  | 1216486 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Futures Contracts (continued)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Type** | **Number of<br>Contracts** | **Notional<br>Amount<sup>\*</sup>** | **Expiration<br>Date** | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **Currency Contracts<sup>a</sup>** |  |  |  |  |  |
|  Australian Dollar Index | Short | 174 | $12378360 | 3/16/26 | $(745279) |
|  British Pound Index | Long | 209 | 17608250 | 3/16/26 | 159093 |
|  Canadian Dollar Index | Short | 90 | 6606450 | 3/17/26 | (41132) |
|  EUR/CZK | Long | 4 | 779705 | 3/16/26 | 1654 |
|  EUR/HUF | Long | 13 | 1220355 | 3/16/26 | 25742 |
|  EUR/NOK | Short | 1 | 147799 | 3/16/26 | 3297 |
|  EUR/PLN | Long | 9 | 1258263 | 3/16/26 | 8530 |
|  EUR/SEK | Short | 1 | 147672 | 3/16/26 | 3829 |
|  Euro Index | Long | 125 | 18481250 | 3/16/26 | 27209 |
|  Japanese Yen Index | Long | 328 | 26311750 | 3/16/26 | (201796) |
|  Mexican Peso Index | Long | 141 | 4086180 | 3/16/26 | 210084 |
|  New Israeli Shekel Index | Short | 8 | 2547440 | 3/16/26 | (39350) |
|  New Zealand Dollar Index | Short | 49 | 2939755 | 3/16/26 | (77373) |
|  South African Rand Index | Long | 41 | 1287400 | 3/16/26 | 65837 |
|  Swiss Fran Index | Short | 57 | 9289931 | 3/16/26 | (276824) |
|  U.S. Dollar Index | Short | 262 | 2617815 | 3/16/26 | 21213 |
|  |  |  |  |  | (855266) |
|  **Equity Contracts** |  |  |  |  |  |
|  CAC 40 10 Euro Indexa | Long | 12 | 1218490 | 3/20/26 | 13389 |
|  CAC 40 10 Euro Indexa | Short | 25 | 2538521 | 3/20/26 | (55371) |
|  CBOE Volatility Indexa | Long | 55 | 1134985 | 3/18/26 | 53140 |
|  CBOE Volatility Indexa | Long | 27 | 571080 | 4/15/26 | 16283 |
|  CBOE Volatility Indexa | Long | 7 | 149775 | 5/19/26 | 3163 |
|  DAX Indexa | Long | 9 | 6738758 | 3/20/26 | 258640 |
|  DJ EURO STOXX 50 Indexa | Long | 16 | 1163262 | 3/20/26 | 23569 |
|  DJ EURO STOXX 50 Indexa | Short | 70 | 5089273 | 3/20/26 | (84615) |
|  DJIA Mini E-CBOT Indexa | Long | 14 | 3430000 | 3/20/26 | (14491) |
|  E-Mini Russell 2000a | Long | 7 | 922145 | 3/20/26 | (11020) |
|  E-Mini Russell 2000a | Short | 38 | 5005930 | 3/20/26 | (104284) |
|  E-Mini S&P MidCap 400 Indexa | Short | 3 | 1073370 | 3/20/26 | (55774) |
|  FTSE 100 Indexa | Long | 17 | 2498571 | 3/20/26 | 151153 |
|  FTSE 100 Indexa | Short | 18 | 2645546 | 3/20/26 | (244782) |
|  FTSE China A50 Indexa | Long | 429 | 6281418 | 3/30/26 | (62944) |
|  FTSE Taiwan Indexa | Short | 12 | 1360920 | 3/30/26 | (36591) |
|  FTSE/JSE Top 40 Indexa | Short | 17 | 1282365 | 3/19/26 | (130591) |
|  FTSE/MIB Indexa | Long | 10 | 2792773 | 3/20/26 | 162057 |
|  Hang Seng China Enterprises Indexa | Short | 2 | 113493 | 3/30/26 | 2536 |
|  Hang Seng Indexa | Long | 7 | 1190378 | 3/30/26 | 4146 |
|  Hang Seng Indexa | Short | 12 | 2040647 | 3/30/26 | 1384 |
|  IBEX 35 Indexa | Short | 4 | 870187 | 3/20/26 | (13900) |
|  KOSPI 200 Indexa | Long | 32 | 5215433 | 3/12/26 | 1918137 |
|  Mini TOPIX Index | Short | 35 | 886290 | 3/12/26 | (126106) |
|  MSCI Emerging Markets Indexa | Short | 9 | 721665 | 3/20/26 | (16168) |
|  MSCI Singapore Indexa | Long | 33 | 1204139 | 3/30/26 | (4619) |
|  NASDAQ 100 E-Mini Indexa | Long | 59 | 29505605 | 3/20/26 | (457835) |
|  NIKKEI 225 Indexa | Long | 6 | 2270675 | 3/12/26 | 187668 |
|  NIKKEI 225 Indexa | Short | 64 | 5070919 | 3/12/26 | (622241) |
|  NSE IFSC Nifty 50 Indexa | Long | 11 | 556270 | 3/30/26 | (12283) |
|  S&P 500 E-Mini Indexa | Long | 110 | 37889500 | 3/20/26 | (33974) |
|  S&P 500 E-Mini Index | Short | 3 | 1033350 | 3/20/26 | (6065) |
|  S&P/TSX 60 Indexa | Long | 19 | 5492248 | 3/19/26 | 303116 |
|  SPI 200 Indexa | Short | 1 | 163146 | 3/19/26 | (9058) |
|  Swedish Indexa | Long | 9 | 321639 | 3/20/26 | 5608 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Futures Contracts (continued)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Type** | **Number of<br>Contracts** | **Notional<br>Amount<sup>\*</sup>** | **Expiration<br>Date** | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **Equity Contracts (continued)** |  |  |  |  |  |
|  TOPIX Indexa | Long | 20 | $5064515 | 3/12/26 | $617176 |
|  |  |  |  |  | 1618453 |
|  **Interest Rate Contracts** |  |  |  |  |  |
|  3 Month CORRAa | Short | 2 | 358491 | 9/15/26 | (149) |
|  3 Month CORRAa | Short | 17 | 3047643 | 12/15/26 | (955) |
|  3 Month CORRAa | Short | 3 | 537654 | 3/16/27 | (1123) |
|  3 Month CORRAa | Short | 2 | 358253 | 6/15/27 | (1022) |
|  3 Month CORRAa | Short | 2 | 358051 | 9/14/27 | (1103) |
|  3 Month EURIBORa | Short | 38 | 10997336 | 6/15/26 | 1653 |
|  3 Month EURIBORa | Short | 36 | 10422251 | 9/14/26 | (1513) |
|  3 Month EURIBORa | Short | 39 | 11293076 | 12/14/26 | (9511) |
|  3 Month EURIBORa | Short | 24 | 6948522 | 3/15/27 | (13195) |
|  3 Month EURIBORa | Long | 105 | 30390478 | 6/14/27 | 25039 |
|  3 Month EURIBORa | Short | 25 | 7235828 | 6/14/27 | (12534) |
|  3 Month EURIBORa | Short | 20 | 5786595 | 9/13/27 | (12695) |
|  3 Month EURIBORa | Short | 19 | 5495020 | 12/13/27 | (13809) |
|  3 Month EURIBORa | Short | 8 | 2312629 | 3/13/28 | (7534) |
|  3 Month SOFRa | Short | 76 | 18341650 | 9/15/26 | 18386 |
|  3 Month SOFRa | Short | 84 | 20322750 | 12/15/26 | (549) |
|  3 Month SOFRa | Short | 129 | 31264763 | 3/16/27 | (23834) |
|  3 Month SOFRa | Short | 102 | 24741375 | 6/15/27 | (42111) |
|  3 Month SOFRa | Long | 20 | 4853000 | 9/14/27 | 5985 |
|  3 Month SOFRa | Short | 100 | 24265000 | 9/14/27 | (56071) |
|  3 Month SOFRa | Short | 79 | 19169350 | 12/14/27 | (41055) |
|  3 Month SOFRa | Short | 87 | 21106200 | 3/14/28 | (30953) |
|  3 Month SOFRa | Short | 49 | 11882500 | 6/20/28 | (40865) |
|  3 Month SONIAa | Short | 18 | 5861270 | 9/15/26 | (10344) |
|  3 Month SONIAa | Short | 12 | 3911961 | 12/15/26 | (10369) |
|  3 Month SONIAa | Short | 18 | 5870367 | 3/16/27 | (17733) |
|  3 Month SONIAa | Short | 13 | 4239271 | 6/15/27 | (9700) |
|  3 Month SONIAa | Long | 9 | 2933970 | 9/14/27 | 5815 |
|  ASX 90 Day Bank Accepted Billa | Long | 14 | 9860738 | 6/11/26 | (13295) |
|  ASX 90 Day Bank Accepted Billa | Long | 23 | 16195832 | 9/10/26 | (9498) |
|  ASX 90 Day Bank Accepted Billa | Long | 9 | 6337345 | 12/10/26 | (8263) |
|  ASX 90 Day Bank Accepted Billa | Long | 6 | 4225206 | 3/11/27 | (3540) |
|  ASX 90 Day Bank Accepted Billa | Long | 4 | 2817079 | 6/10/27 | 88 |
|  Australian 3 Yr. Bonda | Long | 28 | 2091590 | 3/16/26 | 897 |
|  Australian 10 Yr. Bonda | Short | 70 | 5508216 | 3/16/26 | (56713) |
|  Canadian 2 Yr. Bonda | Short | 4 | 310766 | 6/19/26 | (224) |
|  Canadian 10 Yr. Bonda | Long | 46 | 4142546 | 6/19/26 | 18817 |
|  Euro-BOBLa | Long | 169 | 23455650 | 3/06/26 | 147727 |
|  Euro-BOBLa | Short | 113 | 15683364 | 3/06/26 | (143213) |
|  Euro-Bunda | Long | 15 | 2308198 | 3/06/26 | 11086 |
|  Euro-Bunda | Short | 59 | 9078913 | 3/06/26 | (125958) |
|  Euro-Buxla | Short | 43 | 5785094 | 3/06/26 | (112736) |
|  Euro-OATa | Short | 27 | 3953447 | 3/06/26 | (55257) |
|  Euro-SCHATZa | Long | 50 | 6323337 | 3/06/26 | 5303 |
|  Euro-SCHATZa | Short | 86 | 10876139 | 3/06/26 | (26050) |
|  Euro-SCHATZa | Short | 85 | 10745655 | 6/08/26 | (6883) |
|  Japanese 10 Yr. Bonda | Short | 15 | 1275766 | 3/12/26 | (9595) |
|  Japanese 10 Yr. Bonda | Short | 4 | 3401530 | 3/13/26 | (10082) |
|  Korean 3 Yr. Bonda | Short | 38 | 2787987 | 3/17/26 | (7620) |
|  Korean 10 Yr. Bonda | Short | 32 | 2510393 | 3/17/26 | (6900) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Futures Contracts (continued)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Type** | **Number of<br>Contracts** | **Notional<br>Amount<sup>\*</sup>** | **Expiration<br>Date** | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **Interest Rate Contracts (continued)** |  |  |  |  |  |
|  Long Gilta | Long | 37 | $4671173 | 6/26/26 | $50190 |
|  U.S. Treasury 2 Yr. Note | Long | 64 | 13393500 | 6/30/26 | 23396 |
|  U.S. Treasury 2 Yr. Notea | Short | 248 | 51899813 | 6/30/26 | (82141) |
|  U.S. Treasury 5 Yr. Notea | Long | 34 | 3744781 | 6/30/26 | 12393 |
|  U.S. Treasury 5 Yr. Notea | Short | 91 | 10022797 | 6/30/26 | (44840) |
|  U.S. Treasury 10 Yr. Notea | Long | 55 | 6259688 | 6/18/26 | 28734 |
|  U.S. Treasury 10 Yr. Notea | Short | 70 | 7990250 | 6/18/26 | (26857) |
|  U.S. Treasury Long Bonda | Long | 30 | 3554063 | 6/18/26 | 25839 |
|  U.S. Treasury Ultra Bonda | Long | 28 | 3404625 | 6/18/26 | 35229 |
|  |  |  |  |  | (691815) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Futures Contracts | $1287858 |

---

<sup>\*</sup> As of period end.

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

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

At February 28, 2026, the Fund had the following forward exchange contracts outstanding.

**Forward Exchange Contracts** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Counterparty<sup>a</sup>** | **Type** | **Quantity** | **Contract<br>Amount<sup>\*</sup>** | **Settlement<br>Date** | **Unrealized<br>Appreciation** | **Unrealized<br>Depreciation** |
|  **OTC Forward Exchange Contracts** | **OTC Forward Exchange Contracts** |  |  |  |  |  |  |
|  Brazilian Realb | MSCO | Buy | 1488000 | 283649 | 3/03/26 | $6369 | $– |
|  Brazilian Realb | MSCO | Sell | 1488000 | 285754 | 3/03/26 |  | (4262) |
|  Indonesian Rupiahb | MSCO | Buy | 1839360000 | 109309 | 3/17/26 | 364 | (12) |
|  Indonesian Rupiahb | MSCO | Sell | 7585700000 | 450128 | 3/17/26 |  | (2122) |
|  Australian Dollarb | MSCO | Buy | 10384000 | 7104779 | 3/18/26 | 284515 | (80) |
|  Australian Dollarb | MSCO | Sell | 4279000 | 2909896 | 3/18/26 | 321 | (135351) |
|  British Pound | GSCO | Buy | 450000 | 609413 | 3/18/26 | 2166 | (5102) |
|  British Pound | GSCO | Sell | 42000 | 56138 | 3/18/26 |  | (467) |
|  British Pound | JPHQ | Buy | 90000 | 120083 | 3/18/26 | 1212 |  |
|  British Pound | JPHQ | Sell | 2346000 | 3134093 | 3/18/26 |  | (27675) |
|  British Poundb | MSCO | Buy | 7819000 | 10514208 | 3/18/26 | 52275 | (28618) |
|  British Poundb | MSCO | Sell | 6603000 | 8925444 | 3/18/26 | 35888 | (9474) |
|  Canadian Dollarb | MSCO | Buy | 10849000 | 7938195 | 3/18/26 | 33965 | (12404) |
|  Canadian Dollarb | MSCO | Sell | 10660000 | 7748619 | 3/18/26 | 2730 | (75202) |
|  Chilean Pesob | MSCO | Buy | 109214000 | 123897 | 3/18/26 | 1625 | (388) |
|  Chilean Pesob | MSCO | Sell | 114539000 | 132702 | 3/18/26 | 1503 | (36) |
|  Czech Korunab | MSCO | Buy | 11411000 | 550338 | 3/18/26 | 6526 | (335) |
|  Czech Korunab | MSCO | Sell | 8169000 | 397801 | 3/18/26 | 784 | (1395) |
|  Euro | GSCO | Buy | 1245000 | 1460287 | 3/18/26 | 13471 | (1176) |
|  Euro | GSCO | Sell | 90000 | 105939 | 3/18/26 |  | (513) |
|  Euro | JPHQ | Buy | 210000 | 251499 | 3/18/26 |  | (3112) |
|  Euro | JPHQ | Sell | 2325000 | 2741400 | 3/18/26 |  | (8602) |
|  Eurob | MSCO | Buy | 12629000 | 14854928 | 3/18/26 | 100695 | (18081) |
|  Eurob | MSCO | Sell | 13307000 | 15667475 | 3/18/26 | 5448 | (77451) |
|  Hungarian Forintb | MSCO | Buy | 182161000 | 550999 | 3/18/26 | 19751 | (280) |
|  Hungarian Forintb | MSCO | Sell | 155725000 | 483628 | 3/18/26 | 332 | (4386) |
|  Indian Rupeeb | MSCO | Buy | 21320000 | 233756 | 3/18/26 | 1082 | (782) |
|  Indian Rupeeb | MSCO | Sell | 44629000 | 490717 | 3/18/26 | 822 | (48) |
|  Japanese Yenb | MSCO | Buy | 1266178000 | 8213908 | 3/18/26 | 10091 | (103019) |
|  Japanese Yenb | MSCO | Sell | 1865649000 | 12002162 | 3/18/26 | 52247 | (15934) |
|  Mexican Pesob | MSCO | Buy | 37391000 | 2041754 | 3/18/26 | 125574 | (33) |
|  Mexican Pesob | MSCO | Sell | 1110000 | 61624 | 3/18/26 |  | (2715) |
|  New Israeli Shekelb | MSCO | Buy | 1623000 | 517169 | 3/18/26 | 2230 | (1202) |
|  New Israeli Shekelb | MSCO | Sell | 520000 | 167340 | 3/18/26 | 1338 | (27) |
|  New Zealand Dollarb | MSCO | Buy | 6107000 | 3623745 | 3/18/26 | 53735 | (11346) |
|  New Zealand Dollarb | MSCO | Sell | 5973000 | 3477997 | 3/18/26 | 1292 | (108984) |
|  Norwegian Kroneb | MSCO | Buy | 13054000 | 1351432 | 3/18/26 | 21965 | (642) |
|  Norwegian Kroneb | MSCO | Sell | 2791000 | 285558 | 3/18/26 | 20 | (7963) |
|  Polish Zlotyb | MSCO | Buy | 152000 | 42640 | 3/18/26 | 47 | (148) |
|  Polish Zlotyb | MSCO | Sell | 1482000 | 413985 | 3/18/26 | 1421 | (2177) |
|  Singapore Dollarb | MSCO | Buy | 351000 | 277337 | 3/18/26 | 777 | (217) |
|  Singapore Dollarb | MSCO | Sell | 1006000 | 788364 | 3/18/26 | 84 | (8196) |
|  South African Randb | MSCO | Buy | 5950000 | 368062 | 3/18/26 | 5051 | (13) |
|  South African Randb | MSCO | Sell | 4457000 | 272583 | 3/18/26 | 164 | (7063) |
|  South Korean Wonb | MSCO | Buy | 856921000 | 585563 | 3/18/26 | 10551 | (37) |
|  South Korean Wonb | MSCO | Sell | 363985000 | 252308 | 3/18/26 | 406 | (1287) |
|  Swedish Kronab | MSCO | Buy | 2133000 | 239199 | 3/18/26 | 73 | (2738) |
|  Swedish Kronab | MSCO | Sell | 1610000 | 176811 | 3/18/26 | 279 | (2010) |
|  Swiss Francb | MSCO | Buy | 7109000 | 9018023 | 3/18/26 | 251964 | (2590) |
|  Swiss Francb | MSCO | Sell | 6261000 | 7983884 | 3/18/26 | 149 | (178193) |
|  Taiwan Dollarb | MSCO | Buy | 11323000 | 358480 | 3/18/26 | 4776 |  |
|  Taiwan Dollarb | MSCO | Sell | 5859000 | 185855 | 3/18/26 |  | (2109) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Forward Exchange Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Counterparty<sup>a</sup>** | **Type** | **Quantity** | **Contract<br>Amount<sup>\*</sup>** | **Settlement<br>Date** | **Unrealized<br>Appreciation** | **Unrealized<br>Depreciation** |
|  **OTC Forward Exchange Contracts (continued)** | **OTC Forward Exchange Contracts (continued)** |  |  |  |  |  |  |
|  Thai Bahtb | MSCO | Buy | 7514000 | 241194 | 3/18/26 | $1019 | $(96) |
|  Thai Bahtb | MSCO | Sell | 20068000 | 640597 | 3/18/26 | 136 | (6174) |
|  Canadian Dollar | BNYM | Sell | 192000 | 139955 | 3/26/26 |  | (962) |
|  Euro | BNYM | Sell | 106000 | 124769 | 3/26/26 |  | (664) |
|  Brazilian Realb | MSCO | Buy | 126000 | 24252 | 4/02/26 | 110 |  |
|  Brazilian Realb | MSCO | Sell | 79000 | 15250 | 4/02/26 |  | (25) |
|  Brazilian Real | MSCO | Buy | 694977 | 127078 | 4/15/26 | 6946 |  |
|  Brazilian Real | MSCO | Sell | 4663732 | 859568 | 4/15/26 |  | (39817) |
|  Chilean Peso | JPHQ | Buy | 3326220525 | 3776487 | 4/22/26 | 44297 | (10162) |
|  Chilean Peso | JPHQ | Sell | 1358158914 | 1557723 | 4/22/26 | 1774 |  |
|  Chinese Yuan | JPHQ | Buy | 15666908 | 2260385 | 4/22/26 | 32099 |  |
|  Colombian Peso | JPHQ | Buy | 9765701638 | 2633283 | 4/22/26 |  | (65684) |
|  Colombian Peso | JPHQ | Sell | 13593875052 | 3611374 | 4/22/26 | 37272 |  |
|  Czech Koruna | JPHQ | Buy | 22886600 | 1098440 | 4/22/26 | 18168 |  |
|  Euro | JPHQ | Buy | 290000 | 343657 | 4/22/26 |  | (80) |
|  Euro | JPHQ | Sell | 3235343 | 3814454 | 4/22/26 | 1012 | (19629) |
|  Hungarian Forint | JPHQ | Buy | 754974617 | 2262749 | 4/22/26 | 97080 | (112) |
|  Hungarian Forint | JPHQ | Sell | 50939212 | 157723 | 4/22/26 |  | (1490) |
|  Indian Rupee | JPHQ | Buy | 10497603 | 115000 | 4/22/26 |  | (79) |
|  Indian Rupee | JPHQ | Sell | 177144917 | 1918032 | 4/22/26 |  | (21236) |
|  Indonesian Rupiah | JPHQ | Buy | 37999419095 | 2260145 | 4/22/26 | 3100 |  |
|  Indonesian Rupiah | JPHQ | Sell | 24064045362 | 1420799 | 4/22/26 |  | (12455) |
|  Japanese Yen | MLCO | Buy | 47029693 | 299728 | 4/22/26 | 2899 |  |
|  Kazakhstan Tenge | CITI | Buy | 578950032 | 1104336 | 4/22/26 | 34372 |  |
|  Mexican Peso | JPHQ | Buy | 75406418 | 4228055 | 4/22/26 | 129448 |  |
|  Mexican Peso | JPHQ | Sell | 44233945 | 2526352 | 4/22/26 | 3171 | (32962) |
|  Peruvian Nuevo Sol | JPHQ | Buy | 7847769 | 2340000 | 4/22/26 |  | (4384) |
|  Peruvian Nuevo Sol | JPHQ | Sell | 13129007 | 3896083 | 4/22/26 |  | (11310) |
|  Polish Zloty | JPHQ | Buy | 7859418 | 2166812 | 4/22/26 | 32640 |  |
|  Polish Zloty | JPHQ | Sell | 645287 | 180255 | 4/22/26 |  | (328) |
|  South African Rand | JPHQ | Buy | 84729022 | 5191820 | 4/22/26 | 108148 |  |
|  South African Rand | JPHQ | Sell | 72336624 | 4497169 | 4/22/26 |  | (27631) |
|  Turkish Lira | JPHQ | Buy | 24558207 | 529052 | 4/22/26 | 5709 |  |
|  Turkish Lira | JPHQ | Sell | 8507455 | 184449 | 4/22/26 |  | (803) |
|  Australian Dollar | MSCO | Sell | 800000 | 556080 | 4/30/26 |  | (13065) |
|  Chinese Yuan | MSCO | Sell | 7500000 | 1084693 | 4/30/26 |  | (12900) |
|  Indonesian Rupiah | MSCO | Sell | 11200000000 | 666825 | 4/30/26 |  | (113) |
|  Japanese Yen | MSCO | Buy | 65000000 | 419982 | 4/30/26 |  | (1410) |
|  Japanese Yen | MSCO | Sell | 131000000 | 854707 | 4/30/26 | 11123 |  |
|  Malaysian Ringgit | MSCO | Buy | 3650000 | 925272 | 4/30/26 | 14208 |  |
|  Philippine Peso | MSCO | Buy | 8500000 | 144157 | 4/30/26 | 2974 |  |
|  Philippine Peso | MSCO | Sell | 15000000 | 253079 | 4/30/26 |  | (6564) |
|  Singapore Dollar | MSCO | Sell | 400000 | 317414 | 4/30/26 |  | (224) |
|  South Korean Won | MSCO | Buy | 200000000 | 138372 | 4/30/26 | 948 |  |
|  South Korean Won | MSCO | Sell | 1350000000 | 922352 | 4/30/26 |  | (18056) |
|  Taiwan Dollar | MSCO | Buy | 6000000 | 191101 | 4/30/26 | 1887 |  |
|  Taiwan Dollar | MSCO | Sell | 29000000 | 915672 | 4/30/26 |  | (17101) |
|  Thai Baht | MSCO | Buy | 1700000 | 54060 | 4/30/26 | 891 |  |
|  Thai Baht | MSCO | Sell | 15500000 | 500645 | 4/30/26 |  | (382) |
|  Brazilian Real | JPHQ | Buy | 20216902 | 3778763 | 5/05/26 | 103189 |  |
|  Brazilian Real | JPHQ | Sell | 1090103 | 202787 | 5/05/26 |  | (6529) |
|  Chinese Yuan | MSCO | Sell | 17395955 | 2541874 | 5/22/26 |  | (7135) |
|  British Pound | MSCO | Sell | 1600000 | 2158705 | 5/29/26 | 1791 |  |
|  Danish Krone | MSCO | Sell | 3400000 | 539313 | 5/29/26 |  | (1164) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Forward Exchange Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Counterparty<sup>a</sup>** | **Type** | **Quantity** | **Contract<br>Amount<sup>\*</sup>** | **Settlement<br>Date** | **Unrealized<br>Appreciation** | **Unrealized<br>Depreciation** |
|  **OTC Forward Exchange Contracts (continued)** | **OTC Forward Exchange Contracts (continued)** |  |  |  |  |  |  |
|  Euro | MSCO | Sell | 1700000 | 2012348 | 5/29/26 | $– | $(5146) |
|  Norwegian Krone | MSCO | Sell | 7300000 | 763235 | 5/29/26 |  | (4004) |
|  Swedish Krona | MSCO | Sell | 6600000 | 732251 | 5/29/26 |  | (2393) |
|  Swiss Franc | MSCO | Sell | 730000 | 951890 | 5/29/26 |  | (7009) |
|  Turkish Lira | JPHQ | Buy | 4428900 | 90000 | 7/23/26 |  | (191) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Forward Exchange Contracts | &nbsp;&nbsp;&nbsp;&nbsp; Total Forward Exchange Contracts | &nbsp;&nbsp;&nbsp;&nbsp; Total Forward Exchange Contracts | &nbsp;&nbsp;&nbsp;&nbsp; Total Forward Exchange Contracts | &nbsp;&nbsp;&nbsp;&nbsp; Total Forward Exchange Contracts |  | $1812489 | $(1235466) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net unrealized appreciation (depreciation) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net unrealized appreciation (depreciation) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net unrealized appreciation (depreciation) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net unrealized appreciation (depreciation) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net unrealized appreciation (depreciation) |  | $577023 |  |

---

<sup>\*</sup> In U.S. dollars unless otherwise indicated.

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

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

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

At February 28, 2026, the Fund had the following credit default swap contracts outstanding.

**Credit Default Swap Contracts**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Annual<br>Payment<br>Rate<br>Received<br>(Paid)** | **Payment<br>Frequency** | **Maturity<br>Date** | **Notional<br>Amount<sup>a</sup>** | **Value** | **Upfront<br>Payments<br>(Receipts)** | **Unrealized<br>Appreciation<br>(Depreciation)** | **Rating<sup>b</sup>** |
|  **Centrally Cleared Swap Contracts** | **Centrally Cleared Swap Contracts** | **Centrally Cleared Swap Contracts** | **Centrally Cleared Swap Contracts** | **Centrally Cleared Swap Contracts** |  |  |  |  |
|  **Contracts to Buy Protection<sup>c</sup>** | **Contracts to Buy Protection<sup>c</sup>** | **Contracts to Buy Protection<sup>c</sup>** | **Contracts to Buy Protection<sup>c</sup>** | **Contracts to Buy Protection<sup>c</sup>** |  |  |  |  |
|  **Single Name** | **Single Name** | **Single Name** | **Single Name** | **Single Name** | **Single Name** |  |  |  |
|  AGC Inc. | (5.00)% | Quarterly | 12/20/30 | 275000 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(51682) | $(49742) | $(1940) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 614000 | (7637) | (7675) | 38 |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 250000 | (3110) | (7466) | 4356 |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 307000 | (3819) | (7157) | 3338 |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 145000 | (1804) | (6709) | 4905 |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 246000 | (3060) | (3075) | 15 |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 49000 | (609) | (1236) | 627 |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 123000 | (1530) | (1230) | (300) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 3000 | (37) | (71) | 34 |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/27 | 245000 | (10201) | (4385) | (5816) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/27 | 316000 | (13157) | (2001) | (11156) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/27 | 374000 | (15572) | (1778) | (13794) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/27 | 27000 | (1124) | (102) | (1022) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/27 | 347000 | (14448) | 434 | (14882) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/27 | 56000 | (2332) | 560 | (2892) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/27 | 230000 | (9577) | 2875 | (12452) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 73000 | (908) | (3169) | 2261 |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 50000 | (622) | (215) | (407) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/27 | 77000 | (3206) | (212) | (2994) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/27 | 97000 | (4039) | (159) | (3880) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/27 | 41000 | (1707) | (90) | (1617) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/27 | 82000 | (3414) | (90) | (3324) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/27 | 82000 | (3414) | (45) | (3369) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 68000 | (846) | (2272) | 1426 |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 145000 | (1804) | (5568) | 3764 |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 145000 | (1804) | (4860) | 3056 |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 40000 | (498) | (1355) | 857 |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 145000 | (12224) | (1989) | (10235) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 116000 | (9779) | (1335) | (8444) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 39000 | (3288) | (1011) | (2277) |  |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Credit Default Swap Contracts (continued)** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Annual<br>Payment<br>Rate<br>Received<br>(Paid)** | **Payment<br>Frequency** | **Maturity<br>Date** | **Notional<br>Amount<sup>a</sup>** | | **Value** | **Upfront<br>Payments<br>(Receipts)** | **Unrealized<br>Appreciation<br>(Depreciation)** | **Rating<sup>b</sup>** |
|  **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** |  |  |  |  |  |  |
|  **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** |  |  |  |  |  |  |
|  **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** |  |  |  |  |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 29000 |  | $(2445) | $(978) | $(1467) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 48000 |  | (4047) | (557) | (3490) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 29000 |  | (2445) | (421) | (2024) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 29000 |  | (2445) | (414) | (2031) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 29000 |  | (2445) | (371) | (2074) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 29000 |  | (2445) | (283) | (2162) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 48000 |  | (4047) | (277) | (3770) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 19000 |  | (1602) | (258) | (1344) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 19000 |  | (1602) | (88) | (1514) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 12/20/30 | 198000 |  | (15792) | (12418) | (3374) |  |
|  Government of Egypt | (1.00)% | Quarterly | 6/20/26 | 365000 |  | 579 | 137787 | (137208) |  |
|  Government of Iceland | (5.00)% | Quarterly | 12/20/30 | 137000 | EUR | (8042) | (7092) | (950) |  |
|  Government of Italy | (1.00)% | Quarterly | 6/20/26 | 350000 |  | (1049) | (4524) | 3475 |  |
| K. Hovnanian Enterprises Inc. | (5.00)% | Quarterly | 6/20/30 | 498000 |  | (41414) | (29153) | (12261) |  |
| K. Hovnanian Enterprises Inc. | (5.00)% | Quarterly | 6/20/30 | 347000 |  | (28857) | (16279) | (12578) |  |
| K. Hovnanian Enterprises Inc. | (5.00)% | Quarterly | 6/20/30 | 139000 |  | (11559) | (5739) | (5820) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/26 | 32000 |  | 2 | 1040 | (1038) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/26 | 21000 |  | 1 | 226 | (225) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/26 | 21000 |  | 1 | 1155 | (1154) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/26 | 21000 |  | 1 | 1208 | (1207) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/26 | 54000 |  | 3 | 1890 | (1887) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/26 | 27000 |  | 1 | 2533 | (2532) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/26 | 50000 |  | 3 | 4253 | (4250) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/30 | 21000 |  | 2884 | 8190 | (5306) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/30 | 24000 |  | 3296 | 9300 | (6004) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/30 | 30000 |  | 4119 | 10202 | (6083) |  |
|  Kohl's Corp. | (5.00)% | Quarterly | 6/20/30 | 36000 |  | (242) | 10530 | (10772) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/30 | 37000 |  | 5081 | 12395 | (7314) |  |
|  Kohl's Corp. | (5.00)% | Quarterly | 6/20/30 | 48000 |  | (323) | 12900 | (13223) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/30 | 55000 |  | 7552 | 18035 | (10483) |  |
|  Kohl's Corp. | (5.00)% | Quarterly | 6/20/30 | 102000 |  | (685) | 32130 | (32815) |  |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Credit Default Swap Contracts (continued)** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Annual<br>Payment<br>Rate<br>Received<br>(Paid)** | **Payment<br>Frequency** | | **Maturity<br>Date** | **Notional<br>Amount<sup>a</sup>** | | **Value** | **Upfront<br>Payments<br>(Receipts)** | **Unrealized<br>Appreciation<br>(Depreciation)** | **Rating<sup>b</sup>** |
|  **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** |  |  |  |  |  |  |
|  **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** |  |  |  |  |  |  |
|  **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** |  |  |  |  |  |
|  Kohl's Corp. | (1.00)% | Quarterly |  | 6/20/30 | 196000 |  | $26913 | $59488 | $(32575) |  |
|  Kohl's Corp. | (5.00)% | Quarterly |  | 6/20/30 | 204000 |  | (1371) | 61200 | (62571) |  |
|  Kohl's Corp. | (1.00)% | Quarterly |  | 12/20/30 | 54000 |  | 8768 | 7334 | 1434 |  |
|  Lanxess AG | (1.00)% | Quarterly |  | 12/20/30 | 251000 | EUR | 9809 | 9615 | 194 |  |
|  Lincoln National Corp. | (1.00)% | Quarterly |  | 6/20/27 | 32000 |  | (137) | (207) | 70 |  |
|  Lincoln National Corp. | (1.00)% | Quarterly |  | 6/20/28 | 435000 |  | (892) | (2169) | 1277 |  |
|  Lincoln National Corp. | (1.00)% | Quarterly |  | 6/20/28 | 100000 |  | (205) | (451) | 246 |  |
|  Lincoln National Corp. | (1.00)% | Quarterly |  | 6/20/27 | 362000 |  | (1551) | 1572 | (3123) |  |
|  Macy's Inc. | (1.00)% | Quarterly |  | 12/20/30 | 366500 |  | 13984 | 12087 | 1897 |  |
|  Organon & Co. | (5.00)% | Quarterly |  | 6/20/28 | 624000 |  | (40271) | (43051) | 2780 |  |
|  **Contracts to Sell Protection<sup>c,d</sup>** |  |  |  |  |  |  |  |  |  |  |
|  **Traded Index** |  |  |  |  |  |  |  |  |  |  |
|  <sup>e</sup>CDX.EM.44 | 1.00% | Quarterly |  | 12/20/30 | 1000000 |  | (15112) | (20980) | 5868 | Investment<br>Grade |
|  <sup>e</sup>CDX.NA.HY.45 | 5.00% | Quarterly |  | 12/20/30 | 2970000 |  | 201694 | 209000 | (7306) | Non-Investment<br>Grade |
|  <sup>e</sup>CDX.NA.IG.45 | 1.00% | Quarterly |  | 12/20/30 | 17000000 |  | 330684 | 391820 | (61136) | Investment<br>Grade |
|  <sup>e</sup>ITRX.EUR | 1.00% | Quarterly |  | 12/20/30 | 8000000 | EUR | 191472 | 206277 | (14805) | Investment<br>Grade |
|  <sup>e</sup>ITRX.EUR.XOVER | 5.00% | Quarterly |  | 12/20/30 | 5000000 | EUR | 595096 | 625297 | (30201) | Non-Investment<br>Grade |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Centrally Cleared Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Centrally Cleared Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Centrally Cleared Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Centrally Cleared Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Centrally Cleared Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Centrally Cleared Swap Contracts |  | $1023666 | $1590626 | $(566960) |  |
|  **OTC Swap Contracts** |  |  |  |  |  |  |  |  |  |  |
|  **Contracts to Buy Protection<sup>c</sup>** |  |  |  |  |  |  |  |  |  |  |
|  **Single Name** |  |  | **<u>Counterparty</u>** |  |  |  |  |  |  |  |
|  CCB | (1.00)% | Quarterly | GSCO | 12/20/30 | 790000 |  | (21948) | (19986) | (1962) |  |
|  Government of China | (1.00)% | Quarterly | GSCO | 12/20/30 | 790000 |  | (19742) | (18566) | (1176) |  |
|  Government of Egypt | (1.00)% | Quarterly | CITI | 6/20/26 | 197000 |  | (65) | 6696 | (6761) |  |
|  Government of Korea | (1.00)% | Quarterly | GSCO | 12/20/30 | 3028000 |  | (107611) | (104538) | (3073) |  |
|  Industrial and Commercial Bank of China | (1.00)% | Quarterly | GSCO | 12/20/30 | 790000 |  | (22068) | (19986) | (2082) |  |
|  Kingdom of Saudia Arabia | (1.00)% | Quarterly | BZWS | 12/20/30 | 1025000 |  | (10163) | (13563) | 3400 |  |
|  Kingdom of Saudia Arabia | (1.00)% | Quarterly | GSCO | 12/20/30 | 3900000 |  | (38669) | (50749) | 12080 |  |
|  Nippon Paper Industries Co. | (1.00)% | Quarterly | GSCO | 12/20/30 | 135453000 | JPY | 28681 | 30732 | (2051) |  |
|  Petroleos Mexicanos | (1.00)% | Quarterly | BZWS | 12/20/27 | 910000 |  | 18486 | 17261 | 1225 |  |
|  Rakuten Group Inc. | (1.00)% | Quarterly | GSCO | 12/20/30 | 88521000 | JPY | 25511 | 27532 | (2021) |  |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Credit Default Swap Contracts (continued)** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Annual<br>Payment<br>Rate<br>Received<br>(Paid)** | **Payment<br>Frequency** | **Counterparty** | **Maturity<br>Date** | **Notional<br>Amount<sup>a</sup>** | | **Value** | **Upfront<br>Payments<br>(Receipts)** | **Unrealized<br>Appreciation<br>(Depreciation)** | **Rating<sup>b</sup>** |
|  **OTC Swap Contracts (continued)** | **OTC Swap Contracts (continued)** | **OTC Swap Contracts (continued)** | **OTC Swap Contracts (continued)** | **OTC Swap Contracts (continued)** | **OTC Swap Contracts (continued)** |  |  |  |  |  |
|  **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** |  |  |  |  |  |
|  **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** |  |  |  |  |
|  Saudi Arabia International |  | (1.00)% | Quarterly | GSCO | 6/20/35 | 495000 | $5403 | $– | $5403 |  |
|  Univision Communications Inc. |  | (5.00)% | Quarterly | GSCO | 6/20/30 | 99000 | (10433) | (2978) | (7455) |  |
|  **Contracts to Sell Protection<sup>c,d</sup>** |  |  |  |  |  |  |  |  |  |  |
|  **Single Name** |  |  |  |  |  |  |  |  |  |  |
|  Government of Nigeria |  | 1.00% | Quarterly | BZWS | 12/20/30 | 306000 | (25892) | (26950) | 1058 | B- |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total OTC Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total OTC Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total OTC Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total OTC Swap Contracts |  |  |  | $(178510) | $(175095) | $(3415) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Credit Default Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Credit Default Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Credit Default Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Credit Default Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Credit Default Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Credit Default Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Credit Default Swap Contracts | $845156 | $1415531 | $(570375) |  |

---

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

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

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

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

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

At February 28, 2026, the Fund had the following interest rate swap contracts outstanding.

**Interest Rate Swap Contracts** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Payment<br>Frequency** | **Maturity<br>Date** | **Notional<br>Amount<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **Centrally Cleared Swap Contracts** | **Centrally Cleared Swap Contracts** | **Centrally Cleared Swap Contracts** |  |  |  |
|  Receive Fixed 7.02%<br>Pay Floating 3-Month-JIBAR | Quarterly | 12/18/26 | 34983147 | ZAR | $(9246) |
|  Receive Fixed 13.29%<br>Pay Floating BRLCDI | Annually | 1/04/27 | 2980054 | BRL | 6692 |
|  Receive Fixed 13.41%<br>Pay Floating BRLCDI | Annually | 1/04/27 | 5875629 | BRL | 17600 |
|  Receive Fixed 16.25%<br>Pay Floating BRLCDI | Annually | 1/04/27 | 9083263 | BRL | (65022) |
|  Receive Fixed 7.98%<br>Pay Floating COIR | Quarterly | 3/19/27 | 5531819764 | COP | (55852) |
|  Receive Fixed 8.02%<br>Pay Floating COIR | Quarterly | 3/19/27 | 6276246033 | COP | (64009) |
|  Receive Fixed 3.70%<br>Pay Floating SOFR | Annually | 6/03/27 | 6310000 |  | 26372 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Interest Rate Swap Contracts (continued)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Payment<br>Frequency** | **Maturity<br>Date** | **Notional<br>Amount<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** |  |  |  |
|  Receive Fixed 8.52%<br>Pay Floating COIR | Quarterly | 12/17/27 | 1890683756 | COP | $(28337) |
|  Receive Fixed 8.52%<br>Pay Floating COIR | Quarterly | 12/17/27 | 7409316244 | COP | (111045) |
|  Receive Fixed 3.57%<br>Pay Floating SOFR | Annually | 7/28/28 | 2108000 |  | 18620 |
|  Receive Fixed 3.58%<br>Pay Floating SOFR | Annually | 7/28/28 | 1996000 |  | 18248 |
|  Receive Fixed 3.30%<br>Pay Floating SOFR | Annually | 11/12/28 | 7274000 |  | 24669 |
|  Receive Fixed 4.15%<br>Pay Floating SOFR | Annually | 11/22/28 | 5700000 |  | 146024 |
|  Receive Fixed 13.44%<br>Pay Floating BRLCDI | Annually | 1/02/29 | 14380185 | BRL | 23228 |
|  Receive Fixed 3.46%<br>Pay Floating SOFR | Annually | 1/22/29 | 10067000 |  | 81507 |
|  Receive Fixed 3.93%<br>Pay Floating SOFR | Annually | 3/15/29 | 5469600 |  | 121259 |
|  Receive Fixed 3.47%<br>Pay Floating 1-Day EONIA | Annually | 12/18/29 | 13815899 | CZK | (326) |
|  Receive Fixed 3.50%<br>Pay Floating 1-Day EONIA | Annually | 12/18/29 | 22360157 | CZK | 569 |
|  Receive Fixed 5.41%<br>Pay Floating 6-Month-BUBOR | Annually | 12/18/29 | 447284564 | HUF | (15499) |
|  Receive Fixed 5.42%<br>Pay Floating 6-Month-BUBOR | Annually | 12/18/29 | 182487019 | HUF | (6036) |
|  Receive Fixed 5.44%<br>Pay Floating 6-Month-BUBOR | Annually | 12/18/29 | 182228417 | HUF | (5644) |
|  Receive Fixed 7.68%<br>Pay Floating Banxico Mexico 1 Month Rate | Monthly | 6/12/30 | 30200000 | MXN | 39988 |
|  Receive Fixed 6.17%<br>Pay Floating 6-Month-BUBOR | Annually | 9/17/30 | 650000000 | HUF | 34483 |
|  Receive Fixed 13.28%<br>Pay Floating BRLCDI | Annually | 1/02/31 | 3798293 | BRL | 4730 |
|  Receive Fixed 13.29%<br>Pay Floating BRLCDI | Annually | 1/02/31 | 3601707 | BRL | 4389 |
|  Receive Fixed 3.32%<br>Pay Floating SOFR | Annually | 2/25/31 | 7700000 |  | 33077 |
|  Receive Fixed 3.65%<br>Pay Floating rate 6-Month-PRIBOR | Annually | 3/18/31 | 13500000 | CZK | 3048 |
|  Receive Fixed 5.94%<br>Pay Floating rate 6-Month-BUBOR | Annually | 3/18/31 | 77000000 | HUF | 1948 |
|  Receive Fixed 5.83%<br>Pay Floating 6-Month-BUBOR | Annually | 12/18/34 | 237699992 | HUF | 9745 |
|  Receive Fixed 5.85%<br>Pay Floating 6-Month-BUBOR | Annually | 12/18/34 | 100982120 | HUF | 3763 |
|  Receive Fixed 5.87%<br>Pay Floating 6-Month-BUBOR | Annually | 12/18/34 | 101317888 | HUF | 3451 |
|  Receive Fixed 7.80%<br>Pay Floating 3-Month-JIBAR | Quarterly | 12/17/35 | 29000000 | ZAR | 74427 |
|  Receive Fixed 8.23%<br>Pay Floating Banxico Mexico 1 Month Rate | Monthly | 3/05/36 | 24000000 | MXN | 54960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Centrally Cleared Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Centrally Cleared Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Centrally Cleared Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Centrally Cleared Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Centrally Cleared Swap Contracts | 391781 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Interest Rate Swap Contracts (continued)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Payment<br>Frequency** | **Maturity<br>Date** | **Notional<br>Amount<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts** | **OTC Swap Contracts** | **OTC Swap Contracts** |  |  |  |
|  Receive Fixed 43.51%<br>Pay Floating TLREF, Counterparty JPHQ | Quarterly | 4/16/26 | 27734327 | TRY | $(7584) |
|  Receive Fixed 37.35%<br>Pay Floating TLREF, Counterparty BZWS | Quarterly | 9/15/26 | 57587182 | TRY | 1355 |
|  Receive Fixed 37.30%<br>Pay Floating TLREF, Counterparty JPHQ | Quarterly | 9/15/26 | 65412818 | TRY | 2047 |
|  Receive Fixed 5.43%<br>Pay Floating MIBOR, Counterparty CITI | Semi-Annually | 12/17/27 | 210000000 | INR | (4648) |
|  Receive Fixed 3.26%<br>Pay Floating KLIBOR, Counterparty GSCO | Quarterly | 6/18/30 | 6126158 | MYR | (7180) |
|  Receive Fixed 3.26%<br>Pay Floating KLIBOR, Counterparty HSBC | Quarterly | 6/18/30 | 5273842 | MYR | (5989) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total OTC Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total OTC Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total OTC Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total OTC Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total OTC Swap Contracts | (21999) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Interest Rate Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Interest Rate Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Interest Rate Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Interest Rate Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Interest Rate Swap Contracts | $369782 |

---

<sup>\*</sup> In U.S. dollars unless otherwise indicated.

At February 28, 2026, the Fund had the following total return swap contracts outstanding.

**Total Return Swap Contracts** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  OTC Swap Contracts |  |  |  |  |  |  |  |
|  Currency Contracts - Long<sup>a</sup> |  |  |  |  |  |  |  |
|  Cross Asset Trend | Fixed 0.00% | Monthly | BNPP | 6/30/26 | 10440424 |  | $120022 |
|  FX G10 Carry | Fixed 0.00% | Monthly | CITI | 6/30/26 | 6785090 |  | 69338 |
|  FX G10 Value | Fixed 0.00% | Monthly | CITI | 6/30/26 | 22236962 |  | (151584) |
|  |  |  |  |  |  |  | 37776 |
|  **Equity Contracts - Long<sup>a</sup>** |  |  |  |  |  |  |  |
|  104 Corp | 1-Day FEDEF + 0.10% | Monthly | MSCO | 8/31/26 | 45550 |  | (687) |
|  3i Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 217436 | GBP | (43802) |
|  77th Bank | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 17273043 | JPY | 109728 |
|  A Ethical Fpo | 1-Day RBACR + 0.30% | Monthly | MSCO | 1/07/27 | 36095 | AUD | 762 |
|  A1 Telekom Austria AG | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 97653 | EUR | 5921 |
|  Able Global Berhad | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 11765 |  | 2408 |
|  ABRDN PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 7/08/26 | 164010 | GBP | 76699 |
|  AcadeMedia AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 1545085 | SEK | 39704 |
|  Accelleron | Euro STR + 0.30% | Monthly | JPHQ | 2/10/27 | 80678 | CHF | (389) |
|  Acciona SA | 1-Day EONIA + 0.35% | Monthly | MSCS | 7/17/30 | 90084 | EUR | 12233 |
|  Accton Technology Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 1/18/27 | 73758 |  | 15862 |
|  Aces Electronic Co. Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 12/07/26 | 146291 |  | 4687 |
|  Acs Actividades De Construction | 1-Day EONIA + 0.275% | Monthly | MSCO | 7/07/26 | 37574 | EUR | 9059 |
|  Adaro Andalan Indonesia | 1-Day FEDEF + 0.35% | Monthly | MSCO | 11/27/26 | 70535 |  | 12195 |
|  AddLife AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 8/02/30 | 2313966 | SEK | 3987 |
|  Adecco | 1-Day SARON + 0.35% | Monthly | JPHQ | 12/30/26 | 124347 | CHF | (12056) |
|  Adesso SE | Euro STR + 0.35% | Monthly | JPHQ | 1/07/31 | 36001 | EUR | (10037) |
|  Adi Sarana Armada TBK | 1-Day FEDEF + 0.35% | Monthly | MSCO | 9/10/26 | 40940 |  | 12053 |
|  Adidas AG | Euro STR + 0.35% | Monthly | JPHQ | 10/08/30 | 248538 | EUR | (36621) |
|  Admiral Group | 1-Day SONIA + 0.275% | Monthly | MSCO | 4/03/26 | 78685 | GBP | 296 |
|  Advanced Info Service Pub | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 202637 |  | 59945 |
|  Advanced Media Inc | 1-Day SONIA + 0.275% | Monthly | GSCO | 8/05/26 | 7688168 | JPY | 403 |
|  Advanced Power Electronic | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 138667 |  | 11011 |
|  Advantest Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 7628114 | JPY | 2698 |
|  Advice IT Infinite Public | 1-Day FEDEF + 0.25% | Monthly | MSCO | 9/24/26 | 63810 |  | 5314 |
|  Aeci Limited | 1-Day SABOR + 0.70% | Monthly | MSCS | 7/17/30 | 2405530 | ZAR | 24759 |
|  Aedifica | Euro STR + 0.35% | Monthly | JPHQ | 7/14/26 | 128138 | EUR | 30254 |
|  Aegon | Euro STR + 0.35% | Monthly | JPHQ | 4/03/26 | 162274 | EUR | 15884 |
|  Aew UK REIT Plc Ord | 1-Day SONIA + 0.275% | Monthly | MSCO | 8/25/26 | 6549 | GBP | 549 |
|  AGC Inc. | TONAR + 0.35% | Monthly | GSCO | 12/16/26 | 7579045 | JPY | 14243 |
|  Agesa Hayat Emeklilik | 1-Day FEDEF + 1.25% | Monthly | MSCO | 9/24/26 | 122927 |  | 10771 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  OTC Swap Contracts (continued) |  |  |  |  |  |  |  |
|  Equity Contracts - Long<sup>a</sup> (continued) |  |  |  |  |  |  |  |
|  AGL Energy Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 203272 | AUD | $5939 |
|  Ahresty Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 8380812 | JPY | 11271 |
|  AIB Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 48011 | GBP | 40473 |
|  Aica Kogyo Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 20162100 | JPY | 13248 |
|  Aida Engineering | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 12719331 | JPY | 22494 |
|  AIMS APAC Reit | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 239845 | SGD | 12032 |
|  Air France-KLM | 1-Day EONIA + 0.30% | Monthly | MSCS | 10/02/29 | 172495 | EUR | 11832 |
|  Airtrip Corp. | TONAR + 0.35% | Monthly | GSCO | 8/28/26 | 3326820 | JPY | (1602) |
|  Aisan Industry Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 14758622 | JPY | 23024 |
|  Aisin Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 23248428 | JPY | 50324 |
|  AK Medical Holdings Ltd. | HONIA + 0.35% | Monthly | GSCO | 12/18/26 | 271781 | HKD | 2812 |
|  Aker Solutions ASA | 1-Week NIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 3130985 | NOK | 90018 |
|  AKR Corporido Tbk | 1-Day FEDEF + 0.35% | Monthly | MSCO | 2/10/27 | 25085 |  | (69) |
|  Albaraka Turk Katilim Bankasi AS | 1-Day FEDEF + 0.30% | Monthly | MSCS | 11/27/30 | 168762 |  | 16017 |
|  Alfa Financial Software | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/18/29 | 67075 | GBP | (5890) |
|  Alior Bank SA | 1-Day FEDEF + 1.25% | Monthly | MSCO | 1/06/31 | 136041 |  | 7929 |
|  A-Living Smart City Service | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 529640 | HKD | (14217) |
|  Alliance Global Group | 1-Day FEDEF + 0.25% | Monthly | MSCO | 9/30/26 | 23478 |  | 5009 |
|  Allianz Malaysia Bhd | 1-Day FEDEF + 0.25% | Monthly | MSCO | 1/18/27 | 44826 |  | 678 |
|  Alps Alpine Co. Ltd. | TONAR + 0.35% | Monthly | GSCO | 12/23/26 | 14405674 | JPY | 14334 |
|  Alten | 1-Day EONIA + 0.275% | Monthly | MSCO | 10/28/26 | 156162 | EUR | (20336) |
|  Aluminum Corp of China | HIBOR + 0.35% | Monthly | GSCO | 6/26/26 | 705768 | HKD | 75883 |
|  Alzchem Group AG | Euro STR + 0.35% | Monthly | JPHQ | 11/22/30 | 232395 | EUR | 37173 |
|  Amasten Fastighets AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 11/27/30 | 783251 | SEK | 19329 |
|  Amata Corp. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 9/03/26 | 261621 |  | 51348 |
|  Ambea AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 2784119 | SEK | 35202 |
|  Amedeo Air Four Plus | 1-Day SONIA + 0.275% | Monthly | MSCO | 4/09/26 | 35601 | GBP | 23111 |
|  Ammb Holdings Bhd | 1-Day FEDEF + 0.25% | Monthly | MSCO | 3/01/27 | 15742 |  | (539) |
|  Amotiv Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 171541 | AUD | (5757) |
|  AMP FPO | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 162313 | AUD | (12410) |
|  AMS-Osram AG | 1-Day SARON + 0.35% | Monthly | JPHQ | 11/27/30 | 181294 | CHF | 61102 |
|  Ana Holdings Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 28717106 | JPY | 29498 |
|  Anadolu Sigorta | 1-Day FEDEF + 1.25% | Monthly | MSCO | 12/30/35 | 95488 |  | (6756) |
|  Anapass Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 8/28/26 | 145904 |  | (528) |
|  Aneka Tambang | 1-Day FEDEF + 0.35% | Monthly | MSCO | 10/08/26 | 81557 |  | 22881 |
|  Anest Iwata Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 11020618 | JPY | 13602 |
|  Anima Holding SpA | 1-Month EURIBOR + 0.40% | Monthly | JPHQ | 7/17/30 | 49729 | EUR | 7067 |
|  Anker Innovations | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 98646 |  | (5573) |
|  Anpec Electronics Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/25/26 | 211155 |  | 32677 |
|  Ansell Fpo | 1-Day RBACR + 0.30% | Monthly | MSCO | 1/15/27 | 104001 | AUD | (1601) |
|  AO World PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 12/02/30 | 113852 | GBP | 15359 |
|  Aoyama Trading Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 15229893 | JPY | 18937 |
|  AP Memory Technology Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 1/29/27 | 68431 |  | 931 |
|  Arakawa Chemical Industrial | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 1672707 | JPY | 3229 |
|  Arcadyan Technology Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 267801 |  | (9347) |
|  Arcelormettal Ord | 1-Day EONIA + 0.40% | Monthly | MSCS | 1/20/32 | 1137897 | EUR | 56013 |
|  AREIT Inc. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 9/30/26 | 19208 |  | (218) |
|  Argosy Research | 1-Day FEDEF + 0.10% | Monthly | MSCO | 9/08/26 | 200951 |  | (14962) |
|  Ariston Holding NV | Euro STR + 0.35% | Monthly | JPHQ | 11/29/30 | 101953 | EUR | 15233 |
|  Arjo AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 1920771 | SEK | (56267) |
|  Aroundtown SA | Euro STR + 0.35% | Monthly | JPHQ | 9/12/30 | 348156 | EUR | 101673 |
|  ARYZTA | 1-Day SARON + 0.35% | Monthly | JPHQ | 4/26/26 | 199175 | CHF | (56811) |
|  Asahi Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 8921974 | JPY | 970 |
|  Asahi Intecc Co Ltd. | 1-Day TONAR + 0.35% | Monthly | GSCO | 10/16/26 | 35145316 | JPY | 78786 |
|  Asahi Kasei Corp. | TONAR + 0.35% | Monthly | GSCO | 1/29/27 | 13428548 | JPY | 17889 |
|  Asahi Net Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 2005200 | JPY | 51 |
|  Asahi Yukizai Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 11787206 | JPY | 15526 |
|  Ascencio | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 79446 | EUR | 17444 |
|  Ascom Holding AG | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 34609 | CHF | 32567 |
|  Asia Pile Holdings Corpor | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 12632448 | JPY | 37330 |
|  ASML Holding NV | Euro STR + 0.35% | Monthly | JPHQ | 7/17/29 | 176072 | EUR | 138588 |
|  Asrock Incorporation | 1-Day FEDEF + 0.10% | Monthly | MSCO | 8/17/26 | 248745 |  | (22100) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Asseco Poland SA | 1-Day FEDEF + 0.30% | Monthly | MSCS | 7/17/30 | 161205 |  | $38919 |
|  Astral Foods Ltd. | 1-Day SABOR + 0.30% | Monthly | MSCS | 7/17/30 | 2293844 | ZAR | 76514 |
|  Asustek Computer Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 8/28/26 | 201062 |  | (30859) |
|  Atea ASA | 1-Week NIBOR + 0.275% | Monthly | SEBA | 3/18/35 | 290322 | NOK | (315) |
|  Atlas Copco Ord | 1-Week STIBOR + 0.40% | Monthly | MSCS | 1/13/32 | 10301810 | SEK | 10168 |
|  Atoss Software AG | Euro STR + 0.35% | Monthly | JPHQ | 8/01/30 | 248208 | EUR | (72459) |
|  Attendo AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 1/08/31 | 1741998 | SEK | 122903 |
|  Auclinical Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 177182 | AUD | (21831) |
|  Aumann AG | Euro STR + 0.35% | Monthly | JPHQ | 1/22/31 | 49867 | EUR | 13705 |
|  Aurelia Fpo | 1-Day RBACR + 0.30% | Monthly | MSCO | 1/21/27 | 35503 | AUD | (774) |
|  Austevoll Seafood ASA | 1-Week NIBOR + 0.28% | Monthly | SEBA | 7/12/26 | 819825 | NOK | (2698) |
|  Autel Intelligent | 1-Day FEDEF + 1.00% | Monthly | MSCO | 12/09/26 | 77428 |  | 4456 |
|  Autoneum | 1-Day SARON + 0.35% | Monthly | JPHQ | 11/27/30 | 120127 | CHF | 37664 |
|  Avanza Bank Holding AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 6/05/26 | 2472134 | SEK | (10068) |
|  Avation PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 2/24/31 | 24171 | GBP | (611) |
|  Avon Technologies Plc. Ord | 1-Day SONIA + 0.275% | Monthly | MSCO | 1/27/27 | 24312 | GBP | 1220 |
|  Avrupakent Gmyo | 1-Day FEDEF + 1.25% | Monthly | MSCO | 8/11/26 | 114328 |  | (18959) |
|  Axa SA | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/17/30 | 136764 | EUR | 17989 |
|  Axfood AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/33 | 1965195 | SEK | (1465) |
|  Axial Retailing Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 12423168 | JPY | 10628 |
|  Azimut Holding SpA | Euro STR + 0.35% | Monthly | JPHQ | 7/17/29 | 254977 | EUR | 20477 |
|  Aztech Gbl | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 50060 | SGD | 9121 |
|  B Grimm Power Pcl | 1-Day FEDEF + 0.25% | Monthly | MSCO | 9/30/26 | 79230 |  | 10698 |
|  B&P Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 2836921 | JPY | 2220 |
|  B2 Impact ASA | 1-Week NIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 736354 | NOK | 104382 |
|  Babcock International | 1-Day SONIA + 0.275% | Monthly | MSCO | 6/10/26 | 112105 | GBP | 79984 |
|  Bachem | 1-Day SARON + 0.35% | Monthly | JPHQ | 2/25/27 | 49379 | CHF | 1675 |
|  Balfour Beatty | 1-Day SONIA + 0.35% | Monthly | MSCS | 9/18/30 | 212280 | GBP | 163945 |
|  Banca Sistema | Euro STR + 0.35% | Monthly | JPHQ | 1/25/27 | 19545 | EUR | (663) |
|  Banco Bilbao Vizcaya Argentaria SA | 1-Day EONIA + 0.35% | Monthly | MSCS | 9/30/30 | 133337 | EUR | 29110 |
|  Bangkok Life Assurance | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 56451 |  | 16249 |
|  Bank Btpn Syariah Tbk | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/26/26 | 33917 |  | (4860) |
|  Bank Ocbc Nisp Tbk | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/25/26 | 34237 |  | 3803 |
|  Bank of Chongqing Co. | 1-Day FEDEF + 1.00% | Monthly | MSCO | 2/03/27 | 111734 |  | (7589) |
|  Bank of Georgia Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/31/30 | 148475 | GBP | 192605 |
|  Barclays PLC | 1-Day SONIA + 0.44% | Monthly | MSCS | 7/17/30 | 177328 | GBP | 142813 |
|  Barco | Euro STR + 0.35% | Monthly | JPHQ | 12/31/49 | 148834 | EUR | (28583) |
|  Basilea Pharmaceutica AG | Euro STR + 6.75% | Monthly | JPHQ | 5/08/26 | 205528 | CHF | 79355 |
|  Basler Ag | Euro STR + 0.35% | Monthly | JPHQ | 1/13/27 | 38924 | EUR | (573) |
|  BAWAG Group AG | Euro STR + 0.35% | Monthly | JPHQ | 4/03/26 | 217987 | EUR | 66171 |
|  Bayer AG | Euro STR + 0.35% | Monthly | JPHQ | 9/04/30 | 87578 | EUR | 40379 |
|  BB Biotech AG | 1-Day SARON + 0.35% | Monthly | JPHQ | 4/11/26 | 232363 | CHF | 219980 |
|  BE Group AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 345132 | SEK | (4390) |
|  Beach Fpo | 1-Day RBACR + 0.30% | Monthly | MSCO | 1/08/27 | 36310 | AUD | (1794) |
|  Bega Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 320846 | AUD | 26936 |
|  Bekaert SA | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 112810 | EUR | 44266 |
|  Belc Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 8/27/26 | 10172838 | JPY | 5566 |
|  Bellway PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 4/04/29 | 49931 | GBP | (1208) |
|  Beneteau | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/17/30 | 112824 | EUR | (17886) |
|  Betagro Pcl | 1-Day FEDEF + 0.25% | Monthly | MSCO | 9/24/26 | 46501 |  | 6730 |
|  Betsson AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 7/17/30 | 4728397 | SEK | (198423) |
|  Bic Camera Inc. | TONAR + 0.35% | Monthly | GSCO | 12/16/26 | 11775061 | JPY | 6266 |
|  Bilfinger SE | Euro STR + 0.35% | Monthly | JPHQ | 12/06/30 | 67579 | EUR | 74148 |
|  Billerud AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 7/29/30 | 5050548 | SEK | (115986) |
|  Binggrae Co. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 11/23/26 | 63674 |  | 6161 |
|  Binjiang Svc Group Co Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1140795 | HKD | (2320) |
|  Blue Bird Tbk Pt | 1-Day FEDEF + 0.35% | Monthly | MSCO | 7/31/26 | 17058 |  | (1474) |
|  BNP Paribas SA | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/17/30 | 292967 | EUR | 147627 |
|  Boe Varitronix Ltd. | HIBOR + 0.35% | Monthly | GSCO | 11/30/26 | 1751130 | HKD | (20138) |
|  Bogdanka SA | 1-Day FEDEF + 0.30% | Monthly | MSCS | 8/19/30 | 102629 |  | (26698) |
|  Boliden AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 6/08/26 | 1622659 | SEK | 133821 |
|  Bonheur ASA | 1-Week NIBOR + 0.28% | Monthly | SEBA | 8/28/30 | 580809 | NOK | 8246 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Boozt AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 9/19/29 | 470421 | SEK | $1605 |
|  Bouygues | 1-Day EONIA + 0.30% | Monthly | MSCO | 3/14/26 | 191517 | EUR | 68045 |
|  Bpost | Euro STR + 0.35% | Monthly | JPHQ | 11/07/30 | 34551 | EUR | (317) |
|  Bravura Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 223123 | AUD | (4957) |
|  Brickability Group PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 12/08/30 | 14982 | GBP | (1584) |
|  Brother Industries | TONAR + 0.35% | Monthly | GSCO | 12/08/26 | 15760052 | JPY | 2503 |
|  Bulten AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 10/18/30 | 524729 | SEK | (20126) |
|  Bumitama Agri | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 58281 | SGD | (2140) |
|  Burberry Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/29 | 122440 | GBP | (5101) |
|  Burckhardt | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 398438 | CHF | (50097) |
|  Burkhalter Holdings | 1-Day SARON + 0.35% | Monthly | JPHQ | 9/12/30 | 126232 | CHF | 54108 |
|  Buysell Technologies Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 4173538 | JPY | (284) |
|  C&D Property Management | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 358578 | HKD | (1456) |
|  Cafe De Coral Hldgs | HIBOR + 0.35% | Monthly | GSCO | 6/29/26 | 563678 | HKD | (17720) |
|  Cafe24 Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 183419 |  | (38947) |
|  Cairn Homes PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 147843 | GBP | 85862 |
|  Canal Plus SA Ord | 1-Day SONIA + 0.275% | Monthly | MSCO | 8/25/26 | 108174 | GBP | 34079 |
|  Cancom SE | Euro STR + 0.35% | Monthly | JPHQ | 1/07/31 | 197237 | EUR | 3546 |
|  Canon Marketing Japan Inc. | TONAR + 0.35% | Monthly | GSCO | 7/21/26 | 11110561 | JPY | 14982 |
|  Capitaland Malaysia Trust | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 12566 |  | 13 |
|  Care Property Invest | Euro STR + 0.35% | Monthly | JPHQ | 12/16/30 | 66821 | EUR | 12448 |
|  Cargotec | Euro STR + 0.275% | Monthly | SEBA | 8/23/30 | 172428 | EUR | (1794) |
|  Carmila | 1-Day EONIA + 0.30% | Monthly | MSCS | 8/07/30 | 213162 | EUR | 37001 |
|  Carnival PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 6/10/26 | 150401 | GBP | 158972 |
|  Carrefour | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/17/30 | 69121 | EUR | 18679 |
|  Catalyst Metals Fpo | 1-Day RBACR + 0.30% | Monthly | MSCO | 1/08/27 | 90225 | AUD | 9020 |
|  Cathay Pacific Airways | HONIA + 0.35% | Monthly | GSCO | 12/18/26 | 790913 | HKD | 12085 |
|  Cedarwoods Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 9/11/26 | 83590 | AUD | 8862 |
|  Cementir Holding NV | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 60849 | EUR | 17493 |
|  Central Asia Metals PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 9/25/29 | 89477 | GBP | 51604 |
|  Central Automotive Products | TONAR + 0.35% | Monthly | GSCO | 12/03/26 | 1770719 | JPY | 1735 |
|  Central Omega Resources | 1-Day FEDEF + 0.35% | Monthly | MSCO | 11/27/26 | 38707 |  | 4243 |
|  Central Pattana Public Co. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 2/17/27 | 61865 |  | 6083 |
|  Centrica PLC ORD | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 179296 | GBP | 84366 |
|  Century Iron & Steel Industries | 1-Day FEDEF + 0.10% | Monthly | MSCO | 10/02/26 | 195541 |  | (28295) |
|  CEWE Stiftung & Co. KGaA | Euro STR + 0.35% | Monthly | JPHQ | 3/18/26 | 106413 | EUR | 7251 |
|  Changgao Electric | 1-Day FEDEF + 0.25% | Monthly | MSCO | 8/21/26 | 103531 |  | 41492 |
|  Chaoju Eye Care Holdings | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 574921 | HKD | (2941) |
|  CHC Healthcare Group | 1-Day FEDEF + 0.10% | Monthly | MSCO | 2/03/27 | 29149 |  | 253 |
|  Cheilworldwide | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/23/26 | 206288 |  | 8132 |
|  Chemometec | 1-Week CIBOR + 0.28% | Monthly | SEBA | 11/15/29 | 977926 | DKK | (55119) |
|  Chervon Holdings Ltd. | HIBOR + 0.35% | Monthly | GSCO | 9/23/26 | 807521 | HKD | 9128 |
|  China Air Lines | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 294229 |  | (12668) |
|  China Aircraft Leasing Gp | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 192898 | HKD | 3223 |
|  China Aviation | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 51104 | SGD | 28728 |
|  China Bluechemical Limited | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1129894 | HKD | 43419 |
|  China Communications Services | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 209409 | HKD | (663) |
|  China Education GP Holdings | HONIA + 0.35% | Monthly | GSCO | 12/04/26 | 784984 | HKD | (5893) |
|  China Foods Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 922621 | HKD | 27728 |
|  China Intl Marine Contain | HIBOR + 0.35% | Monthly | GSCO | 6/26/26 | 772880 | HKD | 67628 |
|  China Merchants | 1-Day FEDEF + 0.25% | Monthly | MSCO | 7/29/26 | 36023 |  | 1922 |
|  China New Higher Education | HIBOR + 0.35% | Monthly | GSCO | 10/06/26 | 741188 | HKD | (21902) |
|  China Oilfield Services | HIBOR + 0.35% | Monthly | GSCO | 10/07/26 | 737501 | HKD | 30189 |
|  China Overseas Property | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 385589 | HKD | (3075) |
|  China Railway Tielong | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 125438 |  | 15327 |
|  China Reinsurance | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1146655 | HKD | 28447 |
|  China Res Med Hldgs Co Lt | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 2221458 | HKD | (54419) |
|  China Shineway Pharmaceutcal | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 985002 | HKD | 11910 |
|  China Tower Corp. Ltd. | HONIA + 0.35% | Monthly | GSCO | 1/14/27 | 946578 | HKD | (2067) |
|  Chinasunsine | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 33135 | SGD | 5154 |
|  Chipmos Technologies Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 2/25/27 | 20054 |  | 3433 |
|  Chongqing Machinery & Electric | HONIA + 0.35% | Monthly | GSCO | 12/07/26 | 441007 | HKD | 40557 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Chow Sang Sang Hldgs Intl | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1361830 | HKD | $31370 |
|  Chow Tai Fook Jewellery | HONIA + 0.35% | Monthly | GSCO | 12/18/26 | 355105 | HKD | (467) |
|  Chrysalis Investments | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/27/30 | 192551 | GBP | 17723 |
|  Chsocinfra Ord Units | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 264205 | AUD | (7207) |
|  Cikarang Listrindo TBK | 1-Day FEDEF + 0.35% | Monthly | MSCO | 9/24/26 | 11860 |  | 802 |
|  Ciputra Development | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/25/26 | 35322 |  | (6998) |
|  Citizen Watch Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 4744205 | JPY | 30837 |
|  CJ | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/19/26 | 162265 |  | 37728 |
|  CJ Logistics | 1-Day FEDEF + 0.10% | Monthly | MSCO | 1/22/27 | 101154 |  | 26544 |
|  Clariant International AG | 1-Day SARON + 0.35% | Monthly | JPHQ | 5/30/35 | 66872 | CHF | 10596 |
|  Clarkson PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 5/06/26 | 187858 | GBP | 29415 |
|  Clas Ohlson AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 1709513 | SEK | 84439 |
|  Clinuvel Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 211932 | AUD | (17699) |
|  Cliq Digital AG | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 27743 | EUR | (24709) |
|  Cloetta AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/34 | 896124 | SEK | 4142 |
|  CMGE Technology Gp Ltd. | HIBOR + 0.35% | Monthly | GSCO | 11/30/26 | 219715 | HKD | (2392) |
|  CMOC Group Limited | HIBOR + 0.35% | Monthly | GSCO | 6/26/26 | 477321 | HKD | 77821 |
|  Coca-Cola Bottlers Japan | TONAR + 0.35% | Monthly | GSCO | 2/26/27 | 4033683 | JPY | 578 |
|  Coca-Cola HBC AG-DI | 1-Day SONIA + 0.35% | Monthly | MSCS | 12/04/30 | 147952 | GBP | 70633 |
|  CoinShares International | 1-Week STIBOR + 0.275% | Monthly | SEBA | 5/19/26 | 1136359 | SEK | (37377) |
|  Colesgroup Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 193856 | AUD | (6227) |
|  Collins Fd Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 320048 | AUD | 12670 |
|  Com7 Public Co Ltd. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/22/26 | 186178 |  | 44867 |
|  Commerzbank AG | Euro STR + 0.35% | Monthly | JPHQ | 12/18/30 | 176185 | EUR | 50125 |
|  Companhia De Saneamento Basico Ord | 1-Day FEDEF + 0.60% | Monthly | MSCS | 7/10/26 | 1506794 |  | 50507 |
|  Computacenter PLC ORD | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/15/26 | 114832 | GBP | 41838 |
|  Computer Engineering & Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 12269847 | JPY | (4805) |
|  Construcciones y Auxiliar de Ferrocarriles | 1-Day EONIA + 0.35% | Monthly | MSCS | 7/17/30 | 178157 | EUR | 122729 |
|  Consun Pharmaceutical Grp | HIBOR + 0.35% | Monthly | GSCO | 6/24/26 | 1503928 | HKD | 53915 |
|  Contemporary Amper | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 79530 |  | (4771) |
|  Continental AG | Euro STR + 0.35% | Monthly | JPHQ | 11/03/30 | 235722 | EUR | 47763 |
|  Convatec Group Plc Ord Gb | 1-Day SONIA + 0.275% | Monthly | MSCO | 7/29/26 | 200912 | GBP | 18291 |
|  Corbion | Euro STR + 0.35% | Monthly | JPHQ | 9/03/30 | 263147 | EUR | 29554 |
|  Cosco Shipping Specialty | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 108801 |  | 27321 |
|  Costain Group | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/15/30 | 92451 | GBP | 77427 |
|  Costain Group | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/27/30 | 568 | GBP | 1709 |
|  Country Garden Svcs Hldgs | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1114086 | HKD | (6166) |
|  Covivio | 1-Day EONIA + 0.275% | Monthly | MSCO | 7/28/26 | 19063 | EUR | 2282 |
|  CPI Europe AG | Euro STR + 0.35% | Monthly | JPHQ | 11/27/30 | 138497 | EUR | (15330) |
|  Credit Agricole | 1-Day EONIA + 0.275% | Monthly | MSCO | 7/09/26 | 126745 | EUR | 24961 |
|  Creditcorp Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 263705 | AUD | (26094) |
|  Cresco Ltd | 1-Day TONAR + 0.35% | Monthly | GSCO | 11/02/26 | 6498174 | JPY | (2245) |
|  Cromwell Stapled | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 104619 | AUD | 8607 |
|  CS Wind Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 7/10/26 | 102817 |  | 27412 |
|  CSHARE FPO | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 159120 | AUD | (17317) |
|  Currys PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/27/30 | 227598 | GBP | 193619 |
|  Cvilux Corporation | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 76040 |  | 40881 |
|  Cyber Agent | TONAR + 0.35% | Monthly | GSCO | 2/11/27 | 15970437 | JPY | 3596 |
|  Cyberlink Corp | 1-Day FEDEF + 0.10% | Monthly | MSCO | 10/05/26 | 87829 |  | (21048) |
|  Daesang | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 279863 |  | (6781) |
|  Daeyang Electric Co. Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 12/17/26 | 58010 |  | 7721 |
|  Dah Sing Banking Group | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1197802 | HKD | 56778 |
|  Daihanpharm | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 48978 |  | (2887) |
|  Danieli & C Officine Meccaniche SpA | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 214876 | EUR | 270116 |
|  Danske Bank A/S | 1-Week CIBOR + 0.275% | Monthly | SEBA | 11/13/30 | 255042 | DKK | 9230 |
|  Datatec Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCS | 11/27/30 | 2931972 | ZAR | 76172 |
|  DBA Group | Euro STR + 0.35% | Monthly | JPHQ | 11/03/30 | 35145 | EUR | 5234 |
|  DCC PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 132944 | GBP | 22023 |
|  Deceuninck | Euro STR + 0.35% | Monthly | JPHQ | 11/07/30 | 28313 | EUR | 4251 |
|  Dedicare AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 5/27/26 | 265776 | SEK | (5721) |
|  Delfi | 1-Day SORA + 0.30% | Monthly | MSCO | 12/15/26 | 32369 | SGD | 7584 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  DEME Group | Euro STR + 0.35% | Monthly | JPHQ | 8/22/30 | 132786 | EUR | $101114 |
|  Deutsche Bank AG | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 160861 | EUR | 75545 |
|  Deutsche Lufthansa AG | Euro STR + 0.35% | Monthly | JPHQ | 9/06/34 | 142561 | EUR | 636 |
|  Develia SA | 1-Day FEDEF + 1.25% | Monthly | MSCO | 12/19/30 | 39091 |  | 21287 |
|  Dfirg Usd | 1-Day FEDEF + 0.40% | Monthly | MSCO | 7/10/26 | 214495 |  | 50469 |
|  Digiplus Interactive Corp. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/19/26 | 170831 |  | (53318) |
|  Digital Hearts Holdings | TONAR + 0.35% | Monthly | GSCO | 2/15/27 | 2551476 | JPY | 821 |
|  Digital Information Techn | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 4572368 | JPY | (3153) |
|  Dingzing Advanced Materia | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 112885 |  | (22649) |
|  Dip Corporation | TONAR + 0.35% | Monthly | GSCO | 12/04/26 | 15874200 | JPY | (3703) |
|  Distribuidora Internacional | 1-Day EONIA + 0.275% | Monthly | MSCO | 2/18/31 | 78284 | EUR | 69403 |
|  Dit Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 8/17/26 | 70072 |  | 32619 |
|  DKSH Switzerland Ltd. | 1-Day SARON + 0.35% | Monthly | JPHQ | 7/17/26 | 81251 | CHF | 11481 |
|  DNO ASA | 1-Week NIBOR + 0.28% | Monthly | SEBA | 7/15/29 | 361460 | NOK | 5892 |
|  DO & CO AG | Euro STR + 0.35% | Monthly | JPHQ | 9/06/30 | 142190 | EUR | 19279 |
|  Dogan Holding | 1-Day FEDEF + 1.25% | Monthly | MSCO | 9/25/26 | 266297 |  | 19170 |
|  Dogus Otomotiv | 1-Day FEDEF + 1.25% | Monthly | MSCS | 1/22/29 | 211115 |  | 24876 |
|  Dom Development | 1-Day FEDEF + 1.25% | Monthly | MSCS | 11/28/30 | 31814 |  | 20524 |
|  Dongkook Pharm | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 205901 |  | 26197 |
|  Dongsung Finetec | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 164883 |  | 14846 |
|  Dormakaba Holding AG | 1-Day SARON + 0.35% | Monthly | JPHQ | 3/04/31 | 286583 | CHF | (17535) |
|  Doublegames Co. Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 12/01/26 | 87413 |  | 572 |
|  Doutor Nichires Holdings | 1-Day TONAR + 0.35% | Monthly | GSCO | 10/12/26 | 20715181 | JPY | 20183 |
|  Downer Edi Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 219560 | AUD | 38712 |
|  Dr. Martens PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 3/02/31 | 114332 | GBP | 6823 |
|  Drax Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 274958 | GBP | 158251 |
|  Duerr AG | Euro STR + 0.35% | Monthly | JPHQ | 2/17/31 | 175767 | EUR | 53285 |
|  Dufry AG | Euro STR + 0.35% | Monthly | JPHQ | 8/16/29 | 273452 | CHF | 55795 |
|  DWS Group SE | Euro STR + 0.35% | Monthly | JPHQ | 12/07/26 | 101808 | EUR | 12092 |
|  E1 Corporation | 1-Day FEDEF + 0.10% | Monthly | MSCO | 2/05/27 | 29367 |  | 748 |
|  East West Banking Corporation | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 248 |  | 54 |
|  Easy Holdings Co. Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 1/07/27 | 42931 |  | 6382 |
|  Easyjet PLC | 1-Day SONIA + 0.35% | Monthly | MSCO | 7/17/26 | 280152 | GBP | (26947) |
|  Ebro Foods | 1-Day EONIA + 0.35% | Monthly | MSCO | 12/04/30 | 147034 | EUR | 38851 |
|  Eckert & Ziegler SE | Euro STR + 0.35% | Monthly | JPHQ | 1/07/31 | 135287 | EUR | (5042) |
|  Econocom Group SE | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 39045 | EUR | (2920) |
|  Eeka Fashion Holdings Ltd. | HONIA + 0.35% | Monthly | GSCO | 1/27/27 | 218166 | HKD | (1103) |
|  EFG International AG | 1-Day SARON + 0.35% | Monthly | JPHQ | 7/17/30 | 206959 | CHF | 177877 |
|  EG Industries Bhd | 1-Day FEDEF + 0.25% | Monthly | MSCO | 10/30/26 | 51600 |  | (2355) |
|  Eiffage SA | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/17/29 | 67213 | EUR | 26770 |
|  El.En. SpA | Euro STR + 0.35% | Monthly | JPHQ | 7/13/29 | 126402 | EUR | 22867 |
|  Elecom Co. | 1-Day TONAR + 0.35% | Monthly | GSCO | 9/30/26 | 10040271 | JPY | (6) |
|  Elekta AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 8/05/29 | 1336164 | SEK | (2739) |
|  Elior Group | 1-Day EONIA + 0.275% | Monthly | MSCO | 9/08/30 | 182401 | EUR | 2795 |
|  Elmera Group ASA | 1-Week NIBOR + 0.275% | Monthly | SEBA | 1/27/31 | 471656 | NOK | (3915) |
|  Elmos Semiconductor SE | Euro STR + 0.35% | Monthly | JPHQ | 7/18/30 | 20243 | EUR | 12832 |
|  Elnusa Tbk | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/29/26 | 30431 |  | 20701 |
|  E-Mart Inc | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 210277 |  | 34860 |
|  Emlpayment Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 8/26/26 | 95835 | AUD | (23286) |
|  Emmi | 1-Day SARON + 0.35% | Monthly | JPHQ | 11/09/26 | 183203 | CHF | 24024 |
|  Enagas SA | 1-Day EONIA + 0.275% | Monthly | MSCO | 6/11/26 | 128701 | EUR | 18774 |
|  Endeavour Mining Plc Ord | 1-Day SONIA + 0.275% | Monthly | MSCO | 2/17/27 | 47301 | GBP | 8477 |
|  Endesa SA | 1-Day EONIA + 0.35% | Monthly | MSCS | 1/13/31 | 166571 | EUR | 103976 |
|  Endo Lighting Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 12732114 | JPY | 19670 |
|  Enea AB | 1-Day FEDEF + 0.30% | Monthly | MSCS | 7/17/26 | 147647 |  | 109181 |
|  Enel Group | 1-Day EONIA + 0.40% | Monthly | MSCS | 12/05/30 | 882222 | EUR | 110353 |
|  Engie SA | 1-Day EONIA + 0.40% | Monthly | MSCO | 9/25/30 | 1438326 | EUR | 169294 |
|  Ennoconn Corporation | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 174797 |  | (1518) |
|  EnQuest PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/27/30 | 125998 | GBP | 29011 |
|  Entra ASA | 1-Week NIBOR + 0.275% | Monthly | SEBA | 5/05/26 | 1640931 | NOK | (11215) |
|  Equasens | 1-Day EONIA + 0.275% | Monthly | MSCO | 11/17/26 | 41838 | EUR | (6653) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Equity Flows | Fixed 0.00% | Monthly | JPHQ | 6/30/26 | 2093250 |  | $6352 |
|  Equity Low Beta | Fixed 0.00% | Monthly | DBAB | 6/29/31 | 3605760 |  | 164774 |
|  Equity Momentum | Fixed 0.00% | Monthly | DBAB | 6/29/31 | 8874589 |  | 602386 |
|  Equity Value | Fixed 0.00% | Monthly | DBAB | 6/29/31 | 12864480 |  | (274823) |
|  Erajaya Tbk | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/25/26 | 103567 |  | (6246) |
|  Erex Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 7/20/26 | 9404863 | JPY | 3102 |
|  Ericsson | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 3779912 | SEK | 114044 |
|  Esr REIT | 1-Day SORA + 0.40% | Monthly | MSCO | 11/26/26 | 128503 | SGD | (5761) |
|  Eubiologics Co Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 9/02/26 | 128129 |  | 9353 |
|  Eurocash | 1-Day FEDEF + 1.25% | Monthly | MSCS | 1/06/31 | 76274 |  | (11845) |
|  Eurocell PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 9/24/30 | 44019 | GBP | (13632) |
|  Eurocommercial Properties NV | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 162636 | EUR | 26269 |
|  Eurofins Scientific | 1-Day EONIA + 0.275% | Monthly | MSCO | 7/17/30 | 210279 | EUR | 31566 |
|  Eva Airways | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/19/26 | 279729 |  | (18310) |
|  Eva Precision Industrial | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 412277 | HKD | 7267 |
|  Evergreen Aviation Technology | 1-Day FEDEF + 0.10% | Monthly | MSCO | 1/22/27 | 66945 |  | 4498 |
|  Everlight Electronics Co. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 9/28/26 | 75741 |  | 3044 |
|  Everplay Group PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 4/15/26 | 181748 | GBP | (32747) |
|  EVN AG | Euro STR + 0.35% | Monthly | JPHQ | 3/18/26 | 31382 | EUR | 404 |
|  EVS Broadcast Equipment SA | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 82683 | EUR | (1199) |
|  Exem Co Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 7/20/26 | 49872 |  | (8409) |
|  Exor NV | Euro STR + 0.35% | Monthly | JPHQ | 2/28/31 | 296150 | EUR | (1027) |
|  F&P Health Fpo Nzx | 1-Day NZOCR + 0.30% | Monthly | MSCO | 1/08/27 | 138764 | AUD | 2873 |
|  Fabege AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 11/21/29 | 2264318 | SEK | 6245 |
|  Facc AG | Euro STR + 0.35% | Monthly | JPHQ | 2/23/27 | 27911 | EUR | 5130 |
|  Fagron NV | Euro STR + 0.35% | Monthly | JPHQ | 8/19/30 | 55185 | EUR | 5822 |
|  Far Eastern New Century | 1-Day FEDEF + 0.10% | Monthly | MSCO | 9/28/26 | 197591 |  | 5168 |
|  Farm Fresh Berhad | 1-Day FEDEF + 0.25% | Monthly | MSCO | 9/14/26 | 34592 |  | 3609 |
|  Ferrotec Corporation | TONAR + 0.35% | Monthly | GSCO | 2/19/27 | 4574905 | JPY | (837) |
|  Ficont Industry | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 257977 |  | 37262 |
|  Finnair OYJ | Euro STR + 0.275% | Monthly | SEBA | 4/15/26 | 74985 | EUR | 5373 |
|  First Gen Corporation | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 944 |  | 41 |
|  First Pacific Co. | HIBOR + 0.35% | Monthly | GSCO | 7/03/26 | 842192 | HKD | 3694 |
|  First Resources | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 120689 | SGD | 39912 |
|  FirstGroup PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 8/24/30 | 240968 | GBP | 22254 |
|  Fisher & Paykel Healthcare | 1-Day NZOCR + 0.40% | Monthly | MSCO | 6/24/26 | 319169 | NZD | 18324 |
|  Fleetwood Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 9/17/26 | 108849 | AUD | (18315) |
|  Flight Ctr Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 228521 | AUD | (7784) |
|  Focusrite Plc Ord | 1-Day SONIA + 0.275% | Monthly | MSCO | 2/25/27 | 6075 | GBP | (167) |
|  ForFarmers | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 102753 | EUR | 73280 |
|  Formosa Laboratories Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 9/08/26 | 31979 |  | (224) |
|  Forterra Plc Ord | 1-Day SONIA + 0.275% | Monthly | MSCO | 8/27/26 | 101740 | GBP | 4504 |
|  Fortress REIT Ltd. | 1-Day SABOR + 0.50% | Monthly | MSCS | 11/27/30 | 4102817 | ZAR | 98771 |
|  Forvia | 1-Day EONIA + 0.30% | Monthly | MSCS | 12/02/30 | 40205 | EUR | 4478 |
|  Foster Electric Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 27729635 | JPY | 114882 |
|  Fosun International | HONIA + 0.35% | Monthly | GSCO | 2/16/27 | 139086 | HKD | (149) |
|  Foxtons Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 9/18/30 | 56812 | GBP | 3399 |
|  Frasers Property Limited | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 4809 | SGD | 471 |
|  Freebit Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 11337378 | JPY | 4651 |
|  Fuchs Petrolub SE | Euro STR + 0.35% | Monthly | JPHQ | 4/25/26 | 133356 | EUR | 3875 |
|  Fufeng Group Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1132748 | HKD | 3540 |
|  Fuji Seal International | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 17852891 | JPY | 1759 |
|  Fukuda Denshi Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 772509 | JPY | 1619 |
|  Furyu Corporation | TONAR + 0.35% | Monthly | GSCO | 2/19/27 | 1906135 | JPY | 682 |
|  Fusheng Precision Co Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 159165 |  | (14070) |
|  Futaba Industrial Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 12101144 | JPY | 40434 |
|  Fuyao Glass Industry | HONIA + 0.35% | Monthly | MSCO | 1/18/27 | 90736 |  | (952) |
|  Fuyao Glass Industry Group | HIBOR + 0.35% | Monthly | GSCO | 6/26/26 | 1648405 | HKD | 14878 |
|  Fuzhou Rockchip Electric | 1-Day FEDEF + 1.00% | Monthly | MSCO | 1/26/27 | 43969 |  | (2006) |
|  GA Technologies Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 45858720 | JPY | (9805) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Gakken Holdings Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 14021655 | JPY | $7157 |
|  Galenica AG | 1-Day SARON + 0.35% | Monthly | JPHQ | 7/17/29 | 210181 | CHF | 20586 |
|  Galliford Try Holdings PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 103277 | GBP | 82782 |
|  Gas Malaysia Berhad | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 39102 |  | 8434 |
|  <sup>b</sup>Gazprom PJSC ADR | 1-Day FEDEF | Monthly | MSCS | 1/31/31 | 173903 |  |  |
|  GDI Prop Stapled | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 111284 | AUD | (3355) |
|  GEA Group | Euro STR + 0.35% | Monthly | JPHQ | 6/05/26 | 83508 | EUR | 12685 |
|  Geely Automobile Holdings | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1581509 | HKD | (10578) |
|  Genians Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 7/28/26 | 43486 |  | (11164) |
|  Genius Electronic Optical | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 284548 |  | (1669) |
|  Genmab A/S | 1-Week CIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 1002703 | DKK | 32439 |
|  Genus PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 8/22/30 | 178590 | GBP | 43983 |
|  Gestamp Automocion SA | 1-Day EONIA + 0.35% | Monthly | MSCS | 7/17/30 | 227553 | EUR | 68 |
|  Getac Holdings Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 12/10/26 | 92495 |  | (2097) |
|  Getinge AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/28 | 2665568 | SEK | 5240 |
|  Gfpt Public Company Limit | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 141194 |  | 15534 |
|  Giordano International | HIBOR + 0.35% | Monthly | GSCO | 9/09/26 | 332531 | HKD | (1400) |
|  Global Mixed Mode Technology | 1-Day FEDEF + 0.10% | Monthly | MSCO | 9/22/26 | 96231 |  | 7615 |
|  Global One Real Estate | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 16468070 | JPY | 2261 |
|  Global Power Synergy Pcl | 1-Day FEDEF + 0.25% | Monthly | MSCO | 2/10/27 | 38041 |  | 4455 |
|  Global Tax Free Co. Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 1/07/27 | 60734 |  | (1910) |
|  GMO Internet Group Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 34232712 | JPY | (36749) |
|  GN Store Nord AS | 1-Week CIBOR + 0.275% | Monthly | SEBA | 12/08/26 | 850629 | DKK | (16107) |
|  Golden Agr-Res | 1-Day SORA + 0.30% | Monthly | MSCO | 12/02/26 | 96380 | SGD | 1258 |
|  Goodbaby Intl Hldgs Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/30/26 | 888156 | HKD | (7552) |
|  Gpt Stapled | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 279749 | AUD | (2331) |
|  Grand City Properties SA | Euro STR + 0.35% | Monthly | JPHQ | 11/27/28 | 133640 | EUR | 7249 |
|  Grape King Bio Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 74318 |  | (4217) |
|  Great Wall Motor Company | HIBOR + 0.35% | Monthly | GSCO | 10/06/26 | 1616956 | HKD | (31016) |
|  Greatek Electronics Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 86995 |  | 42416 |
|  Greencore Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 9/12/30 | 208911 | GBP | 109550 |
|  Greentown Service Group C | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 2421173 | HKD | (5123) |
|  Grenke AG | Euro STR + 0.35% | Monthly | JPHQ | 11/30/26 | 118727 | EUR | (2995) |
|  Grifols SA | 1-Day EONIA + 0.35% | Monthly | MSCO | 3/25/26 | 179034 | EUR | 578 |
|  Grupa Azoty SA | 1-Day FEDEF + 0.30% | Monthly | MSCS | 7/17/30 | 130097 |  | (14512) |
|  Grupo Empresarial San Jose | 1-Day EONIA + 0.275% | Monthly | MSCO | 9/22/26 | 55987 | EUR | 22083 |
|  GTT | 1-Day EONIA + 0.275% | Monthly | MSCO | 10/28/26 | 158538 | EUR | 23969 |
|  Guangdong Haid Group | 1-Day FEDEF + 0.25% | Monthly | MSCO | 8/28/26 | 46920 |  | (6134) |
|  Guangdong Investment | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 2024795 | HKD | 19621 |
|  Guangshen Railway Co. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 61703 |  | 3629 |
|  Guangzhou Baiyun | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 93788 |  | 2794 |
|  Guangzhou Baiyunshan | HONIA + 0.35% | Monthly | GSCO | 1/13/27 | 150443 | HKD | 380 |
|  Gulf Marine Services Plc | 1-Day SONIA + 0.275% | Monthly | MSCO | 8/27/26 | 30280 | GBP | 13260 |
|  Gurit | 1-Day SARON + 0.35% | Monthly | JPHQ | 11/06/30 | 20664 | CHF | 25995 |
| H. Lundbeck A/S | 1-Week CIBOR + 0.28% | Monthly | SEBA | 11/27/30 | 426092 | DKK | (1704) |
|  H.I.S. Co. Ltd. | TONAR + 0.35% | Monthly | GSCO | 12/04/26 | 28550951 | JPY | (1802) |
|  Hafnia Ltd. | 1-Week NIBOR + 0.275% | Monthly | SEBA | 4/15/26 | 2267268 | NOK | 97281 |
|  Haier Smart Home Co Ltd. | HIBOR + 0.35% | Monthly | GSCO | 10/06/26 | 1997545 | HKD | 9034 |
|  Halfords Group Ord | 1-Day SONIA + 0.255% | Monthly | MSCO | 12/07/26 | 66916 | GBP | 2296 |
|  Hallenstein Glassons Hldg | 1-Day NZOCR + 0.40% | Monthly | MSCO | 6/24/26 | 65867 | NZD | 5979 |
|  Hammerson PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 11/27/30 | 169922 | GBP | 68483 |
|  Hana Financial Group | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 189936 |  | 56558 |
|  Hancom Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 3/01/27 | 6363 |  | (148) |
|  Hankuk Carbon Co. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 11/23/26 | 85786 |  | 33092 |
|  Hanwa Co. Ltd. | TONAR + 0.35% | Monthly | GSCO | 2/15/27 | 4400716 | JPY | 533 |
|  Hanwha General Ins | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 173236 |  | 51122 |
|  Happinet Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 21535290 | JPY | 16971 |
|  Harbin Electric Co Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 358959 | HKD | 112494 |
|  Harmony Gold Mining Co. Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCO | 3/06/26 | 4535437 | ZAR | 83452 |
|  Hartadinata Abadi | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/25/26 | 1521 |  | 3611 |
|  Hd Hyundai | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 62932 |  | 45367 |
|  Hd Hyundai Energy Solutions | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 103655 |  | 83320 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  HDC Holdings Co. Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 12/07/26 | 97343 |  | $29532 |
|  Hdksoe | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 253729 |  | 30313 |
|  Heba Fastighets Ab Ser B | 1-Week STIBOR + 0.275% | Monthly | SEBA | 6/24/26 | 321605 | SEK | 375 |
|  Hecto Innovation | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 74671 |  | 28942 |
|  Heidelberger Druckmaschin | Euro STR + 0.35% | Monthly | JPHQ | 11/30/26 | 128743 | EUR | (37609) |
|  Heijmans NV | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 166120 | EUR | 225485 |
|  Heineken Malaysia Berhad | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 26458 |  | 1883 |
|  HelloFresh SE | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 230933 | EUR | (90710) |
|  Hexatronic Group AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 12/18/35 | 1461918 | SEK | 4449 |
|  Hiag Immobilien | 1-Day SARON + 0.35% | Monthly | JPHQ | 9/12/30 | 100774 | CHF | 57904 |
|  Highton Ord | 1-Day FEDEF + 0.25% | Monthly | MSCS | 12/02/31 | 321565 |  | 18729 |
|  Hilton Food Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 10/18/30 | 51423 | GBP | (10396) |
|  Hisense Home Appliances | HIBOR + 0.35% | Monthly | GSCO | 7/06/26 | 2022753 | HKD | 1491 |
|  Hito-Communications Holdings | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 8245948 | JPY | (1028) |
|  Hoist Finance AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 11/27/30 | 1410170 | SEK | 149255 |
|  Holcim Ltd. | 1-Day SARON + 0.35% | Monthly | JPHQ | 5/09/26 | 62500 | CHF | 383 |
|  Hong Kong Exchanges & CLE | HIBOR + 0.35% | Monthly | GSCO | 9/28/26 | 942759 | HKD | (2883) |
|  Hong Leong Asia | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 91822 | SGD | 46114 |
|  Hong Leong Industries Bhd | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 49984 |  | 18590 |
|  Horizon Oil Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 70998 | AUD | 9899 |
|  HORNBACH Holding AG & Co. KGaA | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 148672 | EUR | (392) |
|  Hosokawa Micron Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 16801183 | JPY | 39916 |
|  HPH Trust USD | 1-Day FEDEF + 0.40% | Monthly | MSCO | 11/06/26 | 79375 |  | 3959 |
|  Huadian Power International | HIBOR + 0.35% | Monthly | GSCO | 10/06/26 | 1385168 | HKD | 10228 |
|  Huayu Automotive System | 1-Day FEDEF + 1.00% | Monthly | MSCO | 12/03/26 | 33351 |  | 455 |
|  Hugel | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 63612 |  | 1286 |
|  Hugo Boss AG | Euro STR + 0.35% | Monthly | JPHQ | 7/17/26 | 321516 | EUR | (22322) |
|  Huhtamaki OYJ | Euro STR + 0.275% | Monthly | SEBA | 1/30/31 | 338127 | EUR | (34084) |
|  Human Hldgs Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 2499738 | JPY | 1558 |
|  Humana AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 833362 | SEK | 1808 |
|  Humedix | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 43184 |  | 1486 |
|  Hunting PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/27/28 | 125171 | GBP | 80968 |
|  Husqvarna AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 9/25/30 | 3266906 | SEK | (45220) |
|  HUUUGE Inc. | 1-Day FEDEF + 1.25% | Monthly | MSCS | 7/01/27 | 68849 |  | 7308 |
|  Hwaway Tech Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 1/25/27 | 64783 |  | (1273) |
|  Hyundai Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 11/24/26 | 34830 |  | 8105 |
|  Hyundai Department Store | 1-Day FEDEF + 0.10% | Monthly | MSCO | 9/02/26 | 119554 |  | 29104 |
|  Hyundai Glovis | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 69482 |  | 48565 |
|  Hyundai Marine & Fire | 1-Day FEDEF + 0.10% | Monthly | MSCO | 1/07/27 | 107516 |  | 19553 |
|  Hyundai Wia | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 163334 |  | 113353 |
|  Icade | 1-Day EONIA + 0.275% | Monthly | MSCO | 7/13/26 | 161746 | EUR | 533 |
|  ID Holdings Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 8246554 | JPY | (4305) |
|  IFast | 1-Day SORA + 0.30% | Monthly | MSCO | 2/26/27 | 19607 | SGD | (80) |
|  IG Design Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/27/30 | 52149 | GBP | (19776) |
|  IGG Inc. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1680870 | HKD | (48131) |
|  InBody | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 96659 |  | 15003 |
|  Incap Corp. | Euro STR + 0.28% | Monthly | SEBA | 8/22/30 | 45150 | EUR | 1804 |
|  Indeks Bilgisayar Sistemleri Muhendislik Sanayi ve Ticaret AS | 1-Day FEDEF + 0.30% | Monthly | MSCS | 7/17/28 | 55803 |  | (3855) |
|  Index Living Mall Pcl | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 24034 |  | 5574 |
|  Indosat | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/25/26 | 31439 |  | 245 |
|  Indus-Holding AG | Euro STR + 0.35% | Monthly | JPHQ | 10/11/30 | 67344 | EUR | 21370 |
|  Industri Jamu & Farmasi | 1-Day FEDEF + 0.35% | Monthly | MSCO | 12/01/26 | 31543 |  | (420) |
|  Infomart Corporation | TONAR + 0.35% | Monthly | GSCO | 12/16/26 | 14405195 | JPY | 847 |
|  Ingenia Stapled | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 395080 | AUD | (38984) |
|  Inghams Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 317810 | AUD | (86847) |
|  Inmobiliaria Colonial | 1-Day EONIA + 0.35% | Monthly | MSCS | 11/27/30 | 245360 | EUR | (7917) |
|  Instone Real Estate Group SE | Euro STR + 0.35% | Monthly | JPHQ | 12/12/30 | 22789 | EUR | 8152 |
|  Integrafin Holdings Plc | 1-Day SONIA + 0.275% | Monthly | MSCO | 11/18/26 | 185589 | GBP | (19223) |
|  <sup>c</sup>Integrated Service Tech rts. | Fixed 0.00% | Monthly | MSCO | 10/29/26 |  |  | 2830 |
|  International Consolidated Airlines Group SA | 1-Day SONIA + 0.30% | Monthly | MSCS | 5/27/26 | 203454 | GBP | 179522 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Intesa Sanpaolo SpA | Euro STR + 0.35% | Monthly | JPHQ | 4/22/26 | 180718 | EUR | $38462 |
|  Investec Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCO | 9/15/30 | 3496776 | ZAR | 11689 |
|  Ionos Group SE | Euro STR + 0.35% | Monthly | JPHQ | 11/06/30 | 93998 | EUR | (23775) |
|  IP Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/29 | 47055 | GBP | (2830) |
|  Ipsos Group SA | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/17/30 | 125030 | EUR | 7755 |
|  Iren | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 256175 | EUR | 29192 |
|  ISDN | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 24796 | SGD | 4661 |
|  Ishihara Sangyo Kaisha | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 17130224 | JPY | 73445 |
|  ISS A/S | 1-Week CIBOR + 0.28% | Monthly | SEBA | 11/27/30 | 1167211 | DKK | 19676 |
|  Ive Group FPO | 1-Day RBACR + 0.40% | Monthly | MSCO | 7/28/26 | 96632 | AUD | 1501 |
|  Iyogin Holdings Inc | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 12371247 | JPY | 74995 |
|  Jacquet Metals SA | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/17/30 | 10603 | EUR | 2062 |
|  Jafco Group Co. Ltd. | TONAR + 0.35% | Monthly | GSCO | 12/08/26 | 16155892 | JPY | 2694 |
|  Japan Airlines Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 34766712 | JPY | 23150 |
|  Japan Investment Adviser | TONAR + 0.35% | Monthly | GSCO | 2/08/27 | 5502816 | JPY | (738) |
|  Japan Material Co. Ltd. | TONAR + 0.35% | Monthly | GSCO | 2/16/27 | 9743392 | JPY | 3268 |
|  Japan Post Bank Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 10419091 | JPY | 35156 |
|  Japan Property Management | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 8764728 | JPY | 10216 |
|  Japfa Comfeed Indonesia | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/23/26 | 2308 |  | (238) |
|  Jardine C&C | 1-Day SORA + 0.40% | Monthly | MSCO | 8/19/26 | 69193 | SGD | 9570 |
|  Jaya Tiasa Holdings Bhd | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 99120 |  | 7706 |
|  Jb Hi-Fi Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 297027 | AUD | (42040) |
|  JBCC Holdings Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 9652484 | JPY | (825) |
|  JCDecaux SE | 1-Day EONIA + 0.30% | Monthly | MSCS | 11/07/30 | 268449 | EUR | 31114 |
|  JD Logistics Inc. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 97295 | HKD | (370) |
|  Jet2 PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/18/30 | 261688 | GBP | (37688) |
|  JG Summit Holdings Inc. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 9/30/26 | 61576 |  | 18208 |
|  Jiangsu Changshu | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/29/26 | 71193 |  | (45) |
|  Jiangsu Guotai | 1-Day FEDEF + 1.00% | Monthly | MSCO | 12/03/26 | 105215 |  | 5661 |
|  Jiangsu Hengli | 1-Day FEDEF + 1.00% | Monthly | MSCO | 1/26/27 | 25234 |  | (569) |
|  Jiangsu Suzhou Rural | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/29/26 | 70126 |  | (2862) |
|  Jig Jp Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 2911078 | JPY | (2209) |
|  Jinan Acetate Chemical Co. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 7/02/26 | 291688 |  | (107550) |
|  Jins Holdings Inc. | TONAR + 0.35% | Monthly | GSCO | 7/15/26 | 4824383 | JPY | 103 |
|  JMH | 1-Day FEDEF + 0.40% | Monthly | MSCO | 7/13/26 | 94498 |  | 37385 |
|  JNBY Design Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1661720 | HKD | 42787 |
|  Johnson Electric Holdings | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 582616 | HKD | 16619 |
|  Johnson Health Tech | 1-Day FEDEF + 0.10% | Monthly | MSCO | 9/25/26 | 49222 |  | (6166) |
|  Johnson Service Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 6/07/26 | 147269 | GBP | 3247 |
|  JOST Werke SE | Euro STR + 0.35% | Monthly | JPHQ | 7/05/26 | 40507 | EUR | 7609 |
|  JP Holdings Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 8286890 | JPY | 20365 |
|  JSE Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCO | 9/15/30 | 2405746 | ZAR | 28703 |
|  JSP Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 4416770 | JPY | 14000 |
|  Jtekt Corporation | TONAR + 0.35% | Monthly | GSCO | 6/19/26 | 28087808 | JPY | 118731 |
|  Julius Baer | Euro STR + 0.35% | Monthly | JPHQ | 7/17/29 | 177486 | CHF | 20066 |
|  JVM | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 113435 |  | (12267) |
|  JW Pharmaceutical | 1-Day FEDEF + 0.10% | Monthly | MSCO | 1/07/27 | 54897 |  | 12376 |
|  K Car | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 87198 |  | (4773) |
|  K+S AG | Euro STR + 0.35% | Monthly | JPHQ | 12/07/26 | 55003 | EUR | 11902 |
|  Kaimei Electronic Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 2/25/27 | 39310 |  | (32) |
|  Kainos Group Plc Ord | 1-Day SONIA + 0.263% | Monthly | MSCO | 1/14/27 | 79800 | GBP | (20806) |
|  Kalbe Farma | 1-Day FEDEF + 0.35% | Monthly | MSCO | 10/08/26 | 55884 |  | (3665) |
|  Kalekim Kimyevi Maddeler | 1-Day FEDEF + 1.25% | Monthly | MSCO | 8/11/26 | 137761 |  | 15651 |
|  Kalmar Oyj | Euro STR + 0.275% | Monthly | SEBA | 8/23/29 | 86884 | EUR | 25762 |
|  Kanamoto Co Ltd | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 31677772 | JPY | 51033 |
|  Kaneka Corp. | 1-Day TONAR + 0.35% | Monthly | GSCO | 11/30/26 | 14427511 | JPY | 15720 |
|  Kanematsu Corp | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 31780576 | JPY | 119162 |
|  Kansai Paint Co. Ltd. | TONAR + 0.35% | Monthly | GSCO | 2/09/27 | 8476089 | JPY | 571 |
|  Kaufman ET Broad | 1-Day EONIA + 0.30% | Monthly | MSCS | 12/02/30 | 118488 | EUR | 5609 |
|  KCTech Co. Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 1/12/27 | 61455 |  | 13022 |
|  Keller Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 158186 | GBP | 94140 |
|  Kepco | 1-Day FEDEF + 4.00% | Monthly | MSCO | 6/24/26 | 137680 |  | 50762 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Kernel Holding SA | 1-Day FEDEF + 0.30% | Monthly | MSCS | 7/17/30 | 11632 |  | $17773 |
|  Kia Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/23/26 | 161862 |  | 115362 |
|  Kier Group Plc | 1-Day SONIA + 0.275% | Monthly | MSCO | 10/29/26 | 66984 | GBP | 6061 |
|  KIH | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 47638 |  | 22744 |
|  Kina Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 68204 | AUD | (921) |
|  Kingfa SCI&Tech Co. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 74625 |  | 34776 |
|  Kion Group AG | Euro STR + 0.35% | Monthly | JPHQ | 11/27/28 | 61217 | EUR | (5735) |
|  Kioxia Holdings Corporation | TONAR + 0.35% | Monthly | GSCO | 2/26/27 | 4233416 | JPY | 55 |
|  Kip Real Estate Investments | 1-Day FEDEF + 0.25% | Monthly | MSCO | 9/14/26 | 44439 |  | 5409 |
|  Kitron ASA | 1-Week NIBOR + 0.28% | Monthly | SEBA | 7/19/29 | 843649 | NOK | 36229 |
|  The Klinique Medical Clinic | 1-Day FEDEF + 0.25% | Monthly | MSCO | 9/02/26 | 51236 |  | (3135) |
|  KoganCom Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 171094 | AUD | 16472 |
|  Kojamo Plc | Euro STR + 0.275% | Monthly | SEBA | 2/23/27 | 53673 | EUR | 392 |
|  Kolmar Korea | 1-Day FEDEF + 0.10% | Monthly | MSCO | 1/07/27 | 49413 |  | 8128 |
|  Konecranes OYJ | Euro STR + 0.28% | Monthly | SEBA | 11/22/30 | 204642 | EUR | 100374 |
|  Kongsberg Gruppen As | 1-Week NIBOR + 0.275% | Monthly | SEBA | 7/17/30 | 1395857 | NOK | 54410 |
|  Koninklijke Ahold Delhaize NV | Euro STR + 0.35% | Monthly | JPHQ | 7/17/26 | 310999 | EUR | 92969 |
|  Koninklijke BAM Groep NV | Euro STR + 0.35% | Monthly | JPHQ | 8/14/30 | 188920 | EUR | 156440 |
|  Konoike Transport Co Limited | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 44360642 | JPY | 45130 |
|  Korea Gas | 1-Day FEDEF + 0.10% | Monthly | MSCO | 9/02/26 | 55773 |  | 122 |
|  KorElecTerm | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 179961 |  | 27328 |
|  Koyou Rentia Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/25/26 | 1833150 | JPY | 2513 |
|  KPIC | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 247828 |  | 160569 |
|  Krones AG | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 88825 | EUR | 6099 |
|  KT Skylife Co Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 10/30/26 | 18649 |  | 43 |
|  Kubell Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 6690074 | JPY | (13887) |
|  Kumba Iron Ore Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCO | 3/25/26 | 3428808 | ZAR | 28483 |
|  KWS Saat SE & Co. KGaA | Euro STR + 0.35% | Monthly | JPHQ | 8/15/30 | 97954 | EUR | 22894 |
|  L.D.C. | 1-Day EONIA + 0.275% | Monthly | MSCO | 9/15/26 | 52513 | EUR | 6498 |
|  La Francaise Des Jeux SA | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/17/30 | 90382 | EUR | 1009 |
|  Lens Technology Co. | 1-Day FEDEF + 1.00% | Monthly | MSCO | 6/24/26 | 74310 |  | 10787 |
|  Leo Palace 21 Corp. | TONAR + 0.35% | Monthly | GSCO | 6/22/26 | 25971860 | JPY | 33289 |
|  Leong Hup International | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 68110 |  | 23386 |
|  LG Electronics | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 158574 |  | 106493 |
|  LG Innotek | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 187623 |  | 89330 |
|  LG Uplus | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 267791 |  | 29616 |
|  Life Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 33175458 | JPY | 46050 |
|  Lime Technologies AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 1/22/27 | 858676 | SEK | (19259) |
|  Linea Directa Aseguradora | 1-Day EONIA + 0.275% | Monthly | MSCO | 6/08/26 | 44554 | EUR | 3699 |
|  Lion Travel Service Co Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 227057 |  | 11424 |
|  Lisi | 1-Day EONIA + 0.275% | Monthly | MSCO | 10/28/26 | 86198 | EUR | 11100 |
|  Livzon Pharmaceutical Group | HIBOR + 0.35% | Monthly | GSCO | 7/03/26 | 974683 | HKD | (13017) |
|  Logitech International | 1-Day SARON + 0.35% | Monthly | JPHQ | 2/17/31 | 270690 | CHF | 28150 |
|  Lonking Holdings Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 894801 | HKD | 43206 |
|  Loomis AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/15/26 | 3900192 | SEK | 56958 |
|  Lotte Fine Chem | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 93908 |  | 14320 |
|  Lotte Rental Co Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 8/14/26 | 35195 |  | 4412 |
|  LPP | 1-Day FEDEF + 1.25% | Monthly | MSCS | 10/10/35 | 208331 |  | 5405 |
|  LT Group Inc. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 10833 |  | 961 |
|  Lumax International Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 90494 |  | 21345 |
|  Luotea Oyj | Euro STR + 0.275% | Monthly | SEBA | 1/27/31 | 28613 | EUR | (24698) |
|  LY Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 20410678 | JPY | (28192) |
|  Lygend Resources & Technologies | HONIA + 0.35% | Monthly | GSCO | 1/07/27 | 525768 | HKD | 11724 |
|  M Up Holdings Inc. | 1-Day TONAR + 0.35% | Monthly | GSCO | 10/21/26 | 10707152 | JPY | (16962) |
|  Mabuchi Motor Co. | TONAR + 0.35% | Monthly | GSCO | 12/16/26 | 7784724 | JPY | 14493 |
|  Macmahon Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 131319 | AUD | 75418 |
|  Magnum Berhad | 1-Day FEDEF + 0.25% | Monthly | MSCO | 9/18/26 | 21574 |  | 619 |
|  Maire Tecnimont SpA | Euro STR + 0.35% | Monthly | JPHQ | 8/14/30 | 199455 | EUR | 128659 |
|  Makus Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 12/07/26 | 77599 |  | 35930 |
|  Malayan Cement Berhad | 1-Day FEDEF + 0.25% | Monthly | MSCO | 2/11/27 | 70054 |  | 1047 |
|  Malayan Flour Mills Bhd | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 59037 |  | 17560 |
|  Manila Electric Company | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/23/26 | 5036 |  | 599 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Manitou BF SA | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/17/28 | 34820 | EUR | $8000 |
|  Marimekko Corp. | Euro STR + 0.28% | Monthly | SEBA | 7/17/30 | 34405 | EUR | (5291) |
|  Marketech International | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 215013 |  | 77883 |
|  Marks & Spencer Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 130287 | GBP | 49268 |
|  Marston's PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/27/30 | 108097 | GBP | 81075 |
|  Matsuda Sangyo | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 1508144 | JPY | 12743 |
|  Maxis Berhad | 1-Day FEDEF + 0.25% | Monthly | MSCO | 8/26/26 | 223533 |  | 21580 |
|  Mayr-Melnhof Karton AG | Euro STR + 0.35% | Monthly | JPHQ | 2/05/31 | 69179 | EUR | 31626 |
|  Mazda Motor Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 20696915 | JPY | 59393 |
|  MBB SE | Euro STR + 0.35% | Monthly | JPHQ | 9/11/26 | 57997 | EUR | 14819 |
|  Mcbride Ord | 1-Day SONIA + 0.2544% | Monthly | MSCO | 12/07/26 | 52237 | GBP | 9940 |
|  MCNEX | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 166284 |  | (9333) |
|  ME Group International PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/28/28 | 47913 | GBP | (1248) |
|  Mebuki Financial Group | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 21286229 | JPY | 73401 |
|  Medacta Group | 1-Day SARON + 0.35% | Monthly | JPHQ | 1/07/27 | 19822 | CHF | (697) |
|  Medcap AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 12/09/26 | 1151363 | SEK | (9616) |
|  MediaForEurope | 1-Day EONIA + 0.35% | Monthly | JPHQ | 5/31/26 | 248180 | EUR | 9637 |
|  MediaForEurope | 1-Day EONIA + 0.35% | Monthly | MSCO | 5/31/26 | 103324 | EUR | 36553 |
|  Mediobanca | Euro STR + 0.35% | Monthly | JPHQ | 1/12/27 | 13483 | EUR | 978 |
|  Medmix | 1-Day SARON + 0.35% | Monthly | JPHQ | 11/27/26 | 78738 | CHF | (12668) |
|  Mega Lifesciences Public | 1-Day FEDEF + 0.25% | Monthly | MSCO | 2/04/27 | 39523 |  | (206) |
|  Megastudyedu | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 145211 |  | (4078) |
|  Megaworld Corporation | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 45338 |  | 5126 |
|  Megmilk Snow Brand Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 21520023 | JPY | 30156 |
|  Melia Hotels International | 1-Day EONIA + 0.35% | Monthly | MSCO | 5/20/26 | 94172 | EUR | 13927 |
|  Members Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 7420886 | JPY | (1584) |
|  Mercialys SA | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/17/30 | 45896 | EUR | 7359 |
|  Mercury Nz Ltd. | 1-Day NZOCR + 0.30% | Monthly | MSCO | 12/07/26 | 103977 | NZD | 33 |
|  Mersen | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/17/30 | 69351 | EUR | 16527 |
|  Metals X Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 109206 | AUD | 72739 |
|  MGM China Hldgs Ltd. | HONIA + 0.35% | Monthly | GSCO | 1/25/27 | 887261 | HKD | (4130) |
|  Micreed Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 1258062 | JPY | 348 |
|  Mikron Group | 1-Day SARON + 0.35% | Monthly | JPHQ | 9/12/30 | 19305 | CHF | 3105 |
|  Minor International | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/23/26 | 61686 |  | (602) |
|  Mirait One Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 12426381 | JPY | 42594 |
|  Miroku Jyoho Service Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 7830858 | JPY | (544) |
|  Mitchells & Butlers PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/27/30 | 134702 | GBP | 39076 |
|  Mitie Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 134259 | GBP | 46117 |
|  Mitra Adiperkasa Tbk | 1-Day FEDEF + 0.35% | Monthly | MSCO | 8/31/26 | 37808 |  | 2582 |
|  Mitsubishi Motor Corp. | TONAR + 0.35% | Monthly | GSCO | 12/16/26 | 8365980 | JPY | 6585 |
|  MLP SE | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 12723 | EUR | 1107 |
|  Modern Dental Group Limit | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 760198 | HKD | 28905 |
|  Modern Times Group MTG AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 5/08/26 | 3587132 | SEK | (101174) |
|  Modetour | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 78612 |  | (3170) |
|  Mogan Enerji | 1-Day FEDEF | Monthly | MSCO | 12/01/26 | 36697 |  | 7360 |
|  Molten Ventures PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/33 | 76653 | GBP | (5956) |
|  Monadel Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 177301 | AUD | 83754 |
|  Monde Nissin Corporation | 1-Day FEDEF + 0.25% | Monthly | MSCO | 9/30/26 | 43714 |  | (1951) |
|  Moonpig Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/29 | 128859 | GBP | 8896 |
|  Morita Holdings | TONAR + 0.35% | Monthly | GSCO | 3/01/27 | 297508 | JPY | 11 |
|  Mostostal Zabrze SA | 1-Day FEDEF + 1.25% | Monthly | MSCO | 11/03/30 | 9511 |  | 4019 |
|  Mr Max Holdings Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 2793596 | JPY | 3630 |
|  Mr Price Group Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCO | 3/14/26 | 5940538 | ZAR | (48327) |
|  MT Gibson Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 44642 | AUD | 15466 |
|  MTN Group Ltd. | 1-Day SABOR + 0.32% | Monthly | MSCS | 7/15/26 | 4772963 | ZAR | 179999 |
|  Muhibbah Engineering | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 25988 |  | 160 |
|  Muyuan Foods Co Ltd. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 11/13/26 | 117596 |  | (719) |
|  My Humble House Hospitality | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 57780 |  | (12534) |
|  Nagano Keiki Co Ltd. | 1-Day TONAR + 0.35% | Monthly | GSCO | 9/17/26 | 19701720 | JPY | 37365 |
|  Nagarro SE | Euro STR + 0.35% | Monthly | JPHQ | 1/13/27 | 66185 | EUR | (13586) |
|  Nak Sealing Technologies | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/25/26 | 10648 |  | 788 |
|  Nan Pao Resins Chemical | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 290065 |  | (7300) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Nanosonics Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 8/14/26 | 82573 | AUD | $(9665) |
|  Nanya Technology Corporation | 1-Day FEDEF + 0.10% | Monthly | MSCO | 2/26/27 | 18252 |  | 41 |
|  Napier Holdings Limited | 1-Day NZOCR + 0.30% | Monthly | MSCO | 12/07/26 | 19833 | NZD | 354 |
|  National Express Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 8/26/29 | 2637 | GBP | 931 |
|  National Grid PLC | 1-Day SONIA + 0.40% | Monthly | MSCS | 1/23/31 | 1163645 | GBP | 18431 |
|  Naturgy Energy Group SA | 1-Day EONIA + 0.275% | Monthly | MSCO | 11/06/26 | 234732 | EUR | 2234 |
|  NatWest Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 214713 | GBP | 105019 |
|  NC Chem Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 12/01/26 | 51499 |  | 22474 |
|  NCC AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 2917444 | SEK | 39635 |
|  NEC Corp. | TONAR + 0.35% | Monthly | GSCO | 3/02/27 | 2163605 | JPY | (158) |
|  Nedap | Euro STR + 0.35% | Monthly | JPHQ | 2/11/27 | 44235 | EUR | (1517) |
|  Neowiz | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 151808 |  | (917) |
|  Netbay Public Co Ltd. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 61424 |  | 966 |
|  Netcare Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCS | 10/02/30 | 2418820 | ZAR | 16255 |
|  Netcompany Group AS | 1-Week CIBOR + 0.275% | Monthly | SEBA | 11/13/26 | 1015715 | DKK | (585) |
|  Netease Inc. | HIBOR + 0.35% | Monthly | GSCO | 11/10/26 | 1191062 | HKD | (19534) |
|  Netronix Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 8/19/26 | 114250 |  | (11229) |
|  Netwealth Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 198400 | AUD | (13933) |
|  Newborn Town Inc. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1439150 | HKD | (12282) |
|  Newlat Food | Euro STR + 0.35% | Monthly | JPHQ | 5/22/26 | 177760 | EUR | 938 |
|  Nexans | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/17/30 | 341754 | EUR | (4936) |
|  Nexi | Euro STR + 0.35% | Monthly | JPHQ | 11/30/26 | 295387 | EUR | (44799) |
|  Next Geosolutions Europe | Euro STR + 0.35% | Monthly | JPHQ | 1/25/27 | 29412 | EUR | 2178 |
|  Nextone Inc. | 1-Day TONAR + 0.35% | Monthly | GSCO | 10/29/26 | 14560836 | JPY | (4098) |
|  Nforce Secure Pcl | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 15041 |  | 4441 |
|  NH Foods Ltd. | TONAR + 0.35% | Monthly | GSCO | 7/06/26 | 10113824 | JPY | 17598 |
|  Nihon Dempa Kogyo | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 4535287 | JPY | 19611 |
|  Nihon M&A Center Holdings | TONAR + 0.35% | Monthly | GSCO | 3/01/27 | 2365395 | JPY | 125 |
|  Nihon Trim Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 7750711 | JPY | 5644 |
|  Nilorngruppen AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 11/03/30 | 196069 | SEK | (2808) |
|  Ninety One Limited | 1-Day SABOR + 0.70% | Monthly | MSCO | 8/25/26 | 1870044 | ZAR | 15262 |
|  Ninety One Plc Ord | 1-Day SONIA + 0.275% | Monthly | MSCO | 8/25/26 | 32376 | GBP | 5364 |
|  Niox Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCO | 1/06/31 | 35943 | GBP | 991 |
|  Nippon Carbide Industries | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 8837937 | JPY | 28339 |
|  Nippon Dry Chemical Co Lt | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 12458084 | JPY | 73076 |
|  Nippon Reit Investment Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 16701395 | JPY | 2225 |
|  Nippon Seiki Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 16920742 | JPY | 79903 |
|  Nipro Corp. | TONAR + 0.35% | Monthly | GSCO | 12/04/26 | 13591311 | JPY | 8644 |
|  Nishi Nippon Financial HL | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 10865854 | JPY | 50140 |
|  Nissi ASB Machine Co. | 1-Day TONAR + 0.35% | Monthly | GSCO | 11/11/26 | 7038827 | JPY | 20131 |
|  Nitta Gelatin Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 6980887 | JPY | 23893 |
|  Nitto Kogyo Corporation | 1-Day TONAR + 0.35% | Monthly | GSCO | 11/05/26 | 21970593 | JPY | 27275 |
|  NN Group NV | Euro STR + 0.35% | Monthly | JPHQ | 7/15/26 | 209412 | EUR | 68515 |
|  Nok Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 10066562 | JPY | 33467 |
|  Nolato AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 3/23/26 | 1025542 | SEK | (12696) |
|  Nordea Bank ABP | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 1058751 | SEK | 14392 |
|  Nordex SE | Euro STR | Monthly | JPHQ | 12/01/30 | 159118 | EUR | 254686 |
|  Nordnet Ab | 1-Week STIBOR + 0.275% | Monthly | SEBA | 2/08/27 | 1587702 | SEK | (5802) |
|  Norion Bank AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 3/07/30 | 520809 | SEK | (4664) |
|  Noritsu Koki Co. | TONAR + 0.35% | Monthly | GSCO | 12/16/26 | 35298310 | JPY | 25040 |
|  Norooholdings | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 65832 |  | 5520 |
|  Norsk Hydro ASA | 1-Week NIBOR + 0.275% | Monthly | SEBA | 4/08/30 | 1809761 | NOK | 53489 |
|  Norwegian Air Shuttle ASA | 1-Week NIBOR + 0.28% | Monthly | SEBA | 7/19/30 | 2660701 | NOK | 92752 |
|  Note Ab | 1-Week STIBOR + 0.275% | Monthly | SEBA | 2/25/27 | 193436 | SEK | (11) |
|  Nova Technology Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 184977 |  | 11534 |
|  Novartis AG | 1-Day SARON + 0.35% | Monthly | JPHQ | 4/22/26 | 210833 | CHF | 107652 |
|  Nrwholdltd Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 356829 | AUD | 190586 |
|  Nsl Foods Pcl. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 18926 |  | (1588) |
|  NTN Corp | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 18599987 | JPY | 63344 |
|  Nyfosa AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 9/12/30 | 187151 | SEK | 1174 |
|  Odfjell SE | 1-Week NIBOR + 0.275% | Monthly | SEBA | 4/15/26 | 1178899 | NOK | 29172 |
|  Odfjell Technology Ltd. | 1-Week NIBOR + 0.28% | Monthly | SEBA | 7/18/30 | 873497 | NOK | 42752 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Offshore Oil Engineering | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 107145 |  | $33486 |
|  Okabe Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 5611596 | JPY | 6518 |
|  Okea ASA | 1-Week NIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 783979 | NOK | 39794 |
|  Okinawa Financial Grp Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 31544841 | JPY | 137500 |
|  Old Mutual Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCO | 4/30/26 | 3650885 | ZAR | 82724 |
|  Olvi PLC | Euro STR + 0.275% | Monthly | SEBA | 11/29/29 | 1827 | EUR | (2) |
|  Omnia Holdings Ltd. | 1-Day SABOR + 0.31% | Monthly | MSCS | 7/17/30 | 2541702 | ZAR | 52552 |
|  Omnivision Integrated | 1-Day FEDEF + 1.00% | Monthly | MSCO | 1/26/27 | 29636 |  | 837 |
|  On The Beach Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 105855 | GBP | 19214 |
|  The One Enterprise Pcl | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 5314 |  | 1868 |
|  Onewo Inc. | HIBOR + 0.35% | Monthly | GSCO | 9/18/26 | 837670 | HKD | (15077) |
|  Open House Group Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 17976181 | JPY | 77394 |
|  Orange Polska SA | 1-Day FEDEF + 0.30% | Monthly | MSCS | 7/17/35 | 80647 |  | 18253 |
|  Orica Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 11/09/26 | 164872 | AUD | 1895 |
|  Oriola Corp. | Euro STR + 0.28% | Monthly | SEBA | 7/17/30 | 33844 | EUR | (1330) |
|  ORSERO | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 57142 | EUR | 34711 |
|  Osaka Organic Chemical | 1-Day TONAR + 0.35% | Monthly | GSCO | 9/04/26 | 16717912 | JPY | 35232 |
|  OSB Group | 1-Day SONIA + 0.35% | Monthly | MSCS | 9/12/30 | 183481 | GBP | 62524 |
|  Ouereit | 1-Day SORA + 0.30% | Monthly | MSCO | 12/15/26 | 63791 | SGD | 3244 |
|  OVS SpA | Euro STR + 0.35% | Monthly | JPHQ | 7/26/30 | 211735 | EUR | 173841 |
|  Pacific Hospital Supply | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/24/26 | 49663 |  | (9636) |
|  Palfinger AG | Euro STR + 0.35% | Monthly | JPHQ | 8/24/26 | 119376 | EUR | 23535 |
|  Pandora A/S | 1-Week CIBOR + 0.28% | Monthly | SEBA | 7/15/26 | 192148 | DKK | (8986) |
|  Pantheon Infrastructure | 1-Day SONIA + 0.35% | Monthly | MSCO | 4/15/26 | 62205 | GBP | 33448 |
|  Panunited | 1-Day SORA + 0.30% | Monthly | MSCO | 12/10/26 | 31474 | SGD | 5127 |
|  Parade Technologies Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 1/21/27 | 87178 |  | 22 |
|  Paragon Banking Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 2/03/30 | 244990 | GBP | 6969 |
|  Partners Group | 1-Day SARON + 0.35% | Monthly | JPHQ | 11/29/28 | 151310 | CHF | (27306) |
|  Partron | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 85301 |  | 21277 |
|  Peab AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 11/25/26 | 1761493 | SEK | 31642 |
|  Pepco | 1-Day FEDEF | Monthly | MSCO | 1/21/31 | 223908 |  | 136169 |
|  Per Aarsleff Holding A/S | 1-Week CIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 1330905 | DKK | 102329 |
|  Perenti Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 72938 | AUD | 19133 |
|  Perseus Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 144541 | AUD | 55268 |
|  Persol Holdings Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 53141445 | JPY | (36355) |
|  Perusahaan Gas Negara Tbk | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/22/26 | 152250 |  | 62480 |
|  Perusahaan Perkebunan Lon | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/25/26 | 72585 |  | (8768) |
|  Petronas Dagangan Bhd | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 181890 |  | 19540 |
|  Pexip Holding | 1-Week NIBOR + 0.28% | Monthly | SEBA | 11/27/30 | 1174120 | NOK | 31019 |
|  PGE Polska Grupa Energetyczna SA | 1-Day FEDEF + 0.30% | Monthly | MSCS | 7/15/26 | 267486 |  | 141555 |
|  Pha Co Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 7/27/26 | 43294 |  | 6865 |
|  Pharmanutra | Euro STR + 0.35% | Monthly | JPHQ | 11/23/26 | 45315 | EUR | 8167 |
|  Pharmaresearch | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 116934 |  | (38359) |
|  Pharmaron Beijing Co Ltd. | HIBOR + 0.35% | Monthly | GSCO | 7/06/26 | 1296759 | HKD | (5901) |
|  Pharmicell | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/29/26 | 119963 |  | 22936 |
|  PHC Holdings Corp. | TONAR + 0.35% | Monthly | GSCO | 12/16/26 | 18651213 | JPY | (1838) |
|  Philippine National Bank | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 33441 |  | 3415 |
|  Pigeon Corp. | TONAR + 0.35% | Monthly | GSCO | 12/18/26 | 22172198 | JPY | 9194 |
|  Ping AN Insurance Group | 1-Day FEDEF + 1.00% | Monthly | MSCO | 3/01/27 | 14886 |  | (162) |
|  Pirelli & C | Euro STR + 0.35% | Monthly | JPHQ | 6/16/26 | 136088 | EUR | 13957 |
|  Pixart Imaging | 1-Day FEDEF + 0.10% | Monthly | MSCO | 8/04/26 | 78361 |  | 6196 |
|  PKO Bank Polski | 1-Day FEDEF + 1.25% | Monthly | MSCO | 11/06/30 | 133422 |  | 43157 |
|  Plastic Omnium | 1-Day EONIA + 0.30% | Monthly | MSCO | 3/14/26 | 143550 | EUR | 128343 |
|  Platzer Fastigheter Holdings | 1-Week STIBOR + 0.275% | Monthly | SEBA | 11/09/26 | 1159334 | SEK | 12324 |
|  Playtech PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 5/12/30 | 145903 | GBP | 43449 |
|  Plejd Ab | 1-Week STIBOR + 0.275% | Monthly | SEBA | 2/08/27 | 1252419 | SEK | (4730) |
|  Plus Alpha Consulting Co | 1-Day TONAR + 0.35% | Monthly | GSCO | 9/29/26 | 10252950 | JPY | (2592) |
|  Pluxee NV | 1-Day EONIA + 0.275% | Monthly | MSCO | 6/09/26 | 141035 | EUR | (45498) |
|  Poco Ord | 1-Day FEDEF + 0.30% | Monthly | MSCS | 8/16/31 | 629055 |  | 93360 |
|  Polar Capital Holdings PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 11/03/30 | 130588 | GBP | 49630 |
|  Poly Property Services Co | HIBOR + 0.35% | Monthly | GSCO | 6/22/26 | 2274050 | HKD | (8173) |
|  Pop Mart Intl Grp Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1047793 | HKD | (4961) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Postnl | Euro STR + 0.35% | Monthly | JPHQ | 12/18/26 | 102709 | EUR | $4829 |
|  Pou Chen | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/23/26 | 202141 |  | (2429) |
|  Power Wind Health Industry | 1-Day FEDEF + 0.10% | Monthly | MSCO | 11/23/26 | 55228 |  | (1833) |
|  Powerlong Commercial Mgt | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 187153 | HKD | 2387 |
|  PPC Ltd. | 1-Day SABOR + 0.32% | Monthly | MSCS | 7/17/35 | 616355 | ZAR | 3394 |
|  PR Times Corporation | TONAR + 0.35% | Monthly | GSCO | 3/02/27 | 239973 | JPY | (51) |
|  Praemium Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 7/22/26 | 135939 | AUD | 2808 |
|  Praram 9 Hospital Pcl | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 153810 |  | (17003) |
|  Precision Tsugami | HONIA + 0.35% | Monthly | GSCO | 1/25/27 | 206719 | HKD | 1977 |
|  Primary Health Properties | 1-Day SONIA + 0.275% | Monthly | MSCO | 5/14/26 | 316488 | GBP | 62510 |
|  Primax Electronics Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 246457 |  | 15322 |
|  Proact IT Group AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 9/07/26 | 545319 | SEK | 4062 |
|  Prosegur | 1-Day EONIA + 0.35% | Monthly | MSCS | 9/26/30 | 84019 | EUR | 6485 |
|  Prysmian SpA | Euro STR + 0.35% | Monthly | JPHQ | 8/22/29 | 116902 | EUR | 16920 |
|  Pt Indofood Sukses Makmur | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/24/26 | 121004 |  | (21890) |
|  Pt Pakuwon Jati | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/25/26 | 53414 |  | (1004) |
|  Ptg Energy Public Company | 1-Day FEDEF + 0.25% | Monthly | MSCO | 8/26/26 | 55085 |  | 17541 |
|  Puig Brands SA Clase | 1-Day EONIA + 0.275% | Monthly | MSCO | 2/25/27 | 80566 | EUR | (136) |
|  Puregold Price Club Inc. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 37569 |  | 1880 |
|  Q Technology Group Co. Ltd. | HONIA + 0.35% | Monthly | GSCO | 1/25/27 | 1448024 | HKD | (9419) |
|  Qantas Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/19/26 | 386845 | AUD | (12438) |
|  Qbe Insur Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 8/14/26 | 230299 | AUD | 10089 |
|  QinetiQ Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/10/28 | 180020 | GBP | 18970 |
|  Quanta Computer | 1-Day FEDEF + 0.10% | Monthly | MSCO | 1/11/27 | 211042 |  | 12846 |
|  Quick Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 19289612 | JPY | 21288 |
|  Raffles Medical | 1-Day SORA + 0.30% | Monthly | MSCO | 12/02/26 | 81589 | SGD | 4103 |
|  Rainbow | 1-Day FEDEF + 1.25% | Monthly | MSCS | 11/28/30 | 176332 |  | 76000 |
|  Rakus Co Ltd. | 1-Day TONAR + 0.35% | Monthly | GSCO | 9/30/26 | 15692312 | JPY | (17266) |
|  Ramssol Group Berhad | 1-Day FEDEF + 0.25% | Monthly | MSCO | 9/14/26 | 31257 |  | 813 |
|  Randstad NV | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 44745 | EUR | 1870 |
|  Rank Group ORD | 1-Day SONIA + 0.275% | Monthly | MSCO | 11/07/30 | 84529 | GBP | (8523) |
|  Ratchthani Leasing Pcl | 1-Day FEDEF + 0.25% | Monthly | MSCO | 3/01/27 | 3125 |  | (39) |
|  Raubex Group Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCO | 9/15/30 | 278748 | ZAR | 7454 |
|  Raydium Semi-Conductor Co. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 9/25/26 | 82695 |  | (3165) |
|  Raysearch Laboratories AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 12/04/30 | 117982 | SEK | (1890) |
|  Realtek Semiconductor Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 310984 |  | (49107) |
|  Reg Health Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 253318 | AUD | (16401) |
|  Regional REIT Ltd. | 1-Day SONIA + 0.275% | Monthly | MSCO | 12/05/30 | 101834 | GBP | (2237) |
|  Reply | Euro STR + 0.35% | Monthly | JPHQ | 5/13/26 | 216980 | EUR | (75056) |
|  Resolute Fpo | 1-Day SONIA + 0.275% | Monthly | MSCO | 6/24/26 | 190813 | AUD | 122958 |
|  Resolute Mining Ltd. | 1-Day FEDEF | Monthly | MSCO | 12/18/30 | 4442 | GBP | 17462 |
|  Reunert Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCS | 8/15/30 | 671370 | ZAR | 6155 |
|  Richemont | 1-Day SARON + 0.35% | Monthly | JPHQ | 7/31/34 | 94159 | CHF | 2489 |
|  Riken Technos Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 9690272 | JPY | 40136 |
|  Rinnai Corp. | 1-Day TONAR + 0.35% | Monthly | GSCO | 10/12/26 | 23359969 | JPY | 14672 |
|  Robertet | 1-Day EONIA + 0.275% | Monthly | MSCO | 8/31/26 | 84798 | EUR | 4282 |
|  Robinsons Retail Holdings | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 1105 |  | (14) |
|  Roche | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 236293 | CHF | 134129 |
|  Rockwool AS | 1-Week CIBOR + 0.275% | Monthly | SEBA | 7/17/30 | 402612 | DKK | (3096) |
|  Rolls-Royce Holdings PLC | 1-Day SONIA + 0.35% | Monthly | MSCO | 2/17/31 | 69640 | GBP | 14419 |
|  Royal Unibrew AS | 1-Week CIBOR + 0.275% | Monthly | SEBA | 7/03/28 | 1267801 | DKK | 45667 |
|  RS Technologies Co. Ltd. | TONAR + 0.35% | Monthly | GSCO | 2/25/27 | 2371065 | JPY | 741 |
|  Rubis | 1-Day EONIA + 0.30% | Monthly | MSCS | 8/12/30 | 207477 | EUR | 81077 |
|  Rusta AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 9/12/30 | 575455 | SEK | (466) |
|  RVRC Holdings AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 3/04/35 | 1356322 | SEK | 5158 |
|  Ryobi Ltd. | 1-Day TONAR + 0.35% | Monthly | GSCO | 9/02/26 | 7462860 | JPY | 4969 |
|  S&D | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 90804 |  | (34112) |
|  S-1 | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 196806 |  | 33540 |
|  Sainsbury Ord | 1-Day SONIA + 0.275% | Monthly | MSCO | 1/21/27 | 120378 | GBP | 15191 |
|  Saipem | Euro STR + 0.35% | Monthly | JPHQ | 10/14/30 | 215006 | EUR | 206353 |
|  Saizeriya Company | TONAR + 0.35% | Monthly | GSCO | 1/08/27 | 6378179 | JPY | 4009 |
|  Sakai Moving Service | 1-Day TONAR + 0.35% | Monthly | GSCO | 11/13/26 | 7246502 | JPY | 422 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Samart Aviation Solutions | 1-Day FEDEF + 0.25% | Monthly | MSCO | 8/27/26 | 39020 |  | $5206 |
|  Samsung E&A Co Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 241925 |  | 94264 |
|  Samsung Electronics Co. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 11/13/26 | 137149 |  | 63042 |
|  Samsung Securities | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 183439 |  | 59108 |
|  San Fang Chemical | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 180487 |  | (3732) |
|  Sangfor Technologies | 1-Day FEDEF + 0.25% | Monthly | MSCO | 9/30/26 | 59952 |  | 3102 |
|  Sanhua ORD | 1-Day FEDEF | Monthly | MSCS | 2/10/31 | 410319 |  | (16316) |
|  Sanix Holdings Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 4689787 | JPY | (3412) |
|  Sanki Engineering Co. | TONAR + 0.35% | Monthly | GSCO | 2/26/27 | 4626128 | JPY | 653 |
|  Sanko Gosei Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 10396627 | JPY | 27780 |
|  Sankyo Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 14568031 | JPY | (14298) |
|  Santam Limited | 1-Day SABOR + 0.70% | Monthly | MSCO | 11/11/26 | 1683618 | ZAR | 3722 |
|  Sany Heavy Equipment | HIBOR + 0.35% | Monthly | GSCO | 11/19/26 | 1174956 | HKD | 99377 |
|  Sappi Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCS | 11/27/30 | 7125640 | ZAR | (240077) |
|  Sasol Ltd. | 1-Day SABOR + 0.33% | Monthly | MSCS | 7/17/30 | 4049777 | ZAR | 220455 |
|  Sato Corporation | 1-Day TONAR + 0.35% | Monthly | GSCO | 11/02/26 | 7128433 | JPY | 3950 |
|  SATS ASA | 1-Week NIBOR + 0.275% | Monthly | SEBA | 2/17/31 | 1268470 | NOK | 34865 |
|  SAVILLS PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 104633 | GBP | 9783 |
|  SBI Holdings Inc. | 1-Day TONAR + 0.35% | Monthly | GSCO | 10/16/26 | 8962376 | JPY | (1635) |
|  Scales Corporation Limited | 1-Day NZOCR + 0.40% | Monthly | MSCO | 6/24/26 | 164782 | NZD | 19210 |
|  Scanfil PLC | Euro STR + 0.275% | Monthly | SEBA | 10/17/30 | 19050 | EUR | 5695 |
|  Schindler | 1-Day SARON + 0.35% | Monthly | JPHQ | 11/29/30 | 273251 | CHF | 29370 |
|  Schouw & Co. | 1-Week NIBOR + 0.275% | Monthly | SEBA | 5/22/26 | 918472 | DKK | 12896 |
|  Schweiter Technologies AG | 1-Day SARON + 0.35% | Monthly | JPHQ | 9/24/30 | 52538 | CHF | (14024) |
|  SCOR SE | 1-Day EONIA + 0.30% | Monthly | MSCS | 8/12/30 | 126848 | EUR | 19981 |
|  Scout24 SE | Euro STR + 0.35% | Monthly | JPHQ | 12/06/30 | 352470 | EUR | (110530) |
|  Secure Trust Bank PLC | 1-Day FEDEF | Monthly | MSCO | 12/17/30 | 44493 | GBP | 72054 |
|  Securitas AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 3816902 | SEK | 48285 |
|  Security Bank Corporation | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 42759 |  | (47) |
|  Seiren Co Ltd. | 1-Day TONAR + 0.35% | Monthly | GSCO | 10/16/26 | 12434568 | JPY | 11127 |
|  Semitec Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 8456125 | JPY | 21914 |
|  Senshu Electric Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 16232030 | JPY | 44643 |
|  Seraku Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 7450441 | JPY | 1175 |
|  Serco Group | 1-Day SONIA + 0.35% | Monthly | MSCS | 9/30/30 | 120451 | GBP | 110089 |
|  Sevice Stream Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 453978 | AUD | 8632 |
|  SF Holding Co Ltd. | HIBOR + 0.35% | Monthly | GSCO | 7/03/26 | 1185289 | HKD | (18327) |
|  SFA | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 151355 |  | 48670 |
|  SFS Group AG | 1-Day SARON + 0.35% | Monthly | JPHQ | 2/08/29 | 189837 | CHF | 34388 |
|  SGX | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 121934 | SGD | 18667 |
|  Shandong Iron and Steel | 1-Day FEDEF + 1.00% | Monthly | MSCO | 1/19/27 | 77658 |  | 9371 |
|  Shandong Wit Dyne | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 63101 |  | 3643 |
|  Shanghai Aiyingshi Co Ltd. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 45809 |  | 1802 |
|  Shanghai Chicmax Cosmetic | HONIA + 0.35% | Monthly | GSCO | 12/04/26 | 717810 | HKD | (18424) |
|  Shanghai Haohai Biologica | HIBOR + 0.35% | Monthly | GSCO | 10/06/26 | 620428 | HKD | (2424) |
|  Shanghai Pharmaceuticals | HIBOR + 0.35% | Monthly | GSCO | 10/06/26 | 1610202 | HKD | (6402) |
|  Sharingtechnology Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 6270776 | JPY | 1436 |
|  Sheng Yu Steel | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 53214 |  | (5998) |
|  Shenzhen Hello | 1-Day FEDEF + 0.25% | Monthly | MSCO | 11/27/26 | 69058 |  | 1950 |
|  Shenzhen Kaifa Ord | 1-Day FEDEF + 0.25% | Monthly | MSCS | 1/19/32 | 312784 |  | 21417 |
|  Shin ETSU Polymer Co. | 1-Day TONAR + 0.35% | Monthly | GSCO | 9/10/26 | 10019505 | JPY | 8799 |
|  Shin Maint Holdings Co Lt | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 2519520 | JPY | 4052 |
|  Shin Yang Group Berhad | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 13850 |  | 1645 |
|  Shinhan Financial Group | 1-Day FEDEF + 0.10% | Monthly | MSCO | 9/24/26 | 79543 |  | 19918 |
|  Shinnihonseiyaku Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 16022187 | JPY | (4169) |
|  Shinsegae Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 9/24/26 | 154439 |  | 97693 |
|  Ship Health Care Holdings | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 45627892 | JPY | 97399 |
|  Shizuoka Financial Group | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 10901601 | JPY | 46890 |
|  Shn Airport | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 93801 |  | 5647 |
|  SIA Engineering | 1-Day SORA + 0.30% | Monthly | MSCO | 1/20/27 | 77892 | SGD | 2121 |
|  Siemens Energy AG | Euro STR + 0.35% | Monthly | JPHQ | 12/06/30 | 104943 | EUR | 59644 |
|  Siemens Energy AG | Euro STR + 0.35% | Monthly | MSCS | 3/03/31 | 4024705 | EUR | 102251 |
|  Sigmahealth Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 9/24/26 | 182032 | AUD | (8037) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Signify NV | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 213505 | EUR | $7119 |
|  Siix Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 27359144 | JPY | 34402 |
|  Sime Darby Bhd | 1-Day FEDEF + 0.25% | Monthly | MSCO | 2/11/27 | 93722 |  | 4320 |
|  Sincere Navigation Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 12/16/26 | 78425 |  | 18798 |
|  Sinch | 1-Week STIBOR + 0.28% | Monthly | SEBA | 11/27/30 | 3171047 | SEK | (19892) |
|  Sino-American Silicon Pro | 1-Day FEDEF + 0.10% | Monthly | MSCO | 2/10/27 | 26598 |  | (166) |
|  Sinofert Holdings | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1560396 | HKD | 50273 |
|  Sinopac Financial Holdings | 1-Day FEDEF + 0.10% | Monthly | MSCO | 1/18/27 | 113832 |  | 16864 |
|  Sinopec Shanghai Petroche | HIBOR + 0.35% | Monthly | GSCO | 7/06/26 | 728074 | HKD | 15636 |
|  Sinopharm Group Co. Ltd. | HONIA + 0.35% | Monthly | GSCO | 12/04/26 | 1477282 | HKD | 5491 |
|  Sise Cam | 1-Day FEDEF + 1.10% | Monthly | MSCO | 1/14/27 | 83132 |  | 5091 |
|  Sisram Medical Ltd. | HIBOR + 0.35% | Monthly | GSCO | 11/30/26 | 434343 | HKD | (928) |
|  Sitronix Technology Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 171565 |  | (7654) |
|  SK Chemicals Co. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 2/22/27 | 19088 |  | 1081 |
|  SK Hynix Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 106214 |  | 16122 |
|  SK Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 2/02/27 | 51628 |  | 12144 |
|  Skellerup Holdings Npv | 1-Day NZOCR + 0.40% | Monthly | MSCO | 6/24/26 | 99554 | NZD | 7453 |
|  SKF AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 3/25/26 | 380600 | SEK | 2572 |
|  Sks Tech Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 83448 | AUD | 36533 |
|  Sky Network Television Ltd. | 1-Day NZOCR + 0.40% | Monthly | MSCO | 6/24/26 | 114275 | NZD | 6953 |
|  SL Corporation | 1-Day FEDEF + 0.10% | Monthly | MSCO | 9/24/26 | 78081 |  | 65405 |
|  Sleep Cycle AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 11/03/30 | 175680 | SEK | (12393) |
|  SMA Solar Technology AG | Euro STR + 0.35% | Monthly | JPHQ | 9/12/29 | 182456 | EUR | 60401 |
|  Smartgroup Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 312639 | AUD | 34451 |
|  SMCP SA | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/17/29 | 35591 | EUR | 3709 |
|  Smith & Nephew Plc Ord US | 1-Day SONIA + 0.275% | Monthly | MSCO | 10/08/26 | 109360 | GBP | 8013 |
|  Sofina | Euro STR + 0.35% | Monthly | JPHQ | 7/12/26 | 67524 | EUR | 2855 |
|  Softwareone | 1-Day SARON + 0.35% | Monthly | JPHQ | 2/24/27 | 44581 | CHF | 687 |
|  Sogefi | Euro STR + 0.35% | Monthly | JPHQ | 11/14/30 | 62770 | EUR | 53089 |
|  SOK Marketler Ticaret | 1-Day FEDEF + 1.10% | Monthly | MSCO | 12/08/26 | 107964 |  | 17702 |
|  Soken Chemical & Engineer | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 4538802 | JPY | 33218 |
|  Solstad Offshore | 1-Week NIBOR + 0.28% | Monthly | SEBA | 11/27/30 | 833927 | NOK | 43429 |
|  Soop Co Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 7/23/26 | 232889 |  | (24002) |
|  SP Group A/S | 1-Week CIBOR + 0.275% | Monthly | SEBA | 9/10/30 | 489552 | DKK | 34599 |
|  The Spar Group Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCO | 9/15/30 | 7856878 | ZAR | (211050) |
|  Spc Samlip | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 72204 |  | (5285) |
|  Speed Tech | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 0 |  | 558 |
|  Speed Tech | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 57487 |  | (9660) |
|  Speedy Hire PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 84907 | GBP | (33189) |
|  SPIE | 1-Day EONIA + 0.275% | Monthly | MSCO | 6/16/30 | 168056 | EUR | 24248 |
|  Springer Nature Ag & Co. | Euro STR + 0.35% | Monthly | JPHQ | 8/10/26 | 46182 | EUR | (11606) |
|  Srg Global Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 182059 | AUD | 41446 |
|  SSAB AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 1825754 | SEK | 42997 |
|  SSP Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 12/04/28 | 164522 | GBP | 20959 |
|  ST Engineering | 1-Day SORA + 0.30% | Monthly | MSCO | 7/02/26 | 59429 | SGD | 6594 |
|  St James's Place Ord | 1-Day SONIA + 0.275% | Monthly | MSCO | 7/05/29 | 153140 | GBP | 3656 |
|  Standard Chartered PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 194630 | GBP | 162997 |
|  Standard Chem & Pharm Co. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 9/14/26 | 47601 |  | 5635 |
|  Star Petroleum Refining | 1-Day FEDEF + 0.25% | Monthly | MSCO | 1/07/27 | 82873 |  | 13356 |
|  Starhill GBL Reit | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 127322 | SGD | 9803 |
|  Startia Hldgs Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 11794898 | JPY | 9485 |
|  Starts Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 36954134 | JPY | 43538 |
|  Sth X Elec Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 19395 | AUD | 4201 |
|  Stillfront Group AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 1113008 | SEK | (20270) |
|  STMicroelectronic NV | Euro STR | Monthly | JPHQ | 2/28/35 | 104474 | EUR | 18268 |
|  Stora Enso Oyj | Euro STR + 0.28% | Monthly | SEBA | 10/23/28 | 180580 | EUR | 28866 |
|  Storytel AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 5/08/26 | 3525903 | SEK | (25807) |
|  Subaru Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 21347858 | JPY | 11336 |
|  Subsea 7 | 1-Week NIBOR + 0.275% | Monthly | SEBA | 7/09/26 | 2523825 | NOK | 110253 |
|  Suheung Co. Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 12/03/26 | 37226 |  | 794 |
|  Sulzer Ltd. | 1-Day SARON + 0.35% | Monthly | JPHQ | 11/11/30 | 109296 | CHF | 41792 |
|  Sun International Hotels Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCS | 5/20/26 | 2276235 | ZAR | 13081 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  <sup>c</sup>Sunowealth Electric Machines rts. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 9/23/26 |  |  | $2054 |
|  Sunowealth Electric Machines | 1-Day FEDEF + 0.10% | Monthly | MSCO | 9/23/26 | 288726 |  | 18737 |
|  Sunshine Insurance Group | HIBOR + 0.35% | Monthly | GSCO | 9/18/26 | 691218 | HKD | 549 |
|  Suntec Reit | 1-Day SORA + 0.40% | Monthly | MSCO | 7/14/26 | 11753 | SGD | (200) |
|  Sunway Construction Group | 1-Day FEDEF + 0.25% | Monthly | MSCO | 7/02/26 | 218323 |  | 50464 |
|  Sunway Real Estate Invt | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 89321 |  | 13400 |
|  Suparetail Fpo | 1-Day RBACR + 0.30% | Monthly | MSCO | 1/08/27 | 361066 | AUD | 11619 |
|  Suprema Inc | 1-Day FEDEF + 0.10% | Monthly | MSCO | 10/29/26 | 75533 |  | 22545 |
|  Suzuken Co Ltd | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 11016555 | JPY | 18215 |
|  Suzuki Co Ltd | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 14151282 | JPY | 52829 |
|  Sveafastigheter AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 6/02/26 | 61206 | SEK | (360) |
|  Sweco AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 4/25/29 | 574196 | SEK | (1459) |
|  Swedish Orphan Biovitrum AB | 1-Week STIBOR + 0.65% | Monthly | SEBA | 7/15/26 | 2476858 | SEK | 43477 |
|  Synektik | 1-Day FEDEF + 1.25% | Monthly | MSCS | 9/05/30 | 91518 |  | 89253 |
|  Synnex Technology Interna | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 130116 |  | 12549 |
|  Systems Technology Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 1/28/27 | 52624 |  | 6053 |
|  Tabcorp Fpo | 1-Day RBACR + 0.30% | Monthly | MSCO | 1/19/27 | 58602 | AUD | 6661 |
|  Taiwan Navigation Co. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 12/07/26 | 51307 |  | 1160 |
|  Taiwan Paiho | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 193812 |  | (12931) |
|  Taiwan Semiconductor Manufacturing | 1-Day FEDEF + 0.10% | Monthly | MSCO | 11/12/26 | 114688 |  | 13008 |
|  Taiwan Surface Mounting | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 287506 |  | (20899) |
|  Takaoka Toko Co Ltd | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 15479175 | JPY | 108378 |
|  Take & Give Needs Co | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 8964928 | JPY | (6843) |
|  Talanx AG | Euro STR + 0.35% | Monthly | JPHQ | 7/17/26 | 184802 | EUR | 14628 |
|  Tanseisha Co. Ltd. | TONAR + 0.35% | Monthly | GSCO | 12/17/26 | 11512550 | JPY | 3951 |
|  Tauron Polska Energia SA | 1-Day FEDEF + 0.30% | Monthly | MSCS | 7/17/26 | 168812 |  | 151250 |
|  Tazmo Co Ltd | 1-Day TONAR + 0.35% | Monthly | GSCO | 9/30/26 | 13116175 | JPY | 2153 |
|  TCL Electronics Holdings | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 2210660 | HKD | 52769 |
|  Team Internet Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/26 | 179123 | GBP | (147597) |
|  Technip Energies NV | 1-Day EONIA + 0.30% | Monthly | MSCS | 8/07/29 | 217389 | EUR | 3761 |
|  Technogym SpA | Euro STR + 0.35% | Monthly | JPHQ | 8/12/30 | 224123 | EUR | 199252 |
|  Teikoku Electric Mfg | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 7912363 | JPY | 3219 |
|  Tele2 Ab Ser | 1-Week STIBOR + 0.275% | Monthly | SEBA | 1/13/27 | 856586 | SEK | 20764 |
|  Teleperformance | 1-Day EONIA + 0.275% | Monthly | MSCO | 3/24/26 | 204832 | EUR | (74108) |
|  Telia Company AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 11/11/35 | 617044 | SEK | 4828 |
|  Telkom SA SOC Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCS | 7/17/30 | 1624368 | ZAR | 8458 |
|  Temenos | 1-Day SARON + 0.35% | Monthly | JPHQ | 6/08/26 | 170622 | CHF | 24873 |
|  Ten Square Games | 1-Day FEDEF + 1.25% | Monthly | MSCS | 1/06/31 | 41804 |  | 14209 |
|  Tera Probe Inc | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 8025925 | JPY | 70130 |
|  Teraskai Electric Co. Ltd. | TONAR + 0.35% | Monthly | GSCO | 2/22/27 | 1739249 | JPY | 42 |
|  Terrasky Co Ltd | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 15636066 | JPY | (31038) |
|  Tessenderlo Group | Euro STR + 0.35% | Monthly | JPHQ | 7/17/29 | 71305 | EUR | 1288 |
|  TF Bank Ab | 1-Week STIBOR + 0.275% | Monthly | SEBA | 12/09/26 | 566472 | SEK | (2073) |
|  TF1 Group | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/12/26 | 210138 | EUR | (24197) |
|  Thai Foods Group Public Co | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 195642 |  | 90865 |
|  Thanachart Capital Pcl | 1-Day FEDEF + 0.25% | Monthly | MSCO | 2/17/27 | 43065 |  | 86 |
|  Tharisa PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 37414 | GBP | 18860 |
|  Thungela Resources Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCS | 8/23/30 | 704490 | ZAR | 11316 |
|  Tian Lun Gas Holdings Ltd | HIBOR + 0.35% | Monthly | GSCO | 7/23/26 | 380452 | HKD | (7677) |
|  Tidlor Holdings Pcl | 1-Day FEDEF + 0.25% | Monthly | MSCO | 2/17/27 | 7883 |  | (79) |
|  TK Group Limited | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 373339 | HKD | 4187 |
|  Toa Paint Thailand Pcl | 1-Day FEDEF + 0.25% | Monthly | MSCO | 9/03/26 | 81447 |  | 8422 |
|  Tokai Carbon Corp | TONAR + 0.35% | Monthly | GSCO | 7/20/26 | 15643933 | JPY | 9230 |
|  Tokyo Base Co. Ltd. | TONAR + 0.35% | Monthly | GSCO | 12/18/26 | 5114205 | JPY | (3295) |
|  Topco Scientific Co. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 2/03/27 | 136262 |  | 8761 |
|  Topco Technologies Corp | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 33223 |  | (1584) |
|  Topkey Corporation | 1-Day FEDEF + 0.10% | Monthly | MSCO | 10/02/26 | 165866 |  | (1519) |
|  Toumei Co Ltd | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 6548013 | JPY | 825 |
|  Tourism Hldgs Ord. | 1-Day NZOCR + 0.30% | Monthly | MSCO | 12/07/26 | 25117 | NZD | 955 |
|  Tovis | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 66768 |  | (1185) |
|  Tower Ltd Npv | 1-Day NZOCR + 0.40% | Monthly | MSCO | 6/24/26 | 55459 | NZD | 2457 |
|  Toyota Boshoku Corp | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 43021378 | JPY | 101417 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Toyota Tsusho Corp. | TONAR + 0.35% | Monthly | GSCO | 2/19/27 | 4737269 | JPY | $981 |
|  Trainline PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/28 | 153843 | GBP | (42613) |
|  Transcosmos Inc. | 1-Day TONAR + 0.35% | Monthly | GSCO | 10/12/26 | 20184180 | JPY | 9343 |
|  Travelsky Technology | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1855946 | HKD | 2291 |
|  Tre Hldgs Corp. | TONAR + 0.35% | Monthly | GSCO | 12/16/26 | 21432988 | JPY | 9998 |
|  Trelleborg AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/33 | 1172643 | SEK | 2085 |
|  Trevi Fin Ind | Euro STR + 0.35% | Monthly | JPHQ | 11/30/26 | 63194 | EUR | 18626 |
|  Triple Point Social Housing | 1-Day SONIA + 0.35% | Monthly | MSCO | 1/06/31 | 74697 | GBP | 29804 |
|  Tripod Technology Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 252778 |  | 83853 |
|  Triputra Agro Persada Tbk | 1-Day FEDEF + 0.35% | Monthly | MSCO | 7/02/26 | 34742 |  | 7854 |
|  TS Lines Ltd. | HONIA + 0.35% | Monthly | GSCO | 1/14/27 | 954164 | HKD | 11179 |
|  Tty Biopharm Company Limited | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 210785 |  | 6172 |
|  TUI AG | Euro STR + 0.35% | Monthly | JPHQ | 4/30/26 | 309763 | EUR | 63686 |
|  Turk Telekom | 1-Day FEDEF + 1.25% | Monthly | MSCO | 6/30/26 | 244876 |  | 20984 |
|  Turkcell | 1-Day FEDEF + 1.25% | Monthly | MSCO | 9/24/26 | 248080 |  | 26364 |
|  Turkiye Sinai Kalkinma Bankasi AS | 1-Day FEDEF + 0.30% | Monthly | MSCS | 11/27/30 | 314089 |  | (18422) |
|  UBS Group AG | 1-Day SARON + 0.35% | Monthly | JPHQ | 7/17/30 | 61321 | CHF | (444) |
|  Ulker Biskuvi | 1-Day FEDEF + 1.25% | Monthly | MSCO | 9/24/26 | 148489 |  | 10501 |
|  Ulvac Inc. | 1-Day TONAR + 0.35% | Monthly | GSCO | 10/12/26 | 22934278 | JPY | 67828 |
|  U-Media Communication Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 3351 |  | 189 |
|  Umicore | Euro STR + 0.35% | Monthly | JPHQ | 11/21/30 | 187031 | EUR | 111742 |
|  Unicaja Banco | 1-Day EONIA + 0.35% | Monthly | MSCS | 11/13/28 | 65876 | EUR | 12824 |
|  UniCredit SpA | Euro STR + 0.35% | Monthly | JPHQ | 9/25/30 | 188947 | EUR | 109012 |
|  Unid | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 129938 |  | (4310) |
|  Union Semi Ord. | 1-Day FEDEF + 0.25% | Monthly | MSCS | 1/19/32 | 263230 |  | 4547 |
|  Unipol Gruppo SpA | Euro STR + 0.35% | Monthly | JPHQ | 7/15/26 | 92552 | EUR | 10602 |
|  Uni-President China Holdings | HIBOR + 0.35% | Monthly | GSCO | 8/05/26 | 1380657 | HKD | (21764) |
|  Unistore Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 152283 | AUD | 24223 |
|  United Energy Group Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 625482 | HKD | 25096 |
|  United Micro Electronics | 1-Day FEDEF + 0.10% | Monthly | MSCO | 11/04/26 | 66823 |  | 21100 |
|  United Orthopedic Corporation | 1-Day FEDEF + 0.10% | Monthly | MSCO | 9/23/26 | 111817 |  | (6651) |
|  Universal Vision Biotechn | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 184082 |  | (49533) |
|  UT Group Co Ltd | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 4375533 | JPY | 8427 |
|  Valeo | 1-Day EONIA + 0.30% | Monthly | MSCS | 10/09/30 | 311861 | EUR | 97098 |
|  Valiant | Euro STR + 0.35% | Monthly | JPHQ | 7/12/26 | 177320 | CHF | 85381 |
|  Valmet OYJ | Euro STR + 0.28% | Monthly | SEBA | 8/05/29 | 146386 | EUR | 4125 |
|  Valor Holdings Co Ltd | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 25371191 | JPY | 80739 |
|  Value Added Technologies | 1-Day FEDEF + 0.10% | Monthly | MSCO | 10/29/26 | 51865 |  | 17296 |
|  Valuetronics | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 13 | SGD | 1 |
|  Vaudoise Assurances | 1-Day SARON + 0.35% | Monthly | JPHQ | 11/11/30 | 127427 | CHF | 58286 |
|  Vector Inc. | 1-Day NZOCR + 0.40% | Monthly | GSCO | 6/24/26 | 13430103 | JPY | 32246 |
|  Veidekke | 1-Week NIBOR + 0.28% | Monthly | SEBA | 8/26/30 | 1782035 | NOK | 57996 |
|  Velesto Energy Berhad | 1-Day FEDEF + 0.25% | Monthly | MSCO | 9/14/26 | 98912 |  | 29036 |
|  Ventia Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 207832 | AUD | 22056 |
|  Venture Life Group PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 11/03/30 | 20875 | GBP | 17903 |
|  Veolia Environnement SA | 1-Day EONIA + 0.30% | Monthly | MSCS | 8/26/30 | 164390 | EUR | 47445 |
|  Vertu Motors PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 55301 | GBP | (6663) |
|  Vestas Wind Systems AS | 1-Week CIBOR + 0.275% | Monthly | SEBA | 5/13/26 | 1857762 | DKK | 103330 |
|  Vicat SA | 1-Day EONIA + 0.30% | Monthly | MSCS | 8/30/30 | 115277 | EUR | 97157 |
|  Vidrala SA | 1-Day EONIA + 0.275% | Monthly | MSCO | 8/13/26 | 269247 | EUR | (27184) |
|  Vienna Insurance Group AG | Euro STR + 0.35% | Monthly | JPHQ | 12/18/30 | 123661 | EUR | 96206 |
|  Viridien | 1-Day EONIA + 0.275% | Monthly | MSCO | 8/14/26 | 177005 | EUR | 116471 |
|  Visco Vision Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 140730 |  | 1297 |
|  Vitzrocell Co Ltd | 1-Day FEDEF + 0.10% | Monthly | MSCO | 7/28/26 | 100560 |  | 16768 |
|  Vodafone Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCO | 1/20/31 | 73229 | GBP | 37746 |
|  Voestalpine AG | Euro STR + 0.35% | Monthly | JPHQ | 12/18/30 | 194865 | EUR | 189320 |
|  Vstecs Holdings Ltd. | HONIA + 0.35% | Monthly | GSCO | 12/04/26 | 796871 | HKD | (365) |
|  Vtech Hldgs | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 730085 | HKD | 11247 |
|  Vusion Group | 1-Day EONIA + 0.275% | Monthly | MSCO | 10/28/26 | 320236 | EUR | (140132) |
|  Wacom Co. Ltd. | TONAR + 0.35% | Monthly | GSCO | 2/19/27 | 956978 | JPY | 48 |
|  Wallenius Wilhelmsen ASA | 1-Week NIBOR + 0.28% | Monthly | SEBA | 7/17/26 | 2952256 | NOK | 155824 |
|  Warehouse Group Ord Npv | 1-Day NZOCR + 0.40% | Monthly | MSCO | 6/24/26 | 8365 | NZD | (541) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Wartsila Corp. | Euro STR + 0.275% | Monthly | SEBA | 10/17/30 | 143002 | EUR | $121364 |
|  Wasco Berhad | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 26444 |  | 2419 |
|  Waseda Academy | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 8123151 | JPY | (7104) |
|  Wasion Holdings Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 522083 | HKD | 131801 |
|  Watkin Jones PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 104506 | GBP | (71348) |
|  Wayfair Inc. | 1-Day FEDEF + 0.80% | Monthly | BNPP | 9/15/27 | 786079 |  | (313509) |
|  WBHO Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCO | 12/04/30 | 1805157 | ZAR | 15082 |
|  Weichai Power Co. | HIBOR + 0.35% | Monthly | GSCO | 6/26/26 | 397932 | HKD | 24163 |
|  Westports Holdings Berhad | 1-Day FEDEF + 0.25% | Monthly | MSCO | 2/11/27 | 95498 |  | (131) |
|  WH Group Limited | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1369398 | HKD | 37168 |
|  Wickes Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 116652 | GBP | 82938 |
|  Winbond Electronic Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 2/01/27 | 60994 |  | 1764 |
|  Won Tech Co. Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 12/08/26 | 68102 |  | (1387) |
|  Wonderful Hi-Tech | 1-Day FEDEF + 0.10% | Monthly | MSCO | 7/17/26 | 94909 |  | 11339 |
|  Wonik IPS Co. Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 1/29/27 | 44301 |  | 8643 |
|  Woori Net Co Ltd | 1-Day FEDEF + 0.10% | Monthly | MSCO | 11/03/26 | 30239 |  | (374) |
|  World Co Ltd. | 1-Day TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 11521490 | JPY | 19492 |
|  Wowprime Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 295867 |  | (47637) |
|  W-Scope Corporation | TONAR + 0.35% | Monthly | GSCO | 12/03/26 | 7791509 | JPY | 668 |
|  Wt Microelectronics Co Lt | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 283408 |  | 88487 |
|  Wuxi Apptec Co Ltd | HIBOR + 0.35% | Monthly | GSCO | 6/26/26 | 1920147 | HKD | 78062 |
|  Wuxi Biologics | HIBOR + 0.35% | Monthly | GSCO | 8/18/26 | 1316482 | HKD | 29574 |
|  WW Holding Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 24149 |  | (5355) |
|  Xian Shaangu Power | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 96444 |  | 31043 |
|  Xin Point Hldgs Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 569076 | HKD | 543 |
|  Yamabiko Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 9689159 | JPY | 39643 |
|  Yamaguchi Financial Group | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 24228053 | JPY | 93172 |
|  Yamazaki Baking Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 29994519 | JPY | 14518 |
|  <sup>c</sup>Yangzijiang Maritime Development Ltd. | 1-Day SORA + 0.40% | Monthly | MSCO | 6/22/26 |  | SGD | 43577 |
|  Yank Zi Jiang Financial Holdings | 1-Day SORA + 0.40% | Monthly | MSCO | 6/22/26 | 100245 | SGD | (32864) |
|  Yankey Engineering Co. Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 1/25/27 | 133218 |  | 19798 |
|  Yara International ASA | 1-Week NIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 2742615 | NOK | 67105 |
|  Youngoneholdings | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 188651 |  | 108915 |
|  YU Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCO | 2/17/31 | 98546 | GBP | 24123 |
|  Yue Yuen Industrial Hldgs | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 421200 | HKD | 16155 |
|  Yuexiu Services Group Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 581417 | HKD | (23784) |
|  Yurtec Corporation | TONAR + 0.35% | Monthly | GSCO | 2/19/27 | 4662294 | JPY | 1215 |
|  Yutong Bus Co. Ltd. | 1-Day FEDEF + 1.00% | Monthly | MSCO | 2/05/27 | 50117 |  | (2091) |
|  YZJ Shipbldg Sgd | 1-Day SORA + 0.30% | Monthly | MSCO | 6/25/26 | 127516 | SGD | 28498 |
|  Zanyu Technology | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 50019 |  | 19607 |
|  Zehnder | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 87719 | CHF | 94292 |
|  Zeon Corporation | TONAR + 0.35% | Monthly | GSCO | 1/21/27 | 7130565 | JPY | 5059 |
|  Zeria Pharmaceutical | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 26191132 | JPY | 15357 |
|  Zero Co Ltd | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 7424171 | JPY | 9087 |
|  Zero One Technology | 1-Day FEDEF + 0.10% | Monthly | MSCO | 10/28/26 | 151611 |  | 10957 |
|  Zhejiang China Electic | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 165081 |  | 46356 |
|  Zhengzhou Coal Mining | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 64171 |  | 22046 |
|  Zhenhua Chemical Ord | 1-Day FEDEF + 0.25% | Monthly | MSCS | 9/21/31 | 417417 |  | 64039 |
|  Zhuzhou CRRC Times Elec | HIBOR + 0.35% | Monthly | GSCO | 10/06/26 | 2254204 | HKD | 8808 |
|  Zigexn Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 22124773 | JPY | (9025) |
|  Zinzino Ab | 1-Week STIBOR + 0.275% | Monthly | SEBA | 2/08/27 | 351397 | SEK | 5145 |
|  Zotefoams Ord | 1-Day SONIA + 0.275% | Monthly | MSCO | 9/16/26 | 37771 | GBP | 1695 |
|  Zuken Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 10571046 | JPY | (8587) |
|  Zumtobel Group AG | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 25709 | EUR | (1023) |
|  Zurich Insurance | 1-Day SARON + 0.35% | Monthly | JPHQ | 7/21/26 | 95442 | CHF | 3474 |
|  |  |  |  |  |  |  | 22482152 |
|  **Equity Contracts - Short<sup>d</sup>** |  |  |  |  |  |  |  |
|  AAK AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/17/30 | 2428554 | SEK | 16282 |
|  Aalberts NV | Euro STR - 0.30% | Monthly | JPHQ | 2/10/31 | 302337 | EUR | (69464) |
|  ABC Arbitrage | 1-Day EONIA - 0.275% | Monthly | MSCO | 6/13/26 | 10223 | EUR | (855) |
|  Ability Opto Electronics | 1-Day FEDEF - 9.25% | Monthly | MSCO | 10/05/26 | 46947 |  | (2455) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  abrdn European Logistics Income PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/26 | 41907 | GBP | $28764 |
|  Accor SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/26 | 263841 | EUR | (32499) |
|  Acer Inc. | 1-Day FEDEF - 3.50% | Monthly | MSCO | 6/24/26 | 99024 |  | 11975 |
|  Acerinox SA | 1-Day EONIA - 0.275% | Monthly | MSCO | 3/24/26 | 286161 | EUR | (63963) |
|  Ackermans & van Haaren | Euro STR - 0.30% | Monthly | JPHQ | 3/18/26 | 67313 | EUR | (34069) |
|  Addnode Group AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 7/17/30 | 1472416 | SEK | 55021 |
|  Advanced Medical Solution | 1-Day SONIA - 0.275% | Monthly | MSCO | 7/17/30 | 7186 | GBP | 128 |
|  Advantech Co Ltd. | 1-Day FEDEF - 0.675% | Monthly | MSCO | 6/24/26 | 249078 |  | (9408) |
|  Adyen | Euro STR - 0.30% | Monthly | JPHQ | 5/22/30 | 70575 | EUR | 23471 |
|  Aeon Co. Ltd. | 1-Day TONAR - 0.25% | Monthly | GSCO | 1/22/27 | 3911651 | JPY | 735 |
|  Aeon Financial Service Co. | 1-Day FEDEF - 0.25% | Monthly | GSCO | 11/13/26 | 19590842 | JPY | (13458) |
|  Aeon Thana Sinsa Thailand | 1-Day FEDEF - 10.50% | Monthly | MSCO | 9/24/26 | 25976 |  | 3363 |
|  Affin Bank Berhad | 1-Day FEDEF - 4.00% | Monthly | MSCO | 6/25/26 | 47747 |  | (8195) |
|  African Rainbow Minerals Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCO | 7/22/30 | 3558843 | ZAR | (130900) |
|  Afrimat Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCO | 5/20/26 | 1732262 | ZAR | 35048 |
|  Agilyx | 1-Week NIBOR - 4.25% | Monthly | SEBA | 8/07/30 | 298953 | NOK | 14506 |
|  Airbus SE | 1-Day EONIA - 0.30% | Monthly | MSCO | 12/11/30 | 73761 | EUR | (751) |
|  Airports of Thailand | 1-Day FEDEF - 2.50% | Monthly | MSCO | 6/23/26 | 172798 |  | (95763) |
|  Aixtron SE | Euro STR - 0.30% | Monthly | JPHQ | 3/20/26 | 153766 | EUR | (101744) |
|  Ajinomoto Co. Inc. | 1-Day TONAR - 0.25% | Monthly | GSCO | 2/02/27 | 6465228 | JPY | (15853) |
|  Akbank | 1-Day FEDEF - 1.50% | Monthly | MSCO | 9/21/26 | 115384 |  | (40540) |
|  Akeso Inc. | 1-Day HONIA - 0.40% | Monthly | GSCO | 9/11/26 | 810311 | HKD | 7988 |
|  ALCON N | 1-Day SARON - 0.35% | Monthly | JPHQ | 8/12/30 | 171530 | CHF | 4456 |
|  Alibaba Group Holdings Ltd. | 1-Day HONIA - 0.25% | Monthly | GSCO | 1/06/27 | 280858 | HKD | 3047 |
|  All Ring Tech Co. | 1-Day FEDEF - 10.00% | Monthly | MSCO | 12/15/26 | 148585 |  | (79820) |
|  Allegro | 1-Day FEDEF - 2.13% | Monthly | MSCS | 7/12/26 | 114951 |  | 6090 |
|  Alleima AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 12/09/26 | 1076253 | SEK | (795) |
|  Alliance Bank Malaysia BE | 1-Day FEDEF - 9.875% | Monthly | MSCO | 11/19/26 | 41531 |  | (576) |
|  Allreal Holding AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 7/17/30 | 59340 | CHF | (22589) |
|  Alm. Brand A/S | 1-Week CIBOR - 0.75% | Monthly | SEBA | 7/26/30 | 1001064 | DKK | (1002) |
|  Alpha Networks Inc. | 1-Day FEDEF - 2.90% | Monthly | MSCO | 7/22/26 | 143983 |  | (6443) |
|  Also | 1-Day SARON - 0.35% | Monthly | JPHQ | 10/05/26 | 163185 | CHF | 58623 |
|  Alterea | 1-Day EONIA - 0.275% | Monthly | MSCO | 9/29/26 | 63864 | EUR | (20841) |
|  Amaero Fpo | 1-Day RBACR - 13.50% | Monthly | MSCO | 7/09/26 | 69640 | AUD | 9174 |
|  Ame Elite Consortium Berh | 1-Day FEDEF - 4.25% | Monthly | MSCO | 6/25/26 | 14190 |  | (1846) |
|  AMG Advanced Metallurgical Group NV | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 90688 | EUR | (170864) |
|  Amman Mineral Internasion | 1-Day FEDEF - 12.75% | Monthly | MSCO | 6/26/26 | 33208 |  | 10 |
|  Amper SA | 1-Day EONIA - 4.50% | Monthly | MSCO | 9/10/30 | 108307 | EUR | (33060) |
|  Amplifon | Euro STR - 0.30% | Monthly | JPHQ | 11/27/30 | 94891 | EUR | 8969 |
|  AmRest | 1-Day FEDEF -1.50% | Monthly | MSCS | 7/17/30 | 39222 |  | 3621 |
|  Anadolu Efes | 1-Day FEDEF - 7.75% | Monthly | MSCO | 11/03/26 | 118288 |  | (17479) |
|  Andritz AG | Euro STR - 0.30% | Monthly | JPHQ | 8/07/26 | 84680 | EUR | (17560) |
|  Angang Steel Co Lt | 1-Day FEDEF - 12.45% | Monthly | MSCO | 6/24/26 | 52101 |  | (9221) |
|  Angang Steel Co. Ltd. | 1-Day HONIA - 1.00% | Monthly | GSCO | 12/15/26 | 142352 | HKD | (2262) |
|  Anglo American Platinum Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCS | 8/15/30 | 2795670 | ZAR | (96832) |
|  Anglo Pacific Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 62192 | GBP | (87296) |
|  Anheuser-Busch InBev SA/NV | Euro STR - 0.30% | Monthly | JPHQ | 7/13/30 | 137994 | EUR | (53237) |
|  Anhui Jianghuai Auto | 1-Day FEDEF - 8.314% | Monthly | MSCO | 1/29/27 | 62780 |  | (2873) |
|  ANP | 1-Day FEDEF - 3.25% | Monthly | MSCO | 6/24/26 | 166664 |  | (47362) |
|  Anta Sports Products | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1277386 | HKD | 4750 |
|  Antofagasta PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 2/17/31 | 30468 | GBP | (69628) |
|  Anymind Group Inc. | 1-Day TONAR - 0.275% | Monthly | GSCO | 11/19/26 | 4775570 | JPY | 6473 |
|  Aperam | Euro STR - 0.30% | Monthly | JPHQ | 6/06/30 | 51332 | EUR | (24755) |
|  Aplex Technology Inc. | 1-Day FEDEF - 5.25% | Monthly | MSCO | 6/24/26 | 3483 |  | 16 |
|  Apotea AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 8/25/26 | 1242400 | SEK | 41644 |
|  Arbonia AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 11/08/30 | 23470 | CHF | 2449 |
|  Arcadis | Euro STR - 0.30% | Monthly | JPHQ | 4/04/26 | 117724 | EUR | 31641 |
|  Arcelik | 1-Day FEDEF - 5.00% | Monthly | MSCS | 7/17/26 | 105657 |  | 16373 |
|  Argan SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/30 | 102298 | EUR | (9788) |
|  argenx SE | Euro STR - 0.30% | Monthly | JPHQ | 7/01/30 | 22529 | EUR | 1768 |
|  Arkema | 1-Day EONIA - 0.275% | Monthly | MSCO | 12/02/26 | 95332 | EUR | (19283) |
|  Ascopiave SpA | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 31749 | EUR | (9745) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Short<sup>c</sup> (continued)** |  |  |  |  |  |  |  |
|  Ashmore Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 8/19/29 | 149425 | GBP | $(72428) |
|  Asia Polymer | 1-Day FEDEF - 5.25% | Monthly | MSCO | 6/24/26 | 13306 |  | (1162) |
|  Asiainfo Technologies Ltd. | 1-Day HONIA - 7.75% | Monthly | GSCO | 2/25/27 | 42774 | HKD | 137 |
|  Asmpt Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 9/11/26 | 892519 | HKD | (52069) |
|  ASR Nederland | Euro STR - 0.30% | Monthly | JPHQ | 6/13/26 | 224716 | EUR | (74136) |
|  Assa Abloy AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 11/27/30 | 648006 | SEK | (11263) |
|  Asset World Corp. | 1-Day FEDEF - 13.75% | Monthly | MSCO | 1/18/27 | 32996 |  | (7745) |
|  Assystem | 1-Day EONIA - 2.75% | Monthly | MSCO | 9/25/30 | 70186 | EUR | 3178 |
|  Asterasys Co Ltd. | 1-Day FEDEF - 15.00% | Monthly | MSCO | 9/17/26 | 8846 |  | (50) |
|  Astroscale Holdings Inc. | 1-Day TONAR - 10.00% | Monthly | GSCO | 8/24/26 | 3638258 | JPY | (8992) |
|  ASX FPO | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 52920 | AUD | 627 |
|  Ate Energy International | 1-Day FEDEF - 7.25% | Monthly | MSCO | 6/24/26 | 41641 |  | 5766 |
|  Atlas Copco | 1-Week STIBOR - 0.28% | Monthly | SEBA | 11/27/35 | 1267869 | SEK | (4063) |
|  Atos | 1-Day EONIA - 4.625% | Monthly | MSCO | 10/23/26 | 89626 | EUR | 22356 |
|  Atrium Ljungberg AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 5/25/26 | 367614 | SEK | (1831) |
|  Aub Group Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 212737 | AUD | 35473 |
|  Auden Techno Corp. | 1-Day FEDEF - 3.75% | Monthly | MSCO | 8/04/26 | 25240 |  | (20166) |
|  Audinategl Fpo | 1-Day RBACR - 3.38% | Monthly | MSCO | 6/24/26 | 197508 | AUD | 65694 |
|  Aura En Fpo | 1-Day RBACR - 13.00% | Monthly | MSCO | 6/24/26 | 24726 | AUD | 2512 |
|  Aust Ag Co Fpo | 1-Day RBACR - 1.50% | Monthly | MSCO | 6/24/26 | 44133 | AUD | 504 |
|  AUTO1 Group SE | Euro STR - 0.75% | Monthly | JPHQ | 7/14/26 | 101762 | EUR | (4382) |
|  Autopartner | 1-Day FEDEF - 3.25% | Monthly | MSCO | 9/18/30 | 71408 |  | (3880) |
|  Avio SpA | Euro STR - 3.25% | Monthly | JPHQ | 9/01/28 | 57232 | EUR | (11551) |
|  Aviva | 1-Day SONIA - 0.30% | Monthly | MSCS | 9/23/30 | 72452 | GBP | (14334) |
|  Ayala Land Inc. | 1-Day FEDEF - 2.50% | Monthly | MSCO | 6/19/26 | 55820 |  | 8198 |
|  Az-Com Maruwa Holdings | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/09/26 | 16643911 | JPY | 6983 |
|  Azelis Holding SA | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 215986 | EUR | 82569 |
|  B&M European Value Retail SA | 1-Day SONIA - 0.30% | Monthly | MSCS | 10/31/35 | 65634 | GBP | (6014) |
|  Baic Bluepark New Energy | 1-Day FEDEF - 8.87% | Monthly | MSCO | 12/03/26 | 49820 |  | (2405) |
|  Baltic Classifieds Group | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/12/26 | 97444 | GBP | 39297 |
|  Banca Generali SpA | Euro STR - 0.30% | Monthly | JPHQ | 9/21/26 | 44371 | EUR | (627) |
|  Banco De Sabadell | 1-Day EONIA - 0.275% | Monthly | MSCO | 2/15/27 | 43651 | EUR | (93) |
|  Bangkok Chain Hospital | 1-Day FEDEF - 8.50% | Monthly | MSCO | 10/08/26 | 48656 |  | (2590) |
|  Bangkok Dusit Medical Services | 1-Day FEDEF - 0.40% | Monthly | MSCO | 6/24/26 | 153248 |  | (14989) |
|  Bank Central Asia | 1-Day FEDEF - 6.50% | Monthly | MSCO | 8/06/26 | 200565 |  | 29943 |
|  Bank Handlowy | 1-Day FEDEF - 0.50% | Monthly | MSCO | 4/03/26 | 120855 |  | (14670) |
|  Bank Islam Malaysia Berha | 1-Day FEDEF - 3.50% | Monthly | MSCO | 7/08/26 | 38047 |  | (6892) |
|  Bank Mandiri | 1-Day FEDEF - 4.00% | Monthly | MSCO | 7/14/26 | 178242 |  | (15804) |
|  Bank of Guitang Co. | 1-Day FEDEF - 4.08% | Monthly | MSCO | 2/15/27 | 14619 |  | (31) |
|  Bank of the Philippine | 1-Day FEDEF - 2.50% | Monthly | MSCO | 6/25/26 | 165636 |  | 10244 |
|  Bank of Zheng Zhou | 1-Day FEDEF - 13.35% | Monthly | MSCO | 6/24/26 | 33692 |  | 610 |
|  Bankinter SA | 1-Day EONIA - 0.35% | Monthly | MSCO | 3/06/26 | 58421 | EUR | (52086) |
|  Banque Cantonale Vaudoise | Euro STR - 0.35% | Monthly | JPHQ | 7/12/26 | 286555 | CHF | (117135) |
|  Baowu Magnesium | 1-Day FEDEF - 9.663% | Monthly | MSCO | 8/06/26 | 36384 |  | (15145) |
|  Barito Pacific Tbk | 1-Day FEDEF - 4.00% | Monthly | MSCO | 6/22/26 | 20787 |  | 4440 |
|  Barratt Redrow PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 2/24/31 | 276967 | GBP | 36788 |
|  Barry Callebaut | 1-Day SARON - 0.35% | Monthly | JPHQ | 11/13/30 | 131244 | CHF | (60532) |
|  Basic-Fit | Euro STR - 1.75% | Monthly | JPHQ | 7/14/26 | 80085 | EUR | (63110) |
|  Bavarian Nordic AS | 1-Week CIBOR - 0.275% | Monthly | SEBA | 10/06/26 | 540305 | DKK | (3874) |
|  BBMG Corporation | 1-Day HONIA - 0.40% | Monthly | GSCO | 7/09/26 | 507869 | HKD | 300 |
|  BCI Mineral Fpo | 1-Day RBACR - 18.00% | Monthly | MSCO | 6/24/26 | 47203 | AUD | (4885) |
|  BDO Unibank Inc. | 1-Day FEDEF - 2.50% | Monthly | MSCO | 8/06/26 | 165097 |  | (3457) |
|  BE Semiconductor Industries | Euro STR - 0.30% | Monthly | JPHQ | 2/28/31 | 156104 | EUR | (164958) |
|  Befesa SA | Euro STR - 0.30% | Monthly | JPHQ | 7/17/26 | 143751 | EUR | (87387) |
|  Beiersdorf AG | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 116917 | EUR | (16455) |
|  Beijing Capital Int Airport | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 691899 | HKD | 16919 |
|  Beijing Enterprises Water | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 2160525 | HKD | (28627) |
|  Beijing Tong Ren Tang Chi | 1-Day HONIA - 3.25% | Monthly | GSCO | 6/25/26 | 293650 | HKD | (97) |
|  Belimo Holding AG | Euro STR - 0.35% | Monthly | JPHQ | 7/17/30 | 179750 | CHF | (67475) |
|  Bell Systems 24 Holdings Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 10/12/26 | 12947526 | JPY | (11056) |
|  Ben Ade Bk Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 176813 | AUD | 8584 |
|  Benefit | 1-Day FEDEF - 4.00% | Monthly | MSCO | 11/03/26 | 166123 |  | (38830) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Benq Materials Corporation | 1-Day FEDEF - 5.00% | Monthly | MSCO | 9/23/26 | 54040 |  | $268 |
|  Bergman & Beving Aktiebol | 1-Week STIBOR - 0.275% | Monthly | SEBA | 5/19/26 | 730969 | SEK | 7666 |
|  Berli Jucker Pcl | 1-Day FEDEF - 18.875% | Monthly | MSCO | 9/28/26 | 49638 |  | 4365 |
|  Better Collective A/S | 1-Week STIBOR - 0.275% | Monthly | SEBA | 10/09/30 | 608574 | SEK | (6161) |
|  BHP Group Ltd. | 1-Day SONIA - 1.52% | Monthly | MSCO | 12/02/30 | 39730 | GBP | (25387) |
|  BIC | 1-Day EONIA - 0.275% | Monthly | MSCO | 8/27/26 | 134796 | EUR | (16259) |
|  Biesse | Euro STR - 0.80% | Monthly | JPHQ | 9/04/30 | 33455 | EUR | 2271 |
|  Big Yellow Group | 1-Day SONIA - 0.30% | Monthly | MSCS | 10/16/30 | 70600 | GBP | (198) |
|  Bim Magazalar | 1-Day FEDEF - 0.75% | Monthly | MSCO | 9/21/26 | 119138 |  | (19512) |
|  Binex | 1-Day FEDEF - 6.38% | Monthly | MSCO | 6/24/26 | 107292 |  | 3764 |
|  Bioplus Co Ltd. | 1-Day FEDEF - 4.00% | Monthly | MSCO | 9/07/26 | 27346 |  | 3785 |
|  Bittium Corporation | Euro STR - 11.50% | Monthly | SEBA | 2/23/27 | 43253 | EUR | 702 |
|  BKW | 1-Day SARON - 0.35% | Monthly | JPHQ | 11/27/26 | 164380 | CHF | 16664 |
|  Bloomsbury Publishing Ord | 1-Day SONIA - 0.275% | Monthly | MSCO | 9/16/26 | 61951 | GBP | 3305 |
|  Blue Moon Group Hldgs Ltd. | 1-Day HONIA - 5.25% | Monthly | GSCO | 6/25/26 | 1375608 | HKD | 27952 |
|  BlueNord ASA | 1-Week NIBOR - 0.275% | Monthly | SEBA | 8/28/30 | 988226 | NOK | (14216) |
|  BMW Group | Euro STR - 0.30% | Monthly | JPHQ | 5/15/26 | 117729 | EUR | 63 |
|  Bollore SE | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/30 | 401316 | EUR | 17008 |
|  Borregaard ASA | 1-Week NIBOR - 0.275% | Monthly | SEBA | 5/07/26 | 660617 | NOK | 7327 |
|  Bossard AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 7/17/30 | 221297 | CHF | 17377 |
|  Brembo | Euro STR - 0.30% | Monthly | JPHQ | 3/25/26 | 166952 | EUR | (17235) |
|  Brenntag SE | Euro STR - 0.30% | Monthly | JPHQ | 10/07/30 | 184896 | EUR | 2096 |
|  Breville Fpo | 1-Day RBACR - 1.35% | Monthly | MSCO | 6/24/26 | 164602 | AUD | (3727) |
|  Bridgepoint Group PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 2/24/31 | 123034 | GBP | 17863 |
|  British American Tobacco | 1-Day SONIA - 0.30% | Monthly | MSCS | 9/27/30 | 58753 | GBP | (894) |
|  British Land Co Plc Ord | 1-Day SONIA - 0.275% | Monthly | MSCO | 6/08/26 | 183694 | GBP | (17263) |
|  Brogent Technologies Inc. | 1-Day FEDEF - 5.50% | Monthly | MSCO | 6/24/26 | 66264 |  | (429) |
|  Brunello Cucinelli | Euro STR - 0.30% | Monthly | JPHQ | 7/17/26 | 175379 | EUR | 24402 |
|  BTS Group Holdings Pcl | 1-Day FEDEF - 7.75% | Monthly | MSCO | 2/04/27 | 35248 |  | 1773 |
|  Budimex | 1-Day FEDEF - 0.50% | Monthly | MSCO | 5/07/26 | 302073 |  | (107120) |
|  Budweiser Brewing Company | 1-Day HONIA - 0.75% | Monthly | GSCO | 6/25/26 | 1579681 | HKD | 9218 |
|  Bureau Veritas SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 8/09/30 | 28080 | EUR | (1949) |
|  Burford Capital Ltd. | 1-Day SONIA - 0.63% | Monthly | MSCS | 7/17/29 | 177577 | GBP | 70101 |
|  Bursa Malaysia Bhd | 1-Day FEDEF - 4.375% | Monthly | MSCO | 6/23/26 | 112313 |  | (26447) |
|  Buzzi | Euro STR - 0.30% | Monthly | JPHQ | 9/03/26 | 83340 | EUR | 190 |
|  BW LPG Limited | 1-Week NIBOR - 0.275% | Monthly | SEBA | 1/27/27 | 392774 | NOK | (6758) |
|  Bystronic AG | Euro STR - 0.35% | Monthly | JPHQ | 8/05/30 | 58051 | CHF | 3856 |
|  Bytes Technology Group | 1-Day SONIA - 1.00% | Monthly | MSCO | 1/22/27 | 39255 | GBP | 4953 |
|  Cadeler AS | 1-Week NIBOR - 6.50% | Monthly | SEBA | 7/17/30 | 2568674 | NOK | (46537) |
|  Cairo Communication | Euro STR - 2.45% | Monthly | JPHQ | 11/04/29 | 34180 | EUR | (1090) |
|  Calb Group Co. Ltd. | 1-Day HONIA - 6.85% | Monthly | GSCO | 2/08/27 | 347623 | HKD | (2820) |
|  Calbee Inc. | 1-Day TONAR - 0.25% | Monthly | GSCO | 6/25/26 | 10613093 | JPY | (1254) |
|  Calix Fpo | 1-Day RBACR - 8.875% | Monthly | MSCO | 6/24/26 | 17101 | AUD | (27402) |
|  Campari | Euro STR - 0.30% | Monthly | JPHQ | 7/31/30 | 62032 | EUR | (6573) |
|  Camurus AB | 1-Week STIBOR - 0.75% | Monthly | SEBA | 7/17/30 | 1629501 | SEK | 35418 |
|  Canmax Techs Co. | 1-Day FEDEF - 12.24% | Monthly | MSCO | 2/03/27 | 181619 |  | (16253) |
|  Capcom Co. Ltd. | 1-Day TONAR - 0.25% | Monthly | GSCO | 2/08/27 | 5247053 | JPY | (5506) |
|  Capita PLC | 1-Day SONIA - 1.125% | Monthly | MSCO | 5/06/26 | 120351 | GBP | (22313) |
|  Capital and Invest | 1-Day SORA - 0.75% | Monthly | MSCO | 6/25/26 | 236202 | SGD | (28769) |
|  Caregen | 1-Day FEDEF - 6.125% | Monthly | MSCO | 6/24/26 | 44929 |  | (122153) |
|  Carel Industries | Euro STR - 0.30% | Monthly | JPHQ | 9/23/30 | 92593 | EUR | (50340) |
|  Carl Zeiss Meditec AG | Euro STR - 0.30% | Monthly | JPHQ | 8/21/30 | 31299 | EUR | 4752 |
|  Carlsberg AS | 1-Week CIBOR - 0.275% | Monthly | SEBA | 12/31/26 | 713126 | DKK | (17932) |
|  Carnarvon Fpo | 1-Day RBACR - 5.25% | Monthly | MSCO | 6/25/26 | 16798 | AUD | 2184 |
|  Caswell Inc. | 1-Day FEDEF - 4.75% | Monthly | MSCO | 9/11/26 | 13108 |  | (54) |
|  Catena AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 5/08/26 | 2677273 | SEK | (50550) |
|  Catl Ord. | 1-Day HONIA - 0.50% | Monthly | MSCS | 1/13/32 | 6050065 | HKD | 51328 |
|  CD Projekt SA | 1-Day FEDEF - 1.25% | Monthly | MSCS | 7/17/30 | 191647 |  | (119888) |
|  CDL Htrust | 1-Day SORA - 1.50% | Monthly | MSCO | 6/25/26 | 155672 | SGD | (11462) |
|  Celcomdigi Berhad | 1-Day FEDEF - 8.00% | Monthly | MSCO | 6/25/26 | 107252 |  | 3921 |
|  Cellnex Telecom SA | 1-Day EONIA - 0.35% | Monthly | MSCS | 7/14/26 | 260524 | EUR | (7829) |
|  Celltrion | 1-Day FEDEF - 1.50% | Monthly | MSCO | 6/24/26 | 109684 |  | (28808) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Celon Pharma SA | 1-Day FEDEF - 12.75% | Monthly | MSCS | 10/28/29 | 7340 |  | $(411) |
|  Cembra Money Bank | 1-Day SARON - 0.35% | Monthly | JPHQ | 12/10/26 | 57597 | CHF | (1268) |
|  Ceres Power Holdings PLC | 1-Day SONIA - 1.38% | Monthly | MSCS | 7/17/30 | 58855 | GBP | (82549) |
|  Cetc Digital Technology | 1-Day FEDEF - 12.05% | Monthly | MSCO | 2/15/27 | 27981 |  | (868) |
|  Cgn Mining Company Ltd. | 1-Day HONIA - 3.25% | Monthly | GSCO | 6/25/26 | 1062244 | HKD | (90384) |
|  CGN New Energy Holdings | 1-Day HONIA - 2.25% | Monthly | GSCO | 1/11/27 | 489606 | HKD | (2882) |
|  Chalice Fpo | 1-Day RBACR - 2.75% | Monthly | MSCO | 6/24/26 | 140575 | AUD | 2338 |
|  Champ Iron Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 9/08/26 | 142255 | AUD | 501 |
|  Champion Real Estate | 1-Day HONIA - 0.40% | Monthly | GSCO | 7/31/26 | 847475 | HKD | (24301) |
|  Chandra Asri Pacific TBK | 1-Day FEDEF - 11.50% | Monthly | MSCO | 9/09/26 | 81890 |  | 10972 |
|  Channel Infrastructure Nz | 1-Day NZOCR - 0.40% | Monthly | MSCO | 6/24/26 | 167567 | NZD | (25962) |
|  Charm Care Corporation | 1-Day TONAR - 0.35% | Monthly | GSCO | 12/01/26 | 2348477 | JPY | (2729) |
|  Charoen Pokphand Foods | 1-Day FEDEF - 2.25% | Monthly | MSCO | 1/19/27 | 92595 |  | (55) |
|  Cheng Loong | 1-Day FEDEF - 2.125% | Monthly | MSCO | 11/23/26 | 44383 |  | (1568) |
|  Chesnara PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 12/26/29 | 77595 | GBP | (13174) |
|  China Cinda Asset Management | 1-Day HONIA - 2.88% | Monthly | GSCO | 9/09/26 | 2335829 | HKD | 13986 |
|  China Energy Engineer | 1-Day FEDEF - 9.15% | Monthly | MSCO | 6/26/26 | 73771 |  | (12700) |
|  China Everbright Bank | 1-Day FEDEF - 0.85% | Monthly | MSCO | 6/24/26 | 57576 |  | 7860 |
|  China Everbright Limited | 1-Day HONIA - 3.25% | Monthly | GSCO | 1/07/27 | 454957 | HKD | 6451 |
|  China Feihe Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 9/11/26 | 1790826 | HKD | 16254 |
|  China General Plastics Co. | 1-Day FEDEF - 4.35% | Monthly | MSCO | 6/24/26 | 60359 |  | (5578) |
|  China Jinmao Holdings Group | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 299279 | HKD | (3336) |
|  China Lesso Group Holding | 1-Day HONIA - 0.25% | Monthly | GSCO | 1/06/27 | 170875 | HKD | (9934) |
|  China Literature Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 7/31/26 | 986521 | HKD | 11475 |
|  China Longyuan Power Group | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1446474 | HKD | (16766) |
|  China Medical Systems Holdings | 1-Day HONIA - 0.40% | Monthly | GSCO | 11/13/26 | 1153978 | HKD | (5457) |
|  China Motor Co. | 1-Day FEDEF - 3.625% | Monthly | MSCO | 6/24/26 | 146680 |  | 1357 |
|  China Petroleum | 1-Day FEDEF - 4.08% | Monthly | MSCO | 8/18/26 | 25101 |  | (5288) |
|  China Resource Power Holding | TONAR - 0.35% | Monthly | GSCO | 3/02/27 | 74144 | HKD | (191) |
|  China Risun Grp Ltd. | 1-Day HONIA - 12.25% | Monthly | GSCO | 6/25/26 | 502736 | HKD | (4504) |
|  China Ruyi Holdings Ltd. | 1-Day HONIA - 2.75% | Monthly | GSCO | 6/25/26 | 621227 | HKD | 20679 |
|  China Southern Airlines | 1-Day HONIA - 2.50% | Monthly | GSCO | 1/27/27 | 169417 | HKD | 594 |
|  China Southern Power | 1-Day FEDEF - 10.662% | Monthly | MSCO | 6/24/26 | 16407 |  | (4176) |
|  China State Construction | 1-Day HONIA - 0.25% | Monthly | GSCO | 1/06/27 | 296400 | HKD | 6 |
|  China Steel Corp. | 1-Day FEDEF - 1.00% | Monthly | MSCO | 10/06/26 | 194243 |  | (13867) |
|  China Tianying Inc. | 1-Day FEDEF - 6.17% | Monthly | MSCO | 2/12/27 | 46442 |  | (9630) |
|  China Travel International | 1-Day HONIA - 10.75% | Monthly | GSCO | 3/02/27 | 51783 | HKD | 341 |
|  China Vanke Co Ltd. | 1-Day HONIA - 3.00% | Monthly | GSCO | 7/17/26 | 286283 | HKD | 9799 |
|  China Water Affair Group | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1241225 | HKD | 27929 |
|  Chinasoft International | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1672544 | HKD | 32815 |
|  Chiyoda Co. Ltd. | 1-Day TONAR - 1.50% | Monthly | GSCO | 2/15/27 | 2236567 | JPY | (241) |
|  Chongqing Millison | 1-Day FEDEF - 6.15% | Monthly | MSCO | 8/26/26 | 17157 |  | (5400) |
|  Chretailrt Ord. | 1-Day RBACR - 0.30% | Monthly | MSCO | 1/19/27 | 75511 | AUD | (2126) |
|  Chrysosltd Fpo | 1-Day RBACR - 4.75% | Monthly | MSCO | 6/24/26 | 102390 | AUD | (33475) |
|  Chugoku Electric Power Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 13980749 | JPY | (26851) |
|  Chunbo | 1-Day FEDEF - 5.25% | Monthly | MSCO | 6/24/26 | 50988 |  | (9041) |
|  Chung Hung Steel Co. | 1-Day FEDEF - 5.25% | Monthly | MSCO | 6/24/26 | 134697 |  | (19927) |
|  Cibus Nordic Real Estate AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 1/10/31 | 1368615 | SEK | 10451 |
|  CIE Automotive S.A. | 1-Day EONIA - 0.35% | Monthly | MSCS | 9/12/30 | 139712 | EUR | (49579) |
|  Citic Telecom Intl Hldgs | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1067694 | HKD | (9184) |
|  CJ CGV | 1-Day FEDEF - 3.50% | Monthly | MSCO | 6/24/26 | 94940 |  | 2257 |
|  CK Infrastructure Holding | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1591621 | HKD | (34162) |
|  Clariane SE | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/26 | 153714 | EUR | (12268) |
|  Clio Cosmetics | 1-Day FEDEF - 5.75% | Monthly | MSCO | 6/24/26 | 52661 |  | 10003 |
|  Close Brothers Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 8/30/30 | 179629 | GBP | (62734) |
|  Cloudberry Clean Energy ASA | 1-Week NIBOR - 1.00% | Monthly | SEBA | 7/17/30 | 372576 | NOK | (3516) |
|  CLP Holdings Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 8/25/26 | 794799 | HKD | (12092) |
|  CNH Industrial | Euro STR - 0.30% | Monthly | JPHQ | 3/24/26 | 78456 | EUR | (4142) |
|  Coats Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 6/03/30 | 95023 | GBP | (17590) |
|  Cobram Fpo | 1-Day RBACR - 10.25% | Monthly | MSCO | 10/28/26 | 77611 | AUD | (3757) |
|  Coface | 1-Day EONIA - 0.275% | Monthly | MSCO | 1/14/31 | 236156 | EUR | 1694 |
|  Cognor Holding SA | 1-Day FEDEF - 0.75% | Monthly | MSCS | 7/17/30 | 54520 |  | 8315 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Colopl Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/26/26 | 8956241 | JPY | $7128 |
|  Coloplast A/S | 1-Week CIBOR - 0.28% | Monthly | SEBA | 7/17/26 | 1798829 | DKK | 66778 |
|  Colruyt SA | Euro STR - 0.30% | Monthly | JPHQ | 7/17/29 | 25486 | EUR | (837) |
|  Comet | 1-Day SARON - 0.35% | Monthly | JPHQ | 9/30/30 | 235743 | CHF | (154049) |
|  Cometridge Fpo | 1-Day RBACR - 18.00% | Monthly | MSCO | 6/24/26 | 26505 | AUD | 493 |
|  Comforia Residential Reit | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 16838489 | JPY | (15818) |
|  Continental Hldgs Corp. | 1-Day FEDEF - 3.625% | Monthly | MSCO | 6/24/26 | 142746 |  | 9377 |
|  Coretronics Corp. | 1-Day FEDEF - 3.875% | Monthly | MSCO | 6/24/26 | 227875 |  | (24922) |
|  Corporacion Acciona Energias Renovables SA | 1-Day EONIA - 0.35% | Monthly | MSCS | 8/05/30 | 313563 | EUR | (38514) |
|  Cosel Co. Ltd. | 1-Day TONAR - 0.25% | Monthly | GSCO | 2/25/27 | 803423 | JPY | (111) |
|  Cosmax | 1-Day FEDEF - 3.125% | Monthly | MSCO | 6/24/26 | 35253 |  | 5847 |
|  Cosmecca Korea | 1-Day FEDEF - 8.625% | Monthly | MSCO | 6/24/26 | 39661 |  | (13471) |
|  Cosmo Adv Materials & Tec | 1-Day FEDEF - 5.50% | Monthly | MSCO | 7/03/26 | 80401 |  | (31843) |
|  COSMO Pharmaceuticals NV | 1-Day SARON - 0.35% | Monthly | JPHQ | 7/17/30 | 42500 | CHF | (39461) |
|  Cota Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 8785403 | JPY | 3795 |
|  Cowell E Holdings Inc. | 1-Day HONIA - 2.70% | Monthly | GSCO | 12/15/26 | 347835 | HKD | 1439 |
|  CP All Public Company | 1-Day FEDEF - 0.75% | Monthly | MSCO | 9/17/26 | 30590 |  | (1347) |
|  Create Restaurants Holdings | 1-Day TONAR - 0.35% | Monthly | GSCO | 11/12/26 | 15339616 | JPY | 1623 |
|  Crest Nicholson Holdings PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 8/21/30 | 43716 | GBP | 5073 |
|  Crh Ord Eur | 1-Day SONIA - 0.275% | Monthly | MSCO | 7/08/26 | 188147 | GBP | (40749) |
|  Croda International PLC | 1-Day SONIA - 0.44% | Monthly | MSCS | 11/27/30 | 247987 | GBP | 20211 |
|  CSPC Innovation | 1-Day HONIA - 0.25% | Monthly | MSCO | 2/03/27 | 36579 |  | 1808 |
|  Cspc Pharmaceutical Group | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1691538 | HKD | (38837) |
|  Ctci Corp. | 1-Day FEDEF - 2.75% | Monthly | MSCO | 6/24/26 | 156211 |  | (10979) |
|  Ctos Digital Berhad | 1-Day FEDEF - 6.75% | Monthly | MSCO | 8/06/26 | 87679 |  | 1447 |
|  CTP NV | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 20323 | EUR | (2101) |
|  Cub Elecparts Inc. | 1-Day FEDEF - 8.75% | Monthly | MSCO | 6/24/26 | 109928 |  | (24972) |
|  Cuc Inc. | 1-Day TONAR - 5.00% | Monthly | GSCO | 6/24/26 | 12263765 | JPY | (364) |
|  CVC Capital Partners | Euro STR - 0.30% | Monthly | JPHQ | 12/08/30 | 140672 | EUR | 41749 |
|  CVS Group PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/19/30 | 99106 | GBP | (42081) |
|  Cwlth Bank Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 422363 | AUD | (606) |
|  Cy4gate SpA | Euro STR - 0.85% | Monthly | JPHQ | 2/10/31 | 25362 | EUR | (11707) |
|  Cyberdyne Inc. | 1-Day TONAR - 2.50% | Monthly | GSCO | 6/24/26 | 11317884 | JPY | (81619) |
|  Cyberflks | 1-Day FEDEF - 6.50% | Monthly | MSCO | 9/04/26 | 42998 |  | 2748 |
|  Cyfrowy Polsat SA | 1-Day FEDEF - 0.50% | Monthly | MSCS | 7/17/27 | 83176 |  | (4016) |
|  D&O Green Technologies | 1-Day FEDEF - 10.00% | Monthly | MSCO | 10/06/26 | 26913 |  | 15836 |
|  Daejoo | 1-Day FEDEF - 11.50% | Monthly | MSCO | 6/24/26 | 182488 |  | (74914) |
|  Daimler Truck Holdings AG | Euro STR - 0.30% | Monthly | JPHQ | 3/28/26 | 189463 | EUR | (67489) |
|  Daiseki Co. Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 2/09/27 | 3299492 | JPY | (1892) |
|  Daishin Securities Co. | 1-Day FEDEF - 2.865% | Monthly | MSCO | 7/24/26 | 196387 |  | (127379) |
|  Daishinku Corp. | 1-Day TONAR - 0.75% | Monthly | GSCO | 11/17/26 | 11535520 | JPY | (16684) |
|  Daiwa Office Investment Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 12412333 | JPY | (4634) |
|  Dalipal Holdings Ltd. | 1-Day HONIA - 16.25% | Monthly | GSCO | 6/25/26 | 440143 | HKD | (3461) |
|  Dassault Aviation | 1-Day EONIA - 0.275% | Monthly | MSCO | 10/23/26 | 66718 | EUR | (16752) |
|  Dassault Systemes SE | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/01/27 | 45531 | EUR | (2655) |
|  Deep Yellow Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 99861 | AUD | (35095) |
|  Delivery Hero SE | Euro STR - 0.30% | Monthly | JPHQ | 7/17/26 | 177266 | EUR | 31943 |
|  De'Longhi SpA | Euro STR - 0.30% | Monthly | JPHQ | 5/08/26 | 97032 | EUR | (35844) |
|  Dentsu Soken Inc. | 1-Day TONAR - 0.25% | Monthly | GSCO | 12/15/26 | 15987380 | JPY | 11287 |
|  Dermapharm Holding SE | Euro STR - 0.30% | Monthly | JPHQ | 5/15/26 | 96227 | EUR | (17061) |
|  Derwent London PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 7/07/26 | 243694 | GBP | 16522 |
|  Deterra Re Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/23/26 | 227918 | AUD | (22649) |
|  Deutsche Boerse | Euro STR - 0.30% | Monthly | JPHQ | 11/27/30 | 102001 | EUR | 1399 |
|  Deutsche Pfandriefbank AG | HIBOR - 0.30% | Monthly | JPHQ | 1/30/31 | 138185 | EUR | 52851 |
|  Deutsche Post | Euro STR - 0.30% | Monthly | JPHQ | 12/11/30 | 75342 | EUR | (28135) |
|  Develop Fpo | 1-Day RBACR - 0.875% | Monthly | MSCO | 6/25/26 | 184380 | AUD | (35614) |
|  Dexusind Stapled | 1-Day RBACR - 0.40% | Monthly | MSCO | 11/27/26 | 117641 | AUD | 3590 |
|  DFDS A/S | 1-Week CIBOR - 0.28% | Monthly | SEBA | 7/17/29 | 364423 | DKK | (6932) |
|  Di Dongil | 1-Day FEDEF - 6.375% | Monthly | MSCO | 6/24/26 | 89739 |  | 31707 |
|  Diageo PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 11/27/30 | 38262 | GBP | 7633 |
|  Dialog Group Bhd | 1-Day FEDEF - 5.125% | Monthly | MSCO | 6/25/26 | 189975 |  | (36957) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Dino Polska SA | 1-Day FEDEF - 0.50% | Monthly | MSCS | 7/14/26 | 135107 |  | $(23109) |
|  Dios Fastigheter AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 10/31/29 | 700410 | SEK | (6376) |
|  Dis-Chem Pharmacies | 1-Day SABOR - 0.50% | Monthly | MSCS | 12/26/30 | 3560986 | ZAR | (75803) |
|  Discovery Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCS | 7/17/30 | 4142356 | ZAR | (212692) |
|  DMG Mori Co. Ltd. | 1-Day TONAR - 0.25% | Monthly | GSCO | 12/15/26 | 18364588 | JPY | (14074) |
|  DNB Bank ASA | 1-Week NIBOR - 0.275% | Monthly | SEBA | 7/17/30 | 497295 | NOK | (1136) |
|  Domino's Pizza Group PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 9/05/30 | 198096 | GBP | 79048 |
|  Doosan Corporation | 1-Day FEDEF - 2.75% | Monthly | MSCO | 11/19/26 | 61288 |  | (29298) |
|  Doosan Enerbility Co Ltd. | 1-Day FEDEF - 0.45% | Monthly | MSCO | 11/18/26 | 80581 |  | (32767) |
|  Doosan Robotics | 1-Day FEDEF - 18.00% | Monthly | MSCO | 6/26/26 | 43288 |  | (17994) |
|  Doosanfc | 1-Day FEDEF - 10.25% | Monthly | MSCO | 6/24/26 | 105627 |  | (52251) |
|  Dottikon ES Holding AG | 1-Day SARON - 1.40% | Monthly | JPHQ | 7/17/30 | 44113 | CHF | (53140) |
|  Douglas AG | Euro STR - 0.30% | Monthly | JPHQ | 1/26/27 | 45051 | EUR | (5132) |
|  Dovalue | Euro STR - 5.00% | Monthly | JPHQ | 8/14/30 | 209322 | EUR | 18636 |
|  Dow Jones US Select Health Care Providers Index | SOFR - 0.25% | Monthly | GSCO | 6/17/26 | 4689587 |  | (160690) |
|  Dow Jones US Select Medical Equipment Index | SOFR - 0.25% | Monthly | GSCO | 6/17/26 | 8406051 |  | (235689) |
|  Dow Jones US Select Pharma Total Return Index | SOFR - 0.70% | Monthly | GSCO | 6/17/26 | 6730114 |  | (133940) |
|  DPC Dash Ltd. | 1-Day HONIA - 4.00% | Monthly | GSCO | 1/07/27 | 783647 | HKD | 5620 |
|  DRDGOLD Ltd. | 1-Day SABOR - 1.00% | Monthly | MSCS | 7/17/30 | 883762 | ZAR | (113172) |
|  Drewloong Precision Inc. | 1-Day FEDEF - 9.875% | Monthly | MSCO | 6/24/26 | 57433 |  | 6355 |
|  DSM Firmenich AG | Euro STR - 0.30% | Monthly | JPHQ | 4/16/26 | 169449 | EUR | 42748 |
|  DSV A/S | 1-Week CIBOR - 0.28% | Monthly | SEBA | 7/14/26 | 1724836 | DKK | (40546) |
|  Dug Tech Fpo | 1-Day RBACR - 7.125% | Monthly | MSCO | 6/24/26 | 36994 | AUD | (11782) |
|  DWEC | 1-Day FEDEF - 0.875% | Monthly | MSCO | 6/24/26 | 126735 |  | (152904) |
|  Dynavox Group AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 8/25/26 | 1631707 | SEK | 29968 |
|  E Ink Holdings Inc. | 1-Day FEDEF - 1.50% | Monthly | MSCO | 6/24/26 | 111295 |  | 15530 |
|  Eastern & Oriental Bhd | 1-Day FEDEF - 4.50% | Monthly | MSCO | 6/25/26 | 65379 |  | (24) |
|  Ecopro Co Ltd. | 1-Day FEDEF - 4.375% | Monthly | MSCO | 9/07/26 | 56954 |  | (63730) |
|  Ecoprobm Co Ltd. | 1-Day FEDEF - 8.375% | Monthly | MSCO | 9/16/26 | 79913 |  | (52442) |
|  Edenred | 1-Day EONIA - 0.30% | Monthly | MSCO | 3/27/26 | 89176 | EUR | (9866) |
|  Edreams Odigeo SA | 1-Day EONIA - 0.35% | Monthly | MSCS | 7/17/30 | 130791 | EUR | 60794 |
|  Eguarantee Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/17/26 | 20187825 | JPY | (8079) |
|  Eiken Chemical Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 37673621 | JPY | (84410) |
|  Eirgenix Inc. | 1-Day FEDEF - 6.50% | Monthly | MSCO | 6/24/26 | 79506 |  | 6700 |
|  Elec Optic Fpo | 1-Day RBACR - 12.875% | Monthly | MSCO | 11/05/26 | 40861 | AUD | (12448) |
|  Elecnor SA | 1-Day EONIA - 1.375% | Monthly | MSCO | 8/24/26 | 48153 | EUR | (8618) |
|  Elia Group | Euro STR - 0.30% | Monthly | JPHQ | 5/16/26 | 157208 | EUR | (116887) |
|  Elisa Oyj | Euro STR - 0.28% | Monthly | SEBA | 11/15/30 | 197796 | EUR | 4074 |
|  EM System Co. Ltd. | 1-Day TONAR - 0.25% | Monthly | GSCO | 2/25/27 | 1265613 | JPY | (126) |
|  Emeis | 1-Day EONIA - 1.50% | Monthly | MSCO | 11/19/26 | 103054 | EUR | (16942) |
|  Ems-Chemie AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 7/17/30 | 215678 | CHF | (40325) |
|  En Japan Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 9/22/26 | 6703951 | JPY | 7172 |
|  ENAV SpA | Euro STR - 0.30% | Monthly | JPHQ | 9/23/30 | 160078 | EUR | (73739) |
|  Ence Energia Y Celulosa SA | 1-Day EONIA - 0.35% | Monthly | MSCO | 2/10/31 | 67613 | EUR | 12390 |
|  Enento Group OYJ | Euro STR - 0.28% | Monthly | SEBA | 7/17/30 | 82533 | EUR | 9809 |
|  EnergieKontor AG | Euro STR - 0.30% | Monthly | JPHQ | 3/07/26 | 109424 | EUR | 6103 |
|  Engcon AB | 1-Week STIBOR - 3.50% | Monthly | SEBA | 10/04/30 | 1186280 | SEK | 31356 |
|  Eni SpA | Euro STR - 0.30% | Monthly | JPHQ | 1/13/31 | 85960 | EUR | (53902) |
|  Enigmo Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/15/26 | 2437935 | JPY | (8992) |
|  Envipco Holdings | 1-Week NIBOR - 0.275% | Monthly | SEBA | 5/21/26 | 754738 | NOK | 14119 |
|  Epiroc AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 11/27/30 | 2488838 | SEK | (79565) |
|  Eramet SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 8/30/30 | 203081 | EUR | (21574) |
|  ERG SpA | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 146582 | EUR | (56676) |
|  Erste Group Bank AG | Euro STR - 0.30% | Monthly | JPHQ | 10/14/30 | 157423 | EUR | (67550) |
|  ESR Kendall Square REIT | 1-Day FEDEF - 3.875% | Monthly | MSCO | 1/12/27 | 46802 |  | (525) |
|  Essentra PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 9/01/30 | 141010 | GBP | 40850 |
|  EssilorLuxottica SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/30 | 65255 | EUR | 11152 |
|  Essity AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/17/30 | 1996433 | SEK | (23419) |
|  Euglena Co Ltd. | 1-Day TONAR - 1.25% | Monthly | GSCO | 6/24/26 | 15563526 | JPY | 7294 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Eurazeo SE | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/29 | 82238 | EUR | $9097 |
|  Euronav NV | Euro STR - 0.30% | Monthly | JPHQ | 12/23/29 | 103793 | EUR | (58672) |
|  Eutelsat SA | 1-Day EONIA - 0.40% | Monthly | MSCS | 7/12/29 | 130790 | EUR | (4888) |
|  Everybot | 1-Day FEDEF - 17.875% | Monthly | MSCO | 6/24/26 | 8503 |  | (2331) |
|  Evotec SE | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 113041 | EUR | 4451 |
|  Evtltd Fpo | 1-Day RBACR - 0.30% | Monthly | MSCO | 2/25/27 | 26471 | AUD | (446) |
|  Experian PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 11/27/30 | 90611 | GBP | 19618 |
|  Ezaki Glico Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 20735508 | JPY | (35613) |
|  Far East Htrust | 1-Day SORA - 1.00% | Monthly | MSCO | 6/25/26 | 47110 | SGD | (2509) |
|  Faraday Technology | 1-Day FEDEF - 8.157% | Monthly | MSCO | 11/20/26 | 76899 |  | (3096) |
|  Farglory Free Trade Zone | 1-Day FEDEF - 7.50% | Monthly | MSCO | 6/24/26 | 53382 |  | (13750) |
|  Fastighets AB Balder | 1-Week STIBOR - 0.275% | Monthly | SEBA | 5/25/26 | 1997792 | SEK | (144) |
|  FDM Group Holdings Plc | 1-Day SONIA - 0.275% | Monthly | MSCO | 2/25/27 | 6677 | GBP | 113 |
|  Ferguson Enterprises Inc. | 1-Day SONIA - 0.275% | Monthly | MSCO | 2/10/31 | 59750 | GBP | (38253) |
|  Ferretti | Euro STR - 1.00% | Monthly | JPHQ | 10/20/30 | 125978 | EUR | (81021) |
|  Ferrovial SA | 1-Day EONIA - 0.35% | Monthly | MSCS | 7/17/30 | 128438 | EUR | (72209) |
|  Fila | Euro STR - 0.30% | Monthly | JPHQ | 11/19/26 | 98769 | EUR | 1165 |
|  Finatext Hldgs Ltd. | 1-Day TONAR - 1.50% | Monthly | GSCO | 6/24/26 | 15860146 | JPY | 17194 |
|  Fine M-Tec | 1-Day FEDEF - 19.00% | Monthly | MSCO | 6/24/26 | 14478 |  | (5478) |
|  FinecoBank SpA | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 203274 | EUR | (70063) |
|  Fintel PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/20/30 | 43646 | GBP | 13701 |
|  Fiskars Group OYJ | Euro STR - 0.45% | Monthly | SEBA | 8/23/30 | 46581 | EUR | 7523 |
|  Fittech Co Ltd. | 1-Day FEDEF - 6.25% | Monthly | MSCO | 6/24/26 | 22110 |  | (21085) |
|  Fletcher Building Fpo Nzx | 1-Day RBACR - 0.40% | Monthly | MSCO | 11/16/26 | 163886 | AUD | 4002 |
|  Flexium Interconnect Inc. | 1-Day FEDEF - 2.375% | Monthly | MSCO | 6/24/26 | 198617 |  | (19326) |
|  FLSmidth & Co. A/S | 1-Week CIBOR - 0.275% | Monthly | SEBA | 9/10/30 | 1538538 | DKK | (99576) |
|  Flughafen Zurich AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 7/17/30 | 128288 | CHF | (38504) |
|  Fluidra SA | 1-Day EONIA - 0.35% | Monthly | MSCS | 9/30/30 | 185220 | EUR | (9016) |
|  Flutter Entertainment PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 8/30/30 | 125358 | GBP | 87311 |
|  Fnac Darty SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 1/29/31 | 72437 | EUR | (23959) |
|  <sup>c</sup>Foci Fiber Optic Communication rts. | 1-Day FEDEF - 19.00% | Monthly | MSCO | 10/01/26 |  |  | (2639) |
|  Foci Fiber Optic Communication | 1-Day FEDEF - 10.875% | Monthly | MSCO | 10/01/26 | 75331 |  | (41003) |
|  Foosung | 1-Day FEDEF - 5.25% | Monthly | MSCO | 6/24/26 | 67733 |  | (23043) |
|  Forbo | 1-Day SARON - 0.35% | Monthly | JPHQ | 9/11/26 | 207113 | CHF | (40169) |
|  Formosa Plastic | 1-Day FEDEF - 3.25% | Monthly | MSCO | 6/19/26 | 211614 |  | (64448) |
|  Foschini Group Ltd. (The) | 1-Day SABOR - 0.50% | Monthly | MSCS | 8/30/29 | 2136913 | ZAR | 1428 |
|  FP Partner Inc. | 1-Day TONAR - 5.50% | Monthly | GSCO | 6/24/26 | 11536396 | JPY | (10342) |
|  Franbo Lines Corp. | 1-Day FEDEF - 8.375% | Monthly | MSCO | 11/17/26 | 97007 |  | (1733) |
|  Fraport AG | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 202842 | EUR | (134049) |
|  Fraser & Neave Holdings | 1-Day FEDEF - 10.75% | Monthly | MSCO | 2/02/27 | 40147 |  | (2169) |
|  Frasers Group PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 2/24/31 | 53215 | GBP | (7064) |
|  Frencken | 1-Day SORA - 9.00% | Monthly | MSCO | 12/16/26 | 87225 | SGD | (31340) |
|  Frequentis AG | Euro STR - 4.75% | Monthly | JPHQ | 2/23/27 | 23959 | EUR | (932) |
|  Fronteo Inc. | 1-Day TONAR - 7.50% | Monthly | GSCO | 6/29/26 | 12512236 | JPY | (23747) |
|  FRP Advisory Group Plc | 1-Day FEDEF - 1.875% | Monthly | MSCO | 11/18/26 | 42561 | GBP | 6241 |
|  Fu Shou Yuan Intl Grp Lim | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 777140 | HKD | 19450 |
|  Fudo Tetra Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 7059518 | JPY | (21129) |
|  Fugro | Euro STR - 0.30% | Monthly | JPHQ | 10/12/29 | 114564 | EUR | (7982) |
|  Fuji Oil Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 23550917 | JPY | (30464) |
|  Fujimi Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 25060551 | JPY | (105743) |
|  Fujio Food Group Inc. | 1-Day TONAR - 2.16% | Monthly | GSCO | 8/24/26 | 10309425 | JPY | 3998 |
|  Fukuyama Transporting Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 4321693 | JPY | (15356) |
|  Fulgent Sun International | 1-Day FEDEF - 4.625% | Monthly | MSCO | 10/06/26 | 206360 |  | 15834 |
|  Funding Circle Holdings PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/11/30 | 127345 | GBP | (63676) |
|  Furuya Metal Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 11/20/26 | 11416675 | JPY | (98794) |
|  Gamsung Corp. | 1-Day FEDEF - 6.125% | Monthly | MSCO | 6/24/26 | 33917 |  | 1327 |
|  Gamuda Bhd | 1-Day FEDEF - 8.75% | Monthly | MSCO | 6/25/26 | 138930 |  | 1631 |
|  GB Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 5/23/29 | 59053 | GBP | 13303 |
|  Geberit AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 7/17/30 | 224038 | CHF | (58415) |
|  Gecina SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/30 | 121618 | EUR | 8253 |
|  Gen Dev Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 7/03/26 | 155499 | AUD | 16182 |
|  Genda Inc. | 1-Day TONAR - 6.00% | Monthly | GSCO | 1/29/27 | 2216964 | JPY | 856 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Gentrack Fpo Nzx | 1-Day RBACR - 8.375% | Monthly | MSCO | 6/24/26 | 131550 | AUD | $10589 |
|  Genuit Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 62462 | GBP | (4885) |
|  Gerresheimer AG | Euro STR - 0.30% | Monthly | JPHQ | 5/15/26 | 38895 | EUR | 15911 |
|  Getlink SE | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/30 | 296870 | EUR | (62674) |
|  GFT Technologies SE | Euro STR - 0.30% | Monthly | JPHQ | 4/24/26 | 72821 | EUR | 13651 |
|  Gift Holdings Inc. | 1-Day TONAR - 1.00% | Monthly | GSCO | 8/20/26 | 8748809 | JPY | (16857) |
|  Giken Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 7547004 | JPY | (32968) |
|  GIMV NV | Euro STR - 0.30% | Monthly | JPHQ | 12/16/29 | 77724 | EUR | (5762) |
|  Global Brands Manufacturer | 1-Day FEDEF - 4.00% | Monthly | MSCO | 11/20/26 | 91752 |  | 916 |
|  Global Dominion | 1-Day EONIA - 0.275% | Monthly | MSCO | 7/30/30 | 105960 | EUR | (17732) |
|  Goldcrest Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 15636121 | JPY | 143 |
|  Goldsun Building Material | 1-Day FEDEF - 2.75% | Monthly | MSCO | 6/24/26 | 136651 |  | 1503 |
|  Good Group Stapled | 1-Day RBACR - 0.40% | Monthly | MSCO | 7/17/26 | 192394 | AUD | 13391 |
|  Goto Gojek Tokopedia | 1-Day FEDEF - 4.00% | Monthly | MSCO | 6/23/26 | 61525 |  | (2203) |
|  Grainger PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/26 | 61139 | GBP | (143) |
|  Great Portland Estates PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 257466 | GBP | (95663) |
|  Great Tree Pharmacy Co Lt | 1-Day FEDEF - 4.375% | Monthly | MSCO | 6/24/26 | 65118 |  | 17984 |
|  Greatland Gold Plc | 1-Day SONIA - 0.275% | Monthly | MSCO | 7/17/30 | 68017 | GBP | (358718) |
|  Greentown China Holdings | 1-Day HONIA - 5.75% | Monthly | GSCO | 2/16/27 | 184428 | HKD | 1504 |
|  Greentown Mgmt Hldgs Co L | 1-Day HONIA - 1.75% | Monthly | GSCO | 6/25/26 | 1025833 | HKD | 10268 |
|  Greggs Ord | 1-Day SONIA - 0.275% | Monthly | MSCO | 6/08/26 | 159208 | GBP | 18930 |
|  Groupe SEB | 1-Day EONIA - 0.30% | Monthly | MSCS | 8/30/30 | 74051 | EUR | 6511 |
|  Groupe ADP | 1-Day EONIA - 0.30% | Monthly | MSCS | 11/27/30 | 233944 | EUR | (22549) |
|  Groupe Bruxelles Lambert NV | Euro STR - 0.30% | Monthly | JPHQ | 7/12/26 | 325810 | EUR | (112544) |
|  Gruppo MutuiOnline SpA | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 151257 | EUR | 13783 |
|  Guan Chong Bhd | 1-Day FEDEF - 27.00% | Monthly | MSCO | 12/08/26 | 87098 |  | 1520 |
|  Guangdong Electric | 1-Day FEDEF - 5.83% | Monthly | MSCO | 10/22/26 | 41356 |  | (3930) |
|  Guangzhou Automobile Group | 1-Day HONIA - 3.50% | Monthly | GSCO | 1/27/27 | 1017657 | HKD | (823) |
|  Gudeng Precision Industries | 1-Day FEDEF - 12.75% | Monthly | MSCO | 11/20/26 | 124208 |  | (26132) |
|  Gulf Development Public | 1-Day FEDEF - 4.00% | Monthly | MSCO | 6/25/26 | 148219 |  | (82218) |
|  Gungho Online Entertainment | 1-Day TONAR - 0.25% | Monthly | GSCO | 12/30/26 | 9458743 | JPY | (286) |
|  Gunosy Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 10721693 | JPY | 5121 |
|  Guz Gomez Fpo | 1-Day RBACR - 3.375% | Monthly | MSCO | 6/24/26 | 265271 | AUD | 43975 |
|  GVS | Euro STR - 0.30% | Monthly | JPHQ | 7/13/30 | 98661 | EUR | 10435 |
|  GWA Group Fpo | 1-Day RBACR - 0.30% | Monthly | MSCO | 3/01/27 | 4306 | AUD | (23) |
|  Haichang Ocean Park Holdings | 1-Day HONIA - 13.50% | Monthly | GSCO | 10/23/26 | 298093 | HKD | (773) |
|  Haleon PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 3/13/26 | 183432 | GBP | (34882) |
|  Hamamatsu Photonics | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 29421935 | JPY | (38290) |
|  Hana Technology | 1-Day FEDEF - 15.50% | Monthly | MSCO | 6/24/26 | 42201 |  | (3221) |
|  Hanall Biopharma | 1-Day FEDEF - 1.125% | Monthly | MSCO | 6/24/26 | 114443 |  | (140069) |
|  Hand Enterprise | 1-Day FEDEF - 15.65% | Monthly | MSCO | 12/15/26 | 2159 |  | (1010) |
|  Hankyu Hanshin Holdings | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 6745717 | JPY | (6374) |
|  Hankyu Hanshin Reit Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 10884627 | JPY | (2297) |
|  Hanmi Semiconductor Co Ltd. | 1-Day FEDEF - 8.125% | Monthly | MSCO | 9/11/26 | 67201 |  | (95995) |
|  Hanmipharm | 1-Day FEDEF - 1.25% | Monthly | MSCO | 6/24/26 | 66185 |  | (45924) |
|  Hanon Systems | 1-Day FEDEF - 4.875% | Monthly | MSCO | 6/24/26 | 56040 |  | (18019) |
|  Hansa Biopharma AB | 1-Week STIBOR - 1.00% | Monthly | SEBA | 7/17/30 | 563782 | SEK | (19792) |
|  Hansae | 1-Day FEDEF - 7.875% | Monthly | MSCO | 9/17/26 | 32663 |  | (1810) |
|  Hanssem | 1-Day FEDEF - 3.375% | Monthly | MSCO | 6/24/26 | 117497 |  | (5541) |
|  Hanwha Ocean | 1-Day FEDEF - 1.50% | Monthly | MSCO | 6/24/26 | 102239 |  | (44033) |
|  Hanwha REIT | 1-Day FEDEF - 7.00% | Monthly | MSCO | 10/13/26 | 7010 |  | (1936) |
|  Hanwha Solutions | 1-Day FEDEF - 4.00% | Monthly | MSCO | 6/24/26 | 189899 |  | (116862) |
|  Hapag-Lloyd AG | Euro STR - 0.50% | Monthly | JPHQ | 10/07/30 | 80707 | EUR | (6614) |
|  Harmonic Drive Systems | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 16489025 | JPY | (72307) |
|  Hartalega Holdings Bhd | 1-Day FEDEF - 16.25% | Monthly | MSCO | 9/28/26 | 53292 |  | 6004 |
|  Harvia PLC | Euro STR - 9.50% | Monthly | SEBA | 7/17/30 | 144797 | EUR | 21791 |
|  Haypp Group AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 12/17/26 | 352372 | SEK | (3401) |
|  Hays PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 9/05/30 | 153868 | GBP | 62845 |
|  HBX Group International | 1-Day EONIA - 0.275% | Monthly | MSCO | 5/25/26 | 128289 | EUR | 16170 |
|  Healthcare Selectsectortr Index | SOFR - 0.25% | Monthly | GSCO | 6/17/26 | 5347427 |  | (158632) |
|  Heartland Group Hldgs Ltd. | 1-Day NZOCR - 2.025% | Monthly | MSCO | 6/24/26 | 117649 | NZD | (26919) |
|  Heineken | Euro STR - 0.35% | Monthly | JPHQ | 11/27/30 | 132368 | EUR | (21277) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Heiwa Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 19745085 | JPY | $2429 |
|  Helios Towers PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/29 | 58844 | GBP | (19439) |
|  HELLA GmbH & Co. KGaA | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 63871 | EUR | 1479 |
|  Henderson Land Development | 1-Day HONIA - 0.25% | Monthly | GSCO | 6/25/26 | 1455517 | HKD | (31227) |
|  Hengyi Petrochecmical | 1-Day FEDEF - 5.05% | Monthly | MSCO | 9/29/26 | 38835 |  | (27655) |
|  Henkel AG & Co. KGaA | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 253748 | EUR | (59314) |
|  Hensoldt AG | Euro STR - 0.30% | Monthly | JPHQ | 3/20/26 | 140307 | EUR | (25327) |
|  Hermes International | 1-Day SONIA - 0.40% | Monthly | MSCS | 9/07/30 | 131678 | EUR | 7979 |
|  Hertz Global Hldgs Inc CFD | 1-Day FEDEF - 0.75% | Monthly | MSCO | 9/27/31 | 141196 |  | 14008 |
|  Hexagon AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 4/01/26 | 879300 | SEK | 4052 |
|  Hexagon Composites ASA | 1-Week NIBOR - 0.28% | Monthly | SEBA | 7/17/26 | 552105 | NOK | 31731 |
|  Hibiya Engineering | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 17858727 | JPY | (61234) |
|  Highwealth Construction | 1-Day FEDEF - 1.00% | Monthly | MSCO | 8/19/26 | 121261 |  | 4419 |
|  Hiwin Technologies Corp. | 1-Day FEDEF - 4.375% | Monthly | MSCO | 6/24/26 | 311977 |  | (19616) |
|  HKT Trust And HKT Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 908455 | HKD | (6778) |
|  HMM | 1-Day FEDEF - 1.375% | Monthly | MSCO | 6/24/26 | 66906 |  | (7769) |
|  Hollywood Bowl Group PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 2/10/31 | 128807 | GBP | (2893) |
|  Holmen AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 6/20/26 | 1142758 | SEK | 5999 |
|  Holtek Semiconductor Inc. | 1-Day FEDEF - 5.625% | Monthly | MSCO | 6/30/26 | 33211 |  | (15355) |
|  Home Product Center Plc | 1-Day FEDEF - 34.00% | Monthly | MSCO | 6/26/26 | 151797 |  | (26504) |
|  Hongkong & China Gas Co. | 1-Day HONIA - 0.25% | Monthly | GSCO | 12/07/26 | 575428 | HKD | (3240) |
|  Horizon Robotics | 1-Day HONIA - 1.75% | Monthly | GSCO | 9/11/26 | 685745 | HKD | 3912 |
|  Hota Industrial Mfg Co. | 1-Day FEDEF - 13.875% | Monthly | MSCO | 6/24/26 | 227187 |  | 534 |
|  Hotai Finance Co Ltd. | 1-Day FEDEF - 2.25% | Monthly | MSCO | 6/24/26 | 156594 |  | 24019 |
|  Hotel Shilla | 1-Day FEDEF - 5.25% | Monthly | MSCO | 6/24/26 | 227744 |  | 22227 |
|  House Foods Group Inc. | 1-Day TONAR - 0.25% | Monthly | GSCO | 2/02/27 | 3346990 | JPY | (306) |
|  HS Hyosung Advanced Materials | 1-Day FEDEF - 2.625% | Monthly | MSCO | 9/17/26 | 145736 |  | (37810) |
|  Hsin Kuang Steel Co. | 1-Day FEDEF - 3.00% | Monthly | MSCO | 6/24/26 | 13608 |  | 1055 |
|  HTC Corporation | 1-Day FEDEF - 7.125% | Monthly | MSCO | 6/24/26 | 189211 |  | (9136) |
|  Hua Hong Semiconductor | 1-Day HONIA - 3.00% | Monthly | GSCO | 6/25/26 | 836447 | HKD | (165317) |
|  Hua Nan Financial Holding | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/24/26 | 68831 |  | (21137) |
|  Huaku Development Co Ltd. | 1-Day FEDEF - 2.125% | Monthly | MSCO | 6/24/26 | 123980 |  | (1833) |
|  Hubei Yihua Chemical | 1-Day FEDEF - 9.42% | Monthly | MSCO | 9/18/26 | 123856 |  | (33783) |
|  Huber+Suhner | 1-Day SARON - 0.35% | Monthly | JPHQ | 12/17/26 | 33515 | CHF | (13504) |
|  Hutchmed | 1-Day SONIA - 1.125% | Monthly | MSCO | 9/03/30 | 25609 | GBP | 6414 |
|  Hutchmed Ltd. | 1-Day SONIA - 28.75% | Monthly | GSCO | 6/25/26 | 112699 | HKD | 409 |
|  Hygeia Healthcare Hldgs | 1-Day HONIA - 7.75% | Monthly | GSCO | 6/25/26 | 945637 | HKD | (1280) |
|  Hypoport SE | 1-Day SABOR - 0.75% | Monthly | JPHQ | 9/27/30 | 110186 | EUR | 48230 |
|  Hyundai MTR | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/23/26 | 95118 |  | (178436) |
|  Ibiden Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 4235735 | JPY | (46161) |
|  Ibstock PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 11/07/30 | 156165 | GBP | (122) |
|  Ichibanya Co Ltd. | 1-Day TONAR - 0.75% | Monthly | GSCO | 6/24/26 | 32010261 | JPY | 2023 |
|  Ichigo Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 30450142 | JPY | (22643) |
|  I-Chun Precision Industry | 1-Day FEDEF - 21.125% | Monthly | MSCO | 1/11/27 | 32709 |  | (18432) |
|  Idom Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 11182601 | JPY | (19935) |
|  Idorsia | Euro STR - 6.50% | Monthly | JPHQ | 7/17/28 | 23485 | CHF | (502) |
|  IEL Fpo | 1-Day RBACR - 8.125% | Monthly | MSCO | 1/04/27 | 74184 | AUD | 8610 |
|  IG Port Inc. | 1-Day TONAR - 2.75% | Monthly | GSCO | 10/21/26 | 2558892 | JPY | (1173) |
|  Iino Kaiun Kaisha | 1-Day TONAR - 0.35% | Monthly | GSCO | 10/15/26 | 15881146 | JPY | (27765) |
|  IJM Corporation Bhd | 1-Day FEDEF - 5.625% | Monthly | MSCO | 6/25/26 | 64773 |  | (640) |
|  Iljin Hysolus | 1-Day FEDEF - 18.25% | Monthly | MSCO | 6/24/26 | 11763 |  | 700 |
|  Iluka Res Fpo | 1-Day RBACR - 0.30% | Monthly | MSCO | 12/03/26 | 169809 | AUD | (17222) |
|  IMCD Group NV | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 164072 | EUR | 26779 |
|  Imerys | 1-Day EONIA - 0.275% | Monthly | MSCO | 9/22/26 | 173909 | EUR | (18853) |
|  Immutep Fpo | 1-Day RBACR - 1.1925% | Monthly | MSCO | 12/01/26 | 75750 | AUD | (6331) |
|  Impedimed Fpo | 1-Day RBACR - 6.50% | Monthly | MSCO | 7/15/26 | 5069 | AUD | 2043 |
|  Imperial Hotel Limited | 1-Day TONAR - 3.30% | Monthly | GSCO | 6/24/26 | 18060679 | JPY | (41387) |
|  Inari Amertron Berhad | 1-Day FEDEF - 6.00% | Monthly | MSCO | 7/08/26 | 75035 |  | 17924 |
|  Indah Kiat Pulp & Paper | 1-Day FEDEF - 4.00% | Monthly | MSCO | 1/20/27 | 22404 |  | (3553) |
|  Industria De Diseno Textil | 1-Day EONIA - 0.275% | Monthly | MSCO | 1/16/31 | 37639 | EUR | (8209) |
|  Indutrade AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 6/03/26 | 1826089 | SEK | 1545 |
|  INFICON | 1-Day SARON - 0.35% | Monthly | JPHQ | 5/25/26 | 143948 | CHF | (36584) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Infineon Technologies AG | Euro STR - 0.30% | Monthly | JPHQ | 11/26/26 | 100743 | EUR | $(32670) |
|  Informa Plc Ord | 1-Day SONIA - 0.275% | Monthly | MSCO | 7/02/26 | 157997 | GBP | 3563 |
|  Infratil Limited Ord Npv | 1-Day NZOCR - 0.40% | Monthly | MSCO | 6/19/26 | 452310 | NZD | (14864) |
|  INGBSK | 1-Day FEDEF - 3.00% | Monthly | MSCO | 8/11/26 | 62268 |  | (17113) |
|  Innospace | 1-Day FEDEF -15.50% | Monthly | MSCO | 6/24/26 | 6241 |  | (3930) |
|  Instalco AB | 1-Week STIBOR - 0.45% | Monthly | SEBA | 6/27/26 | 582796 | SEK | (23451) |
|  Integ Diag Fpo | 1-Day RBACR - 0.563% | Monthly | MSCO | 6/24/26 | 155288 | AUD | 2078 |
|  Intellian Tech | 1-Day FEDEF - 6.368% | Monthly | MSCO | 6/24/26 | 129821 |  | (168350) |
|  Inter Cars | 1-Day FEDEF - 2.125% | Monthly | MSCO | 3/19/26 | 58296 |  | (12435) |
|  Intercontinental Hotels | 1-Day FEDEF - 0.25% | Monthly | MSCO | 11/27/28 | 139040 |  | 990 |
|  International Paper | 1-Day SONIA - 0.744% | Monthly | MSCO | 2/12/31 | 96423 | GBP | 8014 |
|  International Petroleum Corp. | 1-Week STIBOR - 0.275% | Monthly | SEBA | 12/06/30 | 2289843 | SEK | (93996) |
|  Interpump Group | Euro STR - 0.30% | Monthly | JPHQ | 5/20/26 | 42085 | EUR | (11598) |
|  Interroll Group | 1-Day SARON - 0.35% | Monthly | JPHQ | 10/28/30 | 41865 | CHF | 6653 |
|  Intops Co. | 1-Day FEDEF - 2.75% | Monthly | MSCO | 10/13/26 | 16408 |  | (4142) |
|  Investis Holdings SA | 1-Day SARON - 0.35% | Monthly | JPHQ | 9/12/30 | 23112 | CHF | (4305) |
|  Investor AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/14/26 | 1407636 | SEK | (49778) |
|  INVISIO AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/17/26 | 1884425 | SEK | 7843 |
|  Inwido AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 8/27/26 | 1474924 | SEK | (3695) |
|  Inwit | Euro STR - 1.30% | Monthly | JPHQ | 2/11/27 | 130520 | EUR | 1328 |
|  IOI Corporation Bhd | 1-Day FEDEF - 3.125% | Monthly | MSCO | 6/25/26 | 239714 |  | (30790) |
|  IOI Properties Group Berhad | 1-Day FEDEF - 9.25% | Monthly | MSCO | 10/30/26 | 69946 |  | (32567) |
|  Iperionx Fpo | 1-Day RBACR - 1.012% | Monthly | MSCO | 6/24/26 | 129444 | AUD | (24533) |
|  Italmobiliare | Euro STR - 0.30% | Monthly | JPHQ | 9/27/30 | 93905 | EUR | (32493) |
|  Itmedia Inc. | 1-Day TONAR - 1.00% | Monthly | GSCO | 6/24/26 | 20870301 | JPY | (20949) |
|  Ito EN Ltd. | 1-Day TONAR - 0.25% | Monthly | GSCO | 2/11/27 | 4294491 | JPY | 278 |
|  J Front Retailing Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/15/26 | 20639225 | JPY | (21404) |
|  J&T Global Express Limited | 1-Day HONIA - 0.90% | Monthly | GSCO | 9/04/26 | 743643 | HKD | (4157) |
|  JA Solar Technology | 1-Day FEDEF - 10.21% | Monthly | MSCO | 9/04/26 | 59638 |  | 3883 |
|  James Halstead PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/26 | 33823 | GBP | 8157 |
|  Japan Eyewear Holdings Co. | 1-Day TONAR - 10.00% | Monthly | GSCO | 6/24/26 | 17887349 | JPY | 13323 |
|  Japan Steel Works | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 13349965 | JPY | (19195) |
|  JCR Pharmaceutical Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 20832320 | JPY | (8804) |
|  Jean Co Ltd. | 1-Day FEDEF - 6.125% | Monthly | MSCO | 6/24/26 | 45605 |  | 7540 |
|  Jenoptik AG NA | Euro STR - 0.30% | Monthly | JPHQ | 7/17/28 | 124167 | EUR | (3789) |
|  Jetema | 1-Day FEDEF -15.00% | Monthly | MSCO | 6/24/26 | 33245 |  | (7525) |
|  Jiangsu Expressway Co. | 1-Day FEDEF - 9.35% | Monthly | GSCO | 7/31/26 | 288177 | HKD | (2357) |
|  Jiangsu Expressway Co. – A Shares | 1-Day FEDEF - 9.35% | Monthly | MSCO | 6/24/26 | 30327 |  | 5009 |
|  Jiangsu Yuxing | 1-Day FEDEF - 13.373% | Monthly | MSCO | 6/24/26 | 3868 |  | (208) |
|  Jiangsu Zhangjiaga | 1-Day FEDEF - 5.53% | Monthly | MSCO | 12/03/26 | 42931 |  | 158 |
|  Jinushi Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 1565219 | JPY | (3633) |
|  Jinxin Fertility Group Ltd. | 1-Day HONIA - 8.75% | Monthly | GSCO | 7/23/26 | 926011 | HKD | (841) |
|  JM AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/17/35 | 1409390 | SEK | (398) |
|  JS Global Lifestyle Company | 1-Day HONIA - 2.00% | Monthly | GSCO | 9/11/26 | 1362089 | HKD | 6111 |
|  Judges Scientific PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/05/26 | 165011 | GBP | 104166 |
|  Jungfraubahn Hld N | 1-Day SARON - 0.35% | Monthly | JPHQ | 6/11/26 | 55277 | CHF | (37913) |
|  Jvckenwood Corporation | 1-Day TONAR - 0.25% | Monthly | GSCO | 12/14/26 | 17564792 | JPY | (8259) |
|  K Wah International Hldgs | 1-Day HONIA - 0.75% | Monthly | GSCO | 1/07/27 | 148709 | HKD | (4347) |
|  Kadokawa Corporation | 1-Day TONAR - 0.25% | Monthly | GSCO | 1/14/27 | 10738813 | JPY | 7580 |
|  Kakao Games | 1-Day FEDEF - 4.00% | Monthly | MSCO | 6/23/26 | 182697 |  | 44328 |
|  Kakaopay | 1-Day FEDEF - 9.00% | Monthly | MSCO | 6/29/26 | 71556 |  | (2384) |
|  Kameda Seika Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 26561843 | JPY | (16269) |
|  Kanro Co. Ltd. | 1-Day TONAR - 9.50% | Monthly | GSCO | 2/15/27 | 4866106 | JPY | 79 |
|  Kansai Electric Power Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 12373280 | JPY | (32825) |
|  Karnov Group AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/17/30 | 882205 | SEK | 18560 |
|  Kawasaki Kisen Kaisha | 1-Day TONAR - 0.35% | Monthly | GSCO | 11/19/26 | 20963847 | JPY | (21837) |
|  KBC Ancora Ord. | Euro STR - 0.30% | Monthly | JPHQ | 1/27/27 | 67171 | EUR | 3331 |
|  KBC Groep NV | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 65583 | EUR | (43043) |
|  KE Holdings Inc. | 1-Day HONIA - 0.40% | Monthly | GSCO | 7/31/26 | 2411046 | HKD | 21731 |
|  Keihanshin Building Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 8444922 | JPY | (15495) |
|  Keisei Electric Railway | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 14146489 | JPY | (3159) |
|  Kellington Group Berhad | 1-Day FEDEF - 8.50% | Monthly | MSCO | 1/19/27 | 33332 |  | (1587) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Kempower OYJ | Euro STR - 3.75% | Monthly | SEBA | 7/17/30 | 20705 | EUR | $4424 |
|  Kenda Rubber Industry | 1-Day FEDEF - 0.75% | Monthly | MSCO | 6/24/26 | 27047 |  | 2677 |
|  Kepco E&C | 1-Day FEDEF - 4.00% | Monthly | MSCO | 6/25/26 | 59025 |  | (31375) |
|  Keppel | 1-Day SORA - 0.40% | Monthly | MSCO | 6/23/26 | 161862 | SGD | (96407) |
|  Kering SA | 1-Month EURIBOR - 0.40% | Monthly | MSCS | 11/27/30 | 125550 | EUR | (22179) |
|  Kerry Group PLC | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/30 | 114026 | EUR | 11718 |
|  Kesko Corp. | Euro STR - 0.275% | Monthly | SEBA | 10/17/30 | 106991 | EUR | 190 |
|  K-Fast Holding AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 7/17/30 | 272464 | SEK | 7195 |
|  Kid ASA | 1-Week NIBOR - 0.275% | Monthly | SEBA | 5/25/26 | 747959 | NOK | 10394 |
|  Kingdee Intl Software Group | 1-Day HONIA - 0.25% | Monthly | GSCO | 6/25/26 | 215548 | HKD | 5688 |
|  Kingsoft Corp. | 1-Day HONIA - 0.25% | Monthly | GSCO | 2/25/27 | 181240 | HKD | 570 |
|  Kitwave Group Plc | 1-Day SONIA - 1.875% | Monthly | MSCO | 9/09/26 | 57651 | GBP | (19343) |
|  KMW | 1-Day FEDEF - 9.00% | Monthly | MSCO | 6/24/26 | 27777 |  | (7979) |
|  Knorr-Bremse AG | Euro STR - 0.30% | Monthly | JPHQ | 7/17/26 | 106890 | EUR | (38045) |
|  Kobayashi Pharmaceuticals | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 33029418 | JPY | (18032) |
|  Komehyo Holdings Co Ltd. | 1-Day TONAR - 1.00% | Monthly | GSCO | 11/17/26 | 4446022 | JPY | (18920) |
|  Koninklijke Philips NV | Euro STR - 0.30% | Monthly | JPHQ | 7/17/29 | 109376 | EUR | (12096) |
|  Kontron AG | Euro STR - 2.10% | Monthly | JPHQ | 4/23/26 | 144646 | EUR | (2322) |
|  Korea Aerospace | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/19/26 | 87733 |  | (85550) |
|  Korean Air Lines Co. | 1-Day FEDEF - 2.75% | Monthly | MSCO | 1/13/27 | 20309 |  | (6133) |
|  Kosaido Holdings Co Ltd. | 1-Day TONAR - 1.00% | Monthly | GSCO | 7/06/26 | 27834710 | JPY | (8365) |
|  Kossan Rubber Industries | 1-Day FEDEF - 5.75% | Monthly | MSCO | 10/27/26 | 30892 |  | 1018 |
|  Kruk | 1-Day FEDEF - 0.50% | Monthly | MSCO | 7/17/26 | 217416 |  | (18019) |
|  Kuala Lumpur Kepong Bhd | 1-Day FEDEF - 7.875% | Monthly | MSCO | 6/25/26 | 152178 |  | (3236) |
|  Kudan Inc. | 1-Day TONAR - 13.33% | Monthly | GSCO | 8/24/26 | 5281267 | JPY | (21285) |
|  Kuehne+Nagel | 1-Day SARON - 0.35% | Monthly | JPHQ | 3/13/26 | 48908 | CHF | (2412) |
|  Kulun Tech Co. Ltd. | 1-Day FEDEF - 11.15% | Monthly | MSCO | 2/03/27 | 9330 |  | (1509) |
|  Kunshan Dongwei Technology | 1-Day FEDEF - 5.62% | Monthly | MSCO | 9/29/26 | 131886 |  | (29048) |
|  Kureha Corporation | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 5951328 | JPY | (12134) |
|  Kweichow Moutai | 1-Day FEDEF - 1.75% | Monthly | MSCO | 7/10/26 | 17663 |  | (1428) |
|  Kyowa Kirin Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/18/26 | 13921031 | JPY | (14937) |
|  L1 Group Fpo | 1-Day RBACR - 3.625% | Monthly | MSCO | 11/24/26 | 180405 | AUD | (20946) |
|  Laboratorios Farmaceutico | 1-Day EONIA - 0.275% | Monthly | MSCO | 12/08/30 | 205468 | EUR | (135039) |
|  Lagenda Properties Berhad | 1-Day FEDEF - 6.625% | Monthly | MSCO | 7/08/26 | 5837 |  | (1602) |
|  Lake | 1-Day FEDEF - 8.50% | Monthly | MSCO | 6/24/26 | 134045 |  | (104152) |
|  Land & Houses | 1-Day FEDEF - 14.50% | Monthly | MSCO | 7/07/26 | 75906 |  | (15835) |
|  Land Mark Optoelectronics | 1-Day FEDEF - 5.25% | Monthly | MSCO | 6/25/26 | 67508 |  | (132905) |
|  Land Securities Group Plc | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/19/26 | 166066 | GBP | (16240) |
|  Landis+Gyr Group AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 1/23/31 | 206279 | CHF | 25211 |
|  Latour Investment AB Services | 1-Week STIBOR - 0.275% | Monthly | SEBA | 11/14/30 | 3377680 | SEK | 46990 |
|  LCB | 1-Day FEDEF - 5.125% | Monthly | MSCO | 6/24/26 | 93157 |  | (31992) |
|  Lectra SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/01/29 | 39025 | EUR | 7126 |
|  Legal & General Group | 1-Day SONIA - 0.30% | Monthly | MSCS | 9/23/30 | 264487 | GBP | (57231) |
|  Lendlease Reit | 1-Day SORA - 1.75% | Monthly | MSCO | 6/24/26 | 112847 | SGD | (13652) |
|  Lenzing AG | Euro STR - 0.30% | Monthly | JPHQ | 7/14/26 | 55206 | EUR | 1321 |
|  Leroy Seafood Group | 1-Week NIBOR - 0.275% | Monthly | SEBA | 9/03/26 | 269814 | NOK | (269) |
|  Levima Advanced | 1-Day FEDEF - 10.45% | Monthly | MSCO | 6/25/26 | 85052 |  | (4103) |
|  LG Chem | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/24/26 | 165430 |  | (89515) |
|  LG Energy Solution Ltd. | 1-Day FEDEF - 3.125% | Monthly | MSCO | 12/16/26 | 65273 |  | (5961) |
|  LGMS Berhad | 1-Day FEDEF - 4.00% | Monthly | MSCO | 6/25/26 | 11028 |  | 4114 |
|  LI Auto Inc. | 1-Day HONIA - 0.40% | Monthly | GSCO | 9/11/26 | 706094 | HKD | 4186 |
|  Lianchuang Electro | 1-Day FEDEF - 11.95% | Monthly | MSCO | 6/24/26 | 6548 |  | (436) |
|  Liberta Co Ltd. | 1-Day TONAR - 17.00% | Monthly | GSCO | 6/24/26 | 3789306 | JPY | 1897 |
|  Liecht Landbk | 1-Day SARON - 2.20% | Monthly | JPHQ | 11/09/26 | 89598 | CHF | (18006) |
|  Lifenet Insurance Company | 1-Day TONAR - 2.00% | Monthly | GSCO | 6/24/26 | 15352668 | JPY | (138) |
|  Lifestyle Fpo | 1-Day RBACR - 4.625% | Monthly | MSCO | 6/24/26 | 197766 | AUD | 24033 |
|  Lindab International AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 6/20/26 | 1390766 | SEK | 24068 |
|  Linde PLC | Euro STR - 0.30% | Monthly | JPHQ | 5/15/26 | 171707 | EUR | (18681) |
|  Lindex Group | Euro STR - 0.275% | Monthly | SEBA | 7/09/26 | 33389 | EUR | 4605 |
|  Litalico Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 11/17/26 | 3947942 | JPY | (1553) |
|  LK Technology Holdings | 1-Day HONIA - 14.50% | Monthly | GSCO | 7/13/26 | 645653 | HKD | 856 |
|  London Stock Exchange Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/26 | 68841 | GBP | 10476 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Longfor Group Hldgs Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1203973 | HKD | $(2694) |
|  L'Oreal SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 8/09/30 | 46155 | EUR | (2255) |
|  Lotes Co. Ltd. | 1-Day FEDEF - 3.50% | Monthly | MSCO | 12/15/26 | 174022 |  | (53507) |
|  Lotte Energy Materials Co. | 1-Day FEDEF - 3.00% | Monthly | MSCO | 6/24/26 | 117195 |  | (90579) |
|  Lotus Bakeries NV | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 173833 | EUR | (67929) |
|  Lotus Resources Fpo | 1-Day RBACR - 2.00% | Monthly | MSCO | 7/03/26 | 87186 | AUD | (3491) |
|  LS Marine Solution Co. Ltd. | 1-Day FEDEF -15.75% | Monthly | MSCO | 12/23/26 | 48066 |  | (8918) |
|  LS Materials Co. Ltd. | 1-Day FEDEF - 6.113% | Monthly | MSCO | 8/21/26 | 101281 |  | (54618) |
|  Lunit | 1-Day FEDEF - 12.75% | Monthly | MSCO | 6/24/26 | 81416 |  | 17911 |
|  Luxshare Precision | 1-Day FEDEF - 1.75% | Monthly | MSCO | 10/14/26 | 34375 |  | 2173 |
|  LVMH Moet Hennessy Louis Vuitton SE | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/03/26 | 99344 | EUR | 2360 |
|  Lynas Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 84685 | AUD | (43501) |
|  Maas Group Fpo | 1-Day RBACR - 3.25% | Monthly | MSCO | 6/24/26 | 186006 | AUD | (9854) |
|  Macq Group Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 322130 | AUD | (1282) |
|  Macronix International | 1-Day FEDEF - 1.35% | Monthly | MSCO | 6/24/26 | 97924 |  | (376599) |
|  Mag Finc Fpo | 1-Day RBACR - 0.30% | Monthly | MSCO | 1/19/27 | 123441 | AUD | 1243 |
|  Magnora ASA | 1-Week NIBOR - 7.00% | Monthly | SEBA | 7/17/30 | 325471 | NOK | 557 |
|  Mainfreight Ltd Ord | 1-Day NZOCR - 0.40% | Monthly | MSCO | 6/24/26 | 378528 | NZD | (4011) |
|  Malayan Banking Bhd | 1-Day FEDEF - 3.00% | Monthly | MSCO | 6/22/26 | 139458 |  | (40986) |
|  Malaysia Smelting Corporation | 1-Day FEDEF - 9.50% | Monthly | MSCO | 9/09/26 | 9454 |  | (5908) |
|  Malaysian Resources Corporation | 1-Day FEDEF - 11.875% | Monthly | MSCO | 9/09/26 | 100762 |  | 30547 |
|  Mandatum OYJ | Euro STR - 0.275% | Monthly | SEBA | 7/17/30 | 281314 | EUR | (63281) |
|  Mapletree Log | 1-Day SORA - 0.40% | Monthly | MSCO | 6/25/26 | 194058 | SGD | (16423) |
|  Maq Tech Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 373682 | AUD | (14879) |
|  Marcopolo Marine | 1-Day SORA - 7.875% | Monthly | MSCO | 9/08/26 | 64550 | SGD | (24987) |
|  Marr | Euro STR - 0.30% | Monthly | JPHQ | 12/11/30 | 61382 | EUR | (3698) |
|  Marumae Co Ltd. | 1-Day TONAR - 2.00% | Monthly | GSCO | 6/24/26 | 11296569 | JPY | (99652) |
|  Matas A/S | 1-Week CIBOR - 0.275% | Monthly | SEBA | 4/17/26 | 516515 | DKK | 12578 |
|  Matrix Concepts Holdings | 1-Day FEDEF - 4.125% | Monthly | MSCO | 6/25/26 | 108993 |  | (13793) |
|  Matsuya Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 13482131 | JPY | (126203) |
|  mBank SA | 1-Day FEDEF - 0.50% | Monthly | MSCS | 7/14/26 | 224909 |  | (169715) |
|  Mcmillan Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 222289 | AUD | (2773) |
|  Medical G | 1-Day FEDEF - 12.75% | Monthly | MSCO | 11/03/26 | 5257 |  | 159 |
|  Medlive Technology Co Ltd. | 1-Day HONIA - 6.50% | Monthly | GSCO | 12/01/26 | 138425 | HKD | 644 |
|  Mega Financial Holding Co. | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/24/26 | 218443 |  | 6907 |
|  Mega First Corporation | 1-Day FEDEF - 8.375% | Monthly | MSCO | 6/25/26 | 31767 |  | 1762 |
|  Megachips Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 21850833 | JPY | (29805) |
|  Meituan | 1-Day HONIA - 0.40% | Monthly | GSCO | 7/30/26 | 701786 | HKD | 19255 |
|  Mekonomen AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 10/18/30 | 933066 | SEK | 13555 |
|  Melco International Develop | 1-Day HONIA - 0.25% | Monthly | GSCO | 1/06/27 | 639098 | HKD | 2145 |
|  Melrose Industries PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 2/24/31 | 259517 | GBP | (25582) |
|  Mercari Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 25556724 | JPY | (57505) |
|  Meridian Energy Limited | 1-Day NZOCR - 0.40% | Monthly | MSCO | 6/23/26 | 330503 | NZD | 1831 |
|  Meritz Financial | 1-Day FEDEF - 1.50% | Monthly | MSCO | 6/24/26 | 131394 |  | (11267) |
|  Merlin Properties Socimi SA | 1-Day EONIA - 0.30% | Monthly | MSCO | 3/12/26 | 212170 | EUR | (123321) |
|  Mesoblast Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 73851 | AUD | 9551 |
|  Metall Zug AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 3/13/26 | 57499 | CHF | 9983 |
|  Meteoric Fpo | 1-Day RBACR - 19.125% | Monthly | MSCO | 10/23/26 | 76307 | AUD | (8122) |
|  Metropole TV | 1-Day EONIA - 0.275% | Monthly | MSCO | 12/11/30 | 241101 | EUR | 26007 |
|  Metsa Board OYJ | Euro STR - 0.32% | Monthly | SEBA | 6/13/26 | 176651 | EUR | 12537 |
|  Metso Outotec OYJ | Euro STR - 0.28% | Monthly | SEBA | 7/17/26 | 176365 | EUR | (127957) |
|  Michelin | 1-Day EONIA - 0.30% | Monthly | MSCS | 12/11/29 | 188126 | EUR | (45064) |
|  Midac Holdings Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/15/26 | 15102955 | JPY | (2445) |
|  Millennium | 1-Day FEDEF - 0.50% | Monthly | MSCS | 7/17/30 | 182884 |  | (139823) |
|  Ming Yuan Cloud Group Hld | 1-Day HONIA - 1.25% | Monthly | GSCO | 6/23/26 | 1985066 | HKD | 29362 |
|  Miniso Group Hldg Ltd. | 1-Day HONIA - 1.25% | Monthly | GSCO | 6/25/26 | 1318098 | HKD | 5500 |
|  Mitsubishi Gas Chemical | 1-Day TONAR - 0.25% | Monthly | GSCO | 1/21/27 | 13920839 | JPY | (33811) |
|  Mitsubishi Pencil Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 36671495 | JPY | (38812) |
|  Mitsuboshi Belting | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 12187264 | JPY | (9944) |
|  Mitsui & Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 10079712 | JPY | (63288) |
|  Mitsui Fudosan Logistics | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 27618298 | JPY | (18814) |
|  Mitsui OSK Lines Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 21979417 | JPY | (29994) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Mitsui Soko Holdings Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 11/12/26 | 23784580 | JPY | $1495 |
|  Mobimo Holdings AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 1/23/29 | 133473 | CHF | (31660) |
|  Mo-Bruk SA | 1-Day FEDEF - 2.375% | Monthly | MSCO | 5/28/26 | 44028 |  | (7784) |
|  Momentum Group AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 3/27/30 | 475078 | SEK | 6723 |
|  Moncler | Euro STR - 0.30% | Monthly | JPHQ | 2/06/31 | 52543 | EUR | (6316) |
|  Mondadori Edit | Euro STR - 0.30% | Monthly | JPHQ | 9/03/26 | 79521 | EUR | 1472 |
|  Mondi Plc Ord. | 1-Day SONIA - 0.275% | Monthly | MSCO | 2/10/27 | 187944 | GBP | 12348 |
|  Monex Group Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 19230067 | JPY | (5969) |
|  Montana | Euro STR - 0.35% | Monthly | JPHQ | 7/17/28 | 53988 | CHF | (16592) |
|  Montea Nv | Euro STR - 0.30% | Monthly | JPHQ | 8/11/26 | 61634 | EUR | (10417) |
|  Morgan Advanced Materials | 1-Day SONIA - 0.30% | Monthly | MSCS | 8/12/30 | 47811 | GBP | (4833) |
|  Mortgage Advice Bureau | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/14/30 | 79378 | GBP | 4917 |
|  Mosa Industrial Corporation | 1-Day FEDEF - 6.375% | Monthly | MSCO | 6/24/26 | 20623 |  | (3835) |
|  Mpc Container Ships Asa | 1-Week NIBOR - 0.275% | Monthly | SEBA | 8/13/26 | 2139288 | NOK | (48888) |
|  MTR Corporation Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1806269 | HKD | (62388) |
|  Munters Group AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 11/14/30 | 1486949 | SEK | (70672) |
|  Musti Group PLC | Euro STR - 0.28% | Monthly | SEBA | 7/12/26 | 21100 | EUR | 2966 |
|  Mycronic Ab | 1-Week STIBOR - 0.275% | Monthly | SEBA | 7/02/26 | 1680883 | SEK | 3723 |
|  MYP | 1-Day FEDEF - 9.00% | Monthly | MSCO | 6/24/26 | 33051 |  | 6474 |
|  Nan Kang Rubber Tire | 1-Day FEDEF - 9.50% | Monthly | MSCO | 7/20/26 | 79241 |  | 10436 |
|  Nan Ya Printed Circuit | 1-Day FEDEF - 7.875% | Monthly | MSCO | 6/24/26 | 65659 |  | (147977) |
|  Nat Bank Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 308693 | AUD | (39562) |
|  NCAB Group AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 2/24/31 | 1276921 | SEK | (980) |
|  NCC Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/15/30 | 152196 | GBP | 15890 |
|  NEC Capital Solutions Limited | 1-Day TONAR - 0.55% | Monthly | GSCO | 8/24/26 | 10422646 | JPY | (7161) |
|  Nedbank Group Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCS | 8/15/29 | 2951196 | ZAR | (49802) |
|  Neste Corp. | Euro STR - 0.28% | Monthly | SEBA | 7/17/26 | 91019 | EUR | (102877) |
|  Net Insight AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 9/22/26 | 246573 | SEK | 14175 |
|  Net Protections Hldgs Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 11/12/26 | 7274352 | JPY | 1292 |
|  Netlink Nbn | 1-Day SORA - 0.40% | Monthly | MSCO | 6/25/26 | 376951 | SGD | (32715) |
|  Neuren Fpo Nz | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 140447 | AUD | 17737 |
|  New Wave Group AB | 1-Week STIBOR - 0.52% | Monthly | SEBA | 8/07/34 | 368489 | SEK | 160 |
|  NewRiver REIT PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 7/11/30 | 17745 | GBP | (3327) |
|  Nexon Games | 1-Day FEDEF - 18.00% | Monthly | MSCO | 6/24/26 | 122048 |  | 23596 |
|  Nextdc Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/22/26 | 330216 | AUD | (2517) |
|  Nextin Inc. | 1-Day FEDEF - 12.75% | Monthly | MSCO | 10/29/26 | 38184 |  | (11127) |
|  NHK Spring Co Ltd | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/14/26 | 11000096 | JPY | (20142) |
|  Nibe Industrier AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 8/12/30 | 2334766 | SEK | 11486 |
|  Nichiban Co. Ltd. | 1-Day TONAR - 0.25% | Monthly | GSCO | 3/02/27 | 198982 | JPY | (2) |
|  Nichiha Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 11/16/26 | 4206689 | JPY | (6364) |
|  Nichireki Group Co Ltd | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 12034592 | JPY | 2787 |
|  Nien Made Enterprise Co. | 1-Day FEDEF - 12.75% | Monthly | MSCO | 12/07/26 | 90211 |  | (4209) |
|  Nihon Kohden Corp. | 1-Day TONAR - 0.25% | Monthly | GSCO | 1/19/27 | 7440386 | JPY | 853 |
|  Nikkon Holdings Co. | 1-Day TONAR - 6.00% | Monthly | GSCO | 12/21/26 | 11354936 | JPY | (8225) |
|  Nikon Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 11/12/26 | 23891328 | JPY | (14503) |
|  Nine Ent Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 347651 | AUD | 53427 |
|  Ningbo Jifeng Auto | 1-Day FEDEF - 5.57% | Monthly | MSCO | 9/03/26 | 70556 |  | (16076) |
|  Ningbo Xusheng Group | 1-Day FEDEF - 10.63% | Monthly | MSCO | 12/09/26 | 66080 |  | (12663) |
|  Nippon Avionics Co. | 1-Day TONAR - 4.25% | Monthly | GSCO | 6/24/26 | 14434871 | JPY | (60510) |
|  Nippon Carbon Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 8319270 | JPY | (13177) |
|  Nippon Concrete Industries | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/13/26 | 4708605 | JPY | (4386) |
|  Nippon Steel Corporation | 1-Day TONAR - 0.25% | Monthly | GSCO | 2/25/27 | 4969955 | JPY | 467 |
|  Nippon Tel & Tel Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 17391736 | JPY | (1189) |
|  Nishimatsu Construction | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 13648645 | JPY | (26971) |
|  Nissan Motor Co. | 1-Day TONAR - 0.25% | Monthly | GSCO | 12/03/26 | 26446924 | JPY | (19513) |
|  Nissha Co. Ltd. | 1-Day TONAR - 0.25% | Monthly | GSCO | 1/28/27 | 4545465 | JPY | (1411) |
|  Nisshin Oillio Group Ltd. | 1-Day TONAR - 0.25% | Monthly | GSCO | 3/01/27 | 597135 | JPY | (82) |
|  Nissin Foods Holdings Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 17386227 | JPY | (13156) |
|  Nitori Holdings Co Ltd | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 25574000 | JPY | (24464) |
|  Nobia Ab | 1-Week STIBOR - 0.275% | Monthly | SEBA | 11/11/30 | 0 | SEK | (541) |
|  Nobia AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 11/11/30 | 506805 | SEK | 19336 |
|  Nokia Corporation | Euro STR - 0.275% | Monthly | SEBA | 1/27/27 | 87429 | EUR | (12812) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Nokian Tyres PLC | Euro STR - 0.28% | Monthly | SEBA | 8/23/30 | 43025 | EUR | $(6266) |
|  Nomura Micro Science Co. | 1-Day TONAR - 4.50% | Monthly | GSCO | 6/24/26 | 23130564 | JPY | (40238) |
|  Norconsult Asa | 1-Week NIBOR - 0.275% | Monthly | SEBA | 1/15/27 | 313469 | NOK | 3027 |
|  Northam Platinum Ltd. | 1-Day FEDEF | Monthly | MSCO | 2/11/31 | 1177807 | ZAR | (128084) |
|  North-Star International | 1-Day FEDEF - 10.50% | Monthly | MSCO | 6/24/26 | 93603 |  | 36109 |
|  Note Inc. | 1-Day TONAR - 18.00% | Monthly | GSCO | 6/24/26 | 3484036 | JPY | (10889) |
|  Novozymes A/S | 1-Week CIBOR - 0.28% | Monthly | SEBA | 7/17/26 | 1735326 | DKK | 17354 |
|  NTG Nordic Transport Group | 1-Week CIBOR - 0.275% | Monthly | SEBA | 4/17/26 | 527589 | DKK | 18491 |
|  Nuvoton Technology Corporation | 1-Day FEDEF - 8.125% | Monthly | MSCO | 10/01/26 | 125116 |  | (31389) |
|  Nxera Pharma Co Ltd | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 22448230 | JPY | (15795) |
|  OC Oerlikon | 1-Day SARON - 0.35% | Monthly | JPHQ | 10/07/30 | 27734 | CHF | (7695) |
|  Ocado Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/26 | 207389 | GBP | 41031 |
|  Oceana Group Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCO | 8/20/26 | 423654 | ZAR | (1024) |
|  OCI Holdings Company Ltd. | 1-Day FEDEF - 2.375% | Monthly | MSCO | 9/08/26 | 109746 |  | (46609) |
|  Ock Group Berhad | 1-Day FEDEF - 11.25% | Monthly | MSCO | 6/25/26 | 40103 |  | 901 |
|  Ocumension Therapeutics | 1-Day HONIA - 6.50% | Monthly | GSCO | 6/24/26 | 1353229 | HKD | 40585 |
|  Oem International Ab Ser | 1-Week STIBOR - 0.275% | Monthly | SEBA | 8/31/26 | 967550 | SEK | 1586 |
|  Oesterreichische Post AG | Euro STR - 3.80% | Monthly | JPHQ | 8/23/30 | 37621 | EUR | (7253) |
|  Omnibridge Fpo Forus | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 40588 | AUD | (2943) |
|  OMV AG | Euro STR - 0.30% | Monthly | JPHQ | 3/19/26 | 211858 | EUR | (41566) |
|  Oneness Biotech Co Ltd | 1-Day FEDEF - 5.875% | Monthly | MSCO | 6/24/26 | 80675 |  | 7993 |
|  Open Door Inc. | 1-Day TONAR - 13.75% | Monthly | GSCO | 6/24/26 | 1965156 | JPY | 3354 |
|  Orient Corp. | 1-Day TONAR - 0.25% | Monthly | GSCO | 12/21/26 | 14855246 | JPY | (5757) |
|  Orient Overseas Int. | 1-Day HONIA - 0.25% | Monthly | GSCO | 12/10/26 | 896971 | HKD | (19042) |
|  Origin ENE Fpo | 1-Day RBACR - 0.30% | Monthly | MSCO | 12/03/26 | 249425 | AUD | (10431) |
|  Orsted A/S | 1-Week CIBOR - 0.275% | Monthly | SEBA | 5/24/26 | 1688007 | DKK | 78773 |
|  Osaka Soda Co Ltd | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 19794249 | JPY | (28472) |
|  Osaka Titanium Technologies | 1-Day TONAR - 7.00% | Monthly | GSCO | 6/24/26 | 9851988 | JPY | (42481) |
|  Outokumpu Oyj | Euro STR - 0.275% | Monthly | SEBA | 7/20/26 | 185747 | EUR | (114299) |
|  Oxford Instruments PLC | 1-Day SONIA - 0.30% | Monthly | MSCO | 4/25/26 | 129889 | GBP | (51673) |
|  Oxford Nanopore Technologies PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 5/13/26 | 114367 | GBP | 7040 |
|  P.I.E. Industrial Bhd | 1-Day FEDEF - 18.00% | Monthly | MSCO | 10/28/26 | 5965 |  | 795 |
|  P/F Bakkafrost | 1-Week NIBOR - 0.28% | Monthly | SEBA | 7/19/30 | 617590 | NOK | 804 |
|  Pacific Basin Shipping Lt | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 814942 | HKD | (41389) |
|  Pagegroup Plc Ord | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/19/26 | 146284 | GBP | 41385 |
|  Paladin Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 128458 | AUD | (50844) |
|  Paradox Interactive AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 1/10/31 | 231475 | SEK | 4855 |
|  Paratus Energy Services | 1-Week NIBOR - 0.275% | Monthly | SEBA | 5/07/26 | 335424 | NOK | (5492) |
|  Park Systems | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/24/26 | 72720 |  | (7285) |
|  Parkwaylife Reit | 1-Day SORA - 2.125% | Monthly | MSCO | 1/20/27 | 93000 | SGD | 365 |
|  Patrizia AG | Euro STR - 1.00% | Monthly | JPHQ | 7/17/26 | 88039 | EUR | (25728) |
|  PCCW Limited | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1483982 | HKD | (18886) |
|  Pearlabyss | 1-Day FEDEF - 3.00% | Monthly | MSCO | 6/24/26 | 225787 |  | (96254) |
|  Pegasus | 1-Day FEDEF - 5.25% | Monthly | MSCO | 10/05/26 | 142005 |  | 17905 |
|  Pennon Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 154718 | GBP | (216403) |
|  Pentamaster Corporation | 1-Day FEDEF - 16.125% | Monthly | MSCO | 11/19/26 | 41004 |  | 844 |
|  People And Technology Inc. | 1-Day FEDEF - 4.50% | Monthly | MSCO | 7/23/26 | 82505 |  | (28414) |
|  Pepkor | 1-Day SABOR - 0.50% | Monthly | MSCS | 10/10/30 | 2269677 | ZAR | (2846) |
|  Pernod Ricard | 1-Day EONIA - 0.30% | Monthly | MSCS | 11/27/30 | 211358 | EUR | 36901 |
|  Perpetual Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 183913 | AUD | (126) |
|  Perseus Proteomics Inc. | 1-Day TONAR - 3.50% | Monthly | GSCO | 6/24/26 | 2491767 | JPY | 884 |
|  Petkim | 1-Day FEDEF - 12.75% | Monthly | MSCO | 9/21/26 | 91814 |  | 8622 |
|  Petronas Chemicals Group | 1-Day FEDEF - 6.625% | Monthly | MSCO | 12/08/26 | 33448 |  | 1725 |
|  Pets at Home Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCO | 3/04/30 | 62402 | GBP | (913) |
|  Pfisterer Holdings SE | Euro STR - 0.30% | Monthly | JPHQ | 2/09/27 | 52795 | EUR | (2792) |
|  Pharma Mar SA | 1-Day EONIA - 0.35% | Monthly | MSCO | 1/22/31 | 183597 | EUR | (75492) |
|  Philex Mining Corporation | 1-Day FEDEF - 2.50% | Monthly | MSCO | 9/28/26 | 20896 |  | (3757) |
|  Phoenix Group Holdings PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 197380 | GBP | (107552) |
|  Piaggio | Euro STR - 0.30% | Monthly | JPHQ | 7/14/26 | 223442 | EUR | (1349) |
|  Pilbara Minerals Fpo | 1-Day RBACR -0.40% | Monthly | MSCO | 6/24/26 | 34159 | AUD | (61077) |
|  Pillar Corporation | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 9863732 | JPY | (51134) |
|  Pinewood Technologies Group | 1-Day SONIA - 0.275% | Monthly | MSCO | 10/16/30 | 118758 | GBP | 29877 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Ping AN Healthcare & Tech | 1-Day HONIA - 3.00% | Monthly | GSCO | 12/31/26 | 461878 | HKD | $5971 |
|  Piolax Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 17305015 | JPY | (2140) |
|  Planisware | 1-Day EONIA - 0.275% | Monthly | MSCO | 10/23/26 | 77006 | EUR | 18803 |
|  PNE AG | Euro STR - 0.70% | Monthly | JPHQ | 7/13/26 | 121275 | EUR | 51306 |
|  Poco Holdings Co Ltd. | 1-Day FEDEF - 3.78% | Monthly | MSCO | 9/02/26 | 83440 |  | (17114) |
|  Pole to Win Holdings Inc. | 1-Day TONAR - 0.50% | Monthly | GSCO | 2/26/27 | 549189 | JPY | (92) |
|  Posco Future M Co Inc. | 1-Day FEDEF - 7.00% | Monthly | MSCO | 9/09/26 | 151320 |  | (69855) |
|  Power Assets Holdings Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 7/07/26 | 1193661 | HKD | (27447) |
|  Powerchip Semiconductor | 1-Day FEDEF - 3.125% | Monthly | MSCO | 6/23/26 | 57646 |  | (213917) |
|  Ppb Group Bhd | 1-Day FEDEF - 18.00% | Monthly | MSCO | 6/25/26 | 19388 |  | (2575) |
|  PPHE Hotel Group Ltd. | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/02/30 | 37233 | GBP | (24034) |
|  Precious Shipping | 1-Day FEDEF - 12.75% | Monthly | MSCO | 8/14/26 | 24771 |  | (4448) |
|  Propel Fp Fpo | 1-Day RBACR - 4.50% | Monthly | MSCO | 6/24/26 | 185337 | AUD | 3749 |
|  Prosus NV | Euro STR - 0.30% | Monthly | JPHQ | 9/20/30 | 43404 | EUR | 5397 |
|  Protector Forsikring ASA | 1-Week NIBOR - 0.275% | Monthly | SEBA | 8/28/30 | 1199368 | NOK | (9864) |
|  PSP | 1-Day FEDEF | Monthly | JPHQ | 12/03/30 | 290204 | CHF | (80787) |
|  Ptt Public Company | 1-Day FEDEF - 0.40% | Monthly | MSCO | 7/17/26 | 116062 |  | (20239) |
|  Public Bank Bhd | 1-Day FEDEF - 5.50% | Monthly | MSCO | 6/24/26 | 82853 |  | (17847) |
|  Public Property Invest | 1-Week NIBOR - 0.275% | Monthly | SEBA | 10/05/26 | 689156 | NOK | (2404) |
|  Puma SE | Euro STR - 0.85% | Monthly | JPHQ | 9/16/26 | 84149 | EUR | (8593) |
|  PureTech Health PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 78963 | GBP | 17340 |
|  Pwr Hlding Fpo | 1-Day RBACR - 0.788% | Monthly | MSCO | 6/24/26 | 279645 | AUD | (75486) |
|  QD Laser Inc. | 1-Day TONAR - 10.75% | Monthly | GSCO | 2/22/27 | 846192 | JPY | 39 |
|  Qingdao Huicheng | 1-Day FEDEF - 11.949% | Monthly | MSCO | 9/04/26 | 79718 |  | (1665) |
|  Qinghai Saint Lake | 1-Day FEDEF - 1.80% | Monthly | MSCO | 7/08/26 | 22993 |  | (26346) |
|  Qisda Corporation | 1-Day FEDEF - 16.00% | Monthly | MSCO | 6/23/26 | 74443 |  | 11514 |
|  QL Resources Bhd | 1-Day FEDEF - 12.75% | Monthly | MSCO | 11/27/26 | 71189 |  | (2583) |
|  Qorialimit Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 93442 | AUD | 30130 |
|  Quadient SA | 1-Day EONIA - 0.275% | Monthly | MSCO | 12/09/26 | 43153 | EUR | 4655 |
|  Qual RE if Ord | 1-Day RBACR - 5.625% | Monthly | MSCO | 12/11/26 | 117079 | AUD | (247) |
|  Quang Viet Enterprise Co. | 1-Day FEDEF - 5.625% | Monthly | MSCO | 6/24/26 | 32352 |  | 3824 |
|  Quilter Plc | 1-Day SABOR - 0.50% | Monthly | MSCO | 7/16/26 | 2421618 | ZAR | (10328) |
|  Rainbow Robotics | 1-Day FEDEF - 9.00% | Monthly | MSCO | 6/24/26 | 44794 |  | (71893) |
|  Raspberry PI Holdings Plc | 1-Day SONIA - 11.50% | Monthly | MSCO | 10/07/26 | 74476 | GBP | (15767) |
|  Ratch Group Pcl | 1-Day FEDEF - 17.125% | Monthly | MSCO | 9/23/26 | 31638 |  | (5279) |
|  Rathbones Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 8/30/30 | 140644 | GBP | (45658) |
|  Rational Ag | Euro STR - 0.30% | Monthly | JPHQ | 7/21/30 | 82049 | EUR | (12079) |
|  Ratos AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/17/26 | 985369 | SEK | (10826) |
|  RCE Capital Bhd | 1-Day FEDEF - 13.25% | Monthly | MSCO | 9/09/26 | 7695 |  | (677) |
|  Reckitt Benckiser Group Plc | 1-Day SONIA - 0.25% | Monthly | MSCO | 7/17/30 | 136413 | GBP | (49339) |
|  Recordati SpA | Euro STR - 0.30% | Monthly | JPHQ | 7/26/29 | 130942 | EUR | 6721 |
|  Recticel | Euro STR - 0.30% | Monthly | JPHQ | 11/21/30 | 29885 | EUR | (8339) |
|  Redeia Corporacion SA | 1-Day EONIA - 0.35% | Monthly | MSCS | 8/05/30 | 280208 | EUR | 22756 |
|  Reinet Investments S.C.A. | 1-Day SABOR - 0.50% | Monthly | MSCS | 5/20/30 | 1267459 | ZAR | (980) |
|  Remgro Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCO | 10/16/30 | 1223332 | ZAR | (9072) |
|  Remy Cointreau | 1-Day EONIA - 0.30% | Monthly | MSCS | 12/11/30 | 336426 | EUR | 98797 |
|  Renesas Electronics Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 12113461 | JPY | (43710) |
|  Renew Holdings ORD | 1-Day SONIA - 0.275% | Monthly | MSCO | 4/20/26 | 69550 | GBP | (10649) |
|  Renova Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 9457476 | JPY | (6717) |
|  Rentokil Initial PLC | 1-Day FEDEF - 0.65% | Monthly | MSCS | 11/27/30 | 121433 | GBP | (39947) |
|  Retail Estates | Euro STR - 0.30% | Monthly | JPHQ | 12/04/26 | 55342 | EUR | (5160) |
|  Revenio Group Corp. | Euro STR - 0.28% | Monthly | SEBA | 7/17/30 | 84380 | EUR | 23693 |
|  Rheinmetall AG | Euro STR - 0.30% | Monthly | JPHQ | 2/10/27 | 32579 | EUR | (798) |
|  Rieter | Euro STR - 0.35% | Monthly | JPHQ | 7/24/29 | 82451 | CHF | 8408 |
|  Rigaku Holdings Corporation | 1-Day TONAR - 0.25% | Monthly | GSCO | 1/27/27 | 7409561 | JPY | (27219) |
|  Riken Keiki Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 16554729 | JPY | (23947) |
|  Ringkjoebing Landbobank A/S | 1-Week CIBOR - 0.28% | Monthly | SEBA | 7/17/26 | 1380912 | DKK | (71397) |
|  Rio Tinto Ord | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/19/26 | 103298 | GBP | (80507) |
|  Riso Kagaku Corp. | 1-Day TONAR - 0.25% | Monthly | GSCO | 12/15/26 | 8759533 | JPY | (1877) |
|  Riso Kyoiku Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 5881987 | JPY | (1058) |
|  Riverstone | 1-Day SORA - 2.125% | Monthly | MSCO | 6/25/26 | 132230 | SGD | (13129) |
|  Robosense Technology Co. | 1-Day HONIA - 5.22% | Monthly | GSCO | 1/26/27 | 512850 | HKD | (2434) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Rock Field Co. Ltd. | 1-Day TONAR - 1.93% | Monthly | GSCO | 12/08/26 | 3022401 | JPY | $(100) |
|  Roko Ab Ser | 1-Week STIBOR - 0.275% | Monthly | SEBA | 2/08/27 | 1449781 | SEK | 554 |
|  RTL Group | Euro STR - 0.30% | Monthly | JPHQ | 1/30/31 | 157715 | EUR | (30021) |
|  Run Long Construction Co. | 1-Day FEDEF - 4.00% | Monthly | MSCO | 8/31/26 | 158454 |  | 11494 |
|  Rwc Corp Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 8/03/26 | 325076 | AUD | 37301 |
|  S&P Biotechnology Select Industry Total Return Index | SOFR - 0.45% | Monthly | GSCO | 6/17/26 | 14526439 |  | (225903) |
|  Sabanci Holding | 1-Day FEDEF - 0.53% | Monthly | MSCO | 9/21/26 | 357474 |  | (29498) |
|  Sacyr SA | 1-Day EONIA - 0.35% | Monthly | MSCS | 7/17/30 | 252471 | EUR | (182396) |
|  Saf Holland SE | Euro STR - 0.30% | Monthly | JPHQ | 9/18/26 | 62040 | EUR | (5610) |
|  Safestore Holdings PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 10/21/30 | 187627 | GBP | (15017) |
|  Saga PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 95790 | GBP | (429854) |
|  Sagax AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 12/06/30 | 985121 | SEK | 9089 |
|  Saint Gobain | 1-Day EONIA - 0.275% | Monthly | MSCO | 6/03/26 | 203060 | EUR | 20660 |
|  Sakai Heavy Industries | 1-Day TONAR - 0.25% | Monthly | GSCO | 12/21/26 | 3914010 | JPY | (1222) |
|  SalMar ASA | 1-Week NIBOR - 0.28% | Monthly | SEBA | 7/29/30 | 839848 | NOK | (9714) |
|  Salmon Evolution ASA | 1-Week NIBOR - 8.50% | Monthly | SEBA | 7/12/26 | 944624 | NOK | 27919 |
|  Sampo PLC | Euro STR - 0.275% | Monthly | SEBA | 7/17/30 | 223605 | EUR | (16265) |
|  Samsung F&Mins | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/24/26 | 47608 |  | (6507) |
|  Samsung Sdi Co Ltd. | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/24/26 | 135982 |  | (156416) |
|  Sanbio Company Limited | 1-Day TONAR - 8.75% | Monthly | GSCO | 6/24/26 | 11658449 | JPY | (977) |
|  Sanken Electric Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 17376658 | JPY | (2421) |
|  Sanlam Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCS | 7/17/30 | 3562696 | ZAR | (36425) |
|  Sanlorenzo | Euro STR - 0.30% | Monthly | JPHQ | 10/20/30 | 90061 | EUR | (5741) |
|  Santanamin Fpo | 1-Day RBACR - 6.50% | Monthly | MSCO | 6/24/26 | 68282 | AUD | (31248) |
|  Santhera | 1-Day SARON - 7.15% | Monthly | JPHQ | 9/07/26 | 28716 | CHF | (13335) |
|  SAP SE | Euro STR - 0.30% | Monthly | JPHQ | 11/27/30 | 239422 | EUR | 68064 |
|  Sapporo Holdings Limited | 1-Day TONAR - 0.35% | Monthly | GSCO | 9/02/26 | 15474857 | JPY | (14328) |
|  SBI Aruhi Corporation | 1-Day TONAR - 0.75% | Monthly | GSCO | 6/24/26 | 16072589 | JPY | (15046) |
|  Scg Packaging Pcl | 1-Day FEDEF - 15.00% | Monthly | MSCO | 6/26/26 | 9419 |  | (2831) |
|  Schneider Electric SE | 1-Day EONIA - 0.275% | Monthly | MSCO | 6/25/26 | 163237 | EUR | (40798) |
|  Schoeller-Bleckmann Oilfield Equipment AG | Euro STR - 0.30% | Monthly | JPHQ | 7/13/26 | 146645 | EUR | (41340) |
|  Sci Pharmtech Inc. | 1-Day FEDEF - 4.875% | Monthly | MSCO | 6/24/26 | 41729 |  | 7773 |
|  Scinopharm Taiwan Ltd. | 1-Day FEDEF - 3.625% | Monthly | MSCO | 6/24/26 | 71084 |  | (11845) |
|  SD Biosensor | 1-Day FEDEF - 2.75% | Monthly | MSCO | 6/24/26 | 68252 |  | 9163 |
|  Sdiptech AB | 1-Week STIBOR - 1.00% | Monthly | SEBA | 7/17/26 | 1256779 | SEK | (1607) |
|  Seatrium Ltd. | 1-Day SORA - 1.375% | Monthly | MSCO | 6/25/26 | 61185 | SGD | (6275) |
|  Seazen Group Ltd. | 1-Day HONIA - 0.25% | Monthly | GSCO | 1/07/27 | 1773201 | HKD | (2262) |
|  Seche Environnement | 1-Day EONIA - 0.275% | Monthly | MSCO | 3/30/26 | 40599 | EUR | 6706 |
|  secunet Security Networks AG | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 27930 | EUR | 3400 |
|  Sedana Medical AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 11/14/30 | 241880 | SEK | 3647 |
|  Sega Sammy Holdings Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 9/08/26 | 11668181 | JPY | 4407 |
|  Segro PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 129521 | GBP | (43277) |
|  Sembcorp Ind. | 1-Day SORA - 0.40% | Monthly | MSCO | 6/25/26 | 284352 | SGD | 758 |
|  Senior PLC | 1-Day SONIA - 0.30% | Monthly | MSCO | 3/20/26 | 93972 | GBP | (77685) |
|  Senko Group Holdings Co. | 1-Day TONAR - 0.25% | Monthly | GSCO | 12/22/26 | 10085868 | JPY | (976) |
|  Seobu T&D | 1-Day FEDEF - 5.375% | Monthly | MSCO | 6/24/26 | 106536 |  | (63065) |
|  Seojin System | 1-Day FEDEF - 8.00% | Monthly | MSCO | 6/24/26 | 107278 |  | (94173) |
|  Septeni Holdings | 1-Day TONAR - 1.00% | Monthly | GSCO | 6/24/26 | 13841477 | JPY | (2546) |
|  Serica Energy Plc Ord | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/19/26 | 175257 | GBP | (78106) |
|  Seven Bank Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 29154525 | JPY | (13923) |
|  Severfield PLC | 1-Day FEDEF | Monthly | MSCO | 1/02/31 | 29186 | GBP | 12667 |
|  Severn Trent PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 11/27/30 | 98953 | GBP | (31867) |
|  Severn Trent PLC | 1-Day SONIA - 0.30% | Monthly | MSCO | 1/08/31 | 14199 | GBP | (5265) |
|  SG Holdings Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 27521140 | JPY | 584 |
|  SGH Limited Fpo | 1-Day RBACR - 0.30% | Monthly | MSCO | 1/19/27 | 135486 | AUD | 941 |
|  SGS SA | 1-Day SARON - 0.35% | Monthly | JPHQ | 6/17/29 | 108806 | CHF | (21880) |
|  Shaftesbury Capital PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 9/26/30 | 232936 | GBP | (42972) |
|  Shan Dong Yisheng | 1-Day FEDEF - 8.85% | Monthly | MSCO | 11/09/26 | 28407 |  | (3339) |
|  Shanghai Junshi Bioscience | 1-Day HONIA - 8.00% | Monthly | GSCO | 1/27/27 | 349494 | HKD | 4654 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Shanghai Microport Medbot | 1-Day HONIA - 2.00% | Monthly | GSCO | 1/27/27 | 192668 | HKD | $(381) |
|  Shanghai Wayne Enterprises | 1-Day FEDEF - 13.35% | Monthly | MSCO | 6/24/26 | 9740 |  | (1832) |
|  Shangri-La Asia | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 781991 | HKD | (15682) |
|  Sheng Siong | 1-Day SORA - 0.40% | Monthly | MSCO | 6/25/26 | 62649 | SGD | (17620) |
|  Shenzhen Expressway Corporation | 1-Day HONIA - 0.40% | Monthly | GSCO | 7/17/26 | 990647 | HKD | (2387) |
|  Shenzhen Fastprint | 1-Day FEDEF - 13.67% | Monthly | MSCO | 2/03/27 | 47036 |  | (8406) |
|  Shenzhen Investment Ltd. | 1-Day HONIA - 1.00% | Monthly | GSCO | 7/10/26 | 1101122 | HKD | 5236 |
|  Shenzhen Sunline | 1-Day FEDEF - 11.95% | Monthly | MSCO | 2/25/27 | 7711 |  | (134) |
|  Shift Up | 1-Day FEDEF - 9.00% | Monthly | MSCO | 6/24/26 | 67850 |  | 19841 |
|  Shima Seiki Mfg | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 9931767 | JPY | (8211) |
|  Shimano Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 36231459 | JPY | 26555 |
|  Shin ETSU Chemical Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 9/23/26 | 12253369 | JPY | (20275) |
|  Shinhan Alpha REIT | 1-Day FEDEF - 16.125% | Monthly | MSCO | 6/24/26 | 9535 |  | 1 |
|  Shochiku Co Ltd. | 1-Day TONAR - 0.75% | Monthly | GSCO | 6/24/26 | 33516958 | JPY | 29521 |
|  Shoei Foods Corp. | 1-Day TONAR - 1.25% | Monthly | GSCO | 6/24/26 | 17074344 | JPY | (5699) |
|  Shop Apotheke Europe NV | Euro STR - 0.85% | Monthly | JPHQ | 7/17/30 | 103173 | EUR | 42017 |
|  Shurgard | Euro STR - 0.30% | Monthly | JPHQ | 4/14/26 | 169406 | EUR | 25598 |
|  Siam Cement Co. | 1-Day FEDEF - 0.75% | Monthly | MSCO | 6/25/26 | 101410 |  | (18663) |
|  Siam Global House Public | 1-Day FEDEF - 13.75% | Monthly | MSCO | 6/25/26 | 28795 |  | (10547) |
|  Siemens | Euro STR - 0.40% | Monthly | MSCS | 2/17/32 | 271602 | EUR | (16833) |
|  Siemens AG | Euro STR - 0.30% | Monthly | JPHQ | 6/25/26 | 262527 | EUR | (32837) |
|  Siemens Healthineers AG | Euro STR - 0.30% | Monthly | JPHQ | 8/21/30 | 171029 | EUR | 12216 |
|  Sihuan Pharmaceutical | 1-Day HONIA - 0.75% | Monthly | GSCO | 1/06/27 | 304874 | HKD | (3207) |
|  Sika | 1-Day SARON - 0.35% | Monthly | JPHQ | 11/08/30 | 93552 | CHF | 13582 |
|  Silergy Corp. | 1-Day FEDEF - 4.25% | Monthly | MSCO | 6/24/26 | 120874 |  | 12768 |
|  Silicon2 | 1-Day FEDEF - 6.50% | Monthly | MSCO | 6/24/26 | 80689 |  | 19327 |
|  Siltronic AG | Euro STR - 1.05% | Monthly | JPHQ | 5/13/26 | 142129 | EUR | (84979) |
|  Simcere Pharmaceutical | 1-Day HONIA - 0.25% | Monthly | GSCO | 1/06/27 | 899087 | HKD | (5455) |
|  Simmtech Co. | 1-Day FEDEF - 5.25% | Monthly | MSCO | 9/07/26 | 56912 |  | (25292) |
|  Singapore Post | 1-Day SORA - 2.50% | Monthly | MSCO | 6/22/26 | 407221 | SGD | 96920 |
|  Singapore Telecommunications | 1-Day SORA - 0.40% | Monthly | MSCO | 6/25/26 | 38705 | SGD | (8841) |
|  Sinko Industries Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 2199507 | JPY | (1524) |
|  Sino Land Co. | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1347373 | HKD | (83172) |
|  Sinopec Kantons Hldgs | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1261706 | HKD | 2442 |
|  Sixt SE | Euro STR - 0.30% | Monthly | JPHQ | 4/17/26 | 39575 | EUR | 755 |
|  SJM Holdings Limited | 1-Day HONIA - 1.25% | Monthly | GSCO | 12/07/26 | 517594 | HKD | 225 |
|  SK Bioscience Co Ltd. | 1-Day FEDEF - 0.875% | Monthly | MSCO | 6/24/26 | 85331 |  | 4822 |
|  Sk Eternix | 1-Day FEDEF - 10.25% | Monthly | MSCO | 6/24/26 | 71516 |  | (12646) |
|  Sk Ie Technology | 1-Day FEDEF - 4.75% | Monthly | MSCO | 6/24/26 | 192493 |  | 10254 |
|  SK Innovation | 1-Day FEDEF - 2.75% | Monthly | MSCO | 6/24/26 | 179770 |  | (28591) |
|  SKAN AG | Euro STR - 0.35% | Monthly | JPHQ | 7/17/26 | 59913 | CHF | 3567 |
|  Skandinaviska Enskilda Bank | 1-Day FEDEF | Monthly | SEBA | 2/11/31 | 1006118 | SEK | (3594) |
|  SKBP | 1-Day FEDEF - 0.875% | Monthly | MSCO | 6/24/26 | 144927 |  | (18835) |
|  SKC | 1-Day FEDEF - 28.75% | Monthly | MSCO | 6/24/26 | 163410 |  | 58 |
|  SkiStar AB | 1-Week STIBOR - 0.73% | Monthly | SEBA | 7/15/29 | 1181298 | SEK | (12161) |
|  Skoceanplant | 1-Day FEDEF - 7.75% | Monthly | MSCO | 6/24/26 | 44890 |  | (1358) |
|  Skycity Entertainment Group | 1-Day NZOCR -0.40% | Monthly | MSCO | 6/24/26 | 98532 | NZD | 6664 |
|  SM Entertainment Co. Ltd. | 1-Day FEDEF - 4.375% | Monthly | MSCO | 3/01/27 | 716 |  | (7) |
|  Sm Prime Holdings Inc. | 1-Day FEDEF - 2.50% | Monthly | MSCO | 6/23/26 | 83859 |  | 3405 |
|  Smc Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 25955191 | JPY | (75227) |
|  Smoore Intl Hdgs Ltd. | 1-Day HONIA - 1.75% | Monthly | GSCO | 6/25/26 | 448337 | HKD | 16447 |
|  Smurfit Westrock PLC | 1-Day FEDEF | Monthly | MSCO | 2/24/31 | 21823 | GBP | (3695) |
|  Snam SpA | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 125072 | EUR | (58775) |
|  Snt Dynamics | 1-Day FEDEF - 7.125% | Monthly | MSCO | 6/24/26 | 47563 |  | 728 |
|  Sodexo | 1-Day EONIA - 0.30% | Monthly | MSCS | 11/27/30 | 214753 | EUR | 14870 |
|  Softbank Group Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 6671613 | JPY | (14872) |
|  S-Oil | 1-Day FEDEF - 2.125% | Monthly | MSCO | 6/24/26 | 154846 |  | (109542) |
|  Soitec SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 8/12/30 | 75011 | EUR | (7062) |
|  Solaria Energia y Medio Ambiente SA | 1-Day EONIA - 0.35% | Monthly | MSCS | 7/17/30 | 32998 | EUR | (53046) |
|  Solasia Pharma | 1-Day TONAR - 5.50% | Monthly | GSCO | 6/24/26 | 5460322 | JPY | (3430) |
|  Solum | 1-Day FEDEF - 5.625% | Monthly | MSCO | 6/24/26 | 56449 |  | (6595) |
|  Solus Advanced Materials | 1-Day FEDEF - 6.622% | Monthly | MSCO | 6/24/26 | 92239 |  | (1327) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Solutions 30 SE | 1-Day EONIA - 10.125% | Monthly | MSCO | 2/25/27 | 4822 | EUR | $(27) |
|  Somero Enterprises | 1-Day SONIA - 1.25% | Monthly | MSCO | 12/01/30 | 28928 | GBP | 3145 |
|  Sonova Holding AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 8/08/30 | 25166 | CHF | 1217 |
|  Soul WH Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 201067 | AUD | 5343 |
|  South32 Ltd. | 1-Day SABOR - 2.125% | Monthly | MSCS | 10/10/30 | 914806 | ZAR | (25831) |
|  Sparebank 1 Oestlandet | 1-Week NIBOR - 0.28% | Monthly | SEBA | 12/23/30 | 1297004 | NOK | (34150) |
|  SpareBank 1 SMN | 1-Week NIBOR - 1.50% | Monthly | SEBA | 10/23/30 | 2957811 | NOK | (62466) |
|  SpareBank 1 SR Bank ASA | 1-Week NIBOR - 0.28% | Monthly | SEBA | 7/22/30 | 2531113 | NOK | (65999) |
|  Sparebanken Vest | 1-Week NIBOR - 0.275% | Monthly | SEBA | 3/24/26 | 769723 | NOK | (20143) |
|  Spark New Zealand Ltd. | 1-Day NZOCR - 0.40% | Monthly | MSCO | 9/03/26 | 154741 | NZD | 2074 |
|  Spirax-Sarco Engineering PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 11/27/30 | 127046 | GBP | (13031) |
|  Square Enix Holdings Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 14935873 | JPY | 13250 |
|  Sri Trang Agro Industry | 1-Day FEDEF -12.125% | Monthly | MSCO | 2/02/27 | 32394 |  | (4926) |
|  SSE PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 11/27/28 | 144106 | GBP | (82587) |
|  SSY Group Limited | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1596661 | HKD | 14453 |
|  St Barbara Fpo | 1-Day RBACR - 0.675% | Monthly | MSCO | 6/24/26 | 191999 | AUD | (108871) |
|  Starlux Airlines Co Ltd. | 1-Day FEDEF - 6.375% | Monthly | MSCO | 6/24/26 | 141335 |  | 15232 |
|  Steadfast Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 222472 | AUD | 34838 |
|  Stef | 1-Day EONIA - 0.275% | Monthly | MSCO | 10/28/26 | 39435 | EUR | (1164) |
|  Stellantis | Euro STR - 0.30% | Monthly | JPHQ | 5/08/26 | 166167 | EUR | 35631 |
|  Stor-age Prop Reit Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCO | 1/11/27 | 516195 | ZAR | (2469) |
|  Storskogen Group AB | 1-Week STIBOR - 0.75% | Monthly | SEBA | 7/17/30 | 2008860 | SEK | 76980 |
|  STOXX Europe 600 Utilities Index | 1-Day EONIA - 0.45% | Monthly | MSCS | 9/13/30 | 841476 | EUR | (37599) |
|  STOXX Europe 600 Utilities Index | 1-Day EONIA - 0.45% | Monthly | MSCS | 3/25/35 | 804145 | EUR | (21379) |
|  Strabag SE | Euro STR - 0.30% | Monthly | JPHQ | 2/23/27 | 44734 | EUR | (903) |
|  Straumann Group | 1-Day SARON - 0.35% | Monthly | JPHQ | 10/18/30 | 224214 | CHF | 6269 |
|  Strike Energy Fpo | 1-Day RBACR - 3.625% | Monthly | MSCO | 6/24/26 | 89784 | AUD | 16631 |
|  Studio Dragon Corp. | 1-Day FEDEF - 4.00% | Monthly | MSCO | 1/18/27 | 24646 |  | 339 |
|  STX Engine | 1-Day FEDEF - 17.00% | Monthly | MSCO | 6/24/26 | 33263 |  | (10038) |
|  Sudzucker AG | Euro STR - 0.30% | Monthly | JPHQ | 8/19/30 | 159909 | EUR | 879 |
|  Suess Microtec SE | Euro STR - 0.80% | Monthly | JPHQ | 2/10/27 | 97806 | EUR | (16522) |
|  Sumber Alfaria Trijaya Tb | 1-Day FEDEF - 4.00% | Monthly | MSCO | 6/24/26 | 25737 |  | 6915 |
|  Sumco Corporation | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 13348207 | JPY | (40229) |
|  Sumitomo Metal Mining Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 5042740 | JPY | (56636) |
|  Sun Yad Construction Co. | 1-Day FEDEF - 16.75% | Monthly | MSCO | 6/24/26 | 79285 |  | 2181 |
|  Sunac Services Hldgs | 1-Day HONIA - 2.09% | Monthly | GSCO | 11/13/26 | 962899 | HKD | 12180 |
|  Sung Kwang Bend Co. Ltd. | 1-Day FEDEF - 4.00% | Monthly | MSCO | 1/22/27 | 76086 |  | (13071) |
|  Sungeel Hitech | 1-Day FEDEF - 17.00% | Monthly | MSCO | 6/24/26 | 73268 |  | (45226) |
|  Sungshin Cement Industry | 1-Day FEDEF - 4.625% | Monthly | MSCO | 10/13/26 | 7548 |  | (345) |
|  Sunresin New Mater | 1-Day FEDEF - 6.05% | Monthly | MSCO | 9/29/26 | 21004 |  | (6269) |
|  Sunrise | 1-Day SARON - 0.35% | Monthly | JPHQ | 5/08/26 | 145440 | CHF | (18876) |
|  Sunshine Lake Pharma Co. | HIBOR - 1.75% | Monthly | GSCO | 7/06/26 | 192546 | HKD | 5969 |
|  Supermarket Income REIT | 1-Day SONIA - 0.28% | Monthly | MSCS | 9/16/30 | 43314 | GBP | (7767) |
|  Supply Net Fpo | 1-Day RBACR - 0.875% | Monthly | MSCO | 9/24/26 | 195783 | AUD | (7425) |
|  Suzhou Institute of Build | 1-Day FEDEF - 3.729% | Monthly | MSCO | 9/02/26 | 12422 |  | (845) |
|  Svenska Cellulosa AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/17/30 | 2945089 | SEK | (6391) |
|  Svenska Handelsbanken | 1-Week STIBOR - 0.275% | Monthly | SEBA | 5/08/30 | 1874810 | SEK | (37404) |
|  Swatch Group | 1-Day SARON - 0.35% | Monthly | JPHQ | 7/30/30 | 49537 | CHF | (7505) |
|  Swiss Prime Site | 1-Day SARON - 0.35% | Monthly | JPHQ | 5/01/26 | 48433 | CHF | (11237) |
|  Swiss Re | 1-Day SARON - 0.35% | Monthly | JPHQ | 12/30/26 | 30939 | CHF | (2378) |
|  Swisscom AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 2/03/31 | 176096 | CHF | (83501) |
|  Sword Group SE | 1-Day EONIA - 4.00% | Monthly | MSCS | 7/17/29 | 19966 | EUR | 3263 |
|  Syarikat Takaful Malaysia | 1-Day FEDEF - 3.125% | Monthly | MSCO | 6/25/26 | 79529 |  | (5526) |
|  Sydbank AS | 1-Week CIBOR - 0.275% | Monthly | SEBA | 5/27/26 | 1256423 | DKK | (29814) |
|  Syensqo | Euro STR - 0.30% | Monthly | JPHQ | 5/08/26 | 232124 | EUR | 79976 |
|  Symtek Automation Asia Co. | 1-Day FEDEF - 19.00% | Monthly | MSCO | 1/18/27 | 59032 |  | (2949) |
|  Systex Corporation | 1-Day FEDEF - 3.75% | Monthly | MSCO | 12/16/26 | 86995 |  | (430) |
|  Syuppin Co. Limited | 1-Day TONAR - 0.35% | Monthly | GSCO | 12/01/26 | 10762397 | JPY | (9580) |
|  T Halk Bankasi | 1-Day FEDEF - 12.75% | Monthly | MSCO | 1/07/27 | 26572 |  | (2237) |
|  Ta Ya Electronic Wire & Co. | 1-Day FEDEF - 9.25% | Monthly | MSCO | 6/24/26 | 121332 |  | (6274) |
|  TAG Immobilien AG | Euro STR - 0.30% | Monthly | JPHQ | 8/16/30 | 28077 | EUR | (3394) |
|  Taihan Elecwire | 1-Day FEDEF - 5.50% | Monthly | MSCO | 6/24/26 | 109550 |  | (97821) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Taihei Dengyo Kaisha | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 20778139 | JPY | $(73681) |
|  Taita Chemical | 1-Day FEDEF - 6.375% | Monthly | MSCO | 2/10/27 | 9791 |  | (317) |
|  Taiwan Acceptance Corp. | 1-Day FEDEF - 3.081% | Monthly | MSCO | 8/19/26 | 17839 |  | 3336 |
|  Taiwan High Speed Rail Co. | 1-Day FEDEF - 0.75% | Monthly | MSCO | 6/24/26 | 299380 |  | 23910 |
|  Taiwan Mobile Co. | 1-Day FEDEF - 0.75% | Monthly | MSCO | 6/24/26 | 146609 |  | 8658 |
|  Taiwan Styrene Monomer | 1-Day FEDEF - 4.25% | Monthly | MSCO | 6/24/26 | 24522 |  | (436) |
|  Taiwan-Asia Semiconductor | 1-Day FEDEF - 8.75% | Monthly | MSCO | 6/24/26 | 72805 |  | (17407) |
|  Takara Leben Real Estate | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 10012733 | JPY | 1604 |
|  Tama Home Co Limited | 1-Day TONAR - 5.75% | Monthly | GSCO | 10/15/26 | 9118363 | JPY | (5783) |
|  Tamburi | Euro STR - 0.30% | Monthly | JPHQ | 7/17/26 | 69278 | EUR | (13747) |
|  Tate & Lyle PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 208535 | GBP | 49434 |
|  Tatung Co Ltd. | 1-Day FEDEF - 3.375% | Monthly | MSCO | 7/14/26 | 72893 |  | (2650) |
|  Tav Havalimanlari | 1-Day FEDEF - 5.00% | Monthly | MSCO | 9/21/26 | 148541 |  | (31095) |
|  Taylor Wimpey Plc Ord | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/19/26 | 143131 | GBP | (23417) |
|  Tbs Holdings Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/10/26 | 13486943 | JPY | (12020) |
|  Teamviewer SE | Euro STR - 0.30% | Monthly | JPHQ | 6/25/26 | 47812 | EUR | 9605 |
|  Technoprobe | Euro STR - 0.30% | Monthly | JPHQ | 10/16/30 | 103268 | EUR | (243814) |
|  Tekfen Holding | 1-Day FEDEF - 5.25% | Monthly | MSCO | 9/21/26 | 103577 |  | 22292 |
|  Telenor ASA | 1-Week NIBOR - 0.28% | Monthly | SEBA | 11/27/28 | 501195 | NOK | (4709) |
|  Tenaris | Euro STR - 0.30% | Monthly | JPHQ | 6/19/26 | 225773 | EUR | (121988) |
|  Tess Holdings Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 18697114 | JPY | (93261) |
|  TGS ASA | 1-Week NIBOR - 1.50% | Monthly | SEBA | 4/16/26 | 570179 | NOK | (25154) |
|  Thai Beverage | 1-Day SORA - 0.40% | Monthly | MSCO | 6/25/26 | 222540 | SGD | 732 |
|  Theon International Plc | Euro STR - 5.30% | Monthly | JPHQ | 6/19/26 | 182256 | EUR | (22845) |
|  Thermador Groupe SA | 1-Day EONIA - 2.25% | Monthly | MSCS | 8/16/30 | 13702 | EUR | (498) |
|  THG Plc Ord | 1-Day SONIA - 4.48% | Monthly | MSCO | 3/22/29 | 98429 | GBP | 21990 |
|  Thomson Medical | 1-Day SORA - 6.75% | Monthly | MSCO | 6/25/26 | 12327 | SGD | (3692) |
|  Thule Group AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/17/30 | 1591830 | SEK | (1197) |
|  ThyssenKrupp Nucera AG | Euro STR - 0.34% | Monthly | JPHQ | 3/28/26 | 129269 | EUR | (26113) |
|  Tiangong International Co. | 1-Day HONIA - 1.25% | Monthly | GSCO | 6/25/26 | 265638 | HKD | (35638) |
|  Tietoevry Corp. | Euro STR - 0.275% | Monthly | SEBA | 3/04/31 | 127718 | EUR | (26249) |
|  Tikehau Capital SCA | 1-Day EONIA - 4.00% | Monthly | MSCS | 7/17/26 | 61983 | EUR | 2539 |
|  Timee Inc. | 1-Day TONAR - 10.50% | Monthly | GSCO | 11/16/26 | 5044336 | JPY | 2875 |
|  Titan SA | Euro STR - 0.75% | Monthly | JPHQ | 11/03/26 | 53980 | EUR | (15546) |
|  TKP Corporation | 1-Day TONAR - 2.31% | Monthly | GSCO | 6/24/26 | 25313078 | JPY | (8789) |
|  TLB Co. Ltd. | 1-Day FEDEF - 2.75% | Monthly | MSCO | 2/25/27 | 31995 |  | 1416 |
|  Tmbthanachart Bank Pcl | 1-Day FEDEF - 2.50% | Monthly | MSCO | 7/22/26 | 68953 |  | (19020) |
|  TOC Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/13/26 | 12459275 | JPY | (11145) |
|  Toei Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 10/12/26 | 14938755 | JPY | 2311 |
|  Toho Holdings Co. Ltd. | 1-Day TONAR - 0.25% | Monthly | GSCO | 12/21/26 | 9411299 | JPY | (1641) |
|  Toho Titanium Co. | 1-Day TONAR - 1.25% | Monthly | GSCO | 6/24/26 | 14793583 | JPY | (93920) |
|  Tokyo Electron | 1-Day TONAR - 0.35% | Monthly | GSCO | 10/08/26 | 7354065 | JPY | (9261) |
|  Tokyo Keiki Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 11830412 | JPY | (64702) |
|  Tokyo Metro Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 6996193 | JPY | (276) |
|  Tokyo Tatemono Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/06/26 | 12446512 | JPY | (39016) |
|  Tomra Systems ASA | 1-Week NIBOR - 0.28% | Monthly | SEBA | 1/08/31 | 442134 | NOK | 3738 |
|  Tosei Reit Investment Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 11913445 | JPY | (6639) |
|  TotalEnergies | 1-Day EONIA - 0.275% | Monthly | MSCO | 3/04/31 | 213321 | EUR | (56988) |
|  Towa Corp. | 1-Day TONAR - 1.00% | Monthly | GSCO | 12/30/26 | 8661279 | JPY | (15873) |
|  Toyo Gosei Co Ltd. | 1-Day TONAR - 4.50% | Monthly | GSCO | 6/24/26 | 24563184 | JPY | (158864) |
|  Toyota Motor Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 21184035 | JPY | (48012) |
|  Transaction Capital Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCS | 7/17/26 | 431291 | ZAR | 13664 |
|  Transaction Co Ltd | 1-Day TONAR - 1.00% | Monthly | GSCO | 6/24/26 | 4805206 | JPY | (4316) |
|  Transurban Stapled | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/19/26 | 200480 | AUD | (1302) |
|  Traton SE | Euro STR - 0.80% | Monthly | JPHQ | 7/17/30 | 172062 | EUR | (41261) |
|  Tri Chemical Laboratories | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 5689663 | JPY | (7666) |
|  Tritax Big Box | 1-Day SONIA - 0.275% | Monthly | MSCO | 4/24/26 | 232977 | GBP | (59019) |
|  Troax Group AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 8/02/30 | 295660 | SEK | 10509 |
|  True Corporation Pcl | 1-Day FEDEF - 1.25% | Monthly | MSCO | 1/19/27 | 22162 |  | (5159) |
|  Truecaller AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 5/07/30 | 436167 | SEK | (485) |
|  Truworths Int Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCO | 7/16/26 | 2949198 | ZAR | (9100) |
|  Tryg A/S | 1-Week CIBOR - 0.28% | Monthly | SEBA | 7/13/26 | 2849374 | DKK | 11559 |
|  Tuas Ltd Fpo | 1-Day RBACR - 0.875% | Monthly | MSCO | 6/24/26 | 136624 | AUD | 1117 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Tubacex SA | 1-Day EONIA - 1.63% | Monthly | MSCS | 7/17/30 | 84826 | EUR | $(4091) |
|  Turk Hava Yollari | 1-Day FEDEF - 1.10% | Monthly | MSCO | 1/26/27 | 118287 |  | 540 |
|  U-Ming Marine Transport | 1-Day FEDEF - 3.00% | Monthly | MSCO | 8/25/26 | 149070 |  | (19227) |
|  UMS | 1-Day SORA - 3.25% | Monthly | MSCO | 1/06/27 | 105386 | SGD | (14330) |
|  Unicharm Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 23810786 | JPY | (7344) |
|  Unilever Plc Ord. | 1-Day SONIA - 0.275% | Monthly | MSCO | 10/16/30 | 271533 | GBP | (37688) |
|  Unimicron Technology | 1-Day FEDEF - 2.125% | Monthly | MSCO | 6/24/26 | 145826 |  | (324943) |
|  UNIQA Insurance Group AG | Euro STR - 0.30% | Monthly | JPHQ | 3/18/26 | 52347 | EUR | (5348) |
|  Unisem Bhd | 1-Day FEDEF - 8.25% | Monthly | MSCO | 9/22/26 | 28272 |  | (1429) |
|  Unite Group PLC (The) | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/05/26 | 190093 | GBP | 74260 |
|  United Internet AG | Euro STR - 0.30% | Monthly | JPHQ | 3/20/26 | 211105 | EUR | (111457) |
|  United Laboratories | 1-Day HONIA - 0.25% | Monthly | GSCO | 12/07/26 | 497122 | HKD | (2887) |
|  United Super Markets Hldg | 1-Day TONAR - 1.00% | Monthly | GSCO | 7/06/26 | 25343758 | JPY | 258 |
|  Universal Microwave Technologies | 1-Day FEDEF - 7.625% | Monthly | MSCO | 8/10/26 | 25408 |  | (77582) |
|  Universal Music Group | Euro STR - 0.30% | Monthly | JPHQ | 9/05/30 | 48547 | EUR | 6762 |
|  UOB | 1-Day SORA - 0.40% | Monthly | MSCO | 10/12/26 | 58652 | SGD | (384) |
|  USI Corporation | 1-Day FEDEF - 2.50% | Monthly | MSCO | 6/24/26 | 66173 |  | (9778) |
|  Vaisala Corporation | Euro STR - 0.275% | Monthly | SEBA | 6/24/26 | 107399 | EUR | (8239) |
|  Vallourec | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/30 | 40408 | EUR | (8431) |
|  Valneva SE | 1-Day EONIA - 4.50% | Monthly | MSCS | 5/16/26 | 44899 | EUR | (19710) |
|  Valqua Ltd. | TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 24661459 | JPY | (93856) |
|  Vastned Nv | Euro STR - 0.30% | Monthly | JPHQ | 8/18/26 | 17137 | EUR | (1310) |
|  VAT Group AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 4/22/26 | 158678 | CHF | (220473) |
|  Vats Liquor Chain | 1-Day FEDEF - 9.95% | Monthly | MSCO | 6/24/26 | 8735 |  | 1369 |
|  Vbg Group Ab Ser B | 1-Week STIBOR - 0.275% | Monthly | SEBA | 6/03/26 | 836715 | SEK | (28014) |
|  Vend Marketplaces ASA | 1-Day FEDEF | Monthly | SEBA | 1/16/31 | 1903816 | NOK | (87141) |
|  Venustech Group | 1-Day FEDEF - 16.95% | Monthly | MSCO | 2/08/27 | 31436 |  | (253) |
|  VERBIO Vereinigte BioEnergie AG | Euro STR - 1.00% | Monthly | JPHQ | 7/01/27 | 105650 | EUR | (167917) |
|  VGP NV | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 83445 | EUR | (37945) |
|  Via Labs Inc. | 1-Day FEDEF - 6.875% | Monthly | MSCO | 6/24/26 | 69578 |  | 12655 |
|  Vicore Pharma Holdings Ab | 1-Week STIBOR - 0.275% | Monthly | SEBA | 2/08/27 | 74001 | SEK | 144 |
|  Vimian Group | 1-Week STIBOR - 0.275% | Monthly | SEBA | 7/01/26 | 1382117 | SEK | 42031 |
|  Vinatech | 1-Day FEDEF - 15.00% | Monthly | MSCO | 6/24/26 | 22366 |  | (58549) |
|  Vinci | 1-Day EONIA - 0.30% | Monthly | MSCS | 11/27/30 | 156948 | EUR | (35323) |
|  Virbac | 1-Day EONIA - 0.30% | Monthly | MSCS | 4/01/26 | 86550 | EUR | (17474) |
|  Vital Healthcare Property | 1-Day NZOCR - 0.788% | Monthly | MSCO | 6/24/26 | 93479 | NZD | (1912) |
|  Vodacom Group Ltd. | 1-Day SABOR - 0.75% | Monthly | MSCS | 7/13/28 | 1583136 | ZAR | (20029) |
|  Voltalia SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/30 | 135137 | EUR | 17207 |
|  Voltronic Power Technology | 1-Day FEDEF - 9.50% | Monthly | MSCO | 10/28/26 | 67303 |  | 7972 |
|  Volvo Group (The) | 1-Week STIBOR - 0.28% | Monthly | SEBA | 11/27/28 | 1411024 | SEK | (39478) |
|  Vopak | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 64533 | EUR | (8491) |
|  Vossloh Ag | Euro STR - 0.30% | Monthly | JPHQ | 8/18/26 | 203037 | EUR | (568) |
|  VT | 1-Day FEDEF - 18.00% | Monthly | MSCO | 6/24/26 | 44299 |  | 23394 |
|  VZ Holding | 1-Day SARON - 1.30% | Monthly | JPHQ | 12/16/26 | 68605 | CHF | 2375 |
|  Wa1 Resources Fpo | 1-Day RBACR - 5.25% | Monthly | MSCO | 6/24/26 | 83068 | AUD | (5848) |
|  Wacker Chemie AG | Euro STR - 0.30% | Monthly | JPHQ | 3/20/26 | 319732 | EUR | (91813) |
|  Wallenstam AB Series B | 1-Week STIBOR - 0.275% | Monthly | SEBA | 7/17/30 | 1108454 | SEK | (6991) |
|  Walsin Lihwa Corp. | 1-Day FEDEF - 4.625% | Monthly | MSCO | 9/23/26 | 132645 |  | (41884) |
|  Want Want China Holdings | 1-Day HONIA - 0.25% | Monthly | GSCO | 6/25/26 | 885290 | HKD | (1407) |
|  Warehouses De Pauw | Euro STR - 0.30% | Monthly | JPHQ | 1/05/31 | 74977 | EUR | (17942) |
|  Watches of Switzerland | 1-Day SONIA - 0.275% | Monthly | MSCO | 2/16/31 | 185046 | GBP | (45888) |
|  Wavestone | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/18/30 | 58282 | EUR | 731 |
|  WCT Holdings Berhad | 1-Day FEDEF - 6.875% | Monthly | MSCO | 9/23/26 | 54824 |  | 15707 |
|  WeBuyCars Pty Ltd. | 1-Day SABOR - 2.75% | Monthly | MSCO | 7/17/30 | 3480675 | ZAR | 38133 |
|  Webzen Co. | 1-Day FEDEF - 3.625% | Monthly | MSCO | 8/26/26 | 21283 |  | 1497 |
|  Weimob Inc. | 1-Day HONIA - 4.84% | Monthly | GSCO | 1/06/27 | 717562 | HKD | 2134 |
|  Weir Group PLC | 1-Day SONIA - 0.76% | Monthly | MSCS | 2/19/29 | 185440 | GBP | (78598) |
|  Wemade | 1-Day FEDEF - 4.25% | Monthly | MSCO | 6/24/26 | 106209 |  | 23850 |
|  Wendel Group | 1-Day EONIA - 0.30% | Monthly | MSCS | 5/27/26 | 257050 | EUR | (17167) |
|  West China Cement Ltd. | 1-Day HONIA - 2.75% | Monthly | GSCO | 6/25/26 | 1490156 | HKD | 9544 |
|  West Holdings Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 14581829 | JPY | (11248) |
|  Westpac Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 279497 | AUD | (32903) |
|  WHA Corporation Public Co. | 1-Day FEDEF - 7.75% | Monthly | MSCO | 10/09/26 | 49287 |  | (13621) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment<br>Frequency** | **Counter-<br>party** | **Maturity<br>Date** | **Notional<br>Value<sup>\*</sup>** | | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Wharf | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 333828 | HKD | $(6433) |
|  Whitbread PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 4/14/26 | 133165 | GBP | 18383 |
|  Wienerberger AG | Euro STR - 0.30% | Monthly | JPHQ | 8/26/30 | 167562 | EUR | (4063) |
|  Wihlborgs Fastigheter AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 11/11/29 | 1451266 | SEK | (8425) |
|  Wiit SpA | Euro STR - 0.70% | Monthly | JPHQ | 7/31/30 | 64012 | EUR | (19401) |
|  Wilmar Intl. | 1-Day SORA - 0.40% | Monthly | MSCO | 9/08/26 | 174195 | SGD | (19762) |
|  Wintime Energy Group | 1-Day FEDEF - 4.40% | Monthly | MSCO | 2/04/27 | 58362 |  | (7965) |
|  Wise PLC Class A ORD | 1-Day SONIA - 0.275% | Monthly | MSCO | 2/24/31 | 78110 | GBP | (755) |
|  Wizz Air Holdings PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 12/19/30 | 152225 | GBP | 21084 |
|  WNC Corporation | 1-Day FEDEF - 3.125% | Monthly | MSCO | 2/11/27 | 21739 |  | (2227) |
|  Woolworths Holdings Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCO | 9/15/30 | 5668060 | ZAR | 2146 |
|  WPG Holdings Limited | 1-Day FEDEF - 2.25% | Monthly | MSCO | 8/18/26 | 17805 |  | (136) |
|  WPP PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 9/30/35 | 55643 | GBP | 5997 |
|  Wuhan Jingce Electric | 1-Day FEDEF - 6.51% | Monthly | MSCO | 11/04/26 | 57516 |  | (61062) |
|  Wuxi Rural Commercial | 1-Day FEDEF - 12.194% | Monthly | MSCO | 6/24/26 | 24952 |  | 475 |
|  Xinte Energy Co. Ltd. | 1-Day HONIA - 7.99% | Monthly | GSCO | 1/22/27 | 361588 | HKD | 1640 |
|  Xinyi Solar Holdings Limtied | 1-Day HONIA - 1.25% | Monthly | GSCO | 12/07/26 | 421584 | HKD | (3600) |
|  XP Power Ltd. | 1-Day SONIA - 0.30% | Monthly | MSCS | 8/30/30 | 14853 | GBP | (6619) |
|  Xpeng Inc. | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1326382 | HKD | 13359 |
|  XPS Pensions Group Plc | 1-Day SONIA - 0.275% | Monthly | MSCO | 1/28/27 | 80710 | GBP | 11171 |
|  XTB | 1-Day FEDEF - 0.50% | Monthly | MSCO | 6/30/26 | 231656 |  | (88515) |
|  Xvivo Perfusion AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/17/26 | 998171 | SEK | 12238 |
|  Yakult Honsha Co. | 1-DAY TONAR - 0.25% | Monthly | GSCO | 6/24/26 | 6229432 | JPY | (287) |
|  Yamaha Motor Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 23335700 | JPY | (16870) |
|  Yamami Company | 1-Day TONAR - 6.75% | Monthly | GSCO | 9/30/26 | 4537210 | JPY | (2352) |
|  Yamato Holdings Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/15/26 | 4727978 | JPY | 865 |
|  Yankuang Energy Group | 1-Day HONIA - 1.00% | Monthly | GSCO | 8/27/26 | 209071 | HKD | (9049) |
|  Yapi VE Kredi Bank | 1-Day FEDEF - 0.53% | Monthly | MSCO | 9/21/26 | 110477 |  | (28727) |
|  Yaskawa Electric Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 9510860 | JPY | (42129) |
|  YC Inox Co Ltd. | 1-Day FEDEF - 2.00% | Monthly | MSCO | 7/02/26 | 44745 |  | 4031 |
|  Yidu Tech Inc. | 1-Day HONIA - 8.00% | Monthly | GSCO | 6/25/26 | 1294758 | HKD | (8285) |
|  Yihai International Holdings | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 575831 | HKD | (5553) |
|  YIT Corp. | Euro STR - 0.275% | Monthly | SEBA | 11/08/30 | 66007 | EUR | (17715) |
|  Yokogawa Bridge Holdings | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 17255053 | JPY | (27192) |
|  Yokohama REIT Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 14769750 | JPY | (30296) |
|  Yondoshi Holdings Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 10765198 | JPY | (5802) |
|  Yoshinoya Holdings Co Ltd. | 1-Day TONAR - 1.00% | Monthly | GSCO | 6/24/26 | 34786569 | JPY | 60 |
|  Ypsomed Holding AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 7/17/26 | 146132 | CHF | 36206 |
|  Yuhan | 1-Day FEDEF - 0.75% | Monthly | MSCO | 6/24/26 | 124951 |  | 1355 |
|  Yutori Inc. | 1-Day TONAR - 7.75% | Monthly | GSCO | 8/24/26 | 5009430 | JPY | 9607 |
|  Zai Lab Limited | 1-Day HONIA - 0.40% | Monthly | GSCO | 8/18/26 | 578899 | HKD | 7008 |
|  Zhejiang Jinggon | 1-Day FEDEF - 4.90% | Monthly | MSCO | 9/04/26 | 22169 |  | (3414) |
|  Zhejiang Weixing | 1-Day FEDEF - 10.30% | Monthly | MSCO | 11/20/26 | 12359 |  | (1358) |
|  Zhejiang Weixing – A Shares | 1-Day FEDEF - 7.15% | Monthly | MSCO | 1/11/27 | 81537 |  | (306) |
|  Zhong Yang Technology Co. | 1-Day FEDEF - 10.625% | Monthly | MSCO | 6/24/26 | 37087 |  | 9444 |
|  Zhongan Online P & C | 1-Day HONIA - 8.50% | Monthly | GSCO | 6/25/26 | 1043350 | HKD | 14749 |
|  Zhongsheng Group Holdings | 1-Day HONIA - 3.50% | Monthly | GSCO | 6/25/26 | 758093 | HKD | 20077 |
|  Zip Co Ltd Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 215881 | AUD | 55828 |
|  |  |  |  |  |  |  | (20192380) |
|  **Interest Rate Contracts - Long<sup>a</sup>** |  |  |  |  |  |  |  |
|  Egyptian Treasury Bills | 1-Day FEDEF | Monthly | CITI | 6/02/26 | 1334250 |  | 61732 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total - Total Return Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp; Total - Total Return Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp; Total - Total Return Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp; Total - Total Return Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp; Total - Total Return Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp; Total - Total Return Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp; Total - Total Return Swap Contracts | $2389280 |

---

<sup>\*</sup> In U.S. dollars unless otherwise indicated.

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

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

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

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

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**Franklin Alternative Strategies Fund** (continued)

**Abbreviations** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Counterparty** | | **Currency** | | **Selected Portfolio** | |
| **BNPP** | BNP Paribas |  | **AUD** | Australian Dollar | **ADR** | American Depositary Receipt |
| **BNYM** | The Bank of New York Mellon Corp. |  | **BRL** | Brazilian Real | **ASX** | Australian Securities Exchange |
| **BZWS** | Barclays Bank PLC |  | **CAD** | Canadian Dollar | **BOBL** | Bundesobligation |
| **CITI** | Citigroup, NA |  | **CHF** | Swiss Franc | **BRLCDI** | Brazil Cetip Di Interbank Deposit Rate |
| **DBAB** | Deutsche Bank, AG |  | **COP** | Colombian Peso | **BUBOR** | Budapest Interbank Offered Rate |
| **GSCO** | Goldman Sachs International |  | **CZK** | Czech Koruna | **CAC** | Cotation Assistee en Continu |
| **HSBC** | HSBC Bank PLC |  | **DKK** | Danish Krone | **CBOE** | Chicago Board Options Exchange |
| **JPHQ** | JP Morgan Chase Bank, NA |  | **DOP** | Dominican Peso | **CIBOR** | Copenhagen Interbank Offered Rate |
| **MLCO** | Merrill Lynch & Co., Inc. |  | **EGP** | Egyptian Pound | **CMT** | Constant Maturity Treasury Index |
| **MSCO** | Morgan Stanley & Co. LLC |  | **EUR** | Euro | **COIR** | Colombia Overnight Interbank Rate |
| **MSCS** | Morgan Stanley Capital Services LLC |  | **GBP** | British Pound | **CORRA** | Canadian Overnight Repo Rate Average |
| **SEBA** | Skandinaviska Enskilda Banken AB |  | **HKD** | Hong Kong Dollar | **DAX** | Deutscher Aktienindex |
|  |  |  | **HUF** | Hungarian Forint | **DJIA** | Dow Jones Industrial Average |
|  |  |  | **IDR** | Indonesian Rupiah | **ECX** | European Climate Exchange |
|  |  |  | **INR** | Indian Rupee | **EMTN** | Euro Medium Term Note |
|  |  |  | **JPY** | Japanese Yen | **EONIA** | Euro OverNight Index Average |
|  |  |  | **KZT** | Kazakhstani Tenge | **ETF** | Exchange Traded Fund |
|  |  |  | **MXN** | Mexican Peso | **EURIBOR** | Euro Interbank Offered Rate |
|  |  |  | **MYR** | Malaysian Ringgit | **FEDEF** | Federal Funds Effective Rate |
|  |  |  | **NGN** | Nigerian Naira | **FRN** | Floating Rate Note |
|  |  |  | **NOK** | Norwegian Krone | **FTSE** | Financial Times Stock Exchange |
|  |  |  | **NZD** | New Zealand Dollar | **HIBOR** | Hong Kong Interbank Offered Rate |
|  |  |  | **PEN** | Peruvian Nuevo Sol | **HONIA** | Hong Kong Overnight Index Average |
|  |  |  | **PLN** | Polish Zloty | **IBEX** | Iberian Index |
|  |  |  | **PYG** | Paraguay Guarani | **JIBAR** | Johannesburg Interbank Agreed Rate |
|  |  |  | **SEK** | Swedish Krona | **JSE** | Johannesburg Stock Exchange Index |
|  |  |  | **SGD** | Singapore Dollar | **KLIBOR** | Kuala Lumpur Interbank Offered Rate |
|  |  |  | **TRY** | Turkish Lira | **KOSPI** | Korean Composite Stock Price Index |
|  |  |  | **USD** | United States Dollar | **MIB** | Milano Italia Borsa |
|  |  |  | **ZAR** | South African Rand | **MIBOR** | Mumbai Interbank Overnight Rate |
|  |  |  |  |  | **MSCI** | Morgan Stanley Capital International |
| **Index** |  |  |  |  | **NIBOR** | Norwegian Interbank Offered Rate |
| **CDX.EM** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CDX Emerging Markets Index | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CDX Emerging Markets Index | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CDX Emerging Markets Index |  | **NZOCR** | Reserve Bank of New Zealand Cash Rate |
| **CDX.NA.HY** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CDX North America High Yield Index | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CDX North America High Yield Index | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CDX North America High Yield Index |  | **OAT** | Obligation Assumable by the Treasurer |
| **CDX.NA.IG** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CDX North America Investment Grade Index | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CDX North America Investment Grade Index | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CDX North America Investment Grade Index |  | **PIK** | Payment In-Kind |
| **ITRX.EUR** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; iTraxx Europe Index | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; iTraxx Europe Index | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; iTraxx Europe Index |  | **PRIBOR** | Prague Interbank Offered Rate |
| **ITRX.EUR.XOVER** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; iTraxx Europe Crossover Index | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; iTraxx Europe Crossover Index | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; iTraxx Europe Crossover Index |  | **RBACR** | Reserve Bank of Australia's Cash Rate |
|  |  |  |  |  | **REIT** | Real Estate Investment Trust |
| The following reference rates, and their values as of period end, are used for security description: | The following reference rates, and their values as of period end, are used for security description: | The following reference rates, and their values as of period end, are used for security description: | The following reference rates, and their values as of period end, are used for security description: | The following reference rates, and their values as of period end, are used for security description: | **SABOR** | South African Benchmark Overnight Rate |
|  |  |  |  |  | **SARON** | Swiss Average Rate Overnight |
| **Reference Index** | **Reference Index** | **Reference Rate** |  |  | **SOFR** | Secured Overnight Financing Rate |
| **1-Day EONIA** |  | 1.930% |  |  | **SONIA** | Sterling Overnight Index Average |
| **1-Day FEDEF** |  | 3.640 |  |  | **SORA** | Singapore Overnight Rate Average |
| **1-Day HONIA** |  | 2.330 |  |  | **SPDR** | Standard & Poor's Depositary Receipt |
| **1-Day NZOCR** |  | 2.250 |  |  | **SPI** | Swiss Performance Index |
| **1-Day RBACR** |  | 4.100 |  |  | **STIBOR** | Stockholm Interbank Offered Rate |
| **1-Day SABOR** |  | 6.696 |  |  | **STR** | Short Term Rate |
| **1-Day SARON** |  | -0.050 |  |  | **TLREF** | Turkish Lira Overnight Reference Rate |
| **1-Day SONIA** |  | 3.727 |  |  | **TONAR** | Tokyo Overnight Average Rate |
| **1-Day SORA** |  | 1.053 |  |  | **TOPIX** | Tokyo Price Index |
| **1-Day TONAR** |  | 0.727 |  |  | **TSX** | Toronto Stock Exchange |
| **1-Month EURIBOR** |  | 1.943 |  |  | **WTI** | West Texas Intermediate |
| **1-Month SOFR** |  | 3.669 |  |  |  |  |
| **1-Week CIBOR** |  | 1.810 |  |  |  |  |
| **1-Week NIBOR** |  | 3.980 |  |  |  |  |
| **1-Week STIBOR** |  | 1.770 |  |  |  |  |
| **3-Month JIBAR** |  | 6.625 |  |  |  |  |
| **3-Month SOFR** |  | 3.666 |  |  |  |  |
| **6-Month BUBOR** |  | 6.100 |  |  |  |  |
| **6-Month PRIBOR** |  | 3.450 |  |  |  |  |
| **Banxico Mexico 1 Month Rate** | **Banxico Mexico 1 Month Rate** | 7.000 |  |  |  |  |
| **BRLCDI** |  | 14.900 |  |  |  |  |
| **COIR** |  | 9.634 |  |  |  |  |
| **EURIBOR** |  | 2.708 |  |  |  |  |
| **Euro STR** |  | 1.930 |  |  |  |  |
| **HIBOR** |  | 2.552 |  |  |  |  |
| **HONIA** |  | 2.330 |  |  |  |  |
| **KLIBOR** |  | 3.230 |  |  |  |  |
| **MIBOR** |  | 5.170 |  |  |  |  |
| **SOFR** |  | 3.680 |  |  |  |  |
| **TONAR** |  | 0.727 |  |  |  |  |
| **TLREF** |  | 36.873 |  |  |  |  |
| **US 5 Year CMT T-Note** | **US 5 Year CMT T-Note** | 3.510 |  |  |  |  |

---

------

**FRANKLIN ALTERNATIVE STRATEGIES FUNDS** 

Notes to Consolidated Schedule of Investments (unaudited)

**1. Organization** 

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

Effective January 30, 2026, K2 Alternative Strategies Fund was renamed Franklin Alternative Strategies Fund.

**2. Financial Instrument Valuation** 

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

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

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

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

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

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

Trading in securities on foreign securities stock exchanges and OTC markets may be completed before 4 p.m. Eastern time. In addition, trading in certain foreign markets may not take place on every Fund's business day. Events can occur between the time at which trading in a foreign security is completed and 4p.m. Eastern time that might call into question the reliability of the value of a portfolio security held by the Fund. As a result, differences may arise between the value of the Fund's portfolio securities as determined at the foreign market close and the latest indications of value at 4 p.m. Eastern time. In order to minimize the potential for these differences, an independent pricing service may be used to adjust the value of the Fund's portfolio securities to the latest indications of fair value at 4 p.m. Eastern time. At February 28, 2026, certain securities may have been fair valued using these procedures, in which case the securities were categorized as Level 2 within the fair value hierarchy (referred to as "market level fair value"). See the Fair Value Measurements note for more information.

When the last day of the reporting period is a non-business day, certain foreign markets may be open on those days that the Fund's NAV is not calculated, which could result in differences between the value of the Fund's portfolio securities on the last business day and the last calendar day of

------

the reporting period. Any significant security valuation changes due to an open foreign market are adjusted and reflected by the Fund for financial reporting purposes.

**3. Restricted Securities** 

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

At February 28, 2026, investments in restricted securities, excluding securities exempt from registration under the 1933 Act, were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Principal**<br> **Amount** | **Issuer** | **Acquisition Date** | **Cost** | **Value** |
| 364401 | Atlas Security Products, A, zero cpn., 2/08/27 | 9/01/25 | $324413 | $340421 |
| 364401 | Atlas Security Products, B, zero cpn., 2/08/28 | 9/01/25 | 314278 | 318296 |
| 364401 | Atlas Security Products, C, zero cpn., 2/08/29 | 9/01/25 | 309775 | 296847 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Total Restricted Securities** (Value is 0.2% of Net Assets) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Total Restricted Securities** (Value is 0.2% of Net Assets) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Total Restricted Securities** (Value is 0.2% of Net Assets) | $948466 | $955564 |

---

**4. Unfunded Loan Commitments** 

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

At February 28, 2026, unfunded commitments were as follows:

---

| | |
|:---|:---|
| **Borrower** | **Unfunded**<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Commitment** |
|  888 Holdings Ltd., Facility B | $212328 |
|  First Brands Group LLC, 2021 First Lien | 700986 |
|  H-Food Holdings LLC, Revolving Commitment | 135464 |
|  Liberty Communications of Puerto Rico LLC, 2021 Additional Term Loan | 45456 |
|  Ligado Networks LLC, 2024-1 Refinancing Term Loan | 91714 |
|  Perforce, 2024-1 Refinancing Term Loan | 129706 |
|  Project Boost, 2025-2 Refinancing Term Loan | 18463 |
|  Proofpoint, 2025-B Incremental Term Loan | 55390 |
|  Sedgwick Claims, 2024 Term Loan | 18463 |
|  SonicWall, 2023 First Lien | 369683 |
|  Zodiac Purchaser LLC, Term Loan | 29674 |
|  | $1807327 |

---

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

The Fund invests in one or more affiliated management investment companies. As defined in the 1940 Act, an investment is deemed to be a "Controlled Affiliate" of a fund when a fund owns, either directly or indirectly, 25% or more of the affiliated fund's outstanding shares or has the power to exercise control over management or policies of such fund. The Fund does not invest for purposes of exercising a controlling influence over the management or policies. During the period ended February 28, 2026, the Fund held investments in affiliated management investment companies as follows:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Value at**<br> **Beginning**<br> **of Period** | **Purchases** | **Sales** | **Realized**<br> **Gain (Loss)** | **Net Change**<br> **in Unrealized**<br> **Appreciation**<br> **(Depreciation)** | **Value at**<br> **End of**<br> **Period** | **Number of**<br> **Shares**<br> **Held at End**<br> **of Period** | **Income**<br> **from**<br> **Securities**<br> **Loaned** |
|  **Non-Controlled Affiliates** |  |  |  |  |  |  |  |  |
|  Franklin Institutional U.S. Government Money Market Fund, 3.58% | $2829000 | $56104000 | $(58352000) | $- | $- | $581000 | 581000 | $79105 |

---

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

The Fund invests in certain financial instruments and commodity-linked derivative investments through its investment in the K2 Subsidiary. The K2 Subsidiary is a Cayman Islands exempted company with limited liability, is a wholly-owned subsidiary of the Fund, and is able to invest in certain financial instruments and commodity-linked derivative investments consistent with the investment objective of the Fund. At February 28, 2026, the K2 Subsidiary's investments, as well as any other assets and liabilities of the K2 Subsidiary, are reflected in the Fund's Consolidated Schedule of Investments. At February 28, 2026, the Fund's investments in the K2 Subsidiary were as follows:

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fund Name** | **Subsidiary Name<sup>a</sup>** | **Consolidated**<br> **Net Assets** | **Subsidiary**<br> **Net Assets** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**% of Consolidated**<br> **Net Assets** |
|  Franklin Alternative Strategies Fund | K2 Holdings Investment Corp. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$524442642 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$62914003 | 12.0% |

---

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

**7. Fair Value Measurements** 

The Fund follows a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Fund's own market assumptions (unobservable inputs). These inputs are used in determining the value of the Fund's financial instruments and are summarized in the following fair value hierarchy:

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

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

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

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

A summary of inputs used as of February 28, 2026, in valuing the Fund's assets and liabilities carried at fair value, is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **Assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in Securities<sup>a</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Investments<sup>b</sup> | $86698341 | $10271667 | $70869 <sup>c</sup> | $97040877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Convertible Bonds |  | 110049349 |  | 110049349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Convertible Bonds in Reorganization |  | 3186 |  | 3186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds and Notes |  | 14207058 | 2764483 | 16971541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds and Notes in Reorganization |  | 761053 |  | 761053 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Senior Floating Rate Interests |  | 3514824 | 2989008 | 6503832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Government and Agency Securities |  | 30162343 |  | 30162343 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Government and Agency Securities in Reorganization |  | 2118705 |  | 2118705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government and Agency Securities |  | 21125354 |  | 21125354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Options Purchased | 483528 | 38398 |  | 521926 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short Term Investments | 128376218 | 63760582 |  | 192136800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Investments in Securities | $215558087 | $256012519 <sup>d</sup> | $5824360 | $477394966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $6492644 | $– | $– | $6492644 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Exchange Contracts |  | 1812489 |  | 1812489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  | 35718330 |  | 35718330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Other Financial Instruments | $6492644 | $37530819 | $– | $44023463 |
| &nbsp;&nbsp;&nbsp; **Liabilities:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Options Written | $196607 | $– | $– | $196607 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Securities Sold Short<sup>a</sup> | 89911224 | 41054977 <sup>e</sup> |  | 130966201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | 5204786 |  |  | 5204786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Exchange Contracts |  | 1235466 |  | 1235466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  | 33529643 | – <sup>c</sup> | 33529643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unfunded Loan Commitments |  | 747700 | 35255 | 782955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Other Financial Instruments | $95312617 | $76567786 | $35255 | $171915658 |

---

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

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

<sup>c</sup> Includes securities determined to have no value at February 28, 2026.

<sup>d</sup> Includes foreign securities valued at $9,879,705, which were categorized as Level 2 as a result of the application of market level fair value procedures. See the Financial Instrument Valuation note for more information. 

<sup>e</sup> Includes foreign securities valued at $2,634,645, which were categorized as Level 2 as a result of the application of market level fair value procedures. See the Financial Instrument Valuation note for more information. 

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** San Mateo

  - **State:** CA

  - **Foreign country:** US

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

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2026-02-27

**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:** $793497984.56

**Total Liabilities:** $269258145.56

**Net Assets:** $524239839.00

**Amount of Assets Invested in Other Investment Companies:** $62900635.20

**Cash Not Reported:** $169536823.75

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -3061.30937000 | **1-Year:** 14156.17607000 | **5-Year:** 18073.74716000 | **10-Year:** 1840.26711000 | **30-Year:** 42.98758000

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

- **3-Month:** 744.12411000 | **1-Year:** 2530.83476000 | **5-Year:** 6943.76244000 | **10-Year:** 5816.95074000 | **30-Year:** 117.32017000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000130561 | 0.09%                | 1.36%                | 1.25%                |
| Class ID C000130562 | 0.09%                | 1.31%                | 1.20%                |
| Class ID C000130563 | 0.13%                | 1.35%                | 1.25%                |
| Class ID C000130564 | 0.15%                | 1.44%                | 1.24%                |
| Class ID C000130565 | 0.18%                | 1.44%                | 1.24%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $2241047.24              | $-3336681.88                               |
| Month 2  | $4662661.66              | $-3828608.71                               |
| Month 3  | $2780352.48              | $1191434.50                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LIMITED | FTSE CHINA A50 INDEX FUTURE, March 2026                                                                                                  | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | N/A       |         430 | NC      | $-63035.97    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-31431.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | KC HRW Wheat Futures                                                                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -2 | NC      | $-179.42      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-211.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-71.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2084.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4.55        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-13711.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3075.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-316.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-224.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-47.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-185.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | KC HRW Wheat Futures, Jul-2026,ETH                                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -26 | NC      | $-38214.46    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-96.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-119.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-323.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-102.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $240.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-12.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-16328.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-393.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1585.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-227.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | KC HRW Wheat Futures, May-2026,ETH                                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -38 | NC      | $-50246.48    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-235.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2527.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2546.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $259.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-521.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7222.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1624.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1692.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2723.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-192.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA EXCHANGE                                  | USD Future                                                                                                                               | CUSIP: 000000000<br>LEI: 549300TJ3RRV6Q1UEW14 | N/A              | DFE              | CORP              | KR        |        -261 | NC      | $21243.33     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-488.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-838.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2573.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-521.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-234.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1899.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-890.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $544.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-665.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2151.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA EXCHANGE                                  | K2I Future, MAR 2026                                                                                                                     | CUSIP: 000000000<br>LEI: 549300TJ3RRV6Q1UEW14 | N/A              | DE               | CORP              | N/A       |          32 | NC      | $1918136.71   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2220.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2406.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-628.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-652.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-61014.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-387.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-65216.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5464.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-93.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - TWD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $8.77         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | KC HRW Wheat Futures, Mar-2026,ETH                                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -38 | NC      | $-7620.49     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - TWD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3.78         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - TWD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $317.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - TWD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $73.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - TWD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $36.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - TWD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $25.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - TWD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.88         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - TWD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $26.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - TWD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $38.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - TWD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $57.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - TWD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $637.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                          | Coffee C Futures - NYCC, May26                                                                                                           | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |           3 | NC      | $-19901.33    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - TWD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $39.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - TWD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1174.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - TWD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1355.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - TWD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $981.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - THB                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-13.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - THB                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2.09         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - THB                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-82.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - THB                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $330.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - THB                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $21.57        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - THB                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3.55         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KOREA EXCHANGE                                  | BMA Future, MAR 2026                                                                                                                     | CUSIP: 000000000<br>LEI: 549300TJ3RRV6Q1UEW14 | N/A              | DIR              | CORP              | N/A       |         -32 | NC      | $-6900.44     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - THB                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $660.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SGD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $33.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SGD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-16.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SGD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-78.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SGD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-12.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SGD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7.92        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SGD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-36.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SGD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $146.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SGD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $23.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SGD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2.73        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Japanese Yen Futures, Mar-2026,ETH                                                                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         328 | NC      | $-201795.23   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SGD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-24.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SGD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-38.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SGD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7.40         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SGD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $12.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SGD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $87.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SGD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $56.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SGD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $409.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4.93        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.20         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5.32         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                          | FCOJ-A Futures - NYCC                                                                                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |           1 | NC      | $320.17       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $18.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-23.83       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-14.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-115.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-82.31       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-25.88       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-172.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-42.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-19.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - BRL                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6945.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL STOCK EXCHANGE OF INDIA LIMITED        | IFSC NIFTY 50 FUT Mar26                                                                                                                  | CUSIP: 000000000<br>LEI: 335800NLY5HYW9I7YE03 | N/A              | DE               | CORP              | IN        |          11 | NC      | $-12283.34    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-159.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-30.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-139.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1.13        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-0.56        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-15.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-225.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-37.92       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-352.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-410.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA SECURITIES EXCHANGE                       | 10-YEAR JGB TRADE FUTURE, MAR 2026                                                                                                       | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | N/A       |          -4 | NC      | $-10081.32    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-421.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-184.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-202.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-36.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1.22        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $12.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $18.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $13.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - SEK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4.31         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - PLN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4.22        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Israeli Shekel Futures                                                                                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -8 | NC      | $-39350.36    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - PLN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5.96         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - PLN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-0.46        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - PLN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1.89         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - PLN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6.11        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - PLN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8.69        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - PLN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1.67        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - PLN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-71.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - PLN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-55.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - PLN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $34.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - PLN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4.41         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASX 24                                          | ASX 90 Day Bank Accepted Bills Futures                                                                                                   | CUSIP: 000000000<br>LEI: 549300SDXT36XYPVWI79 | N/A              | DIR              | CORP              | N/A       |           9 | NC      | $-8263.15     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $24.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $9.46         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $13.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $174.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6.97         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3.82         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-460.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8.77        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-169.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-19.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASX 24                                          | ASX 90 Day Bank Accepted Bills Futures                                                                                                   | CUSIP: 000000000<br>LEI: 549300SDXT36XYPVWI79 | N/A              | DIR              | CORP              | N/A       |          22 | NC      | $-9496.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-428.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-86.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-442.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-453.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-33.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-32.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5.46         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASX 24                                          | ASX 90 Day Bank Accepted Bills Futures                                                                                                   | CUSIP: 000000000<br>LEI: 549300SDXT36XYPVWI79 | N/A              | DIR              | CORP              | AU        |           4 | NC      | $87.92        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $85.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-120.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2.80         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1356.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3.05        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-227.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1575.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3.95        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-449.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-67.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASX 24                                          | ASX 90 Day Bank Accepted Bills Futures                                                                                                   | CUSIP: 000000000<br>LEI: 549300SDXT36XYPVWI79 | N/A              | DIR              | CORP              | N/A       |          14 | NC      | $-13295.47    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-0.55        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7.32        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-220.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2675.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1301.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-261.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-822.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-88.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $444.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1059.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASX 24                                          | ASX 90 Day Bank Accepted Bills Futures                                                                                                   | CUSIP: 000000000<br>LEI: 549300SDXT36XYPVWI79 | N/A              | DIR              | CORP              | N/A       |           6 | NC      | $-3540.39     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1860.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1573.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $575.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $39.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $723.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $230.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $374.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $92.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $21.93        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $46.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS MATIF                            | Rapeseed / Colza                                                                                                                         | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DCO              | CORP              | FR        |          -1 | NC      | $-810.23      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $13472.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1064.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3488.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4339.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4991.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7562.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4350.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3852.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $991.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NZD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2251.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS MATIF                            | Rapeseed / Colza, Aug 2026                                                                                                               | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DCO              | CORP              | FR        |          -2 | NC      | $-1074.77     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $19.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $11.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $104.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5.11         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $100.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $759.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1.45         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4.64         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-70.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $63.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PIPER SANDLER & CO.                             | INDUSTRIAL SELECT SECTOR SPDR FUND                                                                                                       | CUSIP: 000000000<br>LEI: 549300GRQCWQ3XGH0H10 | N/A              | DE               | CORP              | US        |         223 | NC      | $52628.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT PARIS MATIF                            | Rapeseed / Colza, May 2026                                                                                                               | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DCO              | CORP              | FR        |          -8 | NC      | $-3925.31     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1.53        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $66.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $9.09         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-97.27       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2.83        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-345.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-123.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $23.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5052.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2867.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEFF FINANCIAL DERIVATIVES                      | IBEX 35 INDX FUTR MAR26                                                                                                                  | CUSIP: 000000000<br>LEI: 959800T2W59YXMVKRU25 | N/A              | DE               | CORP              | ES        |          -4 | NC      | $-13900.42    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $24.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $19.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $564.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $40.52        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $349.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $203.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $351.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $23.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $937.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $25.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.              | NY Harbor ULSD Futures                                                                                                                   | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |           2 | NC      | $20123.24     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $872.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $119.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1193.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $81.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $71.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $83.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $611.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6758.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $48.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $61.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.              | NY Harbor ULSD Futures, May-2026,ETH                                                                                                     | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |           1 | NC      | $11325.82     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $62.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $136.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $12.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - NOK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $143.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - MXN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11.58       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - MXN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-20.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - MXN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $85.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - MXN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $78.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - MXN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $83.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - MXN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1498.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.              | NY Harbor ULSD Futures, Apr-2026,ETH                                                                                                     | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          12 | NC      | $144673.20    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - MXN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $78.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - MXN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2349.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - MXN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1522.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - MXN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $518.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - MXN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $119358.92    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - KRW                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $9.40         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - KRW                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2.22         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - KRW                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $98.72        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - KRW                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $118.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - KRW                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-36.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE LTD.                 | HANG SENG INDEX FUTURES, MAR-2026                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | N/A       |         -12 | NC      | $1384.06      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - KRW                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $88.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - KRW                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $224.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - KRW                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $382.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - KRW                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $456.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - KRW                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $785.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - KRW                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $136.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - KRW                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1168.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - KRW                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4583.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - KRW                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2494.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-0.54        | -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        |          11 | NC      | $31694.02     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-299.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-355.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1444.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4162.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-674.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5261.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-961.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5806.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-303.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE LTD.                 | HANG SENG CHINA ENTERPRISES INDEX (HSCEI) FUTURES, MAR-2026                                                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | N/A       |          -2 | NC      | $2535.72      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-310.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3217.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-727.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-633.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-359.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-240.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1058.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-148.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-68.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $68.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                               | DAX Futures(FDAX) Index Fut                                                                                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |           9 | NC      | $258640.61    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $395.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $102.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $9.12         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $89.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7.28        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4.09         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2764.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4626.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-121.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-14960.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITIES EXCHANGE CENTER                     | Gold Futures                                                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |           1 | NC      | $25948.32     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-10150.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1017.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-763.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-663.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-17831.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-10498.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-276.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-602.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-581.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3099.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PIPER SANDLER & CO.                             | INDUSTRIAL SELECT SECTOR SPDR FUND                                                                                                       | CUSIP: 000000000<br>LEI: 549300GRQCWQ3XGH0H10 | N/A              | DE               | CORP              | US        |        -223 | NC      | $-22969.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COMMODITIES EXCHANGE CENTER                     | Gold Futures, Apr-2026,ETH                                                                                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |          14 | NC      | $15174.56     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-300.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $265.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $199.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $341.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $89.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $359.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $325.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $696.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.16         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $202.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | Long Gilt Future - ICEU, Jun26                                                                                                           | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |          36 | NC      | $49328.88     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $233.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $127.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2023.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $299.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $355.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $323.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $390.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $393.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $460.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1525.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | 5-Year T-Note Futures, Jun-2026,ETH                                                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -92 | NC      | $-45418.70    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $198.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $220.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4.07         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $97.52        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $141.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $142.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-115.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-40.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-231.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-120.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | UK NBP Natural Gas Futures - NBP                                                                                                         | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          15 | NC      | $19504.55     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-255.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-161.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1362.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1193.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-280.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2329.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-303.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-768.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-149.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-387.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Feeder Cattle Futures                                                                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |           1 | NC      | $-6677.18     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-356.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-450.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-204.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - INR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $98.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - HUF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $561.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - HUF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2909.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-114.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-159.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-147.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-59.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Feeder Cattle Futures                                                                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |           1 | NC      | $-6702.18     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2.97         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.28         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $144.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2081.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-69.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1900.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-109.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-96.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1370.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-46.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Feeder Cattle Futures, Apr-2026,ETH                                                                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |           3 | NC      | $-20094.04    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-515.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-344.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-66.59       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1101.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-937.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-931.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-175.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-272.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2035.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-862.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Feeder Cattle Futures                                                                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |           2 | NC      | $-11054.36    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-27.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1957.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1171.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-416.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-530.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-61.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-939.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1592.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1496.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-687.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | E-mini S&P MidCap 400 Index Futures, Mar-2026,ETH                                                                                        | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |          -3 | NC      | $-55774.38    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1567.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-119.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1127.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-239.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-51.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $93.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $157.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $85.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $271.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $28.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Czech Koruna/Euro (CZK/EUR) Cross Rate Futures                                                                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |           4 | NC      | $1653.83      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $144.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $983.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5852.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4.63         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $307.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $28.56        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $221.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $192.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1.59         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1128.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | IWM A 2026-02-27 PUT 259                                                                                                                 | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |         119 | NC      | $119.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Euro/Swedish Krona Futures                                                                                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -1 | NC      | $3829.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $172.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $216.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $316.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1299.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $212.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $79.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-471.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-98.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1898.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-193.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | E-mini S&P 500 Futures, Mar-2026,ETH                                                                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |         109 | NC      | $-35647.02    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-185.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-137.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-240.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $91.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $158.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $500.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $238.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $639.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $987.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $441.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | Three Month Euro (Euribor) Future - ICEU, Dec27                                                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -19 | NC      | $-13809.47    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $867.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2586.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $496.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2980.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1544.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $27334.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $620.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $724.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $88.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $459.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | Three Month Euro (Euribor) Future - ICEU, Dec26                                                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -39 | NC      | $-9511.09     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $159.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $261.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-513.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-12.41       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-524.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-22.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-39.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-512.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1192.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1149.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | Three Month Euro (Euribor) Future - ICEU, Sep27                                                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -20 | NC      | $-12694.85    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-455.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-327.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-442.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-843.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-674.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-396.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-0.88        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $78.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1.33        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-67.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | Three Month Euro (Euribor) Future - ICEU, Sep26                                                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -36 | NC      | $-1513.43     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4.45         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7.28         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-60.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4420.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1059.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-66.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2788.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1365.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-773.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-363.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | Three Month Euro (Euribor) Future - ICEU, Jun27                                                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -25 | NC      | $-12534.01    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $281.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $303.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $380.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $429.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $470.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $472.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $354.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $399.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7.21         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1016.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | Three Month Euro (Euribor) Future - ICEU, Jun26                                                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -38 | NC      | $1653.12      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $18.83        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $706.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $652.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $725.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $799.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1762.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $566.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $287.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $511.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $355.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | Three Month Euro (Euribor) Future - ICEU, Mar28                                                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |          -8 | NC      | $-7533.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $187.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1.22        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $13.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $232.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $235.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $417.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1324.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4.76        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $491.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2930.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | Three Month Euro (Euribor) Future - ICEU, Mar27                                                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -24 | NC      | $-13194.51    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $163.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2715.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5588.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $672.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $285.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $655.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $143.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $276.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $162.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $327.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | IWM A 2026-02-27 PUT 247                                                                                                                 | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |        -119 | NC      | $-119.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                              | WTI Crude Futures - WTI                                                                                                                  | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |           2 | NC      | $6157.92      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $416.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $160.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $78.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $438.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $182.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $423.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $424.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $462.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $419.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $987.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | WTI Crude Futures - WTI                                                                                                                  | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |           2 | NC      | $11987.92     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $12.97        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $606.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $554.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1868.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $54.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1423.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $57.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $214.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $533.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1313.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | WTI Crude Futures - WTI                                                                                                                  | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |           2 | NC      | $14907.92     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $514.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $516.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $347.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $209.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $251.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $255.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $294.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $143.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $149.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $11.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Euro/Norwegian Krone Futures                                                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -1 | NC      | $3296.81      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $65.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $55.35        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $91.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-17.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-0.88        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7.95         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-13.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $145.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $534.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $241.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Hungarian Forint/Euro (HUF/EUR) Cross Rate Futures                                                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          13 | NC      | $25742.21     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $248.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1388.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $164.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1318.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-567.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-575.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2055.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2089.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2169.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-435.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Polish Zloty/Euro (PLN/EUR) Cross Rate Futures                                                                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |           9 | NC      | $8530.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-463.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-488.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-425.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-272.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-200.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2123.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2139.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4.27        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1189.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Euro FX Futures, Mar-2026,ETH                                                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         125 | NC      | $27208.75     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6357.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-187.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-16161.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1566.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $47.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-350.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5125.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1621.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $112.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-15115.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                               | Euro(FGBS) Schatz Futures                                                                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -43 | NC      | $-4280.51     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4491.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $427.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-450.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6732.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $116.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $370.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7367.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3315.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7698.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-44.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                               | Euro(FGBS) Schatz Futures                                                                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -128 | NC      | $-32733.35    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-53.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-232.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2065.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2133.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $141.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $57.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-138.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5825.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $495.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1798.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | E-mini Dow Jones Industrial Average Index Futures, Mar-2026,ETH                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DE               | CORP              | US        |          14 | NC      | $-14490.68    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $11.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2984.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-399.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $13.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-15.59       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-793.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $299.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $67.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $56.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1335.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | FTSE 100 - Stnd Index Future - ICEU, Mar26                                                                                               | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DE               | CORP              | GB        |         -19 | NC      | $-260894.74   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                              | Robusta Coffee Future - ICEU                                                                                                             | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |           3 | NC      | $-4273.59     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-12568.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-42.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $322.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4242.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - INR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $166.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - INR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $169.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - INR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $183.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - INR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $131.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - INR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $152.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - INR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $166.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | Robusta Coffee Future - ICEU                                                                                                             | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |           5 | NC      | $-6455.95     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - INR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $12.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - INR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-82.59       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - INR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-83.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - INR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-96.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - INR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-518.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ILS                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3.61        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ILS                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-441.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ILS                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $11.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ILS                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-31.35       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ILS                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-113.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE MONTREAL EXCHANGE / BOURSE DE MONTREAL      | Two-Year Government of Canada Bond Futures                                                                                               | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |          -4 | NC      | $-224.46      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ILS                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-17.14       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ILS                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-92.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ILS                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-92.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ILS                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-113.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ILS                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-127.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ILS                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-112.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ILS                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-48.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ILS                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $18.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ILS                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4.32        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ILS                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $14.65        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                          | Cotton No. 2 Futures - NYCC                                                                                                              | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |           1 | NC      | $302.67       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ILS                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $53.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ILS                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $470.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ILS                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $262.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ILS                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $733.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ILS                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $665.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - IDR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $23.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - IDR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $182.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - IDR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $88.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - IDR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $45.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - IDR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.59         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                          | Cotton No. 2 Futures - NYCC                                                                                                              | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |           1 | NC      | $307.67       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - IDR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - IDR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6.53         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - IDR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4.52        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - IDR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6.72        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - IDR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1.76         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - IDR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $11.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - HUF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-125.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - HUF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6.87         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - HUF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-155.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - HUF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3.54         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                          | Cotton No. 2 Futures - NYCC, May26                                                                                                       | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          14 | NC      | $10648.84     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - HUF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $445.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - HUF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5044.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - HUF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6252.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - HUF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4526.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4615.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $69544.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CZK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3.07         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CZK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3.20         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CZK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6.05        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CZK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-293.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE MONTREAL EXCHANGE / BOURSE DE MONTREAL      | Three-Month CORRA Futures, Dec-2026                                                                                                      | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |          -3 | NC      | $-1123.36     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CZK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-35.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CZK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $35.38        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CZK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $160.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CZK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1518.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CZK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1598.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CZK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1276.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CZK                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1931.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CLP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-17.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CLP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8.47        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CLP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-24.93       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE MONTREAL EXCHANGE / BOURSE DE MONTREAL      | Three-Month CORRA Futures, Sep-2026                                                                                                      | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |         -17 | NC      | $-954.22      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CLP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-31.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CLP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-21.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CLP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-21.73       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CLP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-138.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CLP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-121.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CLP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1.72        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CLP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $750.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CLP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $13.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CLP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $239.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CLP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1.58         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE MONTREAL EXCHANGE / BOURSE DE MONTREAL      | Three-Month CORRA Futures                                                                                                                | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |          -2 | NC      | $-1103.46     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CLP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2.06         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CLP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $617.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $8.94         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $9.49         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $629.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $10.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $12.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $135.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $394.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $227.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE MONTREAL EXCHANGE / BOURSE DE MONTREAL      | Three-Month CORRA Futures, Jun-2026                                                                                                      | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |          -2 | NC      | $-149.31      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4.14         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $139.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3.39         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1.65        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3.85         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-274.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-0.15        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-0.69        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $40.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2.59         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | E-mini Dow Jones Industrial Average Index Futures, Mar-2026,ETH                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          28 | NC      | $896.82       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| THE MONTREAL EXCHANGE / BOURSE DE MONTREAL      | Three-Month CORRA Futures                                                                                                                | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |          -2 | NC      | $-1021.96     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-76.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-10.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-36.87       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-310.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-141.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $170.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6.96        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $8.81         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $599.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $484.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | Brent Crude Futures - North Sea                                                                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |           3 | NC      | $9786.88      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $9.34         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $335.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $401.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $14.70        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $629.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1480.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-149.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-99.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1559.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1530.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | Brent Crude Futures - North Sea                                                                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          11 | NC      | $23318.56     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1967.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5000.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2403.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2129.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3761.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $593.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2171.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2367.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2046.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $31226.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE - ICE FUTURES LIMITED | Brent Crude Futures - North Sea, May26                                                                                                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          51 | NC      | $205102.64    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1879.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1796.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1634.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1290.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1165.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $666.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1667.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1736.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1757.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1349.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE MONTREAL EXCHANGE / BOURSE DE MONTREAL      | Ten-Year Government of Canada Bond Futures                                                                                               | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |          45 | NC      | $18656.93     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $430.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1756.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7567.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6919.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1460.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2156.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2413.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2428.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CHF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $150841.57    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $154.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.              | Crude Oil Futures                                                                                                                        | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |           1 | NC      | $918.42       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4.26         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $264.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $164.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $252.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $79.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $236.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $101.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-39.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1.24        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6.83        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.              | Crude Oil Futures, Jun-2026,ETH                                                                                                          | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |           4 | NC      | $28993.68     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-136.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-78.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-187.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1067.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-51.55       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-68.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-33.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1595.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-168.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-344.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.              | Crude Oil Futures, May-2026,ETH                                                                                                          | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |           6 | NC      | $25960.52     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-91.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-184.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-272.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $12.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5.02        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $76.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $648.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $15.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $91.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $56.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.              | Crude Oil Futures, Apr-2026,ETH                                                                                                          | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          22 | NC      | $92463.91     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $230.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-23.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7.30         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $73.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $407.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-45.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-516.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3396.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-134.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-396.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Canadian Dollar Futures, Mar-2026,ETH                                                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         -90 | NC      | $-41132.20    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-209.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-736.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-434.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-394.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-339.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-312.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11.27       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-889.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-27.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $450.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASX 24                                          | ASX SPI 200 Index Futures                                                                                                                | CUSIP: 000000000<br>LEI: 549300SDXT36XYPVWI79 | N/A              | DE               | CORP              | N/A       |          -1 | NC      | $-9058.32     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES U.S., INC.                          | Cocoa Futures - NYCC                                                                                                                     | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          -1 | NC      | $32967.67     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-165.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7.62         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $43.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $48.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2517.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $220.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1647.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2444.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3305.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $357.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                          | Cocoa Futures - NYCC, May26                                                                                                              | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          -2 | NC      | $27265.34     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - CAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $388.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - BRL                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $31.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - BRL                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $126.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - BRL                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $262.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - BRL                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $286.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - BRL                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5694.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $55.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $390.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $535.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $190.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS MATIF                            | Milling Wheat / Ble de Meunerie                                                                                                          | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DCO              | CORP              | FR        |         -11 | NC      | $-4330.07     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $502.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $93.59        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $321.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $462.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $174.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1340.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $144.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1305.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $550.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $973.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS MATIF                            | Milling Wheat / Ble de Meunerie, Sep 2026                                                                                                | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DCO              | CORP              | FR        |         -15 | NC      | $-8445.66     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $39.35        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-37.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-13.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $84.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $40.93        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $217.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $738.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $719.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4330.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $487.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS MATIF                            | Milling Wheat / Ble de Meunerie, May 2026                                                                                                | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DCO              | CORP              | FR        |         -60 | NC      | $-28603.54    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $683.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $315.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2360.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $501.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $526.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $331.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $904.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1130.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $983.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $797.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Corn Futures, Dec-2026,ETH                                                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -19 | NC      | $-7254.49     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5003.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $672.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $74.06        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $396.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $58.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1361.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $836.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2318.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5450.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1170.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Corn Futures, Sep-2026,ETH                                                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -3 | NC      | $-1131.63     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1341.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6799.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $326.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7745.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1770.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1823.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5266.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $154.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7403.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5520.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Corn Futures, Jul-2026,ETH                                                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -14 | NC      | $-918.44      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5315.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $26060.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $42.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2041.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2079.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1989.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $343.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2105.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $13486.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $14155.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Corn Futures, May-2026,ETH                                                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -69 | NC      | $-27079.67    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $18370.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2074.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2124.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2168.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $217.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $9486.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2107.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2112.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2122.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $57720.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Corn Futures                                                                                                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-214.71      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4534.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2028.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2128.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2159.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2129.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1975.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2507.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2449.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4906.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5428.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASX 24                                          | ASX 10 Year Treasury Bond Futures                                                                                                        | CUSIP: 000000000<br>LEI: 549300SDXT36XYPVWI79 | N/A              | DIR              | CORP              | N/A       |         -70 | NC      | $-56712.56    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | British Pound Futures, Mar-2026,ETH                                                                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         209 | NC      | $159093.03    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4701.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3182.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2379.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - AUD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $93.70        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | 2-Year T-Note Futures, Jun-2026,ETH                                                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          64 | NC      | $23396.35     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS CAPITAL INC.                           | CURRENCY CONTRACT - BRL                                                                                                                  | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $60994.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                              | CURRENCY CONTRACT - BRL                                                                                                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $22006.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                               | CDS PETROLEOS MEXICANOS                                                                                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $18485.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                           | USD CALL VERSUS EUR PUT                                                                                                                  | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |    20408163 | NC      | $6609.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                               | CDS FEDERAL REPUBLIC OF NIGERIA                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-25891.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Soybean Oil Futures                                                                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-4682.21     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | CDS CHINA CONSTRUCTION BANK CORP                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-21947.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | CDS PEOPLE'S REPUBLIC OF CHINA                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-19741.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | CDS INDUSTRIAL & COMMERCIAL BANK OF CHINA LTD/HONG KONG                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-22067.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | CDS KINGDOM OF SAUDI ARABIA                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-38669.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                               | CDS KINGDOM OF SAUDI ARABIA                                                                                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-10163.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | CDS REPUBLIC OF KOREA                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-107611.37   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                  | CDS ARAB REPUBLIC OF EGYPT                                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-64.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                     | CDS ARAB REPUBLIC OF EGYPT                                                                                                               | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-120.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | SPXW E 2026-03-31 PUT 6200                                                                                                               | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |          -5 | NC      | $-11950.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | SPXW E 2026-03-31 PUT 6600                                                                                                               | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |           5 | NC      | $29850.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Soybean Oil Futures                                                                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-746.21      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ZAR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1362.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CURRENCY CONTRACT - ZAR                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $15817.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                   | CURRENCY CONTRACT - ZAR                                                                                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4911.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CURRENCY CONTRACT - ZAR                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3662.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ZAR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $40696.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ZAR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $41696.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS, LLC                | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3171.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TD SECURITIES INC./ VALEURS MOBILIERES TD INC.  | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 5493006RJSLS5DA4PD75 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-75.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS, LLC                | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |           1 | NC      | $164.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1293.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Soybean Oil Futures, Jul-2026,ETH                                                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -5 | NC      | $-11189.05    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC                     | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2692.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS SECURITIES INC.                 | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: ZE2ZWJ5BTIQJ8M0C6K34 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6529.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-871.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1456.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3984.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC                     | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1490.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS, LLC                | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-328.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-762.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS, LLC                | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |           1 | NC      | $849.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                           | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-202.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Soybean Oil Futures, May-2026,ETH                                                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -13 | NC      | $-44566.73    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| NATWEST MARKETS SECURITIES INC.                 | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: ZE2ZWJ5BTIQJ8M0C6K34 | N/A              | DFE              | CORP              | US        |           1 | NC      | $283.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TD SECURITIES INC./ VALEURS MOBILIERES TD INC.  | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 5493006RJSLS5DA4PD75 | N/A              | DFE              | CORP              | US        |           1 | NC      | $546.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                              | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $16.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-629.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-615.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                   | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4395.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                              | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5571.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                   | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11442.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TD SECURITIES INC./ VALEURS MOBILIERES TD INC.  | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 5493006RJSLS5DA4PD75 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2899.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC                     | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | US        |           1 | NC      | $777.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICAN FUTURES EXCHANGE                  | FTSE/JSE TOP 40 MAR26                                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | N/A       |         -17 | NC      | $-130591.46   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                   | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $147.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                              | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7023.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                              | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-13596.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS SECURITIES INC.                 | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: ZE2ZWJ5BTIQJ8M0C6K34 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-981.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SECURITIES (USA) INC.           | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 549300WO2DKF0Q3YMV43 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2181.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7823.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8440.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-40.85       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                   | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $35816.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                   | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-156.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Australian Dollar Futures, Mar-2026,ETH                                                                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |        -174 | NC      | $-745278.92   | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                   | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9723.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SECURITIES (USA) INC.           | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 549300WO2DKF0Q3YMV43 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-136.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS, LLC                | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-28977.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                              | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5550.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                              | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5956.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CURRENCY CONTRACT - TRY                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-191.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CURRENCY CONTRACT - TRY                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4428.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CURRENCY CONTRACT - TRY                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1281.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                   | CURRENCY CONTRACT - PLN                                                                                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $947.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TD SECURITIES INC./ VALEURS MOBILIERES TD INC.  | CURRENCY CONTRACT - PLN                                                                                                                  | CUSIP: 000000000<br>LEI: 5493006RJSLS5DA4PD75 | N/A              | DFE              | CORP              | US        |           1 | NC      | $16966.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS CDX.NA.HY.45.V1                                                                                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $230156.58    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| TD SECURITIES INC./ VALEURS MOBILIERES TD INC.  | CURRENCY CONTRACT - PLN                                                                                                                  | CUSIP: 000000000<br>LEI: 5493006RJSLS5DA4PD75 | N/A              | DFE              | CORP              | US        |           1 | NC      | $14726.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                      | CURRENCY CONTRACT - PEN                                                                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-798.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                         | CURRENCY CONTRACT - PEN                                                                                                                  | CUSIP: 000000000<br>LEI: L3I9ZG2KFGXZ61BMYR72 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1334.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                      | CURRENCY CONTRACT - PEN                                                                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-739.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                      | CURRENCY CONTRACT - PEN                                                                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1511.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS, LLC                | CURRENCY CONTRACT - MXN                                                                                                                  | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1109.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                           | CURRENCY CONTRACT - MXN                                                                                                                  | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3027.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TD SECURITIES INC./ VALEURS MOBILIERES TD INC.  | CURRENCY CONTRACT - MXN                                                                                                                  | CUSIP: 000000000<br>LEI: 5493006RJSLS5DA4PD75 | N/A              | DFE              | CORP              | US        |           1 | NC      | $61836.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - MXN                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $63475.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                  | CURRENCY CONTRACT - KZT                                                                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2056.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS CDX.EM.44.V1                                                                                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-13195.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                  | CURRENCY CONTRACT - KZT                                                                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |           1 | NC      | $9526.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                  | CURRENCY CONTRACT - KZT                                                                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |           1 | NC      | $14350.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                  | CURRENCY CONTRACT - KZT                                                                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |           1 | NC      | $8438.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                     | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2898.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS, LLC                | CURRENCY CONTRACT - INR                                                                                                                  | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-79.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                | CURRENCY CONTRACT - IDR                                                                                                                  | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |           1 | NC      | $553.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities Inc.                   | CURRENCY CONTRACT - IDR                                                                                                                  | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | US        |           1 | NC      | $605.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TD SECURITIES INC./ VALEURS MOBILIERES TD INC.  | CURRENCY CONTRACT - IDR                                                                                                                  | CUSIP: 000000000<br>LEI: 5493006RJSLS5DA4PD75 | N/A              | DFE              | CORP              | US        |           1 | NC      | $314.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CURRENCY CONTRACT - IDR                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $589.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                      | CURRENCY CONTRACT - IDR                                                                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1036.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS ITRAXX.EU.XO.44.V1                                                                                                                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $651713.11    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - HUF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-111.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - HUF                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $286.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TD SECURITIES INC./ VALEURS MOBILIERES TD INC.  | CURRENCY CONTRACT - HUF                                                                                                                  | CUSIP: 000000000<br>LEI: 5493006RJSLS5DA4PD75 | N/A              | DFE              | CORP              | US        |           1 | NC      | $49702.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS SECURITIES INC.                 | CURRENCY CONTRACT - HUF                                                                                                                  | CUSIP: 000000000<br>LEI: ZE2ZWJ5BTIQJ8M0C6K34 | N/A              | DFE              | CORP              | US        |           1 | NC      | $47092.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                      | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-80.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TD SECURITIES INC./ VALEURS MOBILIERES TD INC.  | CURRENCY CONTRACT - CZK                                                                                                                  | CUSIP: 000000000<br>LEI: 5493006RJSLS5DA4PD75 | N/A              | DFE              | CORP              | US        |           1 | NC      | $18167.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                   | CURRENCY CONTRACT - COP                                                                                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7477.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities Inc.                   | CURRENCY CONTRACT - COP                                                                                                                  | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7858.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                    | CURRENCY CONTRACT - COP                                                                                                                  | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-13800.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities Inc.                   | CURRENCY CONTRACT - COP                                                                                                                  | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-17852.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA SECURITIES EXCHANGE                       | TOPIX MINI TRADE FUTURE                                                                                                                  | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               | CORP              | JP        |         -35 | NC      | $-126106.12   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.              | RBOB Gasoline Futures                                                                                                                    | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |           2 | NC      | $10198.64     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS ITRAXX.EU.44.V1                                                                                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $209589.94    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC                     | CURRENCY CONTRACT - COP                                                                                                                  | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-18695.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                      | CURRENCY CONTRACT - CNY                                                                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $15538.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CURRENCY CONTRACT - CNY                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $16560.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                   | CURRENCY CONTRACT - CLP                                                                                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-943.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities Inc.                   | CURRENCY CONTRACT - CLP                                                                                                                  | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9218.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                   | CURRENCY CONTRACT - CLP                                                                                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1558.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                   | CURRENCY CONTRACT - CLP                                                                                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $42737.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TD SECURITIES INC./ VALEURS MOBILIERES TD INC.  | CURRENCY CONTRACT - BRL                                                                                                                  | CUSIP: 000000000<br>LEI: 5493006RJSLS5DA4PD75 | N/A              | DFE              | CORP              | US        |           1 | NC      | $20187.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7008.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4003.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS CDX.NA.IG.45.V1                                                                                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $363266.79    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2392.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1164.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1790.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5145.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1075.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-268.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-10525.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4290.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1084.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7531.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROBINHOOD DERIVATIVES, LLC                      | PAGAYA TECHNOLOGIES LTD                                                                                                                  | CUSIP: 000000000<br>LEI: 5493008RKGQ4XITI3W85 | N/A              | DE               | CORP              | US        |          13 | NC      | $1040.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6923.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2793.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1578.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3479.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-829.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $11122.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9021.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-112.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11990.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-113.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | BL A 2026-03-20 CALL 45                                                                                                                  | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |           6 | NC      | $180.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-223.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6563.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - TWD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1886.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - THB                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $891.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - PHP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1301.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - PHP                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1672.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - MYR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1557.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - MYR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $471.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - MYR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $12179.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - KRW                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $947.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | IREN A 2026-02-27 PUT 35                                                                                                                 | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |         -10 | NC      | $-10.00       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1325.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - JPY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-83.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MAGELLAN FINANCIAL GROUP LTD                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1242.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS AUSTEVOLL SEAFOOD ASA                                                                                                                | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-2698.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA EDUCATION GROUP HOLDINGS LTD                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-5893.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CHIPMOS TECHNOLOGIES INC                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3433.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ECOPRO CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-63730.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS YOSHINOYA HOLDINGS CO LTD                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $60.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS RIGAKU HOLDINGS CORP                                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-27218.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LOTTE FINE CHEMICAL CO LTD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $14319.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | IREN A 2026-02-27 CALL 50                                                                                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |          10 | NC      | $30.00        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SCANFIL OYJ                                                                                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $5695.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS UNION SEMI ORD A                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $4546.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BURSA MALAYSIA BHD                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-26447.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HOSOKAWA MICRON CORP                                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $39916.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | IRS BRL                                                                                                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $23228.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS RANK GROUP PLC                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8523.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS FUJIMI INC                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-105742.43   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KUMBA IRON ORE LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $28482.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS K WAH INTERNATIONAL HOLDINGS LTD                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4347.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KAKAOPAY CORP                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2384.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | BBIO A 2026-04-17 PUT 65                                                                                                                 | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |          -7 | NC      | $-3255.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BANGKOK LIFE ASSURANCE PCL                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $16248.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BAWAG GROUP AG                                                                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $66171.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS YUHAN CORP                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1355.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NAN YA PRINTED CIRCUIT BOARD CORP                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-147977.13   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SWEDISH ORPHAN BIOVITRUM AB                                                                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $43476.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SANBIO CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-977.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS DOUTOR NICHIRES HOLDINGS CO LTD                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $20182.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA JINMAO HOLDINGS GROUP LTD                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3336.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS REMGRO LTD                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9071.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS WINBOND ELECTRONIC CORP                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $1764.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | BBIO A 2026-04-17 PUT 55                                                                                                                 | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |          -4 | NC      | $-450.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SKYCITY ENTERTAINMENT GROUP LTD                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6664.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SHANGHAI WANYE ENTERPRISES CO LTD                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1831.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS EEKA FASHION HOLDINGS LTD                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1102.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MCMILLAN SHAKESPEARE LTD                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2773.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS RAYSEARCH LABORATORIES AB                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-1890.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TOKYO METRO CO LTD                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-275.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MITSUBISHI MOTORS CORP                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $6585.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SABANCI HOLDING                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-29497.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS CEMBRA MONEY BANK AG                                                                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1268.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS OKABE CO LTD                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $6518.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | BBIO A 2026-04-17 CALL 85                                                                                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |           4 | NC      | $480.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS DOTTIKON ES HOLDING AG                                                                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-53139.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS TREVI - FINANZIARIA INDUSTRIALE SPA                                                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $18626.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SANGFOR TECHNOLOGIES INC                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3102.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SYSTEX CORP                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-430.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ITALMOBILIARE SPA                                                                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-32493.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HAICHANG OCEAN PARK HOLDINGS LTD                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-772.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS OKEA ASA                                                                                                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $39794.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SCOR SE                                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $19981.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SK OCEANPLANT CO LTD                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1357.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS UBS GROUP AG                                                                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-444.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | BBIO A 2026-04-17 CALL 90                                                                                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |           7 | NC      | $700.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS QL RESOURCES BHD                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2583.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS ASCOPIAVE                                                                                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9744.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS KWS SAAT SE & CO KGAA                                                                                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $22894.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS E INK HOLDINGS INC                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $15530.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS INTERROLL HOLDING AG                                                                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $6652.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PAKUWON JATI TBK PT                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1003.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SPAREBANK 1 SMN                                                                                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-62465.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS GREAT PORTLAND ESTATES PLC                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-95663.81    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS DBA GROUP SPA                                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $5234.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HANALL BIOPHARMA CO LTD                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-140069.04   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.              | RBOB Gasoline Futures, Jun-2026,ETH                                                                                                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |           3 | NC      | $12969.06     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | GH A 2026-04-17 CALL 135                                                                                                                 | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |           6 | NC      | $765.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS QBE INSURANCE GROUP LTD                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $10089.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SRG GLOBAL LTD                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $41446.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS ASMPT LTD                                                                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-52069.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS QINGDAO HUICHENG ENVIRONMENTAL TECHNOLOGY GROUP CO LTD                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1665.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS XINYI SOLAR HOLDINGS LTD                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3599.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS WANT WANT CHINA HOLDINGS LTD                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1406.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS AZIMUT HOLDING SPA                                                                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $20477.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS RENOVA INC                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-6716.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS DECEUNINCK NV                                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $4250.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HIGHTON ORD                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $18728.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | COMP A 2026-03-20 CALL 13                                                                                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |           7 | NC      | $56.00        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ALLEGRO.EU SA                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $6089.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MELCO INTERNATIONAL DEVELOPMENT LTD                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2145.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CARREFOUR SA                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $18679.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SK INNOVATION CO LTD                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-28590.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HANDLOWY                                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14669.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS L1 GROUP LTD                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-20945.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FORMOSA PLASTICS CORP                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-64447.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SK IE TECHNOLOGY CO LTD                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $10254.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ASTROSCALE HOLDINGS INC                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-8991.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS EVS BROADCAST EQUIPMENT SA                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1198.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | INDI A 2026-05-15 CALL 4                                                                                                                 | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |          29 | NC      | $1305.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ROBERTET                                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $4282.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS XTB                                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-88514.82    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HARTADINATA ABADI TBK PT                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3610.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ZAI LAB LTD                                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $7008.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HEARTLAND GROUP HOLDINGS LTD                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-26919.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS AEON CO LTD                                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $735.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ABILITY OPTO-ELECTRONICS TECHNOLOGY CO LTD                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2454.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS ASR NEDERLAND NV                                                                                                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-74136.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS KAUFMAN & BROAD SA                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5609.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS YAMAHA MOTOR CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-16870.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | INDI A 2026-05-15 CALL 5.5                                                                                                               | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |          14 | NC      | $315.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS POSTNL NV                                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $4828.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS FUKUDA DENSHI CO LTD                                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1619.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS PING AN HEALTHCARE AND TECHNOLOGY CO LTD                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5970.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS OLVI OYJ                                                                                                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-1.75        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS KNORR-BREMSE AG                                                                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-38045.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ARCADYAN TECHNOLOGY CORP                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9347.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS THANACHART CAPITAL PCL                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $86.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SUNWAY CONSTRUCTION GROUP BHD                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $50464.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BELIMO HOLDING AG                                                                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-67475.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS SHOEI FOODS CORP                                                                                                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5698.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | GH A 2026-04-17 PUT 85                                                                                                                   | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |          -6 | NC      | $-2430.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PALADIN ENERGY LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-50843.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ATLAS COPCO AB                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $10168.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS KITWAVE GROUP PLC                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-19343.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS AICA KOGYO CO LTD                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $13248.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS DSM-FIRMENICH AG                                                                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $42748.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS RYOBI LTD                                                                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $4969.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS BOE VARITRONIX LTD                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-20137.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MAGNUM BERHAD                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $618.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WASHINGTON H SOUL PATTINSON & CO LTD                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5343.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KOGAN.COM LTD                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $16472.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | GWRE A 2026-04-17 CALL 160                                                                                                               | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |           3 | NC      | $2445.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA REINSURANCE GROUP CORP                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $28447.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SERCO GROUP PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $110088.35    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS S&P BIOTECHNOLOGY SELECT INDUSTRY TOTAL RETURN INDEX                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-225903.03   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS DWS GROUP SE                                                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $12092.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS BITTIUM OYJ                                                                                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $701.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS APLEX TECHNOLOGY INC                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $15.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS DSV A/S                                                                                                                              | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-40545.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS AIB GROUP PLC                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $40473.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS BBMG CORP                                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $299.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BTS GROUP HOLDINGS PCL                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $1773.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | GLXY A 2026-04-17 CALL 35                                                                                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |           7 | NC      | $196.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS AUMANN AG                                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $13704.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DINGZING ADVANCED MATERIALS INC                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-22648.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HEALTHCARESELECTSECTORTR INDEX                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-158632.10   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CP ALL PUBLIC COMPANY LIMITED                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1346.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PRIMAX ELECTRONICS LTD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $15322.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AZTECH GLOBAL LTD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $9120.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MCBRIDE PLC                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $9939.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MITSUI OSK LINES LTD                                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-29993.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS COSMO PHARMACEUTICALS NV                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-39461.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ADVANCED NANO PRODUCTS CO LTD                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-47361.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | FOUR A 2026-04-17 CALL 85                                                                                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |           1 | NC      | $12.50        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DFDS A/S                                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6932.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                     | TRS WAYFAIR INC                                                                                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              | CORP              | FR        |           1 | NC      | $-313509.81   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA STATE CONSTRUCTION INTERNATIONAL HOLDINGS LTD                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5.15         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ZEON CORP                                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5059.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NANOSONICS LTD                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9664.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ABC ARBITRAGE                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-855.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HANKYU HANSHIN REIT INC                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2296.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS LEOPALACE21 CORP                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $33288.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS AZ-COM MARUWA HOLDINGS INC                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $6983.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AVRUPAKENT GAYRIMENKUL YATIRIM ORTAKLIGI AS                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-18958.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | FOUR A 2026-04-17 CALL 85                                                                                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |           4 | NC      | $50.00        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FRASERS PROPERTY LTD                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $470.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TOKYO ELECTRON LTD                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-9261.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS JVCKENWOOD CORP                                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-8259.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FINE M-TEC CO LTD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5477.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS JP-HOLDINGS INC                                                                                                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $20365.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS EIFFAGE SA                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $26770.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TOC CO LTD                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-11145.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS IG PORT INC                                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1172.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | IRS BRL                                                                                                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $4388.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS TEAMVIEWER SE                                                                                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $9604.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | DBX A 2026-04-17 CALL 30                                                                                                                 | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |           7 | NC      | $420.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS JAPAN STEEL WORKS LTD/THE                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-19195.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MEGA FIRST CORP BHD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1762.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS U-MEDIA COMMUNICATIONS INC                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $189.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS CLIQ DIGITAL AG                                                                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-24708.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                       | IRS CZK                                                                                                                                  | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $3047.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MONADELPHOUS GROUP LTD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $83754.01     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MOSTOSTAL ZABRZE SA                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $4019.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS DAIMLER TRUCK HOLDING AG                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-67489.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SHENG SIONG GROUP LTD                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17619.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BUREAU VERITAS SA                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1949.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.              | RBOB Gasoline Futures, May-2026,ETH                                                                                                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |           3 | NC      | $8344.86      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | BTG A 2026-04-17 CALL 5                                                                                                                  | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |           6 | NC      | $768.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SHIFT UP CORP                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $19840.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                       | IRS HUF                                                                                                                                  | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $1947.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NEW WAVE GROUP AB                                                                                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $159.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS COCA-COLA BOTTLERS JAPAN HOLDINGS INC                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $578.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS PACIFIC HOSPITAL SUPPLY CO                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9635.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS JUDGES SCIENTIFIC PLC                                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $104166.03    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA SHINEWAY PHARMACEUTICAL GROUP LTD                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $11909.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SEDANA MEDICAL AB                                                                                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $3647.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS JSP CORP                                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $13999.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS QUANTA COMPUTER INC                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $12845.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | PRGS A 2026-03-20 CALL 50                                                                                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |           6 | NC      | $600.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS AUTO1 GROUP SE                                                                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4382.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KYOWA KIRIN CO LTD                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-14936.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS AGESA HAYAT EMEKLILIK                                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $10770.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS DENTSU SOKEN INC                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $11286.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NEXTDC LTD                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2517.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SUNRESIN NEW MATERIALS CO LTD                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6268.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS PPHE HOTEL GROUP LTD                                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-24033.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS SUESS MICROTEC SE                                                                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16521.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GAS MALAYSIA BHD                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8433.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MONEX GROUP INC                                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-5969.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | LRN A 2026-03-20 CALL 85                                                                                                                 | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |           3 | NC      | $1020.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ZIP CO LTD                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $55827.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS XI'AN SHAANGU POWER CO LTD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $31042.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS EXOR NV                                                                                                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1027.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SIEMENS HEALTHINEERS AG                                                                                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $12215.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                       | IRS ZAR                                                                                                                                  | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-10322.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HALFORDS GROUP ORD                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2296.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CGN NEW ENERGY HOLDINGS CO LTD                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2882.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LUNIT INC                                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $17910.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ARBONIA AG                                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $2449.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SCOUT24 SE                                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-110529.52   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | HTZ A 2026-03-20 CALL 6                                                                                                                  | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |         -26 | NC      | $-156.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MAZDA MOTOR CORP                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $59392.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ADARO ANDALAN INDONESIA PT                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $12194.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CYBERLINK CORP                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21047.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS I-CHIUN PRECISION INDUSTRY CO LTD                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-18431.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GFPT PCL                                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $15534.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LENS TECHNOLOGY CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $10786.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SACYR SA                                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-182396.13   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HONG LEONG INDUSTRIES BHD                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $18589.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS PLATZER FASTIGHETER HOLDING AB                                                                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $12324.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SUBSEA 7 SA                                                                                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $110253.44    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | HTZ A 2026-03-20 PUT 4                                                                                                                   | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |          26 | NC      | $338.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BREVILLE GROUP LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3726.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ASTRAL FOODS LTD                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $76514.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PARAGON BANKING GROUP PLC                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6968.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS TESSENDERLO GROUP SA                                                                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $1288.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS FINNAIR OYJ                                                                                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $5372.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS HORNBACH HOLDING AG & CO KGAA                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-392.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS JIANGSU YUXING FILM TECHNOLOGY CO LTD                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-208.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS STANDARD CHEM & PHARM CO                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5635.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS EIKEN CHEMICAL CO LTD                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-84410.78    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS PACIFIC BASIN SHIPPING LTD                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-41389.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | CRMD A 2026-03-20 PUT 10                                                                                                                 | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |         -14 | NC      | $-3675.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SHOCHIKU CO LTD                                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $29520.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS AEON THANA SINSAP THAILAND PCL                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3363.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS IOI CORP BHD                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-30789.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS IP GROUP PLC                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2829.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | IRS MXN                                                                                                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $54959.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SHENZHEN INVESTMENT LTD                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5235.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS REALTEK SEMICONDUCTOR CORP                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-49106.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS AJINOMOTO CO INC                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-15852.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS PUBLIC PROPERTY INVEST AS                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-2403.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ACADEMEDIA AB                                                                                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $39703.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | CRMD A 2026-03-20 CALL 13                                                                                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |          14 | NC      | $70.00        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NIPPON REIT INVESTMENT CORP                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2224.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SHINHAN FINANCIAL GROUP CO LTD                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $19917.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ASCENCIO                                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $17443.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PRAEMIUM LTD                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2808.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS SUZUKI CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $52828.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS INFINEON TECHNOLOGIES AG                                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-32670.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS C&D PROPERTY MANAGEMENT GROUP CO LTD                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1456.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA FEIHE LTD                                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $16253.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MORGAN ADVANCED MATERIALS PLC                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4832.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS PHARMANUTRA                                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $8167.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | FOUR A 2026-03-20 CALL 65                                                                                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |           3 | NC      | $6.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NIPPON TELEGRAPH & TELEPHONE CORP                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1188.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS FARM FRESH BERHAD                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3609.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS MAYR MELNHOF KARTON AG                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $31626.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS FINATEXT HOLDINGS LTD                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $17194.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SECURITY BANK CORP                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-47.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MIRAIT ONE CORP                                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $42594.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SPAREBANKEN VEST                                                                                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-20142.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS RESOLUTE MINING LTD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $17461.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ARJO AB                                                                                                                              | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-56267.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS DNO ASA                                                                                                                              | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $5891.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | BILL A 2026-03-20 CALL 50                                                                                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |           6 | NC      | $816.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS NEXI                                                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-44798.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ANADOLU EFES                                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17478.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS NIKKON HOLDINGS CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8225.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS CVC CAPITAL PARTNERS PLC                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $41748.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ADDLIFE AB                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $3987.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ANADOLU ANONIM TURK SIGORTA SIRKETI                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6756.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MITRA ADIPERKASA TBK                                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2581.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HUADIAN POWER INTERNATIONAL CORP LTD                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $10228.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS L.D.C.                                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $6498.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS FOSTER ELECTRIC CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $114882.84    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | NTNX A 2026-03-20 PUT 47.5                                                                                                               | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |          -7 | NC      | $-6503.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DEXUS INDUSTRIA REIT                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3590.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS BAYERISCHE MOTOREN WERKE AG                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $62.56        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HWAWAY TECHNOLOGY CORP LTD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1273.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SHANGHAI PHARMACEUTICALS HOLDING CO LTD                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-6402.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS JNBY DESIGN LTD                                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $42787.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS STEADFAST GROUP LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $34837.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS WACOM CO LTD                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $48.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HUTCHMED CHINA LTD                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $6414.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MITSUI FUDOSAN LOGISTICS PARK INC                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-18813.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AMMAN MINERAL INTERNASIONAL PT                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $10.06        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.              | RBOB Gasoline Futures, Apr-2026,ETH                                                                                                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          13 | NC      | $62658.70     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | NTNX A 2026-03-20 CALL 60                                                                                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |           7 | NC      | $63.00        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS VUSIONGROUP                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-140131.59   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS EXPERIAN PLC                                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $19617.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS RAFFLES MEDICAL GROUP LTD                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4102.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS RAMSSOL GROUP BERHAD                                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $812.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS B&M EUROPEAN VALUE RETAIL SA                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6511.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SOK MARKETLER TICARE                                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $17701.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS JIANGSU EXPRESSWAY CO LTD                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2356.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BINEX CO LTD                                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3764.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DISCOVERY LTD                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-212691.95   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS UNICHARM CORP                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-7343.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | NTNX A 2026-03-20 CALL 45                                                                                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |           3 | NC      | $114.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS KONINKLIJKE VOPAK NV                                                                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8490.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ADVANCED POWER ELECTRONICS                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $11011.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SCG PACKAGING PCL                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2831.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS INSTALCO AB                                                                                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-23450.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS CATENA AB                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-50550.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SKF AB                                                                                                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $2572.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KOREA AEROSPACE INDUSTRIES LTD                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-85550.84    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SEVEN BANK LTD                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-13922.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS OC OERLIKON                                                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7695.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS GUNGHO ONLINE ENTERTAINMENT INC                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-285.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                     | E-mini S&P 500 Friday Weekly Options - Week 3                                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |          -3 | NC      | $-55387.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS FOCI FIBER OPTIC COMMUNICATIONS INC                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2638.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SILERGY CORP                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $12767.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PHARMICELL CO LTD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $22936.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHEIL WORLDWIDE INC                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8132.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS REGIS HEALTHCARE LTD                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16400.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS Q TECHNOLOGY GROUP CO LTD                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-9419.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS INDOFOOD SUKSES MAKMUR TBK PT                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21889.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS UNITED ORTHOPEDIC CORPORATION                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6650.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TATUNG CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2649.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SM ENTERTAINMENT CO LTD                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7.07        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                     | E-mini S&P 500 Friday Weekly Options - Week 3                                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |           3 | NC      | $40125.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS BELC CO LTD                                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5566.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ARGOSY RESEARCH                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14961.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ARCELORMITTAL ORD                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $56012.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ESR-REIT                                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5761.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BANK OF THE PHILIPPINE ISLANDS                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $10244.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SINCERE NAVIGATION CORP                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $18797.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HUA HONG SEMICONDUCTOR LTD                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-165317.10   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS FUCHS SE                                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $3874.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SD BIOSENSOR INC                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $9163.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS YUEXIU SERVICES GROUP LTD                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-23784.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                     | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-664.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS HEXAGON COMPOSITES ASA                                                                                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $31731.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TERASAKI ELECTRIC CO LTD                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $42.65        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NEXTONE INC                                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4097.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DOOSAN ROBOTICS INC                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17994.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ASHMORE GROUP PLC                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-72427.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS RUBIS SCA                                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $81077.46     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NTN CORP                                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $63343.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PTG ENERGY PCL                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $17541.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SGS SA                                                                                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21880.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS BASLER AG                                                                                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-572.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                     | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-962.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FDM GROUP HOLDINGS PLC                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $112.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BRIDGEPOINT GROUP PLC                                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $17863.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ROYAL UNIBREW A/S                                                                                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $45666.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA AIRCRAFT LEASING GROUP HOLDINGS LTD                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3222.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MERCURY NZ LTD                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $32.97        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ELECOM CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-6.09        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SCHINDLER HOLDING AG                                                                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $29369.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS BANCA SISTEMA                                                                                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-663.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS VIMIAN GROUP AB                                                                                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $42031.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS INTERCARS                                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12435.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS LINCOLN NATIONAL CORP                                                                                                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-1725.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SFA ENGINEERING CORP                                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $48670.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS AIRPORTS OF THAILAND PUBLIC CO                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-95762.45    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS COWELL E HOLDINGS INC                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1438.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS FUJIO FOOD GROUP INC                                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3997.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS VINCI SA                                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-35322.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS YAMAGUCHI FINANCIAL GROUP INC                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $93171.25     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS MAIRE SPA                                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $128659.13    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ANSELL LTD                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1601.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS EVN AG                                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $403.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SANTANA MINERALS LTD                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-31247.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                          | CDS LINCOLN NATIONAL CORP                                                                                                                | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-2245.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BABCOCK INTERNATIONAL GROUP PLC                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $79984.07     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NAN PAO RESINS CHEMICAL CO LTD                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7300.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TOPCO TECHNOLOGIES CORP                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1583.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PERUSAHAAN GAS NEGARA TBK PT                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $62480.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS DIP CORP                                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3702.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS POLY PROPERTY SERVICES CO LTD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8172.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS EASTERN & ORIENTAL BHD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-23.93       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BANK OF ZHENGZHOU CO LTD                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $610.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHAOJU EYE CARE HOLDINGS LTD                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2941.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS MATSUYA CO                                                                                                                           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-126202.98   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                           | CDS LINCOLN NATIONAL CORP                                                                                                                | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-396.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS UNID CO LTD                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4310.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS THOMSON MEDICAL GROUP LTD                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3692.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS KALMAR OYJ                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $25761.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AMP LTD                                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12410.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ONEWO INC                                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15077.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SUNONWEALTH ELECTRIC MACHINE INDUSTRY CO LTD                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2054.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CONVATEC GROUP PLC                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $18291.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ASUSTEK COMPUTER INC                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-30858.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS METALS X LTD                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $72738.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NTG NORDIC TRANSPORT GROUP A/S                                                                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $18490.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION           | CDS LINCOLN NATIONAL CORP                                                                                                                | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-198.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS S-OIL CORP                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-109541.74   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS UNIMICRON TECHNOLOGY CORP                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-324942.45   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS NN GROUP NV                                                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $68514.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS TRELLEBORG AB                                                                                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $2085.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CAFE24 CORP                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-38947.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CANAL+ SA                                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $34078.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ZHEJIANG WEIXING INDUSTRIAL DEVELOPMENT CO LTD                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-306.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MARUMAE CO LTD                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-99651.24    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS CAIRO COMMUNICATION                                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1089.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SVEAFASTIGHETER AB                                                                                                                   | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-359.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Ultra U.S. Treasury Bond Futures, Jun-2026,ETH                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          62 | NC      | $75344.78     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS LANXESS AG                                                                                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $9240.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS HUGO BOSS AG                                                                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-22322.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS WUXI APPTEC CO LTD                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $78061.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HUA NAN FINANCIAL HOLDINGS CO LTD                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21136.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TAIWAN NAVIGATION CO LTD                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1160.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS PALFINGER AG                                                                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $23535.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MESOBLAST LTD                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $9550.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ASCOM HOLDING AG                                                                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $32566.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HYUNDAIMTR                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-178436.74   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS HAPAG-LLOYD AG                                                                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6613.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS CEWE STIFTUNG & CO KGAA                                                                                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $7250.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS KOHL'S CORP                                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $8664.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS LAND SECURITIES GROUP PLC                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16239.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS RENEW HOLDINGS PLC                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-10648.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ARKEMA                                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-19282.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS COBRAM FPO                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3756.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ZERIA PHARMACEUTICAL CO LTD                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $15356.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ANPEC ELECTRONICS CORP                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $32677.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ASAHI CO LTD                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $969.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ENDEAVOUR MINING PLC                                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $8476.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS NIHON DEMPA KOGYO                                                                                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $19610.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA RESOURCES MEDICAL HOLDINGS CO LTD                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-54419.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS KOHL'S CORP                                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $7446.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SINOFERT HOLDINGS LTD                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $50272.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BDO UNIBANK INC                                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3456.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHONGQING MACHINERY & ELECTRIC CO LTD                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $40556.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TESS HOLDINGS CO LTD                                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-93261.86    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CATALYST METALS LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $9019.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS AHRESTY CORPORATION                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $11271.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HARMONY GOLD MINING CO LTD                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $83452.74     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS AXFOOD AB                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-1464.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MATSUDA SANGYO CO LTD                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $12743.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SYNNEX TECHNOLOGY INTERNATIONAL CORP                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $12549.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS KOHL'S CORP                                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $2843.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KC TECH CO LTD                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $13021.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS GRIFOLS SA                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $578.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AEW UK REIT PLC                                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $549.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MO-BRUK SA                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7783.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SAINT GOBAIN                                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $20659.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SPEEDY HIRE PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-33188.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NITORI HOLDINGS CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-24463.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS RTL GROUP SA                                                                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-30020.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NORDNET AB                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-5801.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PIXART IMAGING INC                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6195.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS KOHL'S CORP                                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $3249.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TOSEI REIT INVESTMENT CORP                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-6638.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS NORTHAM PLATINUM HOLDINGS LTD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-128084.54   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SEPTENI HOLDINGS CO LTD                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2545.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SOLUS ADVANCED MATERIALS CO LTD                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1326.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SECURE TRUST BANK PLC                                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $72053.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HANKYU HANSHIN HOLDINGS INC                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-6374.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DOOSAN ENERBILITY CO LTD                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-32767.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                  | TRS EGYPT TREASURY BILL                                                                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              | CORP              | US        |           1 | NC      | $61732.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BCI MINERALS LTD                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4885.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NISSIN FOODS HOLDINGS CO LTD                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-13156.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS KOHL'S CORP                                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-3325.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SIAM GLOBAL HOUSE PCL                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-10547.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS PGE POLSKA GRUPA ENERGETYCZNA SA                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $141554.83    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS DMG MORI CO LTD                                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-14074.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS VALOR HOLDINGS CO LTD                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $80739.76     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AUSTRALIAN ETHICAL INVESTMENT LTD                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $762.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS WAREHOUSES DE PAUW CVA                                                                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17942.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ABRDN PLC                                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $76699.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SYNEKTIK SA                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $89252.32     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS PRYSMIAN SPA                                                                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $16920.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS STELLANTIS                                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $35630.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | CDS KOHL'S CORP                                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-782.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS MEDACTA GROUP N                                                                                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-697.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS GRUPA AZOTY SA                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14512.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS OCK GROUP BHD                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $901.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CERES POWER HOLDINGS PLC                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-82549.11    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MEGA LIFESCIENCES PCL                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-206.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SEMBCORP INDUSTRIES LTD                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $758.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CAFE DE CORAL HOLDINGS LTD                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-17720.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS MEDMIX N                                                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12668.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FLIGHT CENTRE TRAVEL GROUP LTD                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7783.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CLIO COSMETICS CO LTD                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $10003.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS KOHL'S CORP                                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-39.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KENDA RUBBER INDUSTRIAL CO LTD                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2676.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS K CAR CO LTD                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4773.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS UNITED OVERSEAS BANK LTD                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-384.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HANSSEM CO LTD                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5541.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS FUNDING CIRCLE HOLDINGS PLC                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-63675.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS LK TECHNOLOGY HOLDINGS LTD                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $856.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS OKINAWA FINANCIAL GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $137499.44    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ICHIBANYA CO LTD                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2023.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TOWA CORP                                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-15872.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS W-SCOPE CORP                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $668.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS KOHL'S CORP                                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $26537.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GENUS PLC                                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $43983.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS DEUTSCHE BANK AG                                                                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $75545.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NORDEA BANK ABP                                                                                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $14392.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS HELLA GMBH & CO KGAA                                                                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $1479.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS VGP NV                                                                                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-37945.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS PINEWOOD TECHNOLOGIES GROUP PLC                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $29877.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DAEJOO ELECTRONIC MATERIALS CO LTD                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-74914.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS FIRSTGROUP PLC                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $22253.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NEUREN PHARMACEUTICALS LTD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $17737.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HANON SYSTEMS                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-18018.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS KOHL'S CORP                                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $5009.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS VERBIO SE                                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-167916.84   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS AEGON LTD                                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $15884.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS STRAUMANN HOLDING AG                                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $6268.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SINO-AMERICAN SILICON PRODUCTS INC                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-166.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HANA TECHNOLOGY CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3221.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WHA CORP PCL                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13620.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS FURYU CORP                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $681.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FARGLORY F T Z INVESTMENT HOLDING CO LTD                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13749.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS LOGITECH INTERNATIONAL SA                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $28150.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HANWHA SOLUTIONS CORP                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-116862.38   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Chicago SRW Wheat Futures                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-2439.71     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS KOHL'S CORP                                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-39.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SHANGRI-LA ASIA LTD                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-15681.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS GUANGZHOU BAIYUNSHAN PHARMACEUTICAL HOLDINGS CO LTD                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $380.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SMOORE INTERNATIONAL HOLDINGS LTD                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $16447.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SPAREBANK 1 OESTLANDET                                                                                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-34150.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS LINDEX GROUP OYJ                                                                                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $4604.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS AUTONEUM HOLDING AG                                                                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $37664.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS EURAZEO SE                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $9096.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS UNIVERSAL MICROWAVE TECHNOLOGY INC                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-77582.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS STEF                                                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1164.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS JCDECAUX SE                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $31114.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS KOHL'S CORP                                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-586.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS EBRO FOODS SA                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $38851.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS INVESTIS HOLDING SA                                                                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4305.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS FORTUM CORPORATION                                                                                                                   | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-26249.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BANK OF GEORGIA GROUP PLC                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $192604.52    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS HELLOFRESH SE                                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-90710.57    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DEVELIA SA                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $21287.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SKC CO LTD                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $57.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ANKER INNOVATIONS TECHNOLOGY CO LTD                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5573.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS L'OREAL SA                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2254.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CK INFRASTRUCTURE HOLDINGS LTD                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-34162.12    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS KOHL'S CORP                                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-1662.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS J FRONT RETAILING CO LTD                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-21403.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MOLTEN VENTURES PLC                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5956.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BRUNELLO CUCINELLI SPA                                                                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $24402.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KEISEI ELECTRIC RAILWAY CO LTD                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3158.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS STRIKE ENERGY LTD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $16631.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SAGAX AB B                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $9088.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HUBEI YIHUA CHEMICAL INDUSTRY CO LTD                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-33783.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS BETSSON AB                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-198423.79   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | IRS COP                                                                                                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-113256.36   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SHIMANO INC                                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $26555.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS KOHL'S CORP                                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-93.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ALPHA NETWORKS INC                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6443.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS NIPPON AVIONICS CO                                                                                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-60509.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HOTEL SHILLA CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $22227.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PETS AT HOME GROUP PLC                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-913.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS EQUASENS                                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6652.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                       | IRS HUF                                                                                                                                  | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-6900.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                       | IRS HUF                                                                                                                                  | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $4199.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS COMMONWEALTH BANK OF AUSTRALIA                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-605.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS KARNOV GROUP AB                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $18560.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SAP SE                                                                                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $68063.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS KOHL'S CORP                                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $4061.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MAINFREIGHT LTD                                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4011.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MOBICO GROUP PLC                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $930.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SALMON EVOLUTION ASA                                                                                                                 | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $27918.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BRITISH AMERICAN TOBACCO PLC                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-894.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ACCIONA, S.A.                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $12232.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CENTRAL OMEGA RESOURCES TBK PT                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4243.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS VICAT SACA                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $97156.67     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS DOW JONES U.S. SELECT PHARMACEUTICALS TOTAL RETURN INDEX                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-133940.12   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ELNUSA TBK PT                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $20701.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS MING YUAN CLOUD GROUP HLDGS LTD                                                                                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $29361.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS KOHL'S CORP                                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-59.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | IRS COP                                                                                                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-28900.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CELLNEX TELECOM SA                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7828.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NAPIER PORT HOLDINGS LTD                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $353.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TIAN LUN GAS HOLDINGS LTD                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-7676.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS RAYDIUM SEMI-CONDUCTOR CORPORATION                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3165.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS JAPAN PROPERTY MANAGEMENT CENTER CO LTD                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $10215.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS LINEA DIRECTA ASEGURADORA, S.A., COMPA...IA DE SEGUROS Y REA                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3698.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ENGCON AB                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $31355.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NORITSU KOKI CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $25039.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS HEXATRONIC GROUP AB                                                                                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $4448.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS KOHL'S CORP                                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-39.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS VIDRALA, S.A.                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-27183.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BARRY CALLEBAUT AG                                                                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-60531.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NORSK HYDRO ASA                                                                                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $53489.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS QUILTER PLC                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-10328.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CJ CGV CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2257.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SAMSUNG E&A CO LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $94264.24     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BUDIMEX SA                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-107120.08   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS RAKUS CO LTD                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-17266.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS APOTEA AB                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $41643.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS OSAKA SODA CO LTD                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-28471.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS KOHL'S CORP                                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-100.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS UNICAJA BANCO, S.A.                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $12823.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS GENDA INC                                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $856.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS JUNGFRAUBAHN HOLDING AG                                                                                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-37912.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SANKYO CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-14298.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HUAYU AUTOMOTIVE SYSTEMS CO LTD                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $454.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS ARAKAWA CHEMICAL INDUSTRIES                                                                                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $3229.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KUNSHAN DONGWEI TECHNOLOGY CO LTD                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-29048.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NUVOTON TECHNOLOGY CORP                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-31388.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS DAIWA OFFICE INVESTMENT CORP                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4633.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS NATURGY ENERGY GROUP                                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2234.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS KOHL'S CORP                                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-50.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS XPS PENSIONS GROUP PLC ORD                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $11171.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS PEAB AB SER. B                                                                                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $31641.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS PHOENIX GROUP HOLDINGS PLC                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-107552.45   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS WALLENSTAM AB                                                                                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-6991.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS TROAX GROUP AB                                                                                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $10508.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SKANDINAVISKA ENSKILDA BANKEN AB                                                                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-3594.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MERIDIAN ENERGY LIMITED NPV                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $1831.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS CLOUDBERRY CLEAN ENERGY ASA                                                                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-3515.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HONG LEONG ASIA LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $46113.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS TELEKOM AUSTRIA AG                                                                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $5920.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS K HOVNANIAN ENTR                                                                                                                     | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-32182.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS AEROPORTS DE PARIS SA                                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-22549.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS OUE REAL ESTATE INVESTMENT TRUST                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3244.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SIME DARBY BHD                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4320.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PARKWAY LIFE REAL ESTATE INVESTMENT TRUST                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $365.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS HUMANA AB                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $1808.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GREAT TREE PHARMACY CO LTD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $17983.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NETBAY PCL                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $965.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA RISUN GROUP LTD                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4503.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS KMW CO LTD                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7979.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS SWATCH GROUP I                                                                                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7504.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Chicago SRW Wheat Futures                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-2377.21     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS K HOVNANIAN ENTERPRISES INC                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-46186.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS OPEN HOUSE GROUP CO LTD                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $77393.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HYUNDAI DEPARTMENT STORE CO LTD                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $29103.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS COMET RIDGE LTD                                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $493.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MINISO GROUP HOLDING LTD                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5500.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MALAYSIA SMELTING CORP BHD                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5908.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS BEIJING TONG REN TANG CHINESE MEDICINE CO LTD                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-97.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MARKETECH INTERNATIONAL CORP                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $77883.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHINA AVIATION OIL SINGAPORE CORP LTD                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $28727.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS FLUTTER ENTERTAINMENT PLC                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $87310.97     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HANMI PHARM CO LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-45923.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS K HOVNANIAN ENTERPRISES INC                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-12891.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PUREGOLD PRICE CLUB INC                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1879.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS VALUETRONICS HOLDINGS LTD                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $0.72         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ALLIANCE GLOBAL GROUP INC                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5009.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHAMPION REIT                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-24301.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS FLSMIDTH & CO A/S                                                                                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-99576.50    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CIA DE SANEAMENTO BASICO DO ESTADO DE SAO PAULO SABESP                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $50506.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ADI SARANA ARMADA TBK                                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $12052.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS COLLINS FOODS LTD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $12669.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS BW LPG LIMITED                                                                                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-6758.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FITTECH CO LTD                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21085.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS ICELAND BONDCO PLC                                                                                                                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-9592.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WISE PLC                                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-755.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ROCKCHIP ELECTRONICS CO LTD                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2005.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS WICKES GROUP PLC                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $82937.99     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DAEWOO ENGINEERING & CONSTRUCTION CO LTD                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-152903.38   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CENTRAL ASIA METALS PLC                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $51603.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS TAV HAVALIMANLARI                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-31094.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SUNG KWANG BEND CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13071.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CORETRONIC CORP                                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-24921.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS YARA INTERNATIONAL ASA                                                                                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $67104.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SKAN GROUP AG                                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $3567.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-11780.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS SHIN-ETSU POLYMER CO                                                                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $8799.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS SEGA SAMMY HLDGS INC                                                                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $4406.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA FOODS LTD                                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $27727.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ENEL SPA                                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $110352.33    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS VITAL HEALTHCARE PROPERTY TRUST                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1911.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ONENESS BIOTECH CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7992.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MARCOPOLO MARINE                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-24987.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SPARK NEW ZEALAND LTD                                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2074.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SIEMENS ENERGY AG                                                                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $59644.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CORP ACCIONA ENERGIAS RENOVABLES SA                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-38513.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-2868.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ALTEN                                                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-20336.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS WEST CHINA CEMENT LTD                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $9543.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ENEA SA                                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $109181.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS GERRESHEIMER AG                                                                                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $15911.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SAN FANG CHEMICAL                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3732.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS YIT OYJ                                                                                                                              | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-17714.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KANSAI ELECTRIC POWER CO INC/THE                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-32825.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SUPER RETAIL GROUP LTD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $11619.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS RATIONAL AG                                                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12078.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS JIANGSU SUZHOU RURAL COMMERCIAL BANK CO LTD                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2861.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS AMERICAN AXLE & MANUFACTURING INC                                                                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-3661.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BLOOMSBURY PUBLISHING PLC                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3305.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                  | IRS USD                                                                                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              | CORP              | US        |           1 | NC      | $153504.96    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS TF BANK AB                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-2073.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS J SAINSBURY PLC                                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $15190.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ANA HOLDINGS INC                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $29498.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ALIBABA GROUP HOLDING LTD                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3046.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS FUGRO                                                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7981.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS PCCW LTD                                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-18886.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS JAPAN MATERIAL CO LTD                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3268.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS RHEINMETALL AG                                                                                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-797.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS AMERICAN AXLE & MANUFACTURING INC                                                                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-2722.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ISDN HOLDINGS LTD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4661.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SQUARE ENIX HOLDINGS CO LTD                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $13249.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS HOLMEN AB                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $5998.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ANHUI JIANGHUAI AUTOMOBILE GROUP CORP LTD                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2873.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HANWHA OCEAN CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-44033.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SANKI ENGINEERING CO LTD                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $652.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS CLAS OHLSON AB                                                                                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $84439.31     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS YOUNGONE HOLDINGS CO LTD                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $108915.22    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS IDP EDUCATION LTD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8609.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AURA ENERGY LTD                                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2512.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS AMERICAN AXLE & MANUFACTURING INC                                                                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-2722.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS VALUE ADDED TECHNOLOGY CO LTD                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $17296.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TURKIYE SINAI KALKINMA BANKASI AS                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-18421.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS VELESTO ENERGY BERHAD                                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $29036.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHINA STEEL CORP                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13867.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GUANGZHOU BAIYUN INTERNATIONAL AIRPORT CO LTD                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2794.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS THUNGELA RESOURCES LTD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $11316.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHIYODA CO LTD                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-240.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS REPLY SPA                                                                                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-75056.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WW HOLDING INC                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5355.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS REVENIO GROUP OYJ                                                                                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $23692.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS AMERICAN AXLE & MANUFACTURING INC                                                                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-17689.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS UNIVERSAL MUSIC GROUP NV                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $6761.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS DE' LONGHI SPA                                                                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-35844.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS JAMES HALSTEAD PLC                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $8156.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SPEED TECH                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9659.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NISSHIN OILLIO GROUP LTD/THE                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-82.38       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS TELE2 AB SER. B                                                                                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $20764.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DOM DEVELOPMENT SA                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $20523.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KANEMATSU CORP                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $119161.60    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS KONINKLIJKE BAM GROEP NV                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $156440.41    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS ADYEN                                                                                                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $23470.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS AMERICAN AXLE & MANUFACTURING INC                                                                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-13613.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS JOHNSON SERVICE GROUP PLC                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3246.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AREIT INC                                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-218.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SAMPO OYJ                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-16265.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HEINEKEN MALAYSIA BHD                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1883.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS OESTERREICHISCHE POST AG                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7253.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS RUSTA AB                                                                                                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-465.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHUNBO CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9040.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HECTO INNOVATION CO LTD                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $28941.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MABUCHI MOTOR CO LTD                                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $14492.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WINTIME ENERGY GROUP CO LTD                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7964.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Chicago SRW Wheat Futures, Jul-2026,ETH                                                                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -6 | NC      | $-10425.76    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS AMERICAN AXLE & MANUFACTURING INC                                                                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-2722.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS COSEL CO LTD                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-111.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MUHIBBAH ENGINEERING M BHD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $159.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FIRST RESOURCES LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $39912.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS INTEGRAL DIAGNOSTICS LTD                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2078.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CAREGEN CO LTD                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-122152.80   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS NINETY ONE PLC                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5364.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS VAT GROUP AG                                                                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-220473.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS FAGRON                                                                                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $5822.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BAIC BLUEPARK NEW ENERGY TECHNOLOGY CO LTD                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2404.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MCNEX CO LTD                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9333.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS AMERICAN AXLE & MANUFACTURING INC                                                                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-4506.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NETLINK NBN TRUST                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-32714.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HD HYUNDAI CO LTD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $45366.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SERICA ENERGY PLC                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-78105.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WON TECH CO LTD                                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1386.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SHENZHEN SUNLINE TECH CO LTD                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-133.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA SOUTHERN AIRLINES CO LTD                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $594.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LG INNOTEK CO LTD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $89330.16     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS INDEKS BILGISAYAR                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3855.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS UNI-PRESIDENT CHINA HOLDINGS LTD                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-21763.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS DIGITAL INFORMATION TECHNOLOGIES CORP                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3152.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                          | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-3193.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KANRO INC                                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $78.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS NEWPRINCES SPA                                                                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $937.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS ALSO N                                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $58623.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS KOREA GAS CORP                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $122.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS KOREA ELECTRIC TERMINAL CO LTD                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $27328.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LG ELECTRONICS INC                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $106493.08    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS PERNOD RICARD SA                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $36900.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KUDAN INC                                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-21285.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DREWLOONG PRECISION INC                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6355.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KUALA LUMPUR KEPONG BHD                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3235.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS AMERICAN AXLE & MANUFACTURING INC                                                                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-1783.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ALZCHEM GROUP AG                                                                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $37172.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS GFT TECHNOLOGIES SE                                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $13650.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS GALENICA AG                                                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $20585.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS COSMECCA KOREA CO LTD                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13471.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MEMBERS CO LTD                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1584.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DI DONGIL                                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $31706.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS STRABAG SE                                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-903.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS BONHEUR ASA                                                                                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $8245.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS FASTIGHETS AB BALDER                                                                                                                 | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-144.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS DO & CO AG                                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $19279.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                          | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-3193.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS FRONTEO INC                                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-23746.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KIOXIA HOLDINGS CORP                                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $54.97        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ORICA LTD                                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1894.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WT MICROELECTRONICS CO LTD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $88486.82     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SK ETERNIX CO LTD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12645.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS TOHO HOLDINGS CO LTD                                                                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1640.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NITTO KOGYO CORP                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $27275.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS BINJIANG SERVICE GROUP CO LTD                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2319.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AMREST HOLDINGS SE                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3621.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MERSEN SA                                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $16527.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                          | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-880.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TOWER LTD                                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2456.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS CLARIANT AG                                                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $10596.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BURBERRY GROUP PLC                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5100.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KOBAYASHI PHARMACEUTICAL CO LTD                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-18031.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS JD LOGISTICS INC                                                                                                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12436.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS PRIMARY HEALTH PROPE                                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $62509.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BANCA GENERALI SPA                                                                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-626.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SERVICE STREAM LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8632.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PING AN INSURANCE GROUP CO OF CHINA LTD                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-161.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BRAVURA SOLUTIONS LTD                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4957.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-5417.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CONTEMPORARY AMPEREX TECHNOLOGY CO LTD                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $51327.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS QANTAS AIRWAYS LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12437.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SPRINGER NATURE AG & CO KGAA                                                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11605.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ROLLS-ROYCE HOLDINGS PLC                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $14418.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ECONOCOM GROUP SA/NV                                                                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2919.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MONDI PLC                                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $12347.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ASAHI INTECC CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $78786.56     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MFE-MEDIAFOREUROPE NV                                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $36552.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MARSTON'S PLC                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $81074.39     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MFE-MEDIAFOREUROPE NV                                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $9636.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-17773.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS FERROVIAL SE                                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-72208.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FRENCKEN GROUP LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-31340.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS LIME TECHNOLOGIES AB                                                                                                                 | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-19258.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS NEWRIVER REIT PLC                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3327.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS AVATION PLC                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-610.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MAPLETREE LOGISTICS TRUST                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16422.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS COMFORIA RESIDENTIAL REIT INC                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-15817.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS EG INDUSTRIES BHD                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2354.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS DOW JONES U.S. SELECT MEDICAL EQUIPMENT INDEX                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-235689.16   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HBX GROUP INTERNATIONAL PLC                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $16170.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                          | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-1497.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AP MEMORY TECHNOLOGY CORP                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $930.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS SWISS PRIME SITE N                                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11236.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS DAH SING BANKING GROUP LTD                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $56778.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SOOP CO LTD                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-24002.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BALFOUR BEATTY PLC                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $163945.02    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SOLUTIONS 30 SE                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-27.31       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS PERSOL HOLDINGS CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-36355.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS JAFCO GROUP CO LTD                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2694.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TERRASKY CO LTD                                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-31037.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS UNISEM M BHD                                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1429.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS AMERICAN AXLE & MANUFACTURING INC                                                                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-10890.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS POCO HOLDING CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17114.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SHURGARD SELF STORAGE LTD                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $25597.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DATATEC LTD                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $76172.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS XP POWER LTD                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6619.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MACRONIX INTERNATIONAL CO LTD                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-376598.72   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PHA CO LTD                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6864.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS DERMAPHARM HLDG SE                                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17061.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FDJ UNITED                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1009.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TOKYO BASE CO LTD                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3295.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CONSTRUCCIONES Y AUXILIAR DE FERROCARRILES SA                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $122728.91    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Chicago SRW Wheat Futures, May-2026,ETH                                                                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -28 | NC      | $-58533.42    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                   | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-66.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SEATRIUM LTD                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6274.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS VERTU MOTORS PLC                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6662.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS OMNIA HOLDINGS LTD                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $52552.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS INMOBILIARIA COLONIAL SOCIMI SA                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7917.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BALTIC CLASSIFIEDS GROUP PLC                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $39296.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SK BIOSCIENCE CO LTD                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4821.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS LIBERTA CO LTD                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1896.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SK INC                                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $12143.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS USI CORPORATION                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9777.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS THYSSENKRUPP NUCERA AG & CO KGAA                                                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-26112.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS AMERICAN AXLE & MANUFACTURING INC                                                                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-4506.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DRDGOLD LTD                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-113171.42   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ASIA POLYMER                                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1162.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ESR KENDALL SQUARE REIT CO LTD                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-524.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TRE HOLDINGS CORP                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $9997.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS DEDICARE AB                                                                                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-5721.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS RENESAS ELECTRONICS CORP                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-43710.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS TOMRA SYSTEMS ASA                                                                                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $3737.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS BAYER AG                                                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $40378.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS EIRGENIX INC                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6700.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TOUMEI CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $824.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                           | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-19156.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS OCI HOLDINGS CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-46609.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS TELIA COMPANY AB                                                                                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $4828.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS RATCH GROUP PCL                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5278.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS YANKUANG ENERGY GROUP CO LTD                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-9048.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TTY BIOPHARM CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6171.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ASAHI KASEI CORP                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $17888.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NEXON GAMES CO LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $23596.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS AB INBEV                                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-53236.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MITSUI-SOKO HOLDINGS CO LTD                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1495.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA TOWER CORP LTD                                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2066.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-12549.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CATHAY PACIFIC AIRWAYS LTD                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $12085.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FARADAY TECHNOLOGY CORP                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3095.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NCC AB                                                                                                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $39635.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NOTE AB                                                                                                                              | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-11.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SAMSUNG ELECTRONICS CO LTD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $63041.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AMOTIV LTD                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5757.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS IONOS GROUP SE                                                                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-23774.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS VALQUA LTD                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-93856.24    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SHIP HEALTHCARE HOLDINGS INC                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $97399.88     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS AVON TECHNOLOGIES PL                                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $1219.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-1079.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS HIBIYA ENGINEERING                                                                                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-61233.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ODFJELL TECHNOLOGY LTD                                                                                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $42751.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS IMCD NV                                                                                                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $26779.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LOTES CO LTD                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-53506.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS NEDBANK GROUP LTD                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-49801.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TS LINES LTD                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $11179.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BYSTRONIC AG                                                                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $3855.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NESTE OYJ                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-102877.02   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS WEIMOB INC                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2133.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ACES ELECTRONIC CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4686.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                               | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-3193.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS POU CHEN CORP                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2429.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS BELL SYSTEM24 HOLDINGS INC                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-11056.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS PSP SWISS PROPERTY AG                                                                                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-80787.15    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SEOBU T&D                                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-63065.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                   | IRS MYR                                                                                                                                  | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-5988.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NITTA GELATIN INC                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $23893.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ST JAMES'S PLACE PLC                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3655.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS RELIANCE WORLDWIDE CORP LTD                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $37300.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS HONG KONG EXCHANGES & CLEARING                                                                                                       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2882.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS FLEETWOOD LTD                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-18314.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS AMERICAN AXLE & MANUFACTURING INC                                                                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-2722.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SEIREN CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $11126.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SYENSQO                                                                                                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $79975.91     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SKISTAR AB                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-12160.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NIKON CORP                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-14502.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TURKIYE SISE VE CAM FABRIKALARI AS                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5090.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SUNONWEALTH ELECTRIC MACHINE INDUSTRY CO LTD                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $18737.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ALCON AG                                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $4455.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ORIGIN ENERGY LTD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-10430.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LOTTE RENTAL CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4412.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS TECHNOPROBE SPA                                                                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-243813.70   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                               | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-3944.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS CHEMOMETEC A/S                                                                                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-55119.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS LVMH MOET HENNESSY LOUIS VUITTON SE                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2360.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS PROSUS NV                                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $5396.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS LY CORP                                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-28191.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ACCTON TECHNOLOGY CORP                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $15861.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS PNE AG                                                                                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $51306.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MORITA HOLDINGS CORP                                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $10.83        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CAPITALAND MALAYSIA TRUST                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $13.57        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS YUE YUEN INDUSTRIAL HOLDINGS LTD                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $16155.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS EVA AIRWAYS CORP                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-18310.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS AMERICAN AXLE & MANUFACTURING INC                                                                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-1783.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ANTA SPORTS PRODUCTS LTD                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4749.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HDC HOLDINGS CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $29532.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HYGEIA HEALTHCARE HOLDINGS CO LTD                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1279.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS VESTAS WIND SYSTEMS A/S                                                                                                              | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $103329.75    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS TAMBURI INVESTMENT PARTNERS SPA                                                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13747.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS CARGOTEC OYJ                                                                                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-1794.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NISSEI ASB MACHINE CO LTD                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $20131.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS XINTE ENERGY CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1640.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS STARLUX AIRLINES CO LTD                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $15232.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SPAR GROUP LTD/THE                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-211050.17   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-13521.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHINA TIANYING INC                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9630.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MR PRICE GROUP LTD                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-48327.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS MARIMEKKO OYJ                                                                                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-5290.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CHANDRA ASRI PACIFIC TBK                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $10972.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS JAPAN AIRLINES CO LTD                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $23150.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SOUTHERN CROSS ELECTRICAL ENGINEERING LTD                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4200.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ASROCK INC                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-22099.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS POWER ASSETS HOLDINGS LTD                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-27446.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CAIRN HOMES PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $85861.59     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS AZELIS GROUP NV                                                                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $82569.39     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                               | EURO STOXX 50 Index Futures(FESX) Index Fut                                                                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |         -65 | NC      | $-84363.52    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS AMERICAN AXLE & MANUFACTURING INC                                                                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-2722.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SIGNIFY NV                                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $7119.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CETC DIGITAL TECHNOLOGY CO LTD                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-868.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WEMADE CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $23849.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS INNOSPACE CO LTD                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3929.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SRI TRANG AGRO-INDUSTRY PCL                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4925.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DETERRA RE FPO                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-22649.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BANK OF CHONGQING CO LTD                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7589.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TK GROUP HOLDINGS LTD                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4186.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MAXIS BHD                                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $21579.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SCALES CORP LTD                                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $19209.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                               | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-4968.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS PLUXEE N.V.                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-45498.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS ECKERT & ZIEGLER SE                                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5042.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS DANSKE BANK A/S                                                                                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $9230.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MERCARI INC                                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-57505.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SOFINA SA                                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $2854.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CUC INC                                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-364.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ALTAREA SCA                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-20840.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS CANCOM SE                                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $3545.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BILFINGER SE                                                                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $74147.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AGL ENERGY LTD                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5939.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                               | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-1101.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ALIOR BANK SA                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7928.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PETRONAS CHEMICALS GROUP BHD                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1725.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS T. HALK BANKASI                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2236.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CJ CORP                                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $37728.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SUNAC SERVICES HOLDINGS LTD                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $12179.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MEDLIVE TECHNOLOGY CO LTD                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $643.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS PLEJD AB                                                                                                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-4729.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TOEI CO LTD                                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2311.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS AGILYX ASA                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $14506.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS CHINA LITERATURE LTD                                                                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $11474.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                               | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-16185.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS KOJAMO PLC                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $392.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS LEGAL & GENERAL GROUP PLC                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-57231.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CASWELL INC                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-54.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AMMB HOLDINGS BHD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-538.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS AUTO PARTNER SA                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3880.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SCHOUW & CO A/S                                                                                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $12895.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS FRASERS GROUP PLC                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7064.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHINA ENERGY ENGINEERING CORP LTD                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12700.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS DEUTSCHE PFANDBRIEFBANK AG                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $52850.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SHANGHAI HAOHAI BIOLOGICAL TECHNOLOGY CO LTD                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2423.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                               | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-1382.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS SAKAI HEAVY INDUSTRIES                                                                                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1222.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GPT GROUP/THE                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2331.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS INGENIA COMMUNITIES GROUP                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-38983.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS POWERCHIP SEMICONDUCTOR MANUFACTURI                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-213917.62   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NAN KANG RUBBER TIRE CO LTD                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $10435.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS GEELY AUTOMOBILE HOLDINGS LTD                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-10577.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS KEMPOWER OYJ                                                                                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $4423.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AMAERO LTD                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $9174.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NETRONIX INC                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11228.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS KONINKLIJKE AHOLD DELHAIZE NV                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $92969.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                           | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-1607.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KALEKIM KIMYEVI MADDELER SANAYI VE TICARET AS                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $15650.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SP GROUP A/S                                                                                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $34599.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS IGG INC                                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-48130.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS K-FAST HOLDING AB                                                                                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $7194.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS INBODY CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $15002.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SOLARIA ENERGIA Y MEDIO AMBIENTE SA                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-53046.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PEOPLE & TECHNOLOGY INC                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-28413.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS LABORATORIOS FARMACEUTICOS ROVI SA                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-135038.46   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BERLI JUCKER PCL                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $4364.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS HENSOLDT AG                                                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-25327.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-6760.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ASSYSTEM SA                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3178.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BARCLAYS PLC                                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $142813.45    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS MONTANA AEROSPACE AG                                                                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16591.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS RIO TINTO PLC                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-80506.35    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PAN-UNITED CORP LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5127.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BETAGRO PCL                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6729.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS INTERNATIONAL PAPER CO                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $8013.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS JAPAN POST BANK CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $35156.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MODETOUR NETWORK INC                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3170.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS KEPPEL                                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-96407.31    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                               | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-2100.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CS WIND CORP                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $27412.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS JTEKT CORP                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $118730.34    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ELIOR GROUP SA                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2795.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS GOODBABY INTL HLDGS LTD                                                                                                              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7552.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MITSUBISHI PENCIL CO LTD                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-38812.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TOPCO SCIENTIFIC CO LTD                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8761.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS FOXTONS GROUP PLC                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3399.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS IBSTOCK PLC                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-122.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FIRST GEN CORP                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $40.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AME ELITE CONSORTIUM BHD                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1846.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                               | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-4200.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS MATAS A/S                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $12577.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NICHIREKI GROUP CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2787.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KAKAO GAMES CORP                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $44327.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BB BIOTECH AG                                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $219979.77    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS VOLTRONIC POWER TECHNOLOGY CORP                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $7971.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS FERGUSON ENTERPRISES INC                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-38253.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS VASTNED NV                                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1309.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS XPENG INC                                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $13358.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MACQUARIE GROUP LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1282.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ATOS SE                                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $22356.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                               | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-4200.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS OMNIVISION INTEGRATED CIRCUITS GROUP INC                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $837.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS BILLERUD AKTIEBOLAG                                                                                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-115985.79   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ON THE BEACH GROUP PLC                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $19214.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS JG SUMMIT HOLDINGS INC                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $18207.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SCHNEIDER ELECTRIC SE                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-40797.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS OXFORD INSTRUMENTS PLC                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-51672.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS LISI                                                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $11099.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NOBIA AB                                                                                                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-540.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CARNIVAL PLC                                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $158971.72    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GOLDSUN BUILDING MATERIALS CO LTD                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1503.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | E-mini S&P 500 Futures, Mar-2026,ETH                                                                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |          -3 | NC      | $-6065.11     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Ultra 10-Year U.S. Treasury Note Futures, Jun-2026,ETH                                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -8 | NC      | $-7421.10     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-2708.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS JIANGSU CHANGSHU RURAL COMMERCIAL BANK CO LTD                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-44.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PERPETUAL LTD                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-126.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SODEXO SA                                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $14870.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SIGMAHEALT FPO                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8037.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SEGRO PLC                                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-43277.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                       | IRS HUF                                                                                                                                  | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-18682.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KEPCO ENGINEERING & CONSTRUCTION CO INC                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-31374.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS KESKO CORPORATION B                                                                                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $190.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ACKERMANS & VAN HAAREN NV                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-34068.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS YPSOMED HOLDING AG                                                                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $36205.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS AMERICAN AIRLINES GROUP INC                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-5505.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS RAINBOW ROBOTICS                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-71892.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LION TRAVEL SERVICE CO LTD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $11423.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BARITO PACIFIC TBK PT                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4440.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS OSAKA TITANIUM TECHNOLOGIES                                                                                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-42480.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS S-1 CORP                                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $33540.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SAMSUNG FIRE & MARINE INSURANCE CO LTD                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6506.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS AISAN INDUSTRY CO LTD                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $23024.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MAAS GROUP HOLDINGS LTD                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9854.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SJM HOLDINGS LTD                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $225.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS STARTIA HOLDINGS INC                                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $9485.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS AGC                                                                                                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-54317.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS LIVZON PHARMACEUTICAL GROUP INC                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-13016.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ADVANCED INFO SERVICE PCL                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $59944.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LGMS BHD                                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4113.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NEOWIZ                                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-916.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SG HOLDINGS CO LTD                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $584.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS CAMURUS AB                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $35417.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA NEW HIGHER EDUCATION GROUP LTD                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-21902.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NEXANS SA                                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4935.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MONDE NISSIN CORP                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1950.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS COMPUTER ENGINEERING & CONSULTING LTD                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4804.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-512.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SAVILLS PLC                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $9782.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ROBOSENSE TECHNOLOGY CO LTD                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2434.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS BETTER COLLECTIVE A/S                                                                                                                | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-6161.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS TAIWAN STYRENE MONOMER                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-435.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SCHIBSTED ASA                                                                                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-87140.65    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS MRMAX HOLDINGS LTD                                                                                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $3630.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DERWENT LONDON PLC                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $16522.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KINGDEE INTERNATIONAL SOFTWARE GROUP CO LTD                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5688.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS RECKITT BENCKISER GROUP PLC                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-49338.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS JIANGSU EXPRESSWAY CO LTD                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5008.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-466.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ITO EN LTD                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $277.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NET INSIGHT AB                                                                                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $14175.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MERLIN PROPERTIES SOCIMI SA                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-123321.59   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHARTER HALL RETAIL REIT                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2125.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS JIANGSU HENGLI HYDRAULIC CO LTD                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-569.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HAPPINET CORP                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $16970.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHANGGAO ELECTRIC GROUP CO LTD                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $41491.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS EVOTEC SE                                                                                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $4451.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS METEORIC RESOURCES NL                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8121.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ZIGEXN CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-9025.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-27674.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NRW HOLDINGS LTD                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $190585.62    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS LIFE CORP                                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $46050.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS AMEDEO AIR FOUR PLUS LTD                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $23110.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS INWIDO AB                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-3695.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NEWBORN TOWN INC                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-12281.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CTOS DIGITAL BHD                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1447.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SERAKU CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1174.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BEFESA SA                                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-87387.83    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HALLENSTEIN GLASSONS HLDGS                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5979.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SOUTH32 LTD                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-25830.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8601.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ROCHE HOLDING AG                                                                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $134128.90    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS GURIT HOLDING AG                                                                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $25994.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS METROPOLE TELEVISION SA                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $26007.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS TRITAX BIG BOX REIT PLC                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-59018.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GWA GROUP LTD                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-22.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LOTUS RESOURCES LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3491.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS SATO CORPORATION                                                                                                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $3949.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KANAMOTO CO LTD                                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $51032.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS TAKE & GIVE NEEDS CO                                                                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6843.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                       | IRS USD                                                                                                                                  | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $12473.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-523.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BEKAERT SA                                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $44265.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS NORTH-STAR INTERNATIONAL CO LTD                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $36108.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS FUJI OIL CO LTD /OSAKA                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-30464.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS OMNI BRIDGEWAY LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2942.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHOW TAI FOOK JEWELLERY GROUP LTD                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-466.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS IFAST CORP LTD                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-79.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS TRATON SE                                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-41260.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DAIHANPHARM                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2886.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS BERGMAN & BEVING AB                                                                                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $7665.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS JENOPTIK AG                                                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3789.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4578.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHINA MOTOR CORP                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1357.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NET PROTECTIONS HOLDINGS INC                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1291.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SUNRISE COMMUNICATIONS AG                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-18875.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS PROSEGUR                                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $6484.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DASSAULT AVIATION                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16751.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS CMB TECH NV                                                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-58672.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS DEUTSCHE LUFTHANSA AG                                                                                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $635.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS COLOPLAST A/S                                                                                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $66777.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BANKINTER SA                                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-52086.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS BOLIDEN AB                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $133821.44    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2166.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS BLUENORD ASA                                                                                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-14215.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CLINUVEL PHARMACEUTICALS LTD                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17698.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ALFA FINANCIAL SOFTWARE HOLDINGS PLC                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5890.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS VALEO SE                                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $97097.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CITIC TELECOM INTERNATIONAL HOLDINGS LTD                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-9184.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DOWNER EDI LTD                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $38711.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NEOBO FASTIGHETER AB                                                                                                                 | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $19329.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WASCO BHD                                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2419.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MONAYONGPYONG                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6473.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS KION GROUP AG                                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5734.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CBOE FUTURES EXCHANGE                           | CBOE VOLATILITY INDEX (VX) FUTURES                                                                                                       | CUSIP: 000000000<br>LEI: 254900O9GJPIWCP8RH13 | N/A              | DE               | CORP              | US        |           6 | NC      | $3017.96      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | CURRENCY CONTRACT - GBP                                                                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1212.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS AMPLIFON SPA                                                                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $8969.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHAROEN POKPHAND FOODS PCL                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-54.31       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TKP CORP                                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-8788.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TANSEISHA CO LTD                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3950.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS PIAGGIO & C SPA                                                                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1349.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ZHEJIANG CHINT ELECTRICS CO LTD                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $46356.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KUREHA CORP                                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-12133.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS UNICREDIT SPA                                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $109011.63    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KOREA ELECTRIC POWER CORP                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $50761.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SITRONIX TECHNOLOGY CORP                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7654.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | FTSE 100 - Stnd Index Future - ICEU, Mar26                                                                                               | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DE               | CORP              | GB        |          17 | NC      | $151153.39    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS CPI EUROPE AG                                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15330.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BNP PARIBAS SA                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $147627.58    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HAYS PLC                                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $62845.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SPEED TECH                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $557.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS STX ENGINE CO LTD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-10037.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SOLUM CO LTD                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6595.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS FOSUN INTERNATIONAL                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-149.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                  | TRS CIFXCADM                                                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DE               | CORP              | US        |           1 | NC      | $69338.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ID HOLDINGS CORP                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4305.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NOTE INC                                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-10889.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                               | EURO STOXX 50 Index Futures(FESX) Index Fut                                                                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |          16 | NC      | $23568.83     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS UMS INTEGRATION LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14330.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CENTRAL PATTANA PUBLIC CO                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $6083.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SUZHOU INSTITUTE OF BUILDING SCIENCE                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-844.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS MLP SE                                                                                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $1107.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CYFROWY POLSAT SA                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4015.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NETCARE LTD                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $16254.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ELISA OYJ                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $4073.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WOORI-NET CO LTD                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-373.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MGM CHINA HOLDINGS LTD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4129.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MUYUAN FOODS CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-718.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | 10-Year T-Note Futures, Jun-2026,ETH                                                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         108 | NC      | $66765.82     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS KT SKYLIFE CO LTD                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $42.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS AXIAL RETAILING INC                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $10627.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS VALLOUREC SACA                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8431.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS TAURON POLSKA ENERGIA SA                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $151249.56    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                       | IRS CZK                                                                                                                                  | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $485.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SOLASIA PHARMA KK                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3430.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TAKAOKA TOKO CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $108378.21    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ZHONGSHENG GROUP HOLDINGS LTD                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $20076.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS BIC CAMERA INC                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $6266.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS JA SOLAR TECHNOLOG                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3883.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITIES EXCHANGE CENTER                     | Silver Futures, May-2026,ETH                                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |           1 | NC      | $31177.68     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SUBARU CORP                                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $11336.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS MPC CONTAINER SHIPS ASA                                                                                                              | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-48888.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SMITH & NEPHEW PLC                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $8013.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BURKHALTER HOLDING AG                                                                                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $54108.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ORIOLA OYJ                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-1329.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS YURTEC CORP                                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1215.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS COMET HOLDING AG                                                                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-154049.44   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SMCP SA                                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3708.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SLEEP CYCLE AB                                                                                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-12392.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS JINXIN FERTILITY GROUP LTD                                                                                                           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-841.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Three-Month SOFR Futures, Jun-2027,ETH                                                                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          28 | NC      | $8443.44      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS JIANGSU GUOTAI INTERNATIONAL GROUP CO LTD                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5660.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TOURISM HOLDINGS LTD                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $954.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS QUANG VIET ENTERPRISE CO LTD                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3824.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS WEST HOLDINGS CORP                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-11248.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SENIOR PLC                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-77684.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | IRS MXN                                                                                                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $40107.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DEVELOP GLOBAL LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-35613.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ALLREAL HOLDING AG                                                                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-22589.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS KRONES AG                                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $6099.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS STAR PETROLEUM REFINING PCL                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $13356.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | Three Month SONIA - ICEU, Jun27                                                                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |           9 | NC      | $5814.56      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HUAKU DEVELOPMENT CO LTD                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1832.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS MEKO AB                                                                                                                              | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $13554.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS H LUNDBECK A/S                                                                                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-1703.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS AROUNDTOWN SA                                                                                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $101673.15    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ONE ENTERPRISE PUBLIC CO LTD/THE                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1867.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS FACC AG                                                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $5130.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS ISHIHARA SANGYO KAISHA                                                                                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $73445.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TAKARA LEBEN REAL ESTATE INVESTMENT CORP                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1604.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SOCIAL HOUSING REIT PLC                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $29804.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DAEYANG ELECTRIC CO LTD                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7720.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Soybean Futures, May-2026,ETH                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          14 | NC      | $11671.76     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SAMYANG NC CHEM CORP                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $22474.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS BORREGAARD ASA                                                                                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $7326.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS FUTABA INDUSTRIAL CO LTD                                                                                                             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $40434.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS HARVIA OYJ                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $21791.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS STMICROELECTRONICS NV                                                                                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $18268.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS AMPER SA                                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-33059.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS UNITED LABORATORIES INTERNATIONAL HOLDINGS LTD/THE                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2887.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS INDOSAT TBK PT                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $245.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GECINA SA                                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8252.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MALAYAN BANKING BHD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-40985.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | EURO-BUND FUTURE MAR26                                                                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          12 | NC      | $9789.55      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS YANGZIJIANG MARITIME DEVELOPMENT PTE LTD                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $43576.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HIWIN TECHNOLOGIES CORP                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-19616.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS RIETER HOLDING AG                                                                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $8407.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ARCELIK AS                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $16373.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS AALBERTS N.V.                                                                                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-69463.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS MOBIMO HOLDING AG                                                                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-31659.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SK BIOPHARMACEUTICALS CO LTD                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-18834.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS GROUPE BRUXELLES LAMBERT NV                                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-112544.13   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS VAUDOISE ASSURANCES HOLDING SA                                                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $58286.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS IG DESIGN GROUP PLC                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-19776.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | E-mini Russell 2000 Index Futures, Mar-2026,ETH                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |           7 | NC      | $-11019.70    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS STUDIO DRAGON CORP                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $339.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS NAGANO KEIKI CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $37364.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ACCOR SA                                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-32499.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AYALA LAND INC                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8197.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CIE AUTOMOTIVE SA                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-49579.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CD PROJEKT SA                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-119887.63   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DELFI                                                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $7583.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS MBB SE                                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $14818.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA OVERSEAS PROPERTY HOLDINGS LTD                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3074.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS QORIA LTD                                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $30130.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CBOE FUTURES EXCHANGE                           | CBOE VOLATILITY INDEX (VX) FUTURES                                                                                                       | CUSIP: 000000000<br>LEI: 254900O9GJPIWCP8RH13 | N/A              | DE               | CORP              | US        |          23 | NC      | $16485.28     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                              | London Cocoa Future - ICEU, May26                                                                                                        | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          -2 | NC      | $25123.24     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HTC CORP                                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9135.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MIDAC HOLDINGS CO LTD                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2444.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SHANGHAI MICROPORT MEDBOT GROUP CO LTD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-381.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CANMAX TECHNOLOGIES CO LTD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16252.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CURRYS PLC                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $193618.99    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS CTP NV                                                                                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2100.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ENI SPA                                                                                                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-53902.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS PIGEON CORP                                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $9194.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS WILMAR INTL                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-19762.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS EVT LTD                                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-445.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NASDAQ STOCKHOLM AB                             | 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        |           9 | NC      | $5608.02      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS IDORSIA LTD                                                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-502.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS UNITED ENERGY GROUP LTD                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $25096.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS INARI AMERTRON BHD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $17924.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS THG PLC                                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $21989.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS CIE FINANCIERE RICHEMONT SA                                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $2488.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TRIPOD TECHNOLOGY CORP                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $83852.18     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NORION BANK AB                                                                                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-4663.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ENTRA ASA                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-11214.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS BULTEN AB                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-20125.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION           | IRS USD                                                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |           1 | NC      | $106372.24    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                               | Euro(FGBM) Bobl Futures                                                                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         160 | NC      | $145455.67    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS AFRIMAT LTD                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $35048.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS EAST WEST BANKING CORP                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $54.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS IPSOS SA                                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7754.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SPIRAX GROUP PLC                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13030.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ECORA RESOURCES PLC                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-87295.89    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TLB CO LTD                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1415.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PARTRON CO LTD                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $21277.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS PIRELLI & C SPA                                                                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $13956.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NFORCE SECURE PCL                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4440.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SHENZHEN EXPRESSWAY CORP LTD                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2387.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA SECURITIES EXCHANGE                       | NIKKEI 225 TRADE FUTURE, MAR 2026                                                                                                        | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               | CORP              | N/A       |           6 | NC      | $187667.88    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS DYNAVOX GROUP AB                                                                                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $29967.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AUB GROUP LTD                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $35472.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS RINGKJOEBING LANDBOBANK A/S                                                                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-71396.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KUBELL CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-13886.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS GESTAMP AUTOMOCION SA                                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $67.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CELCOMDIGI BHD                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3921.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS RETAIL ESTATES                                                                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5160.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MEDICALGORITHMICS SA                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $158.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS POCO HOLDING CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $93360.22     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHESNARA PLC                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13173.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                       | LME ZINC FUTURE JUN26                                                                                                                    | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |           5 | NC      | $-5857.90     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | IRS BRL                                                                                                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $6692.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS LINDAB INTERNATIONAL AB                                                                                                              | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $24067.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHUNG HUNG STEEL CORP                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-19926.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS PETKIM                                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $8621.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS LENZING AG                                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $1320.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | IRS BRL                                                                                                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-65021.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS GA TECHNOLOGIES CO LTD/JAPAN                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-9804.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MAKUS INC                                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $35929.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DFI RETAIL GROUP HOLDINGS LTD                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $50469.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NETWEALTH GROUP LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13933.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                       | LME ZINC FUTURE Mar26                                                                                                                    | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |           6 | NC      | $37514.17     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS DAVIDE CAMPARI-MILANO NV                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6573.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NSL FOODS PCL                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1587.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MANILA ELECTRIC COMPANY                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $598.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS APERAM                                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-24755.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS BE GROUP AB                                                                                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-4390.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS THERMADOR GROUPE                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-497.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS GREATLAND RESOURCES LTD                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-358717.94   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WE BUY CARS HOLDINGS LTD                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $38133.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS FERROTEC CORP                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-836.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS GIFT HOLDINGS INC                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-16856.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                       | LME ZINC FUTURE Mar26                                                                                                                    | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |          -6 | NC      | $3779.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BANGKOK DUSIT MEDICAL SERVICES                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14989.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NIHON KOHDEN CORP                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $852.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS TRUWORTHS INT LTD                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9099.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DR. MARTENS PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $6822.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS DAISHINKU CORP                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-16684.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HUMAN HOLDINGS CO LTD                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1557.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS AK MEDICAL HOLDINGS LTD                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2812.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS JACQUET METALS SACA                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2061.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BANK MILLENNIUM SA                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-139822.93   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FUSHENG PRECISION CO LTD                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14070.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                       | LME COPPER FUTURE Jun26                                                                                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |           4 | NC      | $22468.93     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ADVANCED MEDIA INC                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $403.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS YUTONG BUS CO LTD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2090.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NISHIMATSU CONSTRUCTION CO LTD                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-26970.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                       | IRS HUF                                                                                                                                  | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $10799.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HS HYOSUNG ADVANCED MATERIALS                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-37809.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ITMEDIA INC                                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-20949.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS TOKYO KEIKI INC                                                                                                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-64702.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS GEBERIT AG                                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-58415.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS LOOMIS AB                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $56958.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ILJIN HYSOLUS CO LTD                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $699.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                       | LME COPPER FUTURE Jun26                                                                                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |          -1 | NC      | $-7563.83     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ORIENT OVERSEAS INTERNATIONAL LTD                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-19042.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ULVAC INC                                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $67828.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HYUNDAI MARINE & FIRE INSURANCE CO LTD                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $19552.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS OCADO GROUP PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $41031.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS VENUSTECH GROUP INC                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-253.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS E-MART INC                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $34860.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BENETEAU SACA                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17885.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS WAVESTONE                                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $731.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS ARYZTA AG                                                                                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-56810.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS PANTHEON INFRASTRUCTURE PLC                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $33448.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                       | LME COPPER FUTURE Mar26                                                                                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |          10 | NC      | $480467.59    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                       | IRS ZAR                                                                                                                                  | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $78213.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SNAM SPA                                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-58775.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS INFRATIL LTD                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14863.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LG ENERGY SOLUTION LTD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5961.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS VISCO VISION INC                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1297.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS TOHO TITANIUM CO                                                                                                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-93920.10    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS THAIFOODS GROUP PCL                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $90865.81     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TA YA ELECTRIC WIRE & CABLE                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6273.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS LYGEND RESOURCES & TECHNOLOGY CO LTD-H                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $11723.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KANEKA CORP                                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $15720.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CBOE FUTURES EXCHANGE                           | CBOE VOLATILITY INDEX (VX) FUTURES                                                                                                       | CUSIP: 000000000<br>LEI: 254900O9GJPIWCP8RH13 | N/A              | DE               | CORP              | US        |          59 | NC      | $57627.27     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| THE LONDON METAL EXCHANGE                       | LME COPPER FUTURE Mar26                                                                                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |         -10 | NC      | $-26369.06    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS GRAND CITY PROPERTIES SA                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $7249.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS AECI LTD                                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $24759.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BINGGRAE CO LTD                                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6161.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GENIANS INC                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11163.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS AXA SA                                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $17989.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS BPOST                                                                                                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-316.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ALLIANZ MALAYSIA BHD                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $677.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS TEIKOKU ELECTRIC MFG                                                                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $3218.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GAMUDA BHD                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1630.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NINGBO XUSHENG GROUP CO LTD                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12662.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                       | LME PRI ALUM FUTR JUN26                                                                                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |           9 | NC      | $8009.53      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS FREQUENTIS AG                                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-931.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS INVESTMENT AB LATOUR                                                                                                                 | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $46990.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HMM CO LTD                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7768.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CIPUTRA DEVELOPMENT TBK PT                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6998.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NIPPON CONCRETE INDUSTRIES CO LTD                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4385.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KAWASAKI KISEN KAISHA LTD                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-21836.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SUHEUNG CO LTD                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $793.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HAMAMATSU PHOTONICS KK                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-38290.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GENIUS ELECTRONIC OPTICAL CO LTD                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1668.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS POWERLONG COMMERCIAL MANAGEMENT HOLDINGS LTD                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2386.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                       | LME PRI ALUM FUTR Mar26                                                                                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |           9 | NC      | $54657.67     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SHANGHAI JUNSHI BIOSCIENCES CO LTD                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4653.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS REMY COINTREAU SA                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $98797.21     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS SANKO GOSEI LTD                                                                                                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $27780.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ANYMIND GROUP INC                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $6472.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS GAZPROM PJSC                                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-0.17        | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BOUYGUES SA                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $68045.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS GLOBAL ONE REAL ESTATE INVESTMENT CORP                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2261.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NATIONAL AUSTRALIA BANK LTD                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-39562.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS VSTECS HOLDINGS LTD                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-364.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS LONKING HOLDINGS LTD                                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $43205.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                       | LME PRI ALUM FUTR Mar26                                                                                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |          -9 | NC      | $-8865.39     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS TOA PAINT THAILAND PCL                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $8422.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WESTPORTS HOLDINGS BHD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-130.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                       | IRS HUF                                                                                                                                  | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $3879.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SUN YAD CONSTRUCTION CO LTD                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2180.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WA1 RESOURCES LTD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5847.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS D&O GREEN TECHNOLOGIES BHD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $15836.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CALB GROUP CO LTD                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2820.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CREDIT AGRICOLE                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $24960.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS NIPPON CARBON CO                                                                                                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13177.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS INFICON HOLDING AG                                                                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-36583.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS FLUGHAFEN ZURICH AG                                                                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-38503.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS AAK AB                                                                                                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $16281.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS INDAH KIAT PULP & PAPER TBK PT                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3553.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS HYPOPORT SE                                                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $48229.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PLANISWARE SA                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $18802.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS NOROOHOLDINGS                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5519.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TBS HOLDINGS INC                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-12019.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CALBEE INC                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1254.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DISTRIBUIDORA INTERNACIONAL DE ALIMENTACION SA                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $69402.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS SAPPORO HOLDINGS LIMITED                                                                                                             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14328.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-618.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SAMART AVIATION SOLUTIONS PCL                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5205.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS BKW N                                                                                                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $16663.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS UNIVERSAL VISION BIOTECHNOLOGY CO LTD                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-49533.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LECTRA                                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7126.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CALIX LTD                                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-27401.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MELROSE INDUSTRIES PLC                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-25582.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS PANDORA A/S                                                                                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-8986.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ZHENGZHOU COAL MINING MACHINERY GROUP CO LTD                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $22046.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS YIHAI INTERNATIONAL HOLDING LTD                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-5553.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS NEDAP NV                                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1516.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4.59        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NEXTIN INC                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11126.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS UNILEVER PLC                                                                                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-37687.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PLAYTECH PLC                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $43449.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BURFORD CAPITAL LTD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $70101.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MACMAHON HOLDINGS LTD                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $75417.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PARADE TECHNOLOGIES LTD                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $22.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS NIOX GROUP PLC                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $991.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GUANGDONG ELECTRIC POWER DEVELOPMENT CO LTD                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3930.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BURCKHARDT COMPRESSION HOLDING AG                                                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-50097.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KIER GROUP PLC                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6060.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1181.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS POWSZECHNA KASA OSZCZEDNOSCI BANK POLSKI SA                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $43157.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TAYLOR WIMPEY PLC                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-23416.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS QUICK CO LTD                                                                                                                         | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $21287.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LIFESTYLE COMMUNITIES LTD                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $24032.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ENIGMO INC                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-8992.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CTCI CORP                                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-10978.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TRANSCOSMOS INC                                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $9342.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS UNITED SUPER MARKETS HOLDINGS INC                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $258.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HD HYUNDAI ENERGY SOLUTIONS CO LTD                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $83319.94     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS TRYG A/S                                                                                                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $11559.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-262.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SHIN YANG GROUP BHD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1644.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GUDENG PRECISION INDUSTRIAL CO LTD                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-26132.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS INTESA SANPAOLO SPA                                                                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $38461.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KIA CORP                                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $115361.44    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CREST NICHOLSON HOLDINGS PLC                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5072.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS SENKO GROUP HOLDINGS CO LTD                                                                                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-975.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AUTEL INTELLIGENT TECHNOLOGY CORP LTD                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4456.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MOGAN ENERJI YATIRIM HOLDING AS                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7359.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS FERRETTI SPA                                                                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-81020.81    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CAPCOM CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-5506.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-163.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CUB ELECPARTS INC                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-24971.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS THAI BEVERAGE PCL                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $732.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TRIPUTRA AGRO PERSADA PT                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7854.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TATE & LYLE PLC                                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $49434.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KALBE FARMA TBK PT                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3665.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SFS GROUP AG                                                                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $34388.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS CONTINENTAL AG                                                                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $47762.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SIKA AG                                                                                                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $13582.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WUXI RURAL COMMERCIAL BANK CO LTD                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $475.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AIR FRANCE-KLM                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $11831.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | U.S. Treasury Bond Futures, Jun-2026,ETH                                                                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          28 | NC      | $25372.03     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3108.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS DPC DASH LTD                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5619.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS ADIDAS AG                                                                                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-36621.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TIMEE INC                                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2874.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS SAF HOLLAND SE                                                                                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5610.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS DKSH HOLDING AG                                                                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $11480.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS SIIX CORP                                                                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $34402.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TRAINLINE PLC                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-42613.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TAMA HOME CO LTD                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-5782.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WONDERFUL HI-TECH CO LTD                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $11339.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BASIC-FIT NV                                                                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-63110.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-33.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS KERRY GROUP PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $11717.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BREMBO NV                                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17235.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PPB GROUP BHD                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2574.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS FINECOBANK BANCA FINECO SPA                                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-70063.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHONGQING MILLISON TECHNOLOGIES INC                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5399.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FRASER & NEAVE HOLDINGS BHD                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2168.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HONG KONG & CHINA GAS CO LTD                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3240.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DEEP YELLOW LTD                                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-35095.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS VECTOR INC                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $32246.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS VINA TECH CO LTD                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-58548.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-21.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS PIOLAX INC                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2140.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS RIKEN TECHNOS CORP                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $40136.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SUPREMA INC                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $22545.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SALMAR ASA                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-9714.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS REINET INVESTMENTS SCA                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-980.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS VALMET CORPORATION                                                                                                                   | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $4125.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SINOPHARM GROUP CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5490.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KUNLUN TECH CO LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1508.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS GMO INTERNET GROUP INC                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-36748.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS CARE PROPERTY INVEST NV                                                                                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $12447.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-51.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS HEXAGON AB                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $4052.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS NORDEX SE                                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $254686.15    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS UT GROUP CO LTD                                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $8427.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GETAC HOLDINGS CORP                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2096.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS AEON FINANCIAL SERVICE CO LTD                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-13457.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BANK OF GUIYANG CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-30.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ULKER BISKUVI                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $10501.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS GREENTOWN CHINA HOLDINGS LTD                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1504.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NILORNGRUPPEN AB                                                                                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-2808.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS TELEFONAKTIEBOLAGET LM ERICSSON                                                                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $114043.98    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-229.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NIPPON DRY-CHEMICAL CO LTD                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $73076.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION           | TRS ENGIE SA                                                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DE               | CORP              | US        |           1 | NC      | $169294.09    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KADOKAWA CORP                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $7580.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS INDUSTRI JAMU DAN FARMASI SIDO MUNCUL TBK PT                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-419.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS JAPFA COMFEED INDONESIA TBK PT                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-238.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS RANDSTAD NV                                                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $1869.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS NINGBO JIFENG AUTO PARTS CO LTD                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16075.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS PARTNERS GROUP HOLDING AG                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-27306.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SHENZHEN KAIFA ORD A                                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $21417.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TOKYO TATEMONO CO LTD                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-39016.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-132.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS IINO KAIUN KAISHA LTD                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-27765.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS PAGEGROUP PLC                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $41384.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS VIENNA INSURANCE GROUP AG WIENER VERSICHERUNG GRUPPE                                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $96206.56     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS MANDATUM OYJ                                                                                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-63280.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS WHITBREAD PLC                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $18383.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HYUNDAI CORP                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8104.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SAKAI MOVING SERVICE CO LTD                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $422.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS FURUYA METAL CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-98793.80    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS JB HI-FI LTD                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-42040.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS KITRON ASA                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $36228.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-121.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SYUPPIN CO LTD                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-9580.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CJ LOGISTICS CORP                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $26543.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SM PRIME HOLDINGS, INC.                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3405.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS WCT HOLDINGS BERHAD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $15707.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KONOIKE TRANSPORT CO LTD                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $45129.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS EML PAYMENTS LTD                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-23286.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SIMMTECH CO                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-25291.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS TUI AG                                                                                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $63686.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS INFORMA PLC                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3563.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS STANDARD CHARTERED PLC                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $162997.43    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-486.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SANTAM LIMITED                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3721.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SISRAM MEDICAL LTD                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-927.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS FAR EASTERN NEW CENTURY CORP                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5167.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ANEST IWATA CORP                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $13602.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS FIRST PACIFIC CO LTD                                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3693.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NOK CORP                                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $33467.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NHK SPRING CO LTD                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-20141.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS JS GLOBAL LIFESTYLE COMPANY LTD                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $6111.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SIHUAN PHARMACEUTICAL HOLDINGS GROUP LTD                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3207.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS JINAN ACETATE CHEMICAL CO LTD                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-107549.54   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $16.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SEVERN TRENT PLC                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5264.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS WIZZ AIR HOLDINGS PLC                                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $21083.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BIM BIRLESIK MAGAZALAR AS                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-19511.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CAPITA PLC                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-22313.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ASIA PILE HOLDINGS CORP                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $37329.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS PROACT IT GROUP AB                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $4061.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GENTRACK GROUP LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $10588.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CYBERDYNE INC                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-81618.53    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SUNGEEL HITECH CO LTD                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-45226.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PUBLIC BANK BHD                                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17847.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2013.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS RISO KYOIKU CO LTD                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1058.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS SIXT SE                                                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $755.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FAR EAST HOSPITALITY TRUST                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2508.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CLOSE BROTHERS GROUP PLC                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-62734.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS FREEBIT CO LTD                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4651.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS ANDRITZ AG                                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17559.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BARCO NV                                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-28583.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS BAVARIAN NORDIC A/S                                                                                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-3874.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FOSCHINI GROUP LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1428.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK, NATIONAL ASSOCIATION       | TRS EDENRED                                                                                                                              | CUSIP: 000000000<br>LEI: G1MLHIS0N32I3QPILB75 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9866.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Ultra U.S. Treasury Bond Futures, Mar-2026,ETH                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -43 | NC      | $-112735.59   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-170.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS ADECCO N                                                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12056.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS WARTSILA OYJ ABP                                                                                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $121364.09    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KANSAI PAINT CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $570.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SEVERN TRENT PLC                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-31867.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | IRS BRL                                                                                                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $17599.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS LENDLEASE REIT                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13651.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS JETEMA CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7524.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS HIAG IMMOBILIEN HOLDING AG                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $57904.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CSPC PHARMACEUTICAL GROUP LTD                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-38836.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BHP GROUP LTD                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-25387.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-425.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS MEDCAP AB                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-9615.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS VITZROCELL CO LTD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $16768.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ASTERASYS CO. LTD.                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-50.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SUMBER ALFARIA TRIJAYA TBK PT                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6915.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS RS TECHNOLOGIES CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $741.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS PLUS ALPHA CONSULTING CO LTD                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2592.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS TALANX AG                                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $14628.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS EUROCASH SA                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11845.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS EMMI N                                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $24023.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                               | IRS TRY                                                                                                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $1354.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $164.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NIPRO CORP                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $8643.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS LINDE PLC                                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-18680.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS EUGLENA CO LTD                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $7293.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ANEKA TAMBANG TBK                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $22881.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS REDCARE PHARMACY NV                                                                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $42017.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ATEA ASA                                                                                                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-315.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HORIZON OIL LTD                                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $9898.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHINA AIRLINES LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12668.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MTR CORP LTD                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-62387.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BAOWU MAGNESIUM TECHNOLOGY CO LTD                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15145.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $136.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS COINSHARES INTERNATIONAL LTD                                                                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-37377.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MITSUI & CO LTD                                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-63288.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS KRUK SA                                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-18018.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHINA MERCHANTS PORT GROUP CO LTD                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1921.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS 104 CORP                                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-687.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS VOSSLOH AG                                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-567.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HUNTING PLC                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $80968.01     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ROKO AB                                                                                                                              | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $553.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HANCOM INC                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-147.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NIBE INDUSTRIER AB                                                                                                                   | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $11486.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-107.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS PEPCO GROUP NV                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $136168.84    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HPH TRUST                                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3959.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HANA FINANCIAL GROUP INC                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $56558.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS A-LIVING SMART CITY SERVICES CO LTD                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-14217.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS FRAPORT AG FRANKFURT AIRPORT SERVICES WORLDWIDE                                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-134049.18   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HUGEL INC                                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $1286.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS PARATUS ENERGY SERVICES LTD                                                                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-5492.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS JINS HOLDINGS INC                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $103.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS STARHILL GLOBAL REIT                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $9802.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TABCORP HOLDINGS LTD                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6661.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-120.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS JPUSFLOW INDEX                                                                                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $6352.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MOSA INDUSTRIAL CORP                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3834.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SSY GROUP LTD                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $14453.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS SINKO INDUSTRIES LTD                                                                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1523.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS RAINBOW TOURS SA                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $75999.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS EPIROC AB                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-79565.28    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ENERGIEKONTOR AG                                                                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $6103.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BIG YELLOW GROUP PLC                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-198.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GREATEK ELECTRONICS INC                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $42416.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHINA SUNSINE CHEMICAL HOLDINGS LTD                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5153.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1099.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SOGEFI SPA                                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $53089.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS PILLAR CORP /JAPAN                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-51134.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS WUXI BIOLOGICS CAYMAN INC                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $29574.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SHIZUOKA FINANCIAL GROUP INC                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $46889.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ZURICH INSURANCE GROUP AG                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $3474.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NOVA TECHNOLOGY CORP/TAIWAN                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $11534.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HITO COMMUNICATIONS HOLDINGS INC                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1027.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DIALOG GROUP BHD                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-36956.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS AIXTRON SE                                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-101744.20   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS VENTURE LIFE GROUP PLC                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $17903.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-183.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SVENSKA CELLULOSA AB SCA                                                                                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-6391.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS GETINGE AB                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $5239.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                     | TRS ENHACAT5 INDEX                                                                                                                       | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DE               | CORP              | FR        |           1 | NC      | $120022.22    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KOSAIDO HOLDINGS CO LTD                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-8364.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SAMSUNG SDI CO LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-156415.30   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS METSA BOARD OYJ                                                                                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $12536.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS METALL ZUG AG                                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $9983.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SATS ASA                                                                                                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $34865.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TOYOTA TSUSHO CORP                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $981.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS TOTALENERGIES                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-56988.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-387.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS FORFARMERS NV                                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $73279.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FORMOSA LABORATORIES INC                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-223.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CONTINENTAL HOLDINGS CORP                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $9376.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS HUSQVARNA AB                                                                                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-45219.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SINGAPORE POST LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $96919.85     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS IBIDEN CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-46160.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SPIE SA                                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $24248.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS GOTO GOJEK TOKOPEDIA TBK                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2202.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FOOSUNG CO LTD                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-23043.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ELECTRO OPTIC SYSTEMS HOLDINGS LTD                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12448.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $398.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BANCO DE SABADELL                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-92.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS TURK HAVA YOLLARI                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $539.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS FORVIA SE                                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $4477.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SHANDONG WIT DYNE HEALTH CO LTD                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3643.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS COCA-COLA HBC AG                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $70633.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS GRENKE AG                                                                                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2995.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS EDREAMS ODIGEO SA                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $60794.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SKY NETWORK TELEVISION LTD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6953.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS SHIMA SEIKI MFG                                                                                                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8211.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CRH PLC                                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-40749.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | 10-Year T-Note Futures, Jun-2026,ETH                                                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -25 | NC      | $-18467.31    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $50.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SHARINGTECHNOLOGY INC                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1436.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS AUST AG CO FPO                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $504.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LAKE MATERIALS CO LTD                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-104152.04   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TOYOTA BOSHOKU CORP                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $101417.28    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS CRESCO LTD                                                                                                                           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2244.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS QUALITAS REAL ESTATE INCOME FUND                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-246.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SIEMENS ENERGY AG                                                                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $102251.36    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS EVA PRECISION INDUSTRIAL HOLDINGS LTD                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $7266.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TAIWAN MOBILE CO LTD                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8657.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS IYOGIN HOLDINGS INC                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $74995.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-78.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS TIKEHAU CAPITAL SCA                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2538.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SBI ARUHI CORP                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-15046.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS YU GROUP PLC                                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $24122.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS YULON FINANCE CORP                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3335.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ACCELLERON INDUSTRIES AG                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-388.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HARTALEGA HOLDINGS BHD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $6004.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS WPP PLC ORD                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5997.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CARMILA SA                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $37001.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS TECHNOGYM SPA                                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $199252.89    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PERENTI LTD                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $19132.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-329.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ACERINOX SA                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-63963.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS STORYTEL AB                                                                                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-25807.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ESSITY AB                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-23418.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS BLUE MOON GROUP HOLDINGS LTD                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $27951.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS VOLVO AB                                                                                                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-39478.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SENSHU ELECTRIC CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $44643.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS TURKCELL                                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $26364.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BENDIGO & ADELAIDE BANK LTD                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8584.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS MONDADORI EDIT                                                                                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $1471.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS HOLCIM AG                                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $383.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1087.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS PHILEX MINING CORPORATION                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3756.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS JOST WERKE SE                                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $7608.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS RCE CAPITAL BHD                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-676.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KE HOLDINGS INC                                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $21730.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS INDUSTRIA DE DISENO TEXTIL SA                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8208.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SWISSCOM AG                                                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-83500.95    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HARBIN ELECTRIC CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $112493.65    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TUAS LTD                                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1116.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NIPPON CARBIDE INDUSTRIES CO INC                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $28339.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HISENSE HOME APPLIANCES GROUP CO LTD                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1490.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3.59        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SYARIKAT TAKAFUL MALAYSIA KELUARGA BHD                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5526.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SIEMENS N ORD                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16832.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS GUANGZHOU AUTOMOBILE GROUP CO LTD                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-822.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DCC PLC                                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $22022.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ZHEJIANG WEIXING NEW BUILDING MATERIALS CO LTD                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1358.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MINOR INTERNATIONAL PCL                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-602.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FUYAO GLASS INDUSTRY GROUP CO LTD                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-952.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LANDMARK OPTOELECTRONICS CORP                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-132904.81   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA MEDICAL SYSTEM HOLDINGS LTD                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-5457.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS UNIQA INSURANCE GROUP AG                                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5348.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-12.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SMARTGROUP CORP LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $34450.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS QINETIQ GROUP PLC                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $18970.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS GB GROUP ORD                                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $13303.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KELINGTON GROUP BHD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1586.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TIANGONG INTERNATIONAL CO LTD                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-35637.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TAIWAN SURFACE MOUNTING TECHNOLOGY CORP                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-20898.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PUIG BRANDS SA                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-136.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DOOSAN CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-29298.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS NEXT GEOSOLUTIONS EUROPE SPA                                                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $2177.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NICHIHA CORP                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-6363.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-87.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS FINTEL PLC                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $13700.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS YAMAZAKI BAKING CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $14517.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS MOLTIPLY GROUP SPA                                                                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $13782.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BANK CENTRAL ASIA TBK PT                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $29942.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FULGENT SUN INTERNATIONAL HOLDING CO LTD                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $15833.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS 3I GROUP PLC                                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-43801.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ZHONG YANG TECHNOLOGY CO LTD                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $9443.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS IJM CORP BHD                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-640.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BANCO BILBAO VIZCAYA ARGENTARIA SA                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $29110.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS PHARMARON BEIJING CO LTD                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-5901.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-173.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PROPEL FUNERAL PARTNERS LTD                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3748.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS FABEGE AB                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $6245.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BARRATT REDROW PLC                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $36787.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SINO LAND CO LTD                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-83172.73    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BRENNTAG SE                                                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $2095.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TAIWAN PAIHO LTD                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12930.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS FASTIGHETER AB                                                                                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-6375.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | IRS TRY                                                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |           1 | NC      | $2047.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS GREGGS PLC                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $18929.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS PER AARSLEFF HOLDING A/S                                                                                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $102329.48    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-311.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HIGHWEALTH CONSTRUCTION CORP                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4419.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS STOR-AGE PROPERTY REIT LTD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2468.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ELIA GROUP SA/NV                                                                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-116886.92   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS TAIWAN SEMICONDUCTOR MANUFACTURING CO LTD                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $13008.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BYTES TECHNOLOGY GROUP PLC                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $4953.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SOMERO ENTERPRISES INC                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3145.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS VODAFONE GROUP PLC                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $37746.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CREATE RESTAURANTS HOLDINGS INC                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1622.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS AKESO INC                                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $7987.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS RECTICEL SA                                                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8339.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-148.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS RATCHTHANI LEASING PCL                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-39.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CROMWELL PROPERTY GROUP                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8606.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS RINNAI CORP                                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $14672.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HERTZ GLOBAL HOLDINGS INC                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $14007.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS XIN POINT HOLDINGS LTD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $543.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS GOLDCREST CO LTD                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $142.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NISSHA CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1411.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS YUTORI INC                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $9606.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LG CHEM LTD                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-89514.64    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS WALSIN LIHWA CORP                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-41884.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LIMITED | SGX FTSE Taiwan Index Futures, March 2026                                                                                                | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | N/A       |         -12 | NC      | $-36591.48    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $142.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS EMS-CHEMIE HOLDING AG                                                                                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-40325.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | IRS TRY                                                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-7584.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LG UPLUS CORP                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $29616.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS GIORDANO INTERNATIONAL LTD                                                                                                           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1400.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS OPMOBILITY                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $128342.99    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA LONGYUAN POWER GROUP CORP LTD                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-16765.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SASOL LTD                                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $220455.12    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS OSB GROUP PLC                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $62524.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WESTPAC BANKING CORP                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-32902.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ABLE GLOBAL BHD                                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2407.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $20.17        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ABRDN EUROPEAN LOGISTICS INCOME PLC                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $28764.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SAIZERIYA CO LTD                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4009.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS IMPERIAL HOTEL LIMITED                                                                                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-41387.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS PUMA SE                                                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8593.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS B&P CO LTD                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2219.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS SWISS RE AG                                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2377.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS LONDON STOCK EXCHANGE GROUP PLC                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $10475.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS DORMAKABA HOLDING AG                                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17534.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SHANDONG IRON AND STEEL CO LTD                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $9371.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SKS TECHNOLOGIES GROUP LTD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $36532.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-92.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS COATS GROUP PLC                                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17590.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MOUNT GIBSON IRON LTD                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $15466.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS WOOLWORTHS HOLDINGS LTD/SOUTH AFRICA                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2146.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ELECNOR SA                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8617.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PEPKOR HOLDINGS LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2845.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS GALLIFORD TRY HOLDINGS PLC                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $82781.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NISSAN MOTOR CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-19512.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS YANGZIJIANG FINANCIAL HOLDING LTD                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-32863.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KINA SECURITIES LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-921.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS DOUGLAS AG                                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5132.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-78.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS NATWEST GROUP PLC                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $105019.03    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MEGMILK SNOW BRAND CO LTD                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $30156.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS COSMOAM&T CO LTD                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-31842.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ENNOCONN CORPORATION                                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1518.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS WH GROUP LTD                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $37168.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SNT DYNAMICS CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $727.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS VIA LABS INC                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $12655.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA COMMUNICATIONS SERVICES CORP LTD                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-663.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ICHIGO INC                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-22642.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FOCI FIBER OPTIC COMMUNICATIONS INC                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-41003.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-532.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS HAYPP GROUP AB                                                                                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-3400.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HENGYI PETROCHEMICAL CO LTD                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-27654.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS WAREHOUSE GROUP                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-540.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHRYSOS CORP LTD                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-33475.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS EASY BIO INC                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6381.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS STORSKOGEN GROUP AB                                                                                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $76979.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HENDERSON LAND DEVELOPMENT CO LTD                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-31226.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS KERING SA                                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-22178.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MOONPIG GROUP PLC                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8896.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ALL RING TECH CO LTD                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-79820.24    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1016.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TAIHEI DENGYO KAISHA LTD                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-73680.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SHINHAN ALPHA REIT CO LTD                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $0.32         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS EUROCOMMERCIAL PROPERTIES NV                                                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $26268.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS XVIVO PERFUSION AB                                                                                                                   | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $12237.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SEMITEC CORP                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $21914.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MEGASTUDYEDU CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4077.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS COSCO SHIPPING SPECIALIZED CARRIERS CO LTD                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $27320.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS BUYSELL TECHNOLOGIES CO LTD                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-283.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS JSE LTD                                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $28703.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CONSUN PHARMACEUTICAL GROUP LTD                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $53914.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $278.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SUMITOMO METAL MINING CO LTD                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-56636.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KWEICHOW MOUTAI CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1427.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS TELEPERFORMANCE                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-74107.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CAPITALAND INVESTMENT LTD/SINGAPORE                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-28769.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CARNARVON ENERGY LTD                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2183.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HAIER SMART HOME CO LTD                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $9033.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS QINGHAI SALT LAKE INDUSTRY CO LTD                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-26345.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DOMINO'S PIZZA GROUP PLC                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $79048.18     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS VOLTALIA SA                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $17206.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS DEME GROUP NV                                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $101114.21    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-44.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS VALTERRA PLATINUM LTD                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-96831.64    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS RIVERSTONE HOLDINGS LTD                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13129.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ATLAS COPCO AB                                                                                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-4062.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS EVERPLAY GROUP PLC                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-32746.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SECUNET SECURITY NETWORKS AG                                                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $3399.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS MOMENTUM GROUP AB                                                                                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $6722.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS EL.EN.                                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $22867.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NIEN MADE ENTERPRISE CO LTD                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4208.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SAPPI LTD                                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-240077.78   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SAMSUNG SECURITIES CO LTD                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $59108.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $46.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS ORIENT CORP                                                                                                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5756.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HEIWA CORP                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2428.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS AISIN CORP                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $50323.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TAIHAN ELECTRIC WIRE CO LTD                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-97820.81    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HAN KUK CARBON CO LTD                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $33091.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS PEXIP HOLDING ASA                                                                                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $31019.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS AEDIFICA SA                                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $30254.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SOLSTAD OFFSHORE ASA                                                                                                                 | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $43428.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MODERN DENTAL GROUP LTD                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $28905.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS MARR SPA                                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3698.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5.84         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HARMONIC DRIVE SYSTEMS INC                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-72307.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MITSUBISHI GAS CHEMICAL CO INC                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-33811.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS FUJI SEAL INTERNATIONAL INC                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1758.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ELMERA GROUP ASA                                                                                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-3914.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KEIHANSHIN BUILDING CO LTD                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-15495.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ATE ENERGY INTERNATIONAL CO LTD                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5766.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ARGENX SE                                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $1768.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS INDEX LIVINGMALL PCL                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5574.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS EVERGREEN AVIATION TECHNOLOGIES CORP                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4497.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA OILFIELD SERVICES LTD                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $30189.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | 2-Year T-Note Futures, Jun-2026,ETH                                                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -238 | NC      | $-80892.06    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $393.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS BOOZT AB                                                                                                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $1604.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS INDUS HOLDING AG                                                                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $21369.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NORWEGIAN AIR SHUTTLE ASA                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $92752.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | IRS USD                                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |           1 | NC      | $32779.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DELIVERY HERO SE                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $31942.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS GENUIT GROUP PLC                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4884.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SEOJIN SYSTEM CO LTD                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-94173.12    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SHINNIHONSEIYAKU CO LTD                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4169.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS AVOLTA AG                                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $55794.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SANKEN ELECTRIC CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2420.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1.23         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS POWER WIND HEALTH INDUSTRY INC                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1832.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SONOVA HOLDING AG                                                                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $1217.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SPC SAMLIP CO LTD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5284.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS BUDWEISER BREWING CO APAC LTD                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $9218.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                       | IRS CZK                                                                                                                                  | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-415.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BOSSARD HOLDING AG                                                                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $17377.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MICHELIN                                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-45063.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CIKARANG LISTRINDO TBK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $802.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SECURITAS AB                                                                                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $48285.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS JAYA TIASA HOLDINGS BHD                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7705.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8.62        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS CNH INDUSTRIAL NV                                                                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4142.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS VZ HOLDING N                                                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $2375.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GUANGDONG HAID GROUP CO LTD                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-527.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NOLATO AB SER. B                                                                                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-12695.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS HANSA BIOPHARMA AB                                                                                                                   | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-19792.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS COVIVIO                                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2281.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS HAFNIA LTD                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $97280.89     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TECHNIP ENERGIES NV                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3760.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS DANIELI & C OFFICINE MECCANICHE SPA                                                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $270115.57    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS WACKER CHEMIE AG                                                                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-91813.73    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-0.36        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PENTAMASTER CORP BHD                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $844.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS LIFENET INSURANCE CO                                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-138.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS YAKULT HONSHA CO LTD                                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-286.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ARISTON HOLDING NV                                                                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $15233.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS VTECH HOLDINGS LTD                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $11247.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BELLWAY PLC                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1208.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SAFESTORE HOLDINGS PLC                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15016.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BOLLORE SE                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $17007.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS UNITED INTERNET AG                                                                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-111456.29   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NCC GROUP PLC                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $15890.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-75.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS RATHBONES GROUP PLC                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-45657.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TRANSACTION CO LTD                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4315.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ADVANCED MEDICAL SOLUTIONS GROUP PLC                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $127.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS KAINOS GROUP PLC                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-20806.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS OSAKA ORGANIC CHEMICAL INDUSTRY                                                                                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $35232.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS RVRC HOLDING AB                                                                                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $5158.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SVENSKA HANDELSBANKEN AB                                                                                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-37403.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DASSAULT SYSTEMES SE                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2654.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MEBUKI FINANCIAL GROUP INC                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $73400.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS TAG IMMOBILIEN AG                                                                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3394.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1.63         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NOBIA AB                                                                                                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $19335.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS DEUTSCHE POST AG                                                                                                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-28135.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS GEA GROUP AG                                                                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $12685.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS TUBACEX SA                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4091.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ZANYU TECHNOLOGY GROUP CO LTD                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $19607.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS HOIST FINANCE AB                                                                                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $149254.53    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS MAGNORA ASA                                                                                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $556.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS TELEVISION FRANCAISE 1 SA                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-24197.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BIESSE SPA                                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $2271.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS EFG INTERNATIONAL AG                                                                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $177877.11    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $50.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SOITEC                                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7061.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FICONT INDUSTRY BEIJING CO LTD                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $37261.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS TEN SQUARE GAMES SA                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $14209.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ELEKTA AB                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-2739.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CMGE TECHNOLOGY GROUP LTD                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2392.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HKT TRUST & HKT LTD                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-6777.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS FNAC DARTY                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-23959.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS MODERN TIMES GROUP MTG AB                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-101174.35   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS EXEM CO LTD                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8408.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TAITA CHEMICAL CO LTD                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-316.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $144.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS EUROCELL PLC                                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13632.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GUAN CHONG BHD                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1519.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                       | IRS USD                                                                                                                                  | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $14223.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHINA EVERBRIGHT BANK CO LTD                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7860.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS INSTONE REAL ESTATE GROUP SE                                                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $8151.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ATRIUM LJUNGBERG AB                                                                                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-1830.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LYNAS RARE EARTHS LTD                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-43501.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ZUMTOBEL GROUP AG                                                                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1022.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS INWIT                                                                                                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $1327.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WOWPRIME CORP                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-47637.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $259.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CRODA INTERNATIONAL PLC                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $20211.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SMURFIT WESTROCK PLC                                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3695.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LEVIMA ADVANCED MATERIALS CORP                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4102.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS PHC HOLDINGS CORP                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1838.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS OVS SPA                                                                                                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $173840.91    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HUBEI ZHENHUA CHEMICAL CO LTD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $64039.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CLP HOLDINGS LTD                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-12092.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KOREAN AIR LINES CO LTD                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6133.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GUANGSHEN RAILWAY CO LTD                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3628.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS SOKEN CHEMICAL & ENGINEERING CO                                                                                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $33217.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-130.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SANLAM LTD                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-36425.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NEC CAPITAL SOLUTIONS LTD                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-7160.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HANWA CO LTD                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $532.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS WILSON BAYLY HOLMES-OVCON LTD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $15082.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SKELLERUP HOLDINGS NPV                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $7452.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS MEITUAN                                                                                                                              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $19254.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MATRIX CONCEPTS HOLDINGS BHD                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13793.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SINOPEC SHANGHAI PETROCHEMICAL CO LTD                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $15635.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS AIDA ENGINEERING LTD                                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $22493.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS JAPAN INVESTMENT ADVISER CO LTD                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-738.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA SECURITIES EXCHANGE                       | TOPIX TRADE FUTURE, MAR 2026                                                                                                             | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               | CORP              | N/A       |          19 | NC      | $613594.01    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $35.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS KONTRON AG                                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2322.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS JEAN CO LTD                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $7539.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DIGIPLUS INTERACTIVE CORP                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-53317.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS AGC INC                                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $14243.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MERITZ FINANCIAL GROUP INC                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11267.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HOTAI FINANCE CO LTD                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $24018.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS M-UP HOLDINGS INC                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-16962.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BE SEMICONDUCTOR INDUSTRIES NV                                                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-164957.89   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS CLOETTA AB                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $4141.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TERA PROBE INC                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $70129.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1407.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ALUMINUM CORP OF CHINA LTD                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $75883.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS FUDO TETRA CORP                                                                                                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21129.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHOW SANG SANG HOLDINGS INTERNATIONAL LTD                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $31370.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CLARIANE SE                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12268.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS GIMV NV                                                                                                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5761.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS AOYAMA TRADING CO LTD                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $18937.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS YOKOGAWA BRIDGE HOLDINGS CORP                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-27191.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS OCEANA GROUP LTD                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1024.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SINGAPORE TECHNOLOGIES ENGINEERING LTD                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6594.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS LPP                                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5404.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $12.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SUPPLY NET FPO                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7424.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS TITAN S.A.                                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15546.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS PURETECH HEALTH PLC                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $17340.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS RECORDATI ORD                                                                                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $6721.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LEONG HUP INTERNATIONAL BHD                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $23386.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS WATCHES OF SWITZERLAND GROUP P                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-45887.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS HEIDELBERGER DRUCKMASCHINEN AG                                                                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-37608.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS COMMERZBANK AG                                                                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $50124.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS EREX CO LTD                                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3101.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS POLAR CAPITAL HOLDINGS PLC                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $49630.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $198.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GULF MARINE SERVICES PLC                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $13260.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS KONINKLIJKE HEIJMANS N.V                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $225485.06    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS CORBION NV                                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $29554.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS YAMATO HOLDINGS CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $864.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS GREAT WALL MOTOR CO LTD                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-31015.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS JARDINE MATHESON HOLDINGS LTD                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $37385.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DOOSAN FUEL CELL CO LTD                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-52250.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS LANDIS+GYR GROUP AG                                                                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $25211.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA VANKE CO LTD                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $9799.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS FUYAO GLASS INDUSTRY GROUP CO LTD                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $14878.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $24.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LUXSHARE PRECISION INDUSTRY CO LTD                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2172.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS JM AB                                                                                                                                | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-397.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS INTERPUMP GROUP SPA                                                                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11598.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS GREENTOWN MANAGEMENT HOLDINGS CO LTD                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $10267.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS YIDU TECH INC                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-8284.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AUSTRALIAN CLINICAL LABS LTD                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21831.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS DUERR AG                                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $53284.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS AMATA CORP                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $51348.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SINGAPORE EXCHANGE LTD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $18667.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ALLEIMA AB                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-794.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $138.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS INTEGRAFIN HOLDINGS PLC                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-19222.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS VEIDEKKE ASA                                                                                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $57996.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LIGACHEM BIOSCIENCES INC                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-31991.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MITCHELLS & BUTLERS PLC                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $39076.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ANGANG STEEL CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2262.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GRAPE KING BIO LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4216.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS JET2 PLC                                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-37688.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CVS GROUP PLC                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-42080.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PARK SYSTEMS CORP                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7285.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CYBERFLKS                                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2747.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-340.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS YANKEY ENGINEERING CO LTD                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $19798.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHALICE MINING LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2337.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS PATRIZIA SE                                                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-25728.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ANIMA HOLDING SPA                                                                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $7066.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GUZMAN Y GOMEZ LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $43974.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HORIZON ROBOTICS                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3911.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ESSILORLUXOTTICA SA                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $11151.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS IMPEDIMED LTD                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2043.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ZEHNDER GROUP AG                                                                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $94291.55     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SUNTEC REAL ESTATE INVESTMENT TRUST                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-199.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $128.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SHENZHEN FASTPRINT CIRCUIT TECH CO LTD                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8405.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS BACHEM N                                                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $1675.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HERMES INTERNATIONAL SCA                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $7979.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DIT CORP                                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $32619.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS AKER SOLUTIONS ASA                                                                                                                   | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $90017.59     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ERG SPA                                                                                                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-56675.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SINCH AB                                                                                                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-19891.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS YAMABIKO CORP                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $39642.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS DAISEKI CO LTD                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1892.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KAMEDA SEIKA CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-16269.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $199.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS YASKAWA ELECTRIC CORP                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-42129.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS DEUTSCHE BOERSE AG                                                                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $1398.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS COUNTRY GARDEN SERVICES HOLDINGS CO LTD                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-6166.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS YONDOSHI HOLDINGS INC                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-5801.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CHANNEL INFRASTRUCTURE NZ LTD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-25961.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS CY4GATE SPA                                                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11706.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS AVIVA PLC                                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14334.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS OFFSHORE OIL ENGINEERING CO LTD                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $33485.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LUMAX INTERNATIONAL CORP LTD                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $21345.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS FUKUYAMA TRANSPORTING CO LTD                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-15356.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $216.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS PRECISION TSUGAMI CHINA CORP LTD                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1976.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DONGSUNG FINETEC                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $14845.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS NCAB GROUP AB                                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-979.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS STXE 600 IG&S PR INDEX                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21378.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BANK BTPN SYARIAH TBK PT                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4859.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHINA SOUTHERN POWER GRID ENERGY STORAGE CO LTD                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4176.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CHRYSALIS INVESTMENTS LTD                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $17723.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS IREN SPA                                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $29191.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS OPEN DOOR INC                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3354.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                       | IRS HUF                                                                                                                                  | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $30914.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS MONEP                            | CAC 40 Index Future, Mar 2026                                                                                                            | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DE               | CORP              | FR        |         -25 | NC      | $-55370.70    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ITALIAN DERIVATIVES MARKET                      | FTSE 2026, MIB Index Future Mar                                                                                                          | CUSIP: 000000000<br>LEI: 8156005391EE905D3124 | N/A              | DE               | CORP              | IT        |          10 | NC      | $162057.43    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $352.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BANGKOK CHAIN HOSPITAL PCL                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2589.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ACER INC                                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $11975.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS INCAP CORPORATION                                                                                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $1804.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KOMEHYO HOLDINGS CO LTD                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-18919.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MELIA HOTELS INTERNATIONAL SA                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $13926.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS REGIONAL REIT LTD                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2237.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GRAINGER PLC                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-143.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS THULE GROUP AB                                                                                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-1197.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS KONINKLIJKE PHILIPS NV                                                                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12095.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SL CORP                                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $65405.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $89.07        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SSE PLC                                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-82586.64    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SCI PHARMTECH INC                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $7772.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CONTEMPORARY AMPEREX TECHNOLOGY CO LTD                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4770.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS POP MART INTERNATIONAL GROUP LTD                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4961.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SCHOELLER-BLECKMANN OILFIELD EQUIPMENT AG                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-41339.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HOUSE FOODS GROUP INC                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-306.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS AVANZA BANK HOLDING AB                                                                                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-10068.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS EGUARANTEE INC                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-8078.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SUMCO CORP                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-40228.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TRUE CORP PCL                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5158.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-71.14       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ZINZINO AB                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $5145.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS COTA CO LTD                                                                                                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $3794.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS VBG GROUP AB                                                                                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-28014.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS FU SHOU YUAN INTERNATIONAL GROUP LTD                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $19449.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ASML HOLDING NV                                                                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $138587.80    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ENAGAS,S.A.                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $18774.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ZERO ONE TECHNOLOGY                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $10956.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ADMIRAL GROUP                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $295.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ZUKEN INC                                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-8586.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CITIZEN WATCH CO LTD                                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $30837.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-179.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SBI HOLDINGS INC                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1634.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BENEFIT                                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-38830.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DONGKOOK PHARMACEUTICAL                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $26196.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NINE ENTERTAINMENT CO HOLDINGS LTD                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $53427.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SIA ENGINEERING                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2120.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CSPC INNOVATION PHARMACEUTICAL CO LTD                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1807.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ENQUEST PLC                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $29010.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHARTER HALL SOCIAL INFRASTRUCTURE REIT                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7206.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS FUFENG GROUP LTD                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3539.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ICADE                                                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $533.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-587.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                       | IRS USD                                                                                                                                  | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $12588.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WEIR GROUP PLC/THE                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-78598.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SHIN MAINT HOLDINGS CO LTD                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4052.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS INDUTRADE AB                                                                                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $1544.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SULZER AG                                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $41792.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DOGAN HOLDING                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $19170.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CEDAR WOODS PROPERTIES LTD                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $8862.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DOVALUE                                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $18636.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS POLE TO WIN HOLDINGS INC                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-92.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS IVE GROUP LTD                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1500.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $107.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SAGA PLC                                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-429854.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS UNIVERSAL STORE HOLDINGS LTD                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $24222.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CMOC GROUP LTD                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $77820.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SUNGSHIN CEMENT CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-344.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS PARADOX INTERACTIVE AB                                                                                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $4855.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TOKAI CARBON CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $9229.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MTN GROUP LTD                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $179998.94    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS WASION HOLDINGS LTD                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $131801.51    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TRANSURBAN GROUP                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1301.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS GUNOSY INC                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5121.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $114.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HOLLYWOOD BOWL GROUP                                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2893.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CHAMP IRON FPO                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $500.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HUMEDIX CO LTD                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1485.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS YOKOREI CO LTD                                                                                                                       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-30296.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PPC LTD                                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3393.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS GREENCORE GROUP PLC                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $109550.23    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NISHI-NIPPON FINANCIAL HOLDINGS INC                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $50139.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SUNWAY REAL ESTATE INVESTMENT TRUST                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $13399.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PETRONAS DAGANGAN BHD                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $19540.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS SHIN-ETSU CHEMICAL CO                                                                                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-20274.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-302.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DOGUS OTOMOTIV                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $24876.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS AIRBUS SE                                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-751.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | IRS COP                                                                                                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-59070.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GLOBAL BRANDS MANUFACTURE LTD                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $915.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS TEKFEN HOLDING                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $22291.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SYMTEK AUTOMATION ASIA CO LTD                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2948.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ST BARBARA LTD                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-108870.63   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS GAZTRANSPORT ET TECHNIGAZ SA                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $23969.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PHARMARESEARCH CO LTD                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-38359.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SINOPEC KANTONS HOLDINGS LTD                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2441.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $38.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DIAGEO PLC                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $7632.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS VEOLIA ENVIRONNEMENT SA                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $47444.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS SUNSHINE LAKE PHARMA CO LTD                                                                                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $5968.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SGH LTD                                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $940.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MEGA FINANCIAL HOLDING CO LTD                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6906.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AUDEN TECHNO CORP                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-20165.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SPAREBANK 1 SOR-NORGE ASA                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-65999.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS EM SYSTEMS CO LTD                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-125.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ALLIANCE BANK MALAYSIA BHD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-576.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DAESANG CORP                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6780.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6.10        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DINO POLSKA SA                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-23109.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SWORD GROUP                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3262.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS LOTUS BAKERIES NV                                                                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-67928.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ANTOFAGASTA PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-69627.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS SAIPEM SPA                                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $206352.85    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SHANGHAI AIYINGSHI CO LTD                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1801.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CDL HOSPITALITY TRUSTS                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11462.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS JARDINE CYCLE & CARRIAGE LTD                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $9570.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS HUHTAMAKI OYJ                                                                                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-34083.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS EMEIS SA                                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16942.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Soybean Meal Futures                                                                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-1052.21     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $121.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS VICORE PHARMA HOLDING AB                                                                                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $143.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ERAJAYA SWASEMBADA TBK PT                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6246.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CVILUX CORP                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $40881.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SOFTBANK GROUP CORP                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-14872.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS 77 BANK LTD/THE                                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $109727.29    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS TURK TELEKOM                                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $20984.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS GN STORE NORD AS                                                                                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-16107.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS KOYOU RENTIA CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2512.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS MYCRONIC AB                                                                                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $3722.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SUZUKEN CO LTD/AICHI JAPAN                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $18215.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-53.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TOYOTA MOTOR CORP                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-48012.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ENDESA SA                                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $103975.39    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS NOVARTIS AG                                                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $107651.95    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS UMICORE SA                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $111742.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BANK OCBC NISP TBK PT                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3802.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS JW PHARMACEUTICAL CORP                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $12375.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS J&T GLOBAL EXPRESS LIMITED                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4157.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS CHINA LESSO GROUP HOLDINGS LTD                                                                                                       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9934.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK, NATIONAL ASSOCIATION       | TRS INTEGRATED SERVICE TECHNOLOGY INC                                                                                                    | CUSIP: 000000000<br>LEI: G1MLHIS0N32I3QPILB75 | N/A              | DE               | CORP              | US        |           1 | NC      | $2829.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NIPPON SEIKI CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $79902.58     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $48.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS COLES GROUP LTD                                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6226.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS PENNON GROUP PLC                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-216402.49   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS TEAM INTERNET GROUP PLC                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-147596.38   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NOMURA MICRO SCIENCE CO LTD                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-40237.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS IMMUTEP LTD                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6331.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS AMBEA AB                                                                                                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $35202.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HYUNDAI WIA CORP                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $113352.53    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS INTERNATIONAL CONSOLIDATED AIRLINES GROUP SA                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $179521.80    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KINGFA SCI & TECH CO LTD                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $34776.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AKR CORPORINDO TBK PT                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-69.31       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $219.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS EUTELSAT COMMUNICATIONS SACA                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4887.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS GOLDEN AGRI-RES                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $1257.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS KONGSBERG GRUPPEN ASA                                                                                                                | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $54409.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FLUIDRA SA                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9015.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ALBARAKA TURK KATILIM BANKASI AS                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $16016.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ANGANG STEEL CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9221.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MEGAWORLD CORP                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5126.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NIPPON STEEL CORP                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $466.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS METSO OYJ                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-127957.25   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GLOBAL TAX FREE CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1910.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $120.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS VATS LIQUOR CHAIN STORE MANAGEMENT JSC LTD                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1368.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ING BANK SLASKI SA                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17112.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LOTTE ENERGY MATERIALS CORP                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-90579.18    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SEVERFIELD PLC                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $12667.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ORSERO SPA                                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $34711.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA EVERBRIGHT LTD                                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $6450.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS EUROFINS SCIENTIFIC SE                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $31566.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS RUN LONG CONSTRUCTION CO LTD                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $11494.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NETEASE INC                                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-19534.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ZERO CO LTD                                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $9086.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-18.58       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS WHARF HOLDINGS LTD/THE                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-6433.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS VAISALA CORPORATION A                                                                                                                | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-8238.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PWR HOLDINGS LTD                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-75485.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | IRS MYR                                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-7180.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FLETCHER BUILDING LTD                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4001.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SIMCERE PHARMACEUTICAL GROUP LTD                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-5455.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS KPIC                                                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $160568.90    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS HUBER+SUHNER N                                                                                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13504.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HSIN KUANG STEEL CO LTD                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1054.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS COLRUYT GROUP N.V                                                                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-836.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-19.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GLOBAL POWER SYNERGY PCL                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4455.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                       | IRS HUF                                                                                                                                  | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-7317.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ENCE ENERGIA Y CELULOSA SA                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $12389.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS RENTOKIL INITIAL PLC                                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-39947.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ENDO LIGHTING CORP                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $19670.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS JBCC HOLDINGS INC                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-825.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ORANGE POLSKA SA                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $18253.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS EN INC/JAPAN                                                                                                                         | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $7171.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS JCR PHARMACEUTICALS CO LTD                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-8804.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA INTERNATIONAL MARINE CONTAINERS GROUP CO LTD                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $67628.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1046.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS CADELER A/S                                                                                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-46536.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS CAREL INDUSTRIES SPA                                                                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-50340.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS REUNERT LTD                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $6154.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                  | TRS CIFXPPDD                                                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DE               | CORP              | US        |           1 | NC      | $-151583.60   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS FORBO HOLDING AG                                                                                                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-40168.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINASOFT INTERNATIONAL LTD                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $32814.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS RAUBEX GROUP LTD                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $7454.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS LITALICO INC                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1553.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ASIAINFO TECHNOLOGIES LTD                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $137.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS GLOBAL MIXED-MODE TECHNOLOGY INC                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $7615.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $867.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SUPERMARKET INCOME REIT PLC                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7767.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS JVM CO LTD                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12267.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS RISO KAGAKU CORP                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1877.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS GRUPO EMPRESARIAL SAN JOSE, S.A.                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $22082.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SMC CORP                                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-75226.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS YAMAMI COMPANY                                                                                                                       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2351.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DOUBLEUGAMES CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $571.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ASX LTD                                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $627.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS COSTAIN GROUP PLC                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $77426.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | IRS COP                                                                                                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-67531.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-582.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS AKBANK                                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-40539.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BRITISH LAND CO PLC                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17263.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS FORTRESS REAL ESTATE INVESTMENTS LTD                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $98771.89     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS ARCADIS                                                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $31640.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS OUTOKUMPU OYJ                                                                                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-114298.92   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MANITOU BF SA                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7999.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS KINGSOFT CORP                                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $570.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS HEINEKEN NV                                                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21277.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NORCONSULT NORGE AS                                                                                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $3027.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HOTA INDUSTRIAL MANUFACTURING CO LTD                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $533.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Soybean Meal Futures                                                                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-662.21      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-101.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CGN MINING CO LTD                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-90383.15    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS YANGZIJIANG SHIPBUILDING HOLDINGS LTD                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $28497.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NETCOMPANY GROUP A/S                                                                                                                 | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-584.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MEGACHIPS CORP                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-29804.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HANMI SEMICONDUCTOR CO LTD                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-95995.27    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BANQUE CANTONALE VAUDOISE                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-117134.57   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ISS A/S                                                                                                                              | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $19676.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS UNITE GROUP PLC/THE                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $74260.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS LUBELSKI WEGIEL BOGDANKA SA                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-26698.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SUNSHINE INSURANCE GROUP                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $548.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-74.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS SOLAR TECHNOLOGY AG                                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $60400.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MITSUBOSHI BELTING LTD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-9944.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS OLD MUTUAL LTD                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $82723.93     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LAGENDA PROPERTIES BHD                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1602.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS EUBIOLOGICS CO LTD                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $9353.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS INFOMART CORP                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $846.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TAIWAN HIGH SPEED RAIL CORP                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $23909.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS COSTAIN GROUP PLC                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $1709.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BANK MANDIRI PERSERO TBK PT                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15804.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NXERA PHARMA CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-15795.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-121.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS VALIANT HOLDING AG                                                                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $85380.46     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ALM BRAND A/S                                                                                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-1002.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PILBARA MINERALS LTD                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-61077.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS HEBA FASTIGHETS AB                                                                                                                   | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $375.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS CEMENTIR HOLDING NV                                                                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $17492.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS HIS CO LTD                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1802.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BEGA CHEESE LTD                                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $26936.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS WIHLBORGS FASTIGHETE                                                                                                                 | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-8425.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                       | IRS INR                                                                                                                                  | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-4647.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS PFISTERER HOLDING SE                                                                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2791.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-911.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS KONECRANES OYJ                                                                                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $100373.68    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MIROKU JYOHO SERVICE CO LTD                                                                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-544.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BASILEA PHARMACEUTICA AG ALLSCHWIL                                                                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $79354.65     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KOREA INVESTMENT HOLDINGS CO LTD                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $22744.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ADVANTECH CO LTD                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9408.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NYFOSA AB                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $1174.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ADDNODE GROUP AB                                                                                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $55020.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS BUZZI                                                                                                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $189.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SHINSEGAE INC                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $97692.89     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS U-MING MARINE TRANSPORT CORP                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-19227.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-999.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHINA PETROLEUM ENGINEERING CORP                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5287.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ILUKA RESOURCES LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17222.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TRAVELSKY TECHNOLOGY LTD                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2291.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS NANYA TECHNOLOGY CORPORATION                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $40.37        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS MONTEA NV                                                                                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-10416.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SECHE ENVIRONNEMENT SACA                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6706.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NIHON TRIM CO LTD                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5644.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS JINUSHI CO LTD                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3633.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BGRIMM POWER PCL                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $10698.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS LIECHTENSTEINISCHE LANDESBANK AG                                                                                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-18005.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $502.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SHANGHAI CHICMAX COSMETIC CO LTD                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-18424.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS GETLINK SE                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-62673.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS INTERCONTINENTAL HOTELS GROUP                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $989.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS OEM INTERNATIONAL AB                                                                                                                 | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $1586.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS RIKEN KEIKI CO LTD                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-23946.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS STORA ENSO OYJ                                                                                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $28866.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SEB SA                                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6511.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AURELIA METALS LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-774.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS DIGITAL HEARTS HOLDINGS CO LTD                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $820.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS NH FOODS LTD                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $17598.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6.30        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                | TRS DBCOWVMU INDEX                                                                                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DE               | CORP              | DE        |           1 | NC      | $-274823.79   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS AFRICAN RAINBOW MINERALS LTD                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-130899.80   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS WASEDA ACADEMY CO LTD                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-7104.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS OXFORD NANOPORE TECHNOLOGIES PLC                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7040.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ZOTEFOAMS PLC                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $1694.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS DOW JONES U.S. SELECT HEALTH CARE PROVIDERS INDEX                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-160689.93   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS MICREED CO LTD                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $348.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TCL ELECTRONICS HOLDINGS LTD                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $52768.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HAMMERSON PLC                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $68483.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WEBZEN INC                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1496.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-124.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PEARL ABYSS CORP                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-96254.33    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ZHUZHOU CRRC TIMES ELECTRIC CO LTD                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $8808.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SHANDONG YISHENG LIVESTOCK & POULTRY BREEDING CO LTD                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3338.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS AMG CRITICAL MATERIALS NV                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-170863.43   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS FISKARS OYJ ABP                                                                                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $7523.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AUDINATE GROUP LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $65694.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HD KOREA SHIPBUILDING & OFFSHORE ENGINEERING CO LTD                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $30312.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS TRANSACTION CAPITAL LTD                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $13663.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS THARISA PLC                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $18860.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS OMV AG                                                                                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-41566.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-68.55       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS MUNTERS GROUP AB                                                                                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-70672.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SEAZEN GROUP LTD                                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2262.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CENTURY IRON & STEEL INDUSTRIAL CO LTD                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-28294.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ORSTED AS                                                                                                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $78772.49     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS QD LASER INC                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $38.72        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CLNPHARMA                                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-411.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS QUADIENT S.A.                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $4654.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BIOPLUS CO LTD                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3785.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FISHER & PAYKEL HEALTHCARE CORP LTD                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2872.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS FOCUSRITE PLC                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-167.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-309.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SUN INTERNATIONAL LTD/SOUTH AFRICA                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $13080.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MORTGAGE ADVICE BUREAU HOLDINGS LTD                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $4917.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS INTERNATIONAL PETROLEUM CORP                                                                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-93996.16    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHC HEALTHCARE GROUP                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $252.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS LEROY SEAFOOD GROUP                                                                                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-268.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS JULIUS BAER GROUP LTD                                                                                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $20065.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS RATOS AB                                                                                                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-10825.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS YAPI VE KREDI BANK                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-28726.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SINOPAC FINANCIAL HLDGS CO LTD                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $16864.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS SIEMENS AG                                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-32836.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Soybean Meal Futures, Jul-2026,ETH                                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -3 | NC      | $1883.37      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $15.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SK CHEMICALS CO                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $1081.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS INVESTOR AB                                                                                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-49778.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AIMS APAC REIT                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $12032.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HALEON PLC                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-34881.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HOLTEK SEMICONDUCTOR INC                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15355.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS EVERLIGHT ELECTRONICS CO LTD                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3044.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ZHEJIANG JINGGON                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3414.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS COLOPL INC                                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $7128.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS KIP REAL ESTATE INVESTMEN                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5408.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS INGHAMS GROUP LTD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-86846.23    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9.39        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TOPKEY CORP                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1519.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CENTRICA PLC                                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $84366.97     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS WATKIN JONES PLC                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-71348.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PERUSAHAAN PERKEBUNAN LONDON SUMATRA INDONESIA TBK PT                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8768.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS INTELLIAN TECHNOLOGIES INC                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-168349.83   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS JOHNSON HEALTH TECH                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6166.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ALPS ALPINE CO LTD                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $14334.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS CARLSBERG B A/S                                                                                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-17931.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ASAHI NET INC                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $50.83        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS CLARKSON PLC                                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $29414.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $127.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS TAIWAN-ASIA SEMICONDUCTOR CORP                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17406.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS SOFTWAREONE HOLDING AG                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $687.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS VALNEVA SE                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-19709.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS RASPBERRY PI HOLDINGS PLC                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15766.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HYUNDAI GLOVIS CO LTD                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $48564.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SYDBANK A/S                                                                                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-29814.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FISHER & PAYKEL HEALTHCARE CORP LTD                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $18324.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS HENKEL AG & CO KGAA                                                                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-59314.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ODFJELL SE                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $29171.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NOVONESIS NOVOZYMES B                                                                                                                | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $17353.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6.68         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PRECIOUS SHIPPING PCL                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4447.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GENERATION DEVELOPMENT GROUP LTD                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $16182.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MY HUMBLE HOUSE HOSPITALITY MANAGEMENT CONSULTING                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12534.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS KUEHNE+NAGEL INT N                                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2411.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS JAPAN EYEWEAR HOLDINGS CO LTD                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $13322.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS INTOPS CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4141.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ENENTO GROUP OYJ                                                                                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $9809.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS SANIX HOLDINGS INC                                                                                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3412.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS (NB)SHN AIRPORT                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5647.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ENAV SPA                                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-73738.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-47.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MITIE GROUP PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $46117.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MALAYAN FLOUR MILLS BHD                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $17560.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ECOPROBM CO.LTD                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-52441.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SILTRONIC AG                                                                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-84979.62    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS WIENERBERGER AG                                                                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4062.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS GLOBAL DOMINION ACCESS SA                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17732.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TAZMO CO LTD                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2153.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SWECO AB                                                                                                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-1459.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS EASYJET PLC                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-26947.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS CHARM CARE CORPORATION                                                                                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2729.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $89.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS TRI CHEMICAL LABORATORIES INC                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-7665.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ASSET WORLD CORP PCL                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7745.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GOODMAN GROUP                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $13391.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MBANK SA                                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-169715.22   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS TELENOR ASA                                                                                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-4709.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | IRS BRL                                                                                                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $4729.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS ADESSO SE                                                                                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-10037.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHENG LOONG CORP                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1568.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SHENZHEN HELLO TECH ENERGY CO LTD                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1949.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS IMERYS                                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-18853.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $28.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA CINDA ASSET MANAGEMENT CO LTD                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $13985.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS UNITED MICROELECTRONICS CORP                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $21100.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WPG HOLDINGS LTD                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-136.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS BROTHER INDUSTRIES LTD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2503.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LS MATERIALS LTD                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-54618.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ZHONGAN ONLINE P&C INSURANCE CO LTD                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $14748.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FRANBO LINES CORP                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1733.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS IOI PROPERTIES GROUP BHD                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-32567.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DUG TECHNOLOGY LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11781.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS WEICHAI POWER CO LTD                                                                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $24162.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7.75         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GULF DEVELOPMENT PCL                                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-82217.54    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS PERSEUS PROTEOMICS INC                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $884.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS COFACE                                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $1693.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS TRUECALLER AB                                                                                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-485.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS PHARMA MAR SA                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-75492.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WUHAN JINGCE ELECTRONIC GROUP CO LTD                                                                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-61061.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FRP ADVISORY GROUP PLC                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6240.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HILTON FOOD GROUP PLC                                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-10396.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS TENARIS SA                                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-121987.91   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ERAMET SA                                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21574.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-136.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS GIKEN LTD                                                                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-32968.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS POSCO FUTURE M CO LTD                                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-69855.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS VODACOM GROUP LTD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-20029.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS VT CO LTD                                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $23393.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PEGASUS HAVA TASIMACILIGI AS                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $17904.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA RUYI HOLDINGS LTD                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $20679.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS PHILIPPINE NATIONAL BANK                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3415.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MACQUARIE TECHNOLOGY GROUP LTD                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14878.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NOKIA CORPORATION                                                                                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-12812.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SCHWEITER TECHNOLOGIES AG                                                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14023.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-67.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS COSMAX INC                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5846.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SSAB AB                                                                                                                              | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $42996.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BENQ MATERIALS CORPORATION                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $267.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS AVIO SPA                                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11551.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS THEON INTERNATIONAL PLC                                                                                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-22844.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHUGOKU ELECTRIC POWER CO INC/THE                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-26851.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TOVIS CO LTD                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1184.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS KBC ANCORA                                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $3330.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS E1 CORP                                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $748.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS VIRIDIEN                                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $116471.66    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Soybean Meal Futures, May-2026,ETH                                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -23 | NC      | $-28048.41    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-26.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS RESOLUTE MINING LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $122958.08    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS DNB BANK ASA                                                                                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-1136.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BROGENT TECHNOLOGIES INC                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-429.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS DALIPAL HOLDINGS LTD                                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3461.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHINA GENERAL PLASTICS CORP                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5577.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS BEIERSDORF AG                                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16454.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PRARAM 9 HOSPITAL PCL                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17003.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS COMPUTERSHARE LTD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17316.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ROCKWOOL A/S                                                                                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-3095.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CENTRAL AUTOMOTIVE PRODUCTS LTD                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1735.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1583.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CELLTRION INC                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-28808.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS PROTECTOR FORSIKRING ASA                                                                                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-9864.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS STXE 600 UTIL PR INDEX                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-37598.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MERCIALYS SA                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7359.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SUEDZUCKER AG                                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $879.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KELLER GROUP PLC                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $94140.72     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS GENMAB A/S                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $32438.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS CIBUS NORDIC REAL ESTATE AB PUBL                                                                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $10451.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS MEDIOBANCA BANCA DI CREDITO FINANZIARIO SPA                                                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $977.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KOSSAN RUBBER INDUSTRIES BHD                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1018.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-254.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS GUANGDONG INVESTMENT LTD                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $19621.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS AMS-OSRAM AG                                                                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $61101.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS JIG.JP CO LTD                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2208.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS FORTERRA PLC                                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $4503.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ELMOS SEMICONDUCTOR SE                                                                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $12832.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS WALLENIUS WILHELMSEN ASA                                                                                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $155823.76    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SILICON2 CO LTD                                                                                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $19327.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LT GROUP INC                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $961.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KOLMAR KOREA CO LTD                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8127.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SHAFTESBURY CAPITAL PLC                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-42971.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-28.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WORLD CO LTD                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $19491.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS FLEXIUM INTERCONNECT INC                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-19326.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS S&D CO LTD                                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-34111.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS AIRTRIP CORP                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1602.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ROBINSONS RETAIL HOLDINGS INC                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13.93       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS INVISIO AB                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $7843.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS CHERVON HLDGS LTD                                                                                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $9127.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS MIKRON HOLDING AG                                                                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $3105.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HANWHA GENERAL INS                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $51121.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS KERNEL HOLDING SA                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $17772.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-568.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS P/F BAKKAFROST                                                                                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $804.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS VENTIA SERVICES GROUP PTY LTD                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $22056.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TIDLOR HOLDINGS PCL                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-78.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS REDEIA CORP SA                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $22755.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HOME PRODUCT CENTER PCL                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-26504.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CANON MARKETING JAPAN INC                                                                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $14981.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HANSAE                                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1809.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS IPERIONX LTD                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-24533.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HELIOS TOWERS PLC                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-19438.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                       | IRS USD                                                                                                                                  | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $79277.82     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1779.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ATTENDO AB                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $122903.14    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS SANLORENZO                                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5741.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ASSECO POLAND SA                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $38918.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LS MARINE SOLUTION CO LTD                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8917.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MARKS & SPENCER GROUP PLC                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $49268.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS NAK SEALING TECHNOLOGIES CORP                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $788.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ESSENTRA PLC                                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $40850.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA BLUECHEMICAL LTD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $43419.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS ASAHI YUKIZAI CORPORATION                                                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $15526.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS STARTS CORP INC                                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $43537.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-369.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BANK ISLAM MALAYSIA BHD                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6891.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS NATIONAL GRID PLC                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $18430.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ADVANTEST CORP                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2697.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SANTHERA                                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13334.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS HUUUGE INC                                                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $7308.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SCINOPHARM TAIWAN LTD                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11844.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SSP GROUP PLC                                                                                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $20959.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS NOKIAN RENKAAT OYJ                                                                                                                   | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-6265.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PTT PCL                                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-20238.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS SDIPTECH AB                                                                                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-1606.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6.56         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CYBERAGENT INC                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3595.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS YC INOX CO LTD                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4030.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS VIRBAC SACA                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17474.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS SHENG YU STEEL                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5998.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS NAGARRO SE                                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13585.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS INVESTEC LTD                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $11689.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS AO WORLD PLC                                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $15358.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS LUOTEA PLC                                                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-24697.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS JOHNSON ELECTRIC HOLDINGS LTD                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $16619.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS EVERYBOT INC                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2330.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-25.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SK HYNIX INC                                                                                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $16122.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS FP PARTNER INC                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-10342.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS DAISHIN SECURITIES CO LTD                                                                                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-127379.18   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS KLINIQUE MEDICAL CLINIC PCL                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3135.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS KBC GROUP NV                                                                                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-43043.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SIAM CEMENT PCL/THE                                                                                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-18663.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BRICKABILITY GROUP PLC                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1583.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS HUTCHMED (CHINA) LIM                                                                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $14405.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ASSA ABLOY AB                                                                                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-11262.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS WIIT SPA                                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-19401.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-42.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SANY HEAVY EQUIPMENT INTERNATIONAL HOLDINGS CO LTD                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $99376.52     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS NIHON M&A CENTER HOLDINGS INC                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $124.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS IDOM INC                                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-19934.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BUMITAMA AGRI LTD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2140.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HANWHA REIT CO LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1936.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ATOSS SOFTWARE SE                                                                                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-72458.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PIE INDUSTRIAL BHD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $794.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS ERSTE GROUP BANK AG                                                                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-67550.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LAND & HOUSES PCL                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15834.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS GAMSUNG CORP.                                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $1327.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITIES EXCHANGE CENTER                     | Silver Futures, May-2026,ETH                                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |          -2 | NC      | $-37713.36    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-97.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS NINETY ONE LIMITED                                                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $15261.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS KAIMEI ELECTRONIC CORP                                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-32.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS KID ASA                                                                                                                              | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $10394.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS ROCK FIELD CO LTD                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-99.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS TEMENOS                                                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $24873.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS WNC CORPORATION                                                                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2227.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS TELKOM SA SOC LTD                                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8458.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ADVICE IT INFINITE PUBLIC                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5313.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS HAND ENTERPRISE SOLUTIONS CO LTD                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1009.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | TRS TOYO GOSEI CO LTD                                                                                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-158864.34   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3891.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS TMBTHANACHART BANK PCL                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-19019.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS COM7 PCL                                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $44867.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BLUE BIRD TBK PT                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1473.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS B2 IMPACT ASA                                                                                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $104382.78    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS WONIK IPS CO LTD                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8642.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS TGS ASA                                                                                                                              | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-25154.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS OCUMENSION THERAPEUTICS                                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $40584.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ANAPASS INC                                                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6133.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS K+S AG                                                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $11902.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS MALAYAN CEMENT BHD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1047.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-103.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS QISDA CORPORATION                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $11513.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS GVS SPA                                                                                                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $10435.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DIS-CHEM PHARMACIES LTD                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-75803.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS CARL ZEISS MEDITEC AG                                                                                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $4751.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS ENVIPCO HOLDING NV                                                                                                                   | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $14118.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS CHINA WATER AFFAIRS GROUP LTD                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $27929.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | IRS USD                                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |           1 | NC      | $5445.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SYSTEMS TECHNOLOGY INC/SOUTH KOREA                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6053.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS STILLFRONT GROUP AB                                                                                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-20269.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS BEACH ENERGY LTD                                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1793.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $49.17        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS COGNOR HOLDING SA                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $8314.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ACS ACTIVIDADES DE CONSTRUCCION Y SERVICIOS SA                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $9059.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                | TRS MUSTI GROUP OYJ                                                                                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $2966.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION       | TRS MONCLER SPA                                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6316.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS DRAX GROUP PLC                                                                                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $158250.45    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS UNIPOL ASSICURAZIONI SPA                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $10601.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS EZAKI GLICO CO LTD                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-35613.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS GAKKEN HOLDINGS CO LTD                                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $7156.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS WENDEL SE                                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17166.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS PERSEUS MINING LTD                                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $55267.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $39.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CHINA RAILWAY TIELONG CONTAINER LOGISTICS CO LTD                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $15326.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS COMPUTACENTER PLC                                                                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $41838.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS LONGFOR GROUP HOLDINGS LTD                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2694.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS VOESTALPINE AG                                                                                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $189319.78    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS GDI PROPERTY GROUP PARTNERSHIP                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3354.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS MALAYSIAN RESOURCES CORP BHD                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $30547.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS SF HOLDING CO LTD                                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-18327.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS BEIJING ENTERPRISES WATER GROUP LTD                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-28626.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ME GROUP INTERNATIONAL PLC                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1247.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS AFFIN BANK BHD                                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8194.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1124.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS ZHEJIANG SANHUA INTELLIGENT CONTROLS CO LTD                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16316.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS GREENTOWN SERVICE GROUP CO LTD                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-5123.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS LIANCHUANG ELECTRONIC TECHNOLOGY CO LTD                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-435.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                | TRS DBCRFMNU INDEX                                                                                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DE               | CORP              | DE        |           1 | NC      | $602386.40    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                | TRS DBCRFLBU INDEX                                                                                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DE               | CORP              | DE        |           1 | NC      | $164774.40    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | TRS FILA SPA                                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $1164.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS BIC                                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16259.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS SINGAPORE TELECOMMUNICATIONS LTD                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8841.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | TRS LI AUTO INC                                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $4186.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS ARGAN SA                                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9788.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3543.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | TRS BEIJING CAPITAL INTERNATIONAL AIRPORT CO LTD                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $16918.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS JIANGSU ZHANGJIAGANG RURAL COMMERCIAL BANK CO LTD                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $158.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC             | TRS CREDIT CORP GROUP LTD                                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-26094.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Bills                    | B 0 04/21/26                                                                                                                             | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5000000 | PA      | $4974895.85   | 0.95%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Credicorp Capital Sociedad Titulizadora SA      | MUNMET 10.1 12/15/43                                                                                                                     | CUSIP: 224939AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |      500000 | PA      | $163486.14    | 0.03%             | 2043-12-15      | Fixed         | 10.10%                | No            |                  2 | On Loan: No      |
| MasterBrand Inc                                 | MasterBrand Inc COMMON STOCK                                                                                                             | CUSIP: 57638P104<br>LEI: 549300E0Y4BR5Z9RDZ64 | Long             | EC               | CORP              | US        |        6992 | NS      | $70759.04     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Angola (Republic of)                            | ANGOL 9.875 10/15/35 144A                                                                                                                | CUSIP: 035198AJ9<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |      450000 | PA      | $460167.21    | 0.09%             | 2035-10-15      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| Xenon Pharmaceuticals Inc                       | Xenon Pharmaceuticals Inc COM                                                                                                            | CUSIP: 98420N105<br>LEI: 549300XV44Q9Z1MIPQ03 | Long             | EC               | CORP              | CA        |       32692 | NS      | $1413275.16   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Scholar Rock Holding Corp.                      | Scholar Rock Holding Corp. COM                                                                                                           | CUSIP: 80706P103<br>LEI: 549300Z1FLPGL4OWJ459 | Long             | EC               | CORP              | US        |       40344 | NS      | $1786028.88   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Halozyme Therapeutics Inc                       | Halozyme Therapeutics Inc COM                                                                                                            | CUSIP: 40637H109<br>LEI: 529900242I3SV9AGM753 | Short            | EC               | CORP              | US        |        -243 | NS      | $-16895.79    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-433.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| China Petroleum & Chemical Corp.                | China Petroleum & Chemical Corp. CNY1'H'SHS                                                                                              | CUSIP: 000000000<br>LEI: 529900A2OB24EZ5B3J19 | Long             | EC               | CORP              | CN        |      791498 | NS      | $550779.17    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC                     | IONPLA 9.5 05/30/29 144a                                                                                                                 | CUSIP: 46206AAB8<br>LEI: 213800FKHT3BRRKMCC89 | Short            | DBT              | CORP              | US        |     -103000 | PA      | $-96858.20    | -0.02%            | 2029-05-30      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| OCEANKEY US II 12/15/28                         | OCEANKEY US II 12/15/28                                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -492268 | PA      | $-440333.58   | -0.08%            | 2028-12-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Ukraine (Republic of)                           | UKRAIN 4 02/01/32 144A                                                                                                                   | CUSIP: 903724CH3<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      578000 | PA      | $452845.78    | 0.09%             | 2032-02-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PAR Technology Corp.                            | PAR 2.875 04/15/26                                                                                                                       | CUSIP: 698884AC7<br>LEI: 549300HYPTHBJQINVG57 | Long             | DBT              | CORP              | US        |       36000 | PA      | $35888.40     | 0.01%             | 2026-04-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific Inc                    | Thermo Fisher Scientific Inc COM                                                                                                         | CUSIP: 883556102<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | EC               | CORP              | US        |        1251 | NS      | $651908.61    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Cipher Digital Inc.                             | CIFR 1.75 05/15/30                                                                                                                       | CUSIP: 17253JAA4<br>LEI: 254900QABG5HCQZ28A17 | Long             | DBT              | CORP              | US        |      287000 | PA      | $1054366.25   | 0.20%             | 2030-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Ionis Pharmaceuticals, Inc.                     | Ionis Pharmaceuticals, Inc. COM                                                                                                          | CUSIP: 462222100<br>LEI: 549300SI4ZGLG0BLUZ92 | Short            | EC               | CORP              | US        |       -4174 | NS      | $-338720.10   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Disc Medicine Inc                               | Disc Medicine Inc COM                                                                                                                    | CUSIP: 254604101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       19401 | NS      | $1292494.62   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Avnet, Inc.                                     | AVT 1.75 09/01/30                                                                                                                        | CUSIP: 053807AY9<br>LEI: XJI53DCPL7QABOWK4Z75 | Long             | DBT              | CORP              | US        |       36000 | PA      | $40608.00     | 0.01%             | 2030-09-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1485.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LABL Inc                                        | LABL 9.5 11/01/28 144A                                                                                                                   | CUSIP: 50168QAE5<br>LEI: 5493004FUZN8R6Y3VB98 | Long             | DBT              | CORP              | US        |      320000 | PA      | $129600.00    | 0.02%             | 2028-11-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Haemonetics Corp                                | Haemonetics Corp COM                                                                                                                     | CUSIP: 405024100<br>LEI: 549300ZEL6TXZS6F5F95 | Short            | EC               | CORP              | US        |        -576 | NS      | $-36472.32    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fluor Corporation                               | Fluor Corporation COM                                                                                                                    | CUSIP: 343412102<br>LEI: CQ7WZ4NOFWT7FAE6Q943 | Short            | EC               | CORP              | US        |       -7838 | NS      | $-410005.78   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Volkswagen AG                                   | Volkswagen AG NON VTG PRF NPV                                                                                                            | CUSIP: 000000000<br>LEI: 529900NNUPAGGOMPXZ31 | Short            | EP               | CORP              | DE        |       -3086 | NS      | $-366927.60   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| VT Topco Inc.                                   | VERCOR 8.5 08/15/30 144A                                                                                                                 | CUSIP: 91838PAA9<br>LEI: 5493007T812R37X02Y38 | Short            | DBT              | CORP              | US        |     -202000 | PA      | $-200843.93   | -0.04%            | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Plug Power Inc                                  | PLUG 6.75 12/01/33                                                                                                                       | CUSIP: 72919PAG8<br>LEI: 549300JPDKRSJ8JSM954 | Long             | DBT              | CORP              | US        |      148000 | PA      | $150450.54    | 0.03%             | 2033-12-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Edison International                            | Edison International COM                                                                                                                 | CUSIP: 281020107<br>LEI: 549300I7ROF15MAEVP56 | Long             | EC               | CORP              | US        |        5156 | NS      | $385359.44    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Central Bank Of Tunisie SA                      | TUNIS 6.375 07/15/26 REGS                                                                                                                | CUSIP: 000000000<br>LEI: 254900B5LFB16S9T2T11 | Long             | DBT              | NUSS              | TN        |      586000 | PA      | $686618.43    | 0.13%             | 2026-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Sofi Technologies Inc                           | Sofi Technologies Inc COM                                                                                                                | CUSIP: 83406F102<br>LEI: 549300SW81JCMVZDDY09 | Short            | EC               | CORP              | US        |      -47067 | NS      | $-835909.92   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| SiriusXM Holdings Inc                           | SiriusXM Holdings Inc COMMON STOCK                                                                                                       | CUSIP: 829933100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         460 | NS      | $10101.60     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-443.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SiriusXM Holdings Inc                           | SiriusXM Holdings Inc COMMON STOCK                                                                                                       | CUSIP: 829933100<br>LEI: N/A                  | Short            | EC               | CORP              | US        |        -778 | NS      | $-17084.88    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Notes                    | T 4 11/15/35                                                                                                                             | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3389000 | PA      | $3401708.75   | 0.65%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 4 11/15/35                                                                                                                             | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |    -2419200 | PA      | $-2428272.00  | -0.46%            | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Delivery Hero SE                                | Delivery Hero SE NPV                                                                                                                     | CUSIP: 000000000<br>LEI: 529900C3EX1FZGE48X78 | Long             | EC               | CORP              | DE        |        9830 | NS      | $226089.01    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| PAR Technology Corp.                            | PAR 1.5 10/15/27                                                                                                                         | CUSIP: 698884AE3<br>LEI: 549300HYPTHBJQINVG57 | Long             | DBT              | CORP              | US        |      202000 | PA      | $191152.60    | 0.04%             | 2027-10-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Microchip Technology Incorporated               | MCHP 0.75 06/01/30                                                                                                                       | CUSIP: 595017BG8<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |      304000 | PA      | $310385.38    | 0.06%             | 2030-06-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| PROJECT BOOST 07/16/2031                        | PROJECT BOOST 07/16/2031                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       18463 | PA      | $17646.86     | 0.00%             | 2031-07-16      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Applied Digital Corp                            | APLD 2.75 06/01/30                                                                                                                       | CUSIP: 038169AB4<br>LEI: 2549004NE2B6RYXINZ02 | Long             | DBT              | CORP              | US        |      438000 | PA      | $1309578.19   | 0.25%             | 2030-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| PRA Group Inc.                                  | PRAA 8.875 01/31/30 144A                                                                                                                 | CUSIP: 69354NAF3<br>LEI: 549300Q5HW3JSSB86K27 | Short            | DBT              | CORP              | US        |     -243000 | PA      | $-247556.25   | -0.05%            | 2030-01-31      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| DATABRICK 12/20/30                              | DATABRICK 12/20/30                                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       91517 | PA      | $92432.64     | 0.02%             | 2031-01-03      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Three-Month SOFR Futures, Dec-2027,ETH                                                                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         -87 | NC      | $-30953.21    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-68.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IDEAYA Biosciences Inc.                         | IDEAYA Biosciences Inc. COM                                                                                                              | CUSIP: 45166A102<br>LEI: 549300ULW08F62IJML11 | Long             | EC               | CORP              | US        |       14332 | NS      | $461490.40    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Arcutis Biotherapeutics Inc.                    | Arcutis Biotherapeutics Inc. COM                                                                                                         | CUSIP: 03969K108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       26910 | NS      | $725762.70    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| EchoStar Corp.                                  | EchoStar Corp. CL A                                                                                                                      | CUSIP: 278768106<br>LEI: 549300EE20907QZ9GT38 | Long             | EC               | CORP              | US        |        7221 | NS      | $834242.13    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| EchoStar Corp.                                  | EchoStar Corp. CL A                                                                                                                      | CUSIP: 278768106<br>LEI: 549300EE20907QZ9GT38 | Short            | EC               | CORP              | US        |      -11851 | NS      | $-1369146.03  | -0.26%            |  |  |  | No            |                  1 | On Loan: No      |
| Intuitive Machines Inc                          | LUNR 2.5 10/01/30                                                                                                                        | CUSIP: 46125AAA8<br>LEI: 254900386IE2PEPLVM59 | Long             | DBT              | CORP              | US        |      254000 | PA      | $413791.40    | 0.08%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VT TOPC 08/09/30                                | VT TOPC 08/09/30                                                                                                                         | CUSIP: 91838LAK6<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -527273 | PA      | $-498107.19   | -0.10%            | 2030-08-09      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Dominican Republic                              | DOMREP 11.25 09/15/35 144A                                                                                                               | CUSIP: 25714PEW4<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    11150000 | PA      | $209546.63    | 0.04%             | 2035-09-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos Sa De CV                    | PEMEX 6.375 01/23/45                                                                                                                     | CUSIP: 71654QBR2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     1096000 | PA      | $908236.79    | 0.17%             | 2045-01-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Crinetics Pharmaceuticals Inc.                  | Crinetics Pharmaceuticals Inc. COM                                                                                                       | CUSIP: 22663K107<br>LEI: 549300Q1CNFXK5P31D28 | Long             | EC               | CORP              | US        |       23451 | NS      | $963836.10    | 0.18%             |  |  |  | No            |                  1 | On Loan: —       |
| Ziff Davis Inc                                  | ZD 3.625 03/01/28                                                                                                                        | CUSIP: 48123VAH5<br>LEI: 5493008OJYGLHD7MXA18 | Long             | DBT              | CORP              | US        |      639000 | PA      | $614558.25    | 0.12%             | 2028-03-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-290.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Janus Detroit Street Trust                      | Janus Detroit Street Trust HENDERSON B-BBB CLO ETF                                                                                       | CUSIP: 47103U753<br>LEI: 5493003MM7OCK5UJW595 | Short            | EC               | RF                | US        |      -17104 | NS      | $-798927.84   | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| Alarm.com Holdings Inc.                         | Alarm.com Holdings Inc. COM                                                                                                              | CUSIP: 011642105<br>LEI: 549300HIH92U1EKIHZ32 | Short            | EC               | CORP              | US        |        -327 | NS      | $-15646.95    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BROADSTREET PART 06/13/31                       | BROADSTREET PART 06/13/31                                                                                                                | CUSIP: 11132VAY5<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -110780 | PA      | $-106371.94   | -0.02%            | 2031-06-13      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Wayfair Inc                                     | W 3.5 11/15/28                                                                                                                           | CUSIP: 94419LAR2<br>LEI: 54930027N9ZAVYFDHK53 | Long             | DBT              | CORP              | US        |      423000 | PA      | $756112.50    | 0.14%             | 2028-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALTICE USA TLB-5 04/15/27                       | ALTICE USA TLB-5 04/15/27                                                                                                                | CUSIP: 64072UAK8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      281675 | PA      | $244089.60    | 0.05%             | 2027-04-15      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| Akbank T.A.S.                                   | AKBNK V9.3686 PERP 144A                                                                                                                  | CUSIP: 00971YAK6<br>LEI: 789000TUMN63Z28TJ497 | Long             | DBT              | CORP              | TR        |      536000 | PA      | $562560.95    | 0.11%             | N/A             | Fixed         | 9.37%                 | No            |                  2 | On Loan: No      |
| Wayfair Inc                                     | Wayfair Inc CL A                                                                                                                         | CUSIP: 94419L101<br>LEI: 54930027N9ZAVYFDHK53 | Long             | EC               | CORP              | US        |         400 | NS      | $30532.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Wayfair Inc                                     | Wayfair Inc CL A                                                                                                                         | CUSIP: 94419L101<br>LEI: 54930027N9ZAVYFDHK53 | Short            | EC               | CORP              | US        |      -20990 | NS      | $-1602166.70  | -0.31%            |  |  |  | No            |                  1 | On Loan: No      |
| Alphatec Holdings Inc.                          | ATEC 0.75 08/01/26                                                                                                                       | CUSIP: 02081GAB8<br>LEI: 549300EZE8CQ8K65FS24 | Long             | DBT              | CORP              | US        |      187000 | PA      | $191207.50    | 0.04%             | 2026-08-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| PAGAYA TECHNOLOGIES LTD                         | Pagaya Technologies Ltd. CL A NEW                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | EC               | CORP              | IL        |      -15652 | NS      | $-175145.88   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1583.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Granite Construction Inc                        | Granite Construction Inc COM                                                                                                             | CUSIP: 387328107<br>LEI: 549300OM4BWMCIXVCZ39 | Short            | EC               | CORP              | US        |       -7677 | NS      | $-1032249.42  | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| Ligado Networks Llc                             | NEWLSQ 15.5 11/01/23 144A                                                                                                                | CUSIP: 53225HAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1762066 | PA      | $625533.32    | 0.12%             | 2023-11-01      | Fixed         | 15.50%                | No            |                  2 | On Loan: No      |
| K Hovnanian Enterprises Inc                     | HOV 8.375 10/01/33 144A                                                                                                                  | CUSIP: 48251UAQ1<br>LEI: 549300JJCQ0KAI7CJG32 | Long             | DBT              | CORP              | US        |      506000 | PA      | $519332.59    | 0.10%             | 2033-10-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| LIGADO TL DIP BK 12/31/27                       | LIGADO TL DIP BK 12/31/27                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       91714 | PA      | $74747.09     | 0.01%             | 2027-12-31      | Floating      | 0.01%                 | No            |                  3 | On Loan: No      |
| Goldman Sachs International                     | GS 0 05/12/26 ETMN                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Long             | DBT              | CORP              | GB        |    19925000 | PA      | $392234.08    | 0.07%             | 2026-05-12      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Evergy Inc                                      | EVRG 4.5 12/15/27                                                                                                                        | CUSIP: 30034WAD8<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |      769000 | PA      | $1051799.75   | 0.20%             | 2027-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Pebblebrook Hotel Trust                         | PEB 1.75 12/15/26                                                                                                                        | CUSIP: 70509VAA8<br>LEI: 5493004Q1NNH6JXCSI52 | Long             | DBT              | CORP              | US        |       67000 | PA      | $65751.54     | 0.01%             | 2026-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fortuna Mining Corp.                            | Fortuna Mining Corp. COM NEW                                                                                                             | CUSIP: 349942102<br>LEI: 5493003Q88RVK7CW4735 | Short            | EC               | CORP              | CA        |      -26519 | NS      | $-362249.54   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| NRG Energy, Inc.                                | NRG Energy, Inc. COM NEW                                                                                                                 | CUSIP: 629377508<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | EC               | CORP              | US        |        6509 | NS      | $1164850.64   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| PIVOTAL SOFTWARE ESCROW                         | PIVOTAL SOFTWARE ESCROW                                                                                                                  | CUSIP: 725ESC016<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       73957 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-314.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Travere Therapeutics Inc                        | TVTX 2.25 03/01/29                                                                                                                       | CUSIP: 89422GAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       14000 | PA      | $17756.90     | 0.00%             | 2029-03-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Regeneron Pharmaceuticals, Inc.                 | Regeneron Pharmaceuticals, Inc. COM                                                                                                      | CUSIP: 75886F107<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | EC               | CORP              | US        |        1818 | NS      | $1421076.06   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| K Hovnanian Enterprises Inc                     | HOV 8 04/01/31 144A                                                                                                                      | CUSIP: 48251UAP3<br>LEI: 549300JJCQ0KAI7CJG32 | Long             | DBT              | CORP              | US        |      463000 | PA      | $476548.31    | 0.09%             | 2031-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Project Boost Pu 07/16/31                       | Project Boost Pu 07/16/31                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -64459 | PA      | $-61608.79    | -0.01%            | 2031-07-16      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Group AG                          | Mercedes-Benz Group AG ORD NPV(REGD)                                                                                                     | CUSIP: 000000000<br>LEI: 529900R27DL06UVNT076 | Short            | EC               | CORP              | DE        |       -3575 | NS      | $-247349.52   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Nabors Industries, Inc.                         | NBR 8.875 08/15/31 144A                                                                                                                  | CUSIP: 62957HAQ8<br>LEI: 549300VFQWRKICUFNU92 | Short            | DBT              | CORP              | US        |     -451000 | PA      | $-467472.78   | -0.09%            | 2031-08-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Fluor Corporation                               | FLR 1.125 08/15/29                                                                                                                       | CUSIP: 343412AJ1<br>LEI: CQ7WZ4NOFWT7FAE6Q943 | Long             | DBT              | CORP              | US        |      486000 | PA      | $648688.50    | 0.12%             | 2029-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Arrowhead Pharmaceuticals Inc                   | Arrowhead Pharmaceuticals Inc COM                                                                                                        | CUSIP: 04280A100<br>LEI: 549300O3CSB8T7OZ3D66 | Short            | EC               | CORP              | US        |       -2652 | NS      | $-167792.04   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Southern Co.                                    | Southern Co. COM                                                                                                                         | CUSIP: 842587107<br>LEI: 549300FC3G3YU2FBZD92 | Short            | EC               | CORP              | US        |      -13159 | NS      | $-1281423.42  | -0.24%            |  |  |  | No            |                  1 | On Loan: No      |
| Terawulf Inc                                    | Terawulf Inc COM                                                                                                                         | CUSIP: 88080T104<br>LEI: 254900CVMW1SX2T78A64 | Short            | EC               | CORP              | US        |      -62656 | NS      | $-1016280.32  | -0.19%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-375.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nabors Industries, Inc.                         | NBR 7.625 11/15/32 144A                                                                                                                  | CUSIP: 62957HAR6<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |      453000 | PA      | $466970.52    | 0.09%             | 2032-11-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                    | B 0 05/05/26                                                                                                                             | CUSIP: 912797TL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7500000 | PA      | $7452336.69   | 1.42%             | 2026-05-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Venezuela (Republic Of)                         | VENZ 7.75 10/13/19                                                                                                                       | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      405000 | PA      | $152928.00    | 0.03%             | 2019-10-13      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| VZ Secured Financing BV                         | ZIGGO 7.5 01/15/33 144A                                                                                                                  | CUSIP: 91845AAB1<br>LEI: 549300MG611MYCOWY949 | Long             | DBT              | CORP              | NL        |      539000 | PA      | $530148.38    | 0.10%             | 2033-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| DTI Holdc 4/26/2029                             | DTI Holdc 4/26/2029                                                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       55572 | PA      | $48095.93     | 0.01%             | 2029-04-26      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| DTI Holdc 4/26/2029                             | DTI Holdc 4/26/2029                                                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -744899 | PA      | $-644687.67   | -0.12%            | 2029-04-26      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Zscaler Inc                                     | ZS 0 07/15/28                                                                                                                            | CUSIP: 98980GAC6<br>LEI: 529900MZ0RTK1BWRNF46 | Long             | DBT              | CORP              | US        |       27000 | PA      | $24772.50     | 0.00%             | 2028-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Exact Sciences Corporation                      | Exact Sciences Corporation COM                                                                                                           | CUSIP: 30063P105<br>LEI: 549300VM3X1FYD4N9Z14 | Short            | EC               | CORP              | US        |       -1827 | NS      | $-188875.26   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| PTC Therapeutics, Inc.                          | PTC Therapeutics, Inc. COM                                                                                                               | CUSIP: 69366J200<br>LEI: 549300UJLWOIWFDGB318 | Short            | EC               | CORP              | US        |      -10165 | NS      | $-693151.35   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| SONICWALL US HLD 05/16/28                       | SONICWALL US HLD 05/16/28                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       10466 | PA      | $3423.78      | 0.00%             | 2028-05-18      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-84.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SONICWALL US HLD 05/16/28                       | SONICWALL US HLD 05/16/28                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -380816 | PA      | $-124582.12   | -0.02%            | 2028-05-18      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| Oscar Health Inc                                | OSCR 2.25 09/01/30                                                                                                                       | CUSIP: 687793AD1<br>LEI: 254900AE8KDLFDOPKZ19 | Long             | DBT              | CORP              | US        |      132000 | PA      | $129954.00    | 0.02%             | 2030-09-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Affirm Holdings Inc                             | AFRM 0.75 12/15/29                                                                                                                       | CUSIP: 00827BAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      488000 | PA      | $464039.20    | 0.09%             | 2029-12-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: —       |
| Dow Inc                                         | Dow Inc COM                                                                                                                              | CUSIP: 260557103<br>LEI: 5493003S21INSLK2IP73 | Long             | EC               | CORP              | US        |       18546 | NS      | $569918.58    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| AES Corp.                                       | AES Corp. COM                                                                                                                            | CUSIP: 00130H105<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | EC               | CORP              | US        |       33799 | NS      | $584046.72    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Notes                    | T 3.75 06/30/27                                                                                                                          | CUSIP: 91282CNL1<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -703000 | PA      | $-705691.17   | -0.13%            | 2027-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LIBERTY INTERACTIVE LLC                         | LINTA 3.75 02/15/30                                                                                                                      | CUSIP: 530715AL5<br>LEI: 549300SZUIU7Z32Q0664 | Long             | DBT              | CORP              | US        |      860000 | PA      | $38700.00     | 0.01%             | 2030-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.5 12/15/28                                                                                                                           | CUSIP: 91282CPP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       44000 | PA      | $44135.78     | 0.01%             | 2028-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.5 12/15/28                                                                                                                           | CUSIP: 91282CPP0<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -342800 | PA      | $-343857.86   | -0.07%            | 2028-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sri Lanka (Democratic Socialist Republic of)    | SRILAN 4 04/15/28 REGS                                                                                                                   | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |       69350 | PA      | $67579.11     | 0.01%             | 2028-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-59.38       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Conmed Corporation                              | CNMD 2.25 06/15/27                                                                                                                       | CUSIP: 207410AH4<br>LEI: Z6C0YCECH9DCU5ZIQW84 | Long             | DBT              | CORP              | US        |      827000 | PA      | $808392.50    | 0.15%             | 2027-06-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Ziff Davis Inc                                  | ZD 1.75 11/01/26                                                                                                                         | CUSIP: 48123VAE2<br>LEI: 5493008OJYGLHD7MXA18 | Long             | DBT              | CORP              | US        |       32000 | PA      | $31320.00     | 0.01%             | 2026-11-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                    | T 4.75 08/15/55                                                                                                                          | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5918700 | PA      | $6028750.83   | 1.15%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                    | T 4.75 08/15/55                                                                                                                          | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |    -4212600 | PA      | $-4290928.03  | -0.82%            | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AstraZeneca PLC                                 | AstraZeneca PLC ORD USD0.25                                                                                                              | CUSIP: 000000000<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | EC               | CORP              | GB        |        5089 | NS      | $1060802.05   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| El Salvador (Republic of)                       | ELSALV 9.5 07/15/52 REGS                                                                                                                 | CUSIP: 000000000<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |      345000 | PA      | $390281.25    | 0.07%             | 2052-07-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COMPANIES INC                        | ACI 5.75 03/31/34 144A                                                                                                                   | CUSIP: 01309QAD0<br>LEI: 549300YKWOC0AOR16R51 | Short            | DBT              | CORP              | US        |     -714000 | PA      | $-711342.35   | -0.14%            | 2034-03-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Buenos Aires (Province Of)                      | BUENOS 6.625 09/01/37 REGS                                                                                                               | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |     2266405 | PA      | $1802678.67   | 0.34%             | 2037-09-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos Sa De CV                    | PEMEX 10.8 08/08/34 26-2                                                                                                                 | CUSIP: 000000000<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    23000000 | PA      | $1354705.61   | 0.26%             | 2034-08-08      | Fixed         | 10.80%                | No            |                  2 | On Loan: No      |
| Mirion Technologies Inc                         | Mirion Technologies Inc COM CL A                                                                                                         | CUSIP: 60471A101<br>LEI: 549300BNTOWVWFNVTJ65 | Short            | EC               | CORP              | US        |       -4679 | NS      | $-101113.19   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-29.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.875 06/30/30                                                                                                                         | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -349000 | PA      | $-354466.76   | -0.07%            | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Tarsus Pharmaceuticals Inc                      | Tarsus Pharmaceuticals Inc COM                                                                                                           | CUSIP: 87650L103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       13185 | NS      | $995731.20    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Brazil (Federative Republic)                    | BRAZIL 6.25 05/22/36                                                                                                                     | CUSIP: 105756CQ1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      724000 | PA      | $730298.80    | 0.14%             | 2036-05-22      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Galaxy Digital Inc.                             | Galaxy Digital Inc. CL A                                                                                                                 | CUSIP: 36317J209<br>LEI: 9845001C4070E5N07806 | Short            | EC               | CORP              | US        |      -21904 | NS      | $-451003.36   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Core Scientific Inc                             | CORZ 3 09/01/29                                                                                                                          | CUSIP: 21874AAC0<br>LEI: 5299003RGB2LAZ65RK73 | Long             | DBT              | CORP              | US        |      636000 | PA      | $1121347.50   | 0.21%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Alphatec Holdings Inc.                          | ATEC 0.75 03/15/30                                                                                                                       | CUSIP: 02081GAC6<br>LEI: 549300EZE8CQ8K65FS24 | Long             | DBT              | CORP              | US        |       13000 | PA      | $15128.10     | 0.00%             | 2030-03-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Mitsubishi Electric Corp.                       | Mitsubishi Electric Corp. NPV                                                                                                            | CUSIP: 000000000<br>LEI: 549300TRXM9Y6561AX39 | Long             | EC               | CORP              | JP        |       59687 | NS      | $2271867.67   | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| Affirm Holdings Inc                             | AFRM 0 11/15/26                                                                                                                          | CUSIP: 00827BAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      728000 | PA      | $702520.00    | 0.13%             | 2026-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CSC Holdings, LLC                               | CSCHLD 11.75 01/31/29 144A                                                                                                               | CUSIP: 126307BN6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |       12000 | PA      | $8558.26      | 0.00%             | 2029-01-31      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| Array Technologies Inc                          | ARRY 1 12/01/28                                                                                                                          | CUSIP: 04271TAB6<br>LEI: 549300JM5FECYJQ85V37 | Long             | DBT              | CORP              | US        |       14000 | PA      | $12586.00     | 0.00%             | 2028-12-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-687.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Johnson Controls International PLC              | Johnson Controls International PLC SHS                                                                                                   | CUSIP: 000000000<br>LEI: 549300XQ6S1GYKGBL205 | Long             | EC               | CORP              | IE        |        9128 | NS      | $1317170.40   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| The Realreal Inc                                | REAL 4 02/15/31                                                                                                                          | CUSIP: 88339PAJ0<br>LEI: 549300O00VUGT4H1PE90 | Long             | DBT              | CORP              | US        |      280000 | PA      | $406140.00    | 0.08%             | 2031-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.625 12/31/30                                                                                                                         | CUSIP: 91282CPR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      461900 | PA      | $464101.24    | 0.09%             | 2030-12-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.625 12/31/30                                                                                                                         | CUSIP: 91282CPR6<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -325000 | PA      | $-326548.83   | -0.06%            | 2030-12-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| South Africa (Republic of)                      | SOAF 7.25 12/11/55 144A                                                                                                                  | CUSIP: 836205BJ2<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |      460000 | PA      | $460686.55    | 0.09%             | 2055-12-11      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| America Movil S.A.B. de C.V.                    | AMXLMM 10.3 01/30/34                                                                                                                     | CUSIP: 000000000<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |     7540000 | PA      | $468503.03    | 0.09%             | 2034-01-30      | Fixed         | 10.30%                | No            |                  2 | On Loan: No      |
| Abivax SA                                       | Abivax SA SPONSORED ADS                                                                                                                  | CUSIP: 00370M103<br>LEI: 969500D8TMNB184OJU95 | Long             | EC               | CORP              | FR        |        3794 | NS      | $460136.32    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| American Water Works Company, Inc.              | American Water Works Company, Inc. COM                                                                                                   | CUSIP: 030420103<br>LEI: 549300DXHIJQMD5WFW18 | Short            | EC               | CORP              | US        |       -5200 | NS      | $-707356.00   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| Zoetis Inc.                                     | Zoetis Inc. CL A                                                                                                                         | CUSIP: 98978V103<br>LEI: 549300HD9Q1LOC9KLJ48 | Short            | EC               | CORP              | US        |       -1212 | NS      | $-158893.20   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| CSC Holdings, LLC                               | CSCHLD 11.25 05/15/28 144A                                                                                                               | CUSIP: 126307BM8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |       10000 | PA      | $7932.35      | 0.00%             | 2028-05-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-161.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Patrick Industries Inc.                         | PATK 1.75 12/01/28                                                                                                                       | CUSIP: 703343AG8<br>LEI: 549300FZ5ZTCCJ3Z5W14 | Long             | DBT              | CORP              | US        |      174000 | PA      | $332514.00    | 0.06%             | 2028-12-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: —       |
| PERFORCE SOFTWAR 07/02/29                       | PERFORCE SOFTWAR 07/02/29                                                                                                                | CUSIP: 71376GAK7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      129706 | PA      | $99874.64     | 0.02%             | 2029-07-02      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Guardant Health Inc                             | Guardant Health Inc COM                                                                                                                  | CUSIP: 40131M109<br>LEI: 254900M8C3E5VC8BR186 | Short            | EC               | CORP              | US        |       -3319 | NS      | $-311654.10   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Nutanix Inc                                     | Nutanix Inc CL A                                                                                                                         | CUSIP: 67059N108<br>LEI: 549300X7J6E8TKVIXW09 | Short            | EC               | CORP              | US        |       -1245 | NS      | $-47658.60    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ION PLATFORM FIN 10/07/32                       | ION PLATFORM FIN 10/07/32                                                                                                                | CUSIP: 46206RAC9<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -138475 | PA      | $-114501.38   | -0.02%            | 2032-10-07      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Turkey (Republic of)                            | TURKEY 5.15 03/10/34                                                                                                                     | CUSIP: 000000000<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |      496000 | PA      | $592262.46    | 0.11%             | 2034-03-10      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.875 12/31/32                                                                                                                         | CUSIP: 91282CPQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       97000 | PA      | $97970.00     | 0.02%             | 2032-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.875 12/31/32                                                                                                                         | CUSIP: 91282CPQ8<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |      -96000 | PA      | $-96960.00    | -0.02%            | 2032-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Lebanese Republic                               | LEBAN 6.85 05/25/29 EMTN                                                                                                                 | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |      212000 | PA      | $63070.00     | 0.01%             | 2029-05-25      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Opendoor Technologies Inc.                      | Opendoor Technologies Inc. COM                                                                                                           | CUSIP: 683712103<br>LEI: 254900KX11YZ4HV5BQ47 | Short            | EC               | CORP              | US        |      -79971 | NS      | $-433442.82   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Three-Month SOFR Futures, Dec-2026,ETH                                                                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -129 | NC      | $-23834.07    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-385.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Industries Ltd.             | Teva Pharmaceutical Industries Ltd. SPONSORED ADS                                                                                        | CUSIP: 881624209<br>LEI: 549300BAFGM4RC74ZJ94 | Long             | EC               | CORP              | IL        |       49821 | NS      | $1686939.06   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Bonds                    | T 4.625 11/15/55                                                                                                                         | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      301300 | PA      | $300852.76    | 0.06%             | 2055-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                    | T 4.625 11/15/55                                                                                                                         | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |    -1247900 | PA      | $-1246047.64  | -0.24%            | 2055-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Lumentum Holdings Inc.                          | LITE 0.5 12/15/26                                                                                                                        | CUSIP: 55024UAD1<br>LEI: 549300JLWRRC38DWEF52 | Long             | DBT              | CORP              | US        |      773000 | PA      | $5455447.50   | 1.04%             | 2026-12-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                             | Abbott Laboratories COM                                                                                                                  | CUSIP: 002824100<br>LEI: HQD377W2YR662HK5JX27 | Long             | EC               | CORP              | US        |       16578 | NS      | $1928850.30   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Credit Acceptance Corporation of Michigan       | Credit Acceptance Corporation of Michigan COM                                                                                            | CUSIP: 225310101<br>LEI: N/A                  | Short            | EC               | CORP              | US        |        -394 | NS      | $-186432.92   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| CoreWeave Inc.                                  | CRWV 1.75 12/01/31                                                                                                                       | CUSIP: 21873SAD0<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |      252000 | PA      | $260767.84    | 0.05%             | 2031-12-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Eos Energy Enterprises Inc.                     | EOSE 1.75 12/01/31                                                                                                                       | CUSIP: 29415CAC5<br>LEI: 529900UCCJMLRGDXVT41 | Long             | DBT              | CORP              | US        |      176000 | PA      | $119592.00    | 0.02%             | 2031-12-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Cohu Inc                                        | COHU 1.5 01/15/31                                                                                                                        | CUSIP: 192576AA4<br>LEI: 529900FJPORJ3JJ2XS33 | Long             | DBT              | CORP              | US        |      334000 | PA      | $447894.00    | 0.09%             | 2031-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Inc                              | NextEra Energy Inc COM                                                                                                                   | CUSIP: 65339F101<br>LEI: 254900RHL9MEUS5NKX63 | Long             | EC               | CORP              | US        |       24955 | NS      | $2340030.35   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-433.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NextEra Energy Inc                              | NextEra Energy Inc COM                                                                                                                   | CUSIP: 65339F101<br>LEI: 254900RHL9MEUS5NKX63 | Short            | EC               | CORP              | US        |       -2337 | NS      | $-219140.49   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Notes                    | T 3.375 11/30/27                                                                                                                         | CUSIP: 91282CPL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      163000 | PA      | $162910.86    | 0.03%             | 2027-11-30      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ATLAS SEC PRODUCTS 0% CLC                       | ATLAS SEC PRODUCTS 0% CLC                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      364401 | PA      | $296847.09    | 0.06%             | 2029-02-08      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DexCom Inc                                      | DXCM 0.375 05/15/28                                                                                                                      | CUSIP: 252131AM9<br>LEI: 549300YSK3QDSFR5EU59 | Long             | DBT              | CORP              | US        |      539000 | PA      | $505447.25    | 0.10%             | 2028-05-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| The Realreal Inc                                | The Realreal Inc COM                                                                                                                     | CUSIP: 88339P101<br>LEI: 549300O00VUGT4H1PE90 | Short            | EC               | CORP              | US        |      -22837 | NS      | $-279981.62   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Nutanix Inc                                     | NTNX 0.5 12/15/29                                                                                                                        | CUSIP: 67059NAK4<br>LEI: 549300X7J6E8TKVIXW09 | Long             | DBT              | CORP              | US        |      162000 | PA      | $149364.00    | 0.03%             | 2029-12-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Synaptics Incorporated                          | SYNA 0.75 12/01/31                                                                                                                       | CUSIP: 87157DAJ8<br>LEI: 549300AJ3LI4FWNRQX29 | Long             | DBT              | CORP              | US        |       43000 | PA      | $49439.25     | 0.01%             | 2031-12-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Opendoor Technologies Inc.                      | Opendoor Technologies Inc. WT EXP 112026 A                                                                                               | CUSIP: 683712137<br>LEI: 254900KX11YZ4HV5BQ47 | Long             | EC               | CORP              | US        |          28 | NS      | $12.15        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PAGAYA US HOLDING CO LLC                        | PGY 8.875 08/01/30                                                                                                                       | CUSIP: 69549FAC3<br>LEI: 254900M9VGE3HM0OYH17 | Short            | DBT              | CORP              | US        |     -220000 | PA      | $-159606.44   | -0.03%            | 2030-08-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| ATLAS SEC PRODUCTS 0% CLB                       | ATLAS SEC PRODUCTS 0% CLB                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      364401 | PA      | $318296.10    | 0.06%             | 2028-02-08      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-470.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS SEC PRODUCTS 0% CLA                       | ATLAS SEC PRODUCTS 0% CLA                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      364401 | PA      | $340420.68    | 0.06%             | 2027-02-08      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Venezuela (Republic Of)                         | VENZ 7.65 04/21/25                                                                                                                       | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      750000 | PA      | $291450.00    | 0.06%             | 2025-04-21      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| Opendoor Technologies Inc.                      | Opendoor Technologies Inc. WT EXP 112026 K                                                                                               | CUSIP: 683712129<br>LEI: 254900KX11YZ4HV5BQ47 | Long             | EC               | CORP              | US        |          28 | NS      | $23.55        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Semtech Corporation                             | SMTC 1.625 11/01/27                                                                                                                      | CUSIP: 816850AF8<br>LEI: 549300J7WUY317SW6O61 | Long             | DBT              | CORP              | US        |      267000 | PA      | $657687.75    | 0.13%             | 2027-11-01      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Ameren Corp.                                    | Ameren Corp. COM                                                                                                                         | CUSIP: 023608102<br>LEI: XRZQ5S7HYJFPHJ78L959 | Short            | EC               | CORP              | US        |       -7541 | NS      | $-854244.48   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| PAGAYA US HOLDING CO LLC                        | PGY 6.125 10/01/29                                                                                                                       | CUSIP: 69549FAB5<br>LEI: 254900M9VGE3HM0OYH17 | Long             | DBT              | CORP              | US        |      260000 | PA      | $304850.00    | 0.06%             | 2029-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.5 11/15/28                                                                                                                           | CUSIP: 91282CPK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      220000 | PA      | $220644.53    | 0.04%             | 2028-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.5 11/15/28                                                                                                                           | CUSIP: 91282CPK1<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |      -65000 | PA      | $-65190.43    | -0.01%            | 2028-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Array Technologies Inc                          | ARRY 2.875 07/01/31                                                                                                                      | CUSIP: 04271TAC4<br>LEI: 549300JM5FECYJQ85V37 | Long             | DBT              | CORP              | US        |       49000 | PA      | $62818.00     | 0.01%             | 2031-07-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Enovix Corporation                              | Enovix Corporation COM                                                                                                                   | CUSIP: 293594107<br>LEI: 549300EC7NZGWORHYJ53 | Long             | EC               | CORP              | US        |       59126 | NS      | $311594.02    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1697.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Spectrum Brands, Inc.                           | SPB 3.375 06/01/29                                                                                                                       | CUSIP: 84762LAZ8<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |       70000 | PA      | $71067.50     | 0.01%             | 2029-06-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: —       |
| Cipher Digital Inc.                             | CIFR 0 10/01/31                                                                                                                          | CUSIP: 17253JAB2<br>LEI: 254900QABG5HCQZ28A17 | Long             | DBT              | CORP              | US        |      492000 | PA      | $620227.50    | 0.12%             | 2031-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PELOTON INTERA T 05/23/29                       | PELOTON INTERA T 05/23/29                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      153448 | PA      | $154359.11    | 0.03%             | 2029-05-30      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| Rapid7 Inc.                                     | RPD 0.25 03/15/27                                                                                                                        | CUSIP: 753422AF1<br>LEI: 549300GNVG5D60KEYN14 | Long             | DBT              | CORP              | US        |      511000 | PA      | $482895.00    | 0.09%             | 2027-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Eos Energy Enterprises Inc.                     | EOSE 6.75 06/15/30                                                                                                                       | CUSIP: 29415CAA9<br>LEI: 529900UCCJMLRGDXVT41 | Long             | DBT              | CORP              | US        |      182000 | PA      | $271191.94    | 0.05%             | 2030-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Kenya (Republic of)                             | KENINT 8.8 10/09/38 144A                                                                                                                 | CUSIP: 491798AQ7<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |      570000 | PA      | $565709.25    | 0.11%             | 2038-10-09      | Fixed         | 8.80%                 | No            |                  2 | On Loan: No      |
| Centerpoint Energy Inc                          | Centerpoint Energy Inc COM                                                                                                               | CUSIP: 15189T107<br>LEI: 21TPXMRRHFKOBHDC8J74 | Short            | EC               | CORP              | US        |      -17790 | NS      | $-773865.00   | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| Centerpoint Energy Inc                          | Centerpoint Energy Inc COM                                                                                                               | CUSIP: 15189T107<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | EC               | CORP              | US        |          74 | NS      | $3219.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Egypt (Arab Republic of)                        | EGYPT 8.15 11/20/59 REGS                                                                                                                 | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |      348000 | PA      | $317426.05    | 0.06%             | 2059-11-20      | Fixed         | 8.15%                 | No            |                  2 | On Loan: No      |
| Rivian Automotive Inc                           | RIVN 4.625 03/15/29                                                                                                                      | CUSIP: 76954AAB9<br>LEI: 25490004LNKJ84MFYY24 | Long             | DBT              | CORP              | US        |       20000 | PA      | $21834.24     | 0.00%             | 2029-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-784.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| iRhythm Holdings Inc.                           | IRTC 1.5 09/01/29                                                                                                                        | CUSIP: 450056AB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        7000 | PA      | $8235.50      | 0.00%             | 2029-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Kenya (Republic of)                             | KENINT 7.875 10/09/33 144A                                                                                                               | CUSIP: 491798AP9<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |      365000 | PA      | $363900.95    | 0.07%             | 2033-10-09      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.5 11/30/30                                                                                                                           | CUSIP: 91282CPN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      466000 | PA      | $465817.97    | 0.09%             | 2030-11-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.5 11/30/30                                                                                                                           | CUSIP: 91282CPN5<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -290000 | PA      | $-289886.72   | -0.06%            | 2030-11-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RealPag 04/24/28                                | RealPag 04/24/28                                                                                                                         | CUSIP: 75605VAD4<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -92317 | PA      | $-85604.68    | -0.02%            | 2028-04-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Angola (Republic of)                            | ANGOL 9.244 01/15/31 144A                                                                                                                | CUSIP: 035198AH3<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |      510000 | PA      | $518833.27    | 0.10%             | 2031-01-15      | Fixed         | 9.24%                 | No            |                  2 | On Loan: No      |
| Blue Owl Technology Finance Corp.               | OTF 6.1 03/15/28                                                                                                                         | CUSIP: 095924AB2<br>LEI: 254900G5EZJSOD3UKL16 | Short            | DBT              | CORP              | US        |     -168000 | PA      | $-167419.43   | -0.03%            | 2028-03-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| STUBHUB HOLDCO S 03/15/30                       | STUBHUB HOLDCO S 03/15/30                                                                                                                | CUSIP: 74530DAH8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       31556 | PA      | $30622.66     | 0.01%             | 2030-03-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| STUBHUB HOLDCO S 03/15/30                       | STUBHUB HOLDCO S 03/15/30                                                                                                                | CUSIP: 74530DAH8<br>LEI: N/A                  | Short            | LON              | CORP              | US        |    -1004956 | PA      | $-975224.51   | -0.19%            | 2030-03-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| HA Sustainable Infrastructure Capital Inc       | HA Sustainable Infrastructure Capital Inc COM                                                                                            | CUSIP: 41068X100<br>LEI: 254900ZZRL7MWL1X8E92 | Short            | EC               | CORP              | US        |       -1091 | NS      | $-39843.32    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-808.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Amphastar Pharmaceuticals Inc                   | Amphastar Pharmaceuticals Inc COM                                                                                                        | CUSIP: 03209R103<br>LEI: 54930055TH0ZLSAQMJ38 | Short            | EC               | CORP              | US        |        -184 | NS      | $-3722.32     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICBC Standard Bank PLC                          | ICBCST 0 03/19/26 EMNT                                                                                                                   | CUSIP: 85312EEU3<br>LEI: F01VVKN4DRF2NWKGQ283 | Long             | DBT              | CORP              | GB        |  1387000000 | PA      | $974341.22    | 0.19%             | 2026-03-19      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Petroleos Mexicanos Sa De CV                    | PEMEX 6.625 PERP REGS                                                                                                                    | CUSIP: 71656MAF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      230000 | PA      | $175078.30    | 0.03%             | N/A             | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| NuScale Power Corp.                             | NuScale Power Corp. CL A COM                                                                                                             | CUSIP: 67079K100<br>LEI: N/A                  | Short            | EC               | CORP              | US        |       -3411 | NS      | $-43831.35    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Shift4 Payments Inc                             | FOUR 0.5 08/01/27                                                                                                                        | CUSIP: 82452JAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      771000 | PA      | $721848.75    | 0.14%             | 2027-08-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Vizsla Silver Corp                              | Vizsla Silver Corp COM NEW                                                                                                               | CUSIP: 92859G608<br>LEI: 549300ADJF7HWIEDL366 | Short            | EC               | CORP              | CA        |      -17917 | NS      | $-78476.46    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Jefferson Capital Holdings LLC                  | JEFCAP 8.25 05/15/30 144A                                                                                                                | CUSIP: 472481AC4<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |     -194000 | PA      | $-203401.82   | -0.04%            | 2030-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| BEONE MEDICINES LTD                             | BeOne Medicines Ltd. SPONSORED ADS                                                                                                       | CUSIP: 07725L102<br>LEI: 549300JFUK6FRD5MH739 | Long             | EC               | CORP              | CH        |        5727 | NS      | $1815401.73   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Opendoor Technologies Inc.                      | Opendoor Technologies Inc. WT EXP 112026 Z                                                                                               | CUSIP: 683712145<br>LEI: 254900KX11YZ4HV5BQ47 | Long             | EC               | CORP              | US        |          28 | NS      | $10.36        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Pacira Biosciences Inc                          | Pacira Biosciences Inc COM                                                                                                               | CUSIP: 695127100<br>LEI: 549300P56LERYBDHCF69 | Long             | EC               | CORP              | US        |         218 | NS      | $4776.38      | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-350.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pacira Biosciences Inc                          | Pacira Biosciences Inc COM                                                                                                               | CUSIP: 695127100<br>LEI: 549300P56LERYBDHCF69 | Short            | EC               | CORP              | US        |       -4198 | NS      | $-91978.18    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| PAR Technology Corp.                            | PAR 1 01/15/30                                                                                                                           | CUSIP: 698884AH6<br>LEI: 549300HYPTHBJQINVG57 | Long             | DBT              | CORP              | US        |       71000 | PA      | $56445.00     | 0.01%             | 2030-01-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Lonza Group AG                                  | Lonza Group AG CHF1 (REGD)                                                                                                               | CUSIP: 000000000<br>LEI: 549300EFW4H2TCZ71055 | Long             | EC               | CORP              | CH        |        3547 | NS      | $2467091.03   | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| SELECT SECTOR SPDR TRUST (THE)                  | Select Sector Spdr Trust STATE STREET INDUSTRIAL SELECT SECTOR SPDR ETF                                                                  | CUSIP: 81369Y704<br>LEI: 5493008JJKIPMEX3CO91 | Short            | EC               | RF                | US        |       -5382 | NS      | $-953367.48   | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| Lennar Corp.                                    | Lennar Corp. CL A                                                                                                                        | CUSIP: 526057104<br>LEI: 529900G61XVRLX5TJX09 | Short            | EC               | CORP              | US        |       -2983 | NS      | $-341135.88   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Commvault Systems Inc.                          | CVLT 0 09/15/30                                                                                                                          | CUSIP: 204166AA0<br>LEI: 65T5VRP62VXG39YFML83 | Long             | DBT              | CORP              | US        |      195000 | PA      | $163995.00    | 0.03%             | 2030-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LIBERTY INTERACTIVE LLC                         | LINTA 4 11/15/29                                                                                                                         | CUSIP: 530715AG6<br>LEI: 549300SZUIU7Z32Q0664 | Long             | DBT              | CORP              | US        |      366000 | PA      | $18300.00     | 0.00%             | 2029-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Impinj Inc                                      | PI 0 09/15/29                                                                                                                            | CUSIP: 453204AE9<br>LEI: 549300M26VGKSMMWWN17 | Long             | DBT              | CORP              | US        |        6000 | PA      | $5502.00      | 0.00%             | 2029-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| 888 HOLDINGS TLB 07/03/28                       | 888 HOLDINGS TLB 07/03/28                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      212328 | PA      | $200296.52    | 0.04%             | 2028-07-03      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Lenovo Group Ltd.                               | LENOVO 2.5 08/26/29                                                                                                                      | CUSIP: 000000000<br>LEI: 254900VUZRGD5U73RE46 | Long             | DBT              | CORP              | HK        |      306000 | PA      | $384718.50    | 0.07%             | 2029-08-26      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-19.19       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cipher Digital Inc.                             | Cipher Digital Inc. COM                                                                                                                  | CUSIP: 17253J106<br>LEI: 254900QABG5HCQZ28A17 | Short            | EC               | CORP              | US        |      -87710 | NS      | $-1368276.00  | -0.26%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Notes                    | T 4 01/31/33                                                                                                                             | CUSIP: 91282CPY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      204000 | PA      | $207538.13    | 0.04%             | 2033-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 4 01/31/33                                                                                                                             | CUSIP: 91282CPY1<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -204000 | PA      | $-207538.13   | -0.04%            | 2033-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Kenya (Republic of)                             | KENINT 8.7 02/26/39 144A                                                                                                                 | CUSIP: 491798AS3<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |      455000 | PA      | $444216.87    | 0.08%             | 2039-02-26      | Fixed         | 8.70%                 | No            |                  2 | On Loan: No      |
| Lantheus Holdings Inc                           | LNTH 2.625 12/15/27                                                                                                                      | CUSIP: 516544AB9<br>LEI: 5299005HUB5IOJGO7S39 | Long             | DBT              | CORP              | US        |      345000 | PA      | $414086.25    | 0.08%             | 2027-12-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Dreyfus Government Cash Management Funds        | Dreyfus Government Cash Management Funds SH BEN INT                                                                                      | CUSIP: 262006208<br>LEI: 549300F7IDB6WRO7VJ11 | Long             | STIV             | RF                | US        |    39199612 | PA      | $39199611.71  | 7.48%             |  |  |  | No            |                  1 | On Loan: No      |
| Rivian Automotive Inc                           | Rivian Automotive Inc COM CL A                                                                                                           | CUSIP: 76954A103<br>LEI: 25490004LNKJ84MFYY24 | Short            | EC               | CORP              | US        |       -6698 | NS      | $-102680.34   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Unity Software Inc                              | U 0 03/15/30                                                                                                                             | CUSIP: 91332UAH4<br>LEI: 549300D1ESJMGNQNG432 | Long             | DBT              | CORP              | US        |       63000 | PA      | $58826.25     | 0.01%             | 2030-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Ascendis Pharma A/S                             | Ascendis Pharma A/S SPONSORED ADR                                                                                                        | CUSIP: 04351P101<br>LEI: 549300B66JN3W3J8GH73 | Short            | EC               | CORP              | DK        |         -47 | NS      | $-10974.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CLOUD SOFTWARE G 03/21/31                       | CLOUD SOFTWARE G 03/21/31                                                                                                                | CUSIP: 88632NBK5<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -46158 | PA      | $-43019.52    | -0.01%            | 2031-03-21      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-198.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMCAST HOLDINGS CORP                           | COMCAST HOLDINGS CORP                                                                                                                    | CUSIP: 200300606<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      338600 | PA      | $244638.50    | 0.05%             | 2029-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FLEX LTD                                        | Flex Ltd. ORD                                                                                                                            | CUSIP: 000000000<br>LEI: 549300EAQH74YHD07T53 | Long             | EC               | CORP              | SG        |       15201 | NS      | $957967.02    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Desktop Metal Inc                               | Desktop Metal Inc                                                                                                                        | CUSIP: 000000000<br>LEI: 254900C3ZY0EFO5PGJ27 | Long             | EC               | CORP              | US        |       32750 | NS      | $3905.70      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Zoetis Inc.                                     | ZTS 0.25 06/15/29                                                                                                                        | CUSIP: 98978VAY9<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |      315000 | PA      | $331537.50    | 0.06%             | 2029-06-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Semtech Corporation                             | SMTC 0 10/15/30                                                                                                                          | CUSIP: 816850AJ0<br>LEI: 549300J7WUY317SW6O61 | Long             | DBT              | CORP              | US        |      101000 | PA      | $121982.75    | 0.02%             | 2030-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 4.25 08/15/35                                                                                                                          | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2191000 | PA      | $2245775.00   | 0.43%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 4.25 08/15/35                                                                                                                          | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |    -2191000 | PA      | $-2245775.00  | -0.43%            | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Kaisa Group Holdings Ltd.                       | KAISAG 0 12/31/30 .                                                                                                                      | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |      113628 | PA      | $198.85       | 0.00%             | 2030-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Tetra Tech Inc                                  | Tetra Tech Inc COM                                                                                                                       | CUSIP: 88162G103<br>LEI: 549300UJ1LP7JGJC5P32 | Short            | EC               | CORP              | US        |       -2813 | NS      | $-100817.92   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Kenya (Republic of)                             | KENINT 7.875 02/26/34 144A                                                                                                               | CUSIP: 491798AR5<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |      670000 | PA      | $660729.63    | 0.13%             | 2034-02-26      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-321.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Varonis Systems Inc                             | Varonis Systems Inc COM                                                                                                                  | CUSIP: 922280102<br>LEI: 549300SHIVNRRH7STS26 | Short            | EC               | CORP              | US        |       -1753 | NS      | $-40494.30    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| B2Gold Corp.                                    | B2Gold Corp. COM                                                                                                                         | CUSIP: 11777Q209<br>LEI: 549300F7OK456M5NLM05 | Short            | EC               | CORP              | CA        |      -61913 | NS      | $-381384.08   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Midas Opco Holdings LLC                         | STGW 5.625 08/15/29 144A                                                                                                                 | CUSIP: 59565JAA9<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |      -40000 | PA      | $-36908.23    | -0.01%            | 2029-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Suriname (Republic of)                          | SURINM 7.7 11/06/30 144A                                                                                                                 | CUSIP: 86886PAE2<br>LEI: 254900SYU4G5JM13TN77 | Long             | DBT              | NUSS              | SR        |      387000 | PA      | $398706.75    | 0.08%             | 2030-11-06      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| Workiva Inc                                     | Workiva Inc COM CL A                                                                                                                     | CUSIP: 98139A105<br>LEI: 529900RTOQ8GRWHY1O58 | Short            | EC               | CORP              | US        |        -962 | NS      | $-59239.96    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Samarco Mineracao SA                            | SAMMIN 9.5 06/30/31 REGS                                                                                                                 | CUSIP: 000000000<br>LEI: 529900U8HKV15GJC4O60 | Long             | DBT              | CORP              | BR        |      947916 | PA      | $951704.82    | 0.18%             | 2031-06-30      | Variable      | 9.50%                 | No            |                  2 | On Loan: No      |
| Impinj Inc                                      | PI 1.125 05/15/27                                                                                                                        | CUSIP: 453204AD1<br>LEI: 549300M26VGKSMMWWN17 | Long             | DBT              | CORP              | US        |      352000 | PA      | $445913.60    | 0.09%             | 2027-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Ping An Insurance (Group) Company of China Ltd. | PINGRP 0.875 07/22/29                                                                                                                    | CUSIP: 000000000<br>LEI: 529900M9MC28JLN35U89 | Long             | DBT              | CORP              | CN        |      700000 | PA      | $1180025.00   | 0.23%             | 2029-07-22      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Cyberark Software Ltd.                          | CYBR 0 06/15/30                                                                                                                          | CUSIP: 23248VAC9<br>LEI: 529900YEXNDM894PWS93 | Long             | DBT              | CORP              | IL        |       44000 | PA      | $44884.40     | 0.01%             | 2030-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LIGADO DIP ROLLUP05/05/25                       | LIGADO DIP ROLLUP05/05/25                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      229840 | PA      | $203983.43    | 0.04%             | 2026-02-10      | Floating      | 17.50%                | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Three-Month SOFR Futures, Sep-2027,ETH                                                                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         -79 | NC      | $-41055.07    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-396.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Evergy Inc                                      | Evergy Inc COM                                                                                                                           | CUSIP: 30034W106<br>LEI: 549300PGTHDQY6PSUI61 | Short            | EC               | CORP              | US        |      -11271 | NS      | $-942931.86   | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| Kaisa Group Holdings Ltd.                       | KAISAG 0 12/31/29 144A                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |       90902 | PA      | $109.08       | 0.00%             | 2029-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Parsons Corporation                             | Parsons Corporation COM                                                                                                                  | CUSIP: 70202L102<br>LEI: 549300ZXH0VRBSEPX752 | Short            | EC               | CORP              | US        |       -1876 | NS      | $-123816.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Zhenro Properties Group Limited                 | ZHPRHK 8 03/06/23                                                                                                                        | CUSIP: 000000000<br>LEI: 549300I66TVJEL841P38 | Long             | DBT              | CORP              | KY        |      981000 | PA      | $4905.00      | 0.00%             | 2023-03-06      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Entergy Corporation                             | Entergy Corporation COM                                                                                                                  | CUSIP: 29364G103<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | EC               | CORP              | US        |       19689 | NS      | $2108888.79   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| H WORLD GROUP LTD                               | H World Group Ltd. SPONSORED ADS                                                                                                         | CUSIP: 44332N106<br>LEI: 549300Y5ML31FVN83730 | Short            | EC               | CORP              | KY        |      -17572 | NS      | $-962945.60   | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                        | Kaisa Group Holdings Ltd. HKD0.10                                                                                                        | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | EC               | CORP              | KY        |       56339 | NS      | $640.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ishares Inc                                     | Ishares Inc MSCI BRAZIL ETF                                                                                                              | CUSIP: 464286400<br>LEI: 549300MGJZCNMJLBAJ67 | Short            | EC               | RF                | US        |      -21808 | NS      | $-844623.84   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| Suriname (Republic of)                          | SURINM 8.5 11/06/35 144A                                                                                                                 | CUSIP: 86886PAF9<br>LEI: 254900SYU4G5JM13TN77 | Long             | DBT              | NUSS              | SR        |      474000 | PA      | $504513.75    | 0.10%             | 2035-11-06      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.625 08/31/27                                                                                                                         | CUSIP: 91282CNV9<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -674000 | PA      | $-675816.64   | -0.13%            | 2027-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-564.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bridgebio Pharma Inc                            | Bridgebio Pharma Inc COM                                                                                                                 | CUSIP: 10806X102<br>LEI: 54930028YG89VTY2J114 | Long             | EC               | CORP              | US        |        1070 | NS      | $71133.60     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Bridgebio Pharma Inc                            | Bridgebio Pharma Inc COM                                                                                                                 | CUSIP: 10806X102<br>LEI: 54930028YG89VTY2J114 | Short            | EC               | CORP              | US        |      -14271 | NS      | $-948736.08   | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| UGI Corp                                        | UGI 5 06/01/28                                                                                                                           | CUSIP: 902681AB1<br>LEI: DX6GCWD4Q1JO9CRE5I40 | Long             | DBT              | CORP              | US        |       70000 | PA      | $100082.50    | 0.02%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 4.125 02/15/36                                                                                                                         | CUSIP: 91282CPZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      522500 | PA      | $529480.28    | 0.10%             | 2036-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 4.125 02/15/36                                                                                                                         | CUSIP: 91282CPZ8<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -230000 | PA      | $-233072.66   | -0.04%            | 2036-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                             | Comcast Corporation CL A                                                                                                                 | CUSIP: 20030N101<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | EC               | CORP              | US        |       11219 | NS      | $347340.24    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| IHI Corp.                                       | IHI Corp. NPV                                                                                                                            | CUSIP: 000000000<br>LEI: 549300ETQIESIUQ2OE26 | Long             | EC               | CORP              | JP        |       16020 | NS      | $438269.30    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Upwork Inc                                      | UPWK 0.25 08/15/26                                                                                                                       | CUSIP: 91688FAB0<br>LEI: 5493004QJ6WWBXVE2S70 | Long             | DBT              | CORP              | US        |      492000 | PA      | $482775.00    | 0.09%             | 2026-08-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| LIBERTY LATIN TL 10/16/28                       | LIBERTY LATIN TL 10/16/28                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       45456 | PA      | $31632.71     | 0.01%             | 2028-10-16      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| ConnectWise 09/2 09/29/28                       | ConnectWise 09/2 09/29/28                                                                                                                | CUSIP: 20786NAC1<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -27695 | PA      | $-25050.10    | -0.00%            | 2028-09-29      | Fixed         | 7.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2923.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Agilent Technologies Inc.                       | Agilent Technologies Inc. COM                                                                                                            | CUSIP: 00846U101<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | EC               | CORP              | US        |       16539 | NS      | $2007503.82   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Olema Pharmaceuticals Inc.                      | Olema Pharmaceuticals Inc. COM                                                                                                           | CUSIP: 68062P106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       28134 | NS      | $680842.80    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Bills                    | B 0 05/21/26                                                                                                                             | CUSIP: 912797SV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2500000 | PA      | $2480110.18   | 0.47%             | 2026-05-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Falcons Beyond Global Inc.                      | Falcons Beyond Global Inc. WT EXP 100628                                                                                                 | CUSIP: 306121112<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         180 | NS      | $134.82       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| World Kinect Corporation                        | World Kinect Corporation COM                                                                                                             | CUSIP: 981475106<br>LEI: D3W7PCXCBRQLL17DZ313 | Short            | EC               | CORP              | US        |       -3934 | NS      | $-98153.30    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| PERFORCE SOFTWAR 07/02/29                       | PERFORCE SOFTWAR 07/02/29                                                                                                                | CUSIP: 71376GAK7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      129184 | PA      | $99472.64     | 0.02%             | 2029-07-02      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| PERFORCE SOFTWAR 07/02/29                       | PERFORCE SOFTWAR 07/02/29                                                                                                                | CUSIP: 71376GAK7<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -259000 | PA      | $-199431.28   | -0.04%            | 2029-07-02      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| Merck & Co., Inc                                | Merck & Co., Inc COM                                                                                                                     | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |       21868 | NS      | $2707695.76   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Blue Owl Technology Fin Corp II                 | OTF 6.75 04/04/29                                                                                                                        | CUSIP: 69121JAB3<br>LEI: 254900G5EZJSOD3UKL16 | Short            | DBT              | CORP              | US        |     -847000 | PA      | $-843955.68   | -0.16%            | 2029-04-04      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| DoorDash Inc                                    | DASH 0 05/15/30                                                                                                                          | CUSIP: 25809KAA3<br>LEI: 549300NUQ43FGGSK5051 | Long             | DBT              | CORP              | US        |      250000 | PA      | $241375.00    | 0.05%             | 2030-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Viavi Solutions Inc                             | VIAV 0.625 03/01/31                                                                                                                      | CUSIP: 925550AJ4<br>LEI: 5493006K3E3N1QOBF092 | Long             | DBT              | CORP              | US        |      154000 | PA      | $341687.50    | 0.07%             | 2031-03-01      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Insmed Inc                                      | Insmed Inc COM PAR $.01                                                                                                                  | CUSIP: 457669307<br>LEI: 529900Q55QAG41CCAC11 | Long             | EC               | CORP              | US        |       10474 | NS      | $1564082.42   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Eversource Energy                               | ES V6.1 08/15/56 A                                                                                                                       | CUSIP: 30040WBC1<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |       18000 | PA      | $18088.50     | 0.00%             | 2056-08-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Live Nation Entertainment, Inc.                 | LYV 2.875 01/15/30                                                                                                                       | CUSIP: 538034BC2<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |       34000 | PA      | $38165.00     | 0.01%             | 2030-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Viridian Therapeutics Inc                       | Viridian Therapeutics Inc COM                                                                                                            | CUSIP: 92790C104<br>LEI: 549300C775BNYF550E70 | Long             | EC               | CORP              | US        |       30396 | NS      | $893034.48    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Reinsurance Group of America, Incorporated      | RGA V6.375 09/15/56                                                                                                                      | CUSIP: 759351AV1<br>LEI: LORM1GNEU1DKEW527V90 | Long             | DBT              | CORP              | US        |       18000 | PA      | $18024.44     | 0.00%             | 2056-09-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Boeing Co.                                      | Boeing Co. COM                                                                                                                           | CUSIP: 097023105<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EC               | CORP              | US        |        6962 | NS      | $1584063.86   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Notes                    | T 3.875 07/31/27                                                                                                                         | CUSIP: 91282CNP2<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -709000 | PA      | $-713168.15   | -0.14%            | 2027-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Microchip Technology Incorporated               | Microchip Technology Incorporated COM                                                                                                    | CUSIP: 595017104<br>LEI: 5493007PTFULNYZJ1R12 | Short            | EC               | CORP              | US        |        -978 | NS      | $-72997.92    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| James Hardie Industries PLC                     | James Hardie Industries PLC COM EUR0.59                                                                                                  | CUSIP: 000000000<br>LEI: 635400NSGXKTVOO7JU45 | Long             | EC               | CORP              | IE        |        3517 | NS      | $85638.95     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-155.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.5 01/15/29                                                                                                                           | CUSIP: 91282CPT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      279500 | PA      | $280384.35    | 0.05%             | 2029-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.5 01/15/29                                                                                                                           | CUSIP: 91282CPT2<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -111500 | PA      | $-111852.79   | -0.02%            | 2029-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Avalara, 03/26/32                               | Avalara, 03/26/32                                                                                                                        | CUSIP: 05338KAD9<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -46158 | PA      | $-43042.60    | -0.01%            | 2032-03-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| EchoStar Corp.                                  | SATS 3.875 11/30/30                                                                                                                      | CUSIP: 278768AB2<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |      545407 | PA      | $1928013.75   | 0.37%             | 2030-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Trico Group/Firs 03/30/27                       | Trico Group/Firs 03/30/27                                                                                                                | CUSIP: 31935HAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       25282 | PA      | $95.95        | 0.00%             | 2027-03-30      | Floating      | 10.81%                | No            |                  2 | On Loan: No      |
| Trico Group/Firs 03/30/27                       | Trico Group/Firs 03/30/27                                                                                                                | CUSIP: 31935HAD9<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -726035 | PA      | $-2755.30     | -0.00%            | 2027-03-30      | Floating      | 10.81%                | No            |                  2 | On Loan: No      |
| Whirlpool Corp.                                 | Whirlpool Corp. COM                                                                                                                      | CUSIP: 963320106<br>LEI: WHENKOULSSK7WUM60H03 | Short            | EC               | CORP              | US        |        -137 | NS      | $-9374.91     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Bonds                    | T 4.625 11/15/45                                                                                                                         | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      312500 | PA      | $314624.03    | 0.06%             | 2045-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                    | T 4.625 11/15/45                                                                                                                         | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -240000 | PA      | $-241631.25   | -0.05%            | 2045-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Cytokinetics Inc                                | CYTK 1.75 10/01/31                                                                                                                       | CUSIP: 23282WAD2<br>LEI: 549300BE5DY1HW7IHA64 | Long             | DBT              | CORP              | US        |       63000 | PA      | $78041.25     | 0.01%             | 2031-10-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-677.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Collegium Pharmaceutical Inc.                   | Collegium Pharmaceutical Inc. COM                                                                                                        | CUSIP: 19459J104<br>LEI: 54930049FXZMTLW8D496 | Short            | EC               | CORP              | US        |        -823 | NS      | $-34294.41    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Live Nation Entertainment, Inc.                 | LYV 3.125 01/15/29                                                                                                                       | CUSIP: 538034BA6<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |       41000 | PA      | $65755.80     | 0.01%             | 2029-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Brand Engagement Network Inc                    | Brand Engagement Network Inc WT EXP 031429                                                                                               | CUSIP: 104932116<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         241 | NS      | $79.05        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Cordoba (Province Of)                           | PDCAR 9.75 07/02/32 REGS                                                                                                                 | CUSIP: 000000000<br>LEI: 5299006CLM2Z97AATT29 | Long             | DBT              | NUSS              | AR        |      437000 | PA      | $456883.50    | 0.09%             | 2032-07-02      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Western Digital Corp.                           | WDC 3 11/15/28                                                                                                                           | CUSIP: 958102AT2<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |     1201000 | PA      | $8916584.30   | 1.70%             | 2028-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Penguin Solutions Inc                           | PENG 2 08/15/30                                                                                                                          | CUSIP: 83205YAE4<br>LEI: 254900DVWIPOY3GJ8E23 | Long             | DBT              | CORP              | US        |      342000 | PA      | $372284.10    | 0.07%             | 2030-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Asian Development Bank                          | ASIA 0 03/03/35                                                                                                                          | CUSIP: 000000000<br>LEI: 549300X0MVH42CY8Q105 | Long             | DBT              | NUSS              | N/A       |    59920000 | PA      | $171778.67    | 0.03%             | 2035-03-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Colombia (Republic Of)                          | COLOM 6.5 01/21/33                                                                                                                       | CUSIP: 195325EV3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      243000 | PA      | $241617.33    | 0.05%             | 2033-01-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.375 12/31/27                                                                                                                         | CUSIP: 91282CPS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       60000 | PA      | $59974.22     | 0.01%             | 2027-12-31      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.75 01/31/31                                                                                                                          | CUSIP: 91282CPW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      203100 | PA      | $205194.47    | 0.04%             | 2031-01-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5511.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.75 01/31/31                                                                                                                          | CUSIP: 91282CPW5<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -179000 | PA      | $-180845.94   | -0.03%            | 2031-01-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Danaher Corporation                             | Danaher Corporation COM                                                                                                                  | CUSIP: 235851102<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | EC               | CORP              | US        |        3337 | NS      | $702905.68    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Equinox Gold Corp                               | EQXCN 4.75 10/15/28                                                                                                                      | CUSIP: 29446YAC0<br>LEI: 5493005IN4V1SNP9PN75 | Long             | DBT              | CORP              | CA        |      327000 | PA      | $1005525.00   | 0.19%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Tempus AI Inc.                                  | Tempus AI Inc. CL A                                                                                                                      | CUSIP: 88023B103<br>LEI: 2549009LA0KWRAGQBX50 | Short            | EC               | CORP              | US        |        -265 | NS      | $-14111.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BALDWIN INS GROU 05/26/31                       | BALDWIN INS GROU 05/26/31                                                                                                                | CUSIP: 05825HAH7<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -27695 | PA      | $-27221.94    | -0.01%            | 2031-05-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Mirum Pharmaceuticals Inc.                      | MIRM 4 05/01/29                                                                                                                          | CUSIP: 604749AB7<br>LEI: 254900YZKR40F7F27K81 | Long             | DBT              | CORP              | US        |      513000 | PA      | $1533549.04   | 0.29%             | 2029-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ionq Inc                                        | Ionq Inc COM                                                                                                                             | CUSIP: 46222L108<br>LEI: 529900RB2VEFGLQS7G28 | Short            | EC               | CORP              | US        |       -1835 | NS      | $-70408.95    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ESC CB144A DANIMER BONDS                        | ESC CB144A DANIMER BONDS                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      264000 | PA      | $554.40       | 0.00%             | 2026-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences Inc.                            | Gilead Sciences Inc. COM                                                                                                                 | CUSIP: 375558103<br>LEI: 549300WTZWR07K8MNV44 | Long             | EC               | CORP              | US        |        6193 | NS      | $922447.35    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Bayer AG                                        | Bayer AG NPV (REGD)                                                                                                                      | CUSIP: 000000000<br>LEI: 549300J4U55H3WP1XT59 | Long             | EC               | CORP              | DE        |       20004 | NS      | $989815.43    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-365.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eaton Corporation PLC                           | Eaton Corporation PLC SHS                                                                                                                | CUSIP: 000000000<br>LEI: 549300VDIGTMXUNT7H71 | Short            | EC               | CORP              | IE        |       -1841 | NS      | $-692068.72   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| DOTDASH MEREDITH 06/17/32                       | DOTDASH MEREDITH 06/17/32                                                                                                                | CUSIP: 25849KAH0<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -67925 | PA      | $-62968.18    | -0.01%            | 2032-06-17      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Booz Allen Hamilton Inc                         | BAH 4 07/01/29 144A                                                                                                                      | CUSIP: 09951LAB9<br>LEI: 549300D7XCH2480XU542 | Short            | DBT              | CORP              | US        |     -488000 | PA      | $-478360.30   | -0.09%            | 2029-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cleveland-Cliffs Inc                            | Cleveland-Cliffs Inc COM                                                                                                                 | CUSIP: 185899101<br>LEI: 549300TM2WLI2BJMDD86 | Long             | EC               | CORP              | US        |       27280 | NS      | $290804.80    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Aeva Technologies Inc                           | Aeva Technologies Inc COM NEW                                                                                                            | CUSIP: 00835Q202<br>LEI: 529900EOW3TB2FR95A21 | Long             | EC               | CORP              | US        |       12534 | NS      | $166200.84    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| LivaNova PLC                                    | LivaNova PLC SHS                                                                                                                         | CUSIP: 000000000<br>LEI: 2138001K2FX6SHK2B339 | Short            | EC               | CORP              | GB        |       -5873 | NS      | $-414633.80   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Applied Digital Corp                            | Applied Digital Corp COM NEW                                                                                                             | CUSIP: 038169207<br>LEI: 2549004NE2B6RYXINZ02 | Short            | EC               | CORP              | US        |      -42479 | NS      | $-1158402.33  | -0.22%            |  |  |  | No            |                  1 | On Loan: No      |
| Cleveland-Cliffs Inc                            | CLF 7.375 05/01/33 144A                                                                                                                  | CUSIP: 185899AR2<br>LEI: 549300TM2WLI2BJMDD86 | Short            | DBT              | CORP              | US        |     -144000 | PA      | $-147897.67   | -0.03%            | 2033-05-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Kaisa Group Holdings Ltd.                       | KAISAG 0 12/31/28 144A                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |       90902 | PA      | $136.35       | 0.00%             | 2028-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Semtech Corporation                             | Semtech Corporation COM                                                                                                                  | CUSIP: 816850101<br>LEI: 549300J7WUY317SW6O61 | Short            | EC               | CORP              | US        |       -7750 | NS      | $-699205.00   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-110.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Penguin Solutions Inc                           | PENG 2 02/01/29                                                                                                                          | CUSIP: 83205YAC8<br>LEI: 254900DVWIPOY3GJ8E23 | Long             | DBT              | CORP              | US        |      327000 | PA      | $396324.00    | 0.08%             | 2029-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Progress Software Corp.                         | PRGS 3.5 03/01/30                                                                                                                        | CUSIP: 743312AD2<br>LEI: 549300R65B3JG6972S24 | Long             | DBT              | CORP              | US        |       87000 | PA      | $87674.25     | 0.02%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                    | T 4.625 02/15/46                                                                                                                         | CUSIP: 912810UT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      105600 | PA      | $106350.75    | 0.02%             | 2046-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| LIGADO DD DIP BK 12/31/27                       | LIGADO DD DIP BK 12/31/27                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       23196 | PA      | $20296.54     | 0.00%             | 2027-12-31      | Floating      | 0.01%                 | No            |                  3 | On Loan: No      |
| Q2 Holdings Inc                                 | QTWO 0.75 06/01/26                                                                                                                       | CUSIP: 74736LAD1<br>LEI: 549300M9RKR9DZXWS696 | Long             | DBT              | CORP              | US        |      615000 | PA      | $609465.00    | 0.12%             | 2026-06-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Cloudflare Inc                                  | NET 0 06/15/30                                                                                                                           | CUSIP: 18915MAE7<br>LEI: 5493007DY18BGNLDWU14 | Long             | DBT              | CORP              | US        |      190000 | PA      | $199576.00    | 0.04%             | 2030-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HUB Internationa 06/20/30                       | HUB Internationa 06/20/30                                                                                                                | CUSIP: 44332EAZ9<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -92317 | PA      | $-91455.25    | -0.02%            | 2030-06-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Public Service Enterprise Group Incorporated    | Public Service Enterprise Group Incorporated COM                                                                                         | CUSIP: 744573106<br>LEI: PUSS41EMO3E6XXNV3U28 | Short            | EC               | CORP              | US        |       -8327 | NS      | $-716704.89   | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| PAR Technology Corp.                            | PAR Technology Corp. COM                                                                                                                 | CUSIP: 698884103<br>LEI: 549300HYPTHBJQINVG57 | Long             | EC               | CORP              | US        |         215 | NS      | $3523.85      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PAR Technology Corp.                            | PAR Technology Corp. COM                                                                                                                 | CUSIP: 698884103<br>LEI: 549300HYPTHBJQINVG57 | Short            | EC               | CORP              | US        |        -449 | NS      | $-7359.11     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-743.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Penguin Solutions Inc                           | Penguin Solutions Inc COM                                                                                                                | CUSIP: 706915105<br>LEI: 254900DVWIPOY3GJ8E23 | Short            | EC               | CORP              | US        |      -18664 | NS      | $-387837.92   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Dover Corporation                               | Dover Corporation COM                                                                                                                    | CUSIP: 260003108<br>LEI: 549300FMC2ALGA7N9E80 | Long             | EC               | CORP              | US        |        5318 | NS      | $1199209.00   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Lyft Inc                                        | LYFT 0 09/15/30                                                                                                                          | CUSIP: 55087PAE4<br>LEI: 549300H7I5VN334XVZ52 | Long             | DBT              | CORP              | US        |       87000 | PA      | $84165.38     | 0.02%             | 2030-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WisdomTree, Inc.                                | WT 3.25 08/15/29                                                                                                                         | CUSIP: 97717PAH7<br>LEI: 549300WIU8IS7UFO7871 | Long             | DBT              | CORP              | US        |      693000 | PA      | $1063408.50   | 0.20%             | 2029-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Premium Brands Holdings Corp.                   | PBHCN 5.5 12/31/32                                                                                                                       | CUSIP: 74061AAM0<br>LEI: 529900F5EXPGUY8WV366 | Long             | DBT              | CORP              | CA        |       54000 | PA      | $41283.55     | 0.01%             | 2032-12-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Trip.com Group Ltd.                             | TCOM 0.75 06/15/29                                                                                                                       | CUSIP: 89677QAB3<br>LEI: 2549004RMYDSRQL4KW41 | Long             | DBT              | CORP              | KY        |       81000 | PA      | $85738.50     | 0.02%             | 2029-06-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Alarm.com Holdings Inc.                         | ALRM 2.25 06/01/29                                                                                                                       | CUSIP: 011642AD7<br>LEI: 549300HIH92U1EKIHZ32 | Long             | DBT              | CORP              | US        |       81000 | PA      | $76707.00     | 0.01%             | 2029-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MGM Resorts International                       | MGM Resorts International COM                                                                                                            | CUSIP: 552953101<br>LEI: 54930066VBP7DZEGGJ87 | Short            | EC               | CORP              | US        |       -5451 | NS      | $-200923.86   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Indie Semiconductor Inc.                        | Indie Semiconductor Inc. CLASS A COM                                                                                                     | CUSIP: 45569U101<br>LEI: 254900L1MFXFYGB1PV53 | Short            | EC               | CORP              | US        |      -67270 | NS      | $-246208.20   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Conx Corp                                       | Conx Corp WT EXP 103027                                                                                                                  | CUSIP: 212873111<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       14679 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Three-Month SOFR Futures, Sep-2026,ETH                                                                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         -84 | NC      | $-549.22      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-754.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity Government Portfolio                   | Fidelity Government Portfolio                                                                                                            | CUSIP: 000000000<br>LEI: 549300FQDFZGLUOCWN51 | Long             | STIV             | RF                | US        |    41400891 | NS      | $41400873.08  | 7.90%             |  |  |  | No            |                  1 | On Loan: No      |
| Array Technologies Inc                          | Array Technologies Inc COM SHS                                                                                                           | CUSIP: 04271T100<br>LEI: 549300JM5FECYJQ85V37 | Short            | EC               | CORP              | US        |       -5341 | NS      | $-40484.78    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Check Point Software Technologies Ltd.          | CHKP 0 12/15/30                                                                                                                          | CUSIP: 162775AA8<br>LEI: 2549003ZVBH73EPNS513 | Long             | DBT              | CORP              | IL        |      252000 | PA      | $240035.68    | 0.05%             | 2030-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Proofpoin 08/31/28                              | Proofpoin 08/31/28                                                                                                                       | CUSIP: 74345HAJ0<br>LEI: 529900C5FODDK0WSR085 | Short            | LON              | CORP              | US        |      -92317 | PA      | $-88638.21    | -0.02%            | 2028-08-31      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| LCI Industries                                  | LCII 3 03/01/30                                                                                                                          | CUSIP: 501812AC5<br>LEI: 549300E1B98YNJ1WIQ04 | Long             | DBT              | CORP              | US        |       32000 | PA      | $40712.00     | 0.01%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Centrient Holding BV                            | DSPPHA 6.75 05/30/30 REGS                                                                                                                | CUSIP: 000000000<br>LEI: 549300QHIYIRIMCM2345 | Long             | DBT              | CORP              | NL        |      200000 | PA      | $213077.11    | 0.04%             | 2030-05-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Indonesia (Republic of)                         | INDON 4.46 03/04/38                                                                                                                      | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      290000 | PA      | $344743.24    | 0.07%             | 2038-03-04      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Western Digital Corp.                           | Western Digital Corp. COM                                                                                                                | CUSIP: 958102105<br>LEI: 549300QQXOOYEF89IC56 | Short            | EC               | CORP              | US        |      -31863 | NS      | $-8912081.10  | -1.70%            |  |  |  | No            |                  1 | On Loan: No      |
| GAINWELL ACQUISI 10/01/27                       | GAINWELL ACQUISI 10/01/27                                                                                                                | CUSIP: 59909TAC8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      553262 | PA      | $526290.84    | 0.10%             | 2027-10-01      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.5 02/15/29                                                                                                                           | CUSIP: 91282CQA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      182700 | PA      | $183278.07    | 0.03%             | 2029-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-67.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.5 02/15/29                                                                                                                           | CUSIP: 91282CQA2<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |      -88300 | PA      | $-88579.39    | -0.02%            | 2029-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MULTICOLOR TL SO 12/02/26                       | MULTICOLOR TL SO 12/02/26                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       55558 | PA      | $55488.80     | 0.01%             | 2026-12-02      | Fixed         | 10.41%                | No            |                  2 | On Loan: No      |
| Granite Construction Inc                        | GVA 3.75 05/15/28                                                                                                                        | CUSIP: 387328AD9<br>LEI: 549300OM4BWMCIXVCZ39 | Long             | DBT              | CORP              | US        |      361000 | PA      | $1064408.50   | 0.20%             | 2028-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AmWINS Grou 01/30/32                            | AmWINS Grou 01/30/32                                                                                                                     | CUSIP: 03234TBB3<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -46158 | PA      | $-45754.40    | -0.01%            | 2032-01-30      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Avnet, Inc.                                     | Avnet, Inc. COM                                                                                                                          | CUSIP: 053807103<br>LEI: XJI53DCPL7QABOWK4Z75 | Short            | EC               | CORP              | US        |        -327 | NS      | $-21529.68    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Bills                    | B 0 05/07/26                                                                                                                             | CUSIP: 912797SP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1000000 | PA      | $993409.17    | 0.19%             | 2026-05-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| 888 HOLDINGS TLB 07/03/28                       | 888 HOLDINGS TLB 07/03/28                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       92317 | PA      | $87085.44     | 0.02%             | 2028-07-03      | Fixed         | 9.05%                 | No            |                  2 | On Loan: No      |
| Oklo Inc.                                       | Oklo Inc. COM CL A                                                                                                                       | CUSIP: 02156V109<br>LEI: N/A                  | Short            | EC               | CORP              | US        |        -820 | NS      | $-51619.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Bills                    | B 0 04/30/26                                                                                                                             | CUSIP: 912797SN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2000000 | PA      | $1988109.86   | 0.38%             | 2026-04-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                         | UnitedHealth Group Inc. COM                                                                                                              | CUSIP: 91324P102<br>LEI: 549300GHBMY8T5GXDE41 | Long             | EC               | CORP              | US        |        2829 | NS      | $829660.83    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-709.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Solv Energy Inc.                                | Solv Energy Inc. COM SHS CL A                                                                                                            | CUSIP: 78475V103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       10459 | NS      | $329667.68    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Protagonist Therapeutics Inc                    | Protagonist Therapeutics Inc COM                                                                                                         | CUSIP: 74366E102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        8512 | NS      | $783784.96    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| ATHENAHEALTH TLB 02/15/29                       | ATHENAHEALTH TLB 02/15/29                                                                                                                | CUSIP: 04686RAB9<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -92317 | PA      | $-90162.35    | -0.02%            | 2029-02-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| PG&E Corporation                                | PG&E Corporation COM                                                                                                                     | CUSIP: 69331C108<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | EC               | CORP              | US        |       54731 | NS      | $1039889.00   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| PG&E Corporation                                | PG&E Corporation COM                                                                                                                     | CUSIP: 69331C108<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Short            | EC               | CORP              | US        |       -2862 | NS      | $-54378.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Quantum Computing Inc                           | Quantum Computing Inc COM                                                                                                                | CUSIP: 74766W108<br>LEI: N/A                  | Short            | EC               | CORP              | US        |       -7156 | NS      | $-60181.96    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Unity Software Inc                              | U 0 11/15/26                                                                                                                             | CUSIP: 91332UAB7<br>LEI: 549300D1ESJMGNQNG432 | Long             | DBT              | CORP              | US        |      234000 | PA      | $226863.00    | 0.04%             | 2026-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems Inc                | CYH 9.75 01/15/34 144A                                                                                                                   | CUSIP: 12543DBQ2<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |      191000 | PA      | $201518.18    | 0.04%             | 2034-01-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Wayfair Inc                                     | W 3.25 09/15/27                                                                                                                          | CUSIP: 94419LAP6<br>LEI: 54930027N9ZAVYFDHK53 | Long             | DBT              | CORP              | US        |      572000 | PA      | $762762.00    | 0.15%             | 2027-09-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Raven Acquisitio 11/19/31                       | Raven Acquisitio 11/19/31                                                                                                                | CUSIP: 75419XAC8<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -103342 | PA      | $-98692.08    | -0.02%            | 2031-11-19      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1082.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UCB SA                                          | UCB SA NPV                                                                                                                               | CUSIP: 000000000<br>LEI: 2138008J191VLSGY5A09 | Long             | EC               | CORP              | BE        |        2280 | NS      | $684874.64    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Camtek Limited                                  | CAMT 0 09/15/30                                                                                                                          | CUSIP: 13469VAC2<br>LEI: 5493000H80W07HCKGS43 | Long             | DBT              | CORP              | IL        |      232000 | PA      | $385004.00    | 0.07%             | 2030-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Indonesia (Republic of)                         | INDON 4.97 03/04/46                                                                                                                      | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      245000 | PA      | $294093.73    | 0.06%             | 2046-03-04      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Venezuela (Republic Of)                         | VENZ 8.25 10/13/24                                                                                                                       | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      305000 | PA      | $119743.00    | 0.02%             | 2024-10-13      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Exact Sciences Corporation                      | EXAS 0.375 03/01/28                                                                                                                      | CUSIP: 30063PAC9<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | DBT              | CORP              | US        |      891000 | PA      | $927531.00    | 0.18%             | 2028-03-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Dropbox Inc                                     | Dropbox Inc CL A                                                                                                                         | CUSIP: 26210C104<br>LEI: 549300JCDF7UAR6TJR51 | Short            | EC               | CORP              | US        |       -7853 | NS      | $-196246.47   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| SV RNO Property Owner 1 LLC                     | TRACTC 5.875 03/01/31 144A                                                                                                               | CUSIP: 78488XAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       39000 | PA      | $39202.21     | 0.01%             | 2031-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Guidewire Software Inc                          | GWRE 1.25 11/01/29                                                                                                                       | CUSIP: 40171VAC4<br>LEI: 549300WXSG0J8IXZCK32 | Long             | DBT              | CORP              | US        |      526000 | PA      | $525474.00    | 0.10%             | 2029-11-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| DoorDash Inc                                    | DoorDash Inc CL A                                                                                                                        | CUSIP: 25809K105<br>LEI: 549300NUQ43FGGSK5051 | Short            | EC               | CORP              | US        |        -457 | NS      | $-80646.79    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Optimum Communications Inc.                     | Optimum Communications Inc. CL A                                                                                                         | CUSIP: 02156K103<br>LEI: 54930064K3612MGCER95 | Long             | EC               | CORP              | US        |       59384 | NS      | $85512.96     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-448.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Lebanese Republic                               | LEBAN 6 01/27/23 10Y                                                                                                                     | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |      212000 | PA      | $62222.00     | 0.01%             | 2023-01-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ON Semiconductor Corp.                          | ON 0.5 03/01/29                                                                                                                          | CUSIP: 682189AU9<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |      705000 | PA      | $709935.00    | 0.14%             | 2029-03-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Patrick Industries Inc.                         | Patrick Industries Inc. COM                                                                                                              | CUSIP: 703343103<br>LEI: 549300FZ5ZTCCJ3Z5W14 | Short            | EC               | CORP              | US        |       -2537 | NS      | $-314055.23   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Kaisa Group Holdings Ltd.                       | KAISAG 7.721 12/28/27 144A                                                                                                               | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |       52295 | PA      | $1307.38      | 0.00%             | 2027-12-28      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| Halozyme Therapeutics Inc                       | HALO 0 02/15/31                                                                                                                          | CUSIP: 40637HAG4<br>LEI: 529900242I3SV9AGM753 | Long             | DBT              | CORP              | US        |       32000 | PA      | $32592.00     | 0.01%             | 2031-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Nigeria (Federal Republic of)                   | NGERIA 8.6308 01/13/36 144A                                                                                                              | CUSIP: 65412AFF4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |      369000 | PA      | $397234.75    | 0.08%             | 2036-01-13      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| Pakistan (Islamic Republic of)                  | PKSTAN 7.375 04/08/31 REGS                                                                                                               | CUSIP: 000000000<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |      893000 | PA      | $885371.01    | 0.17%             | 2031-04-08      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Shift4 Payments Inc                             | Shift4 Payments Inc CL A                                                                                                                 | CUSIP: 82452J109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         285 | NS      | $12559.95     | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| Shift4 Payments Inc                             | Shift4 Payments Inc CL A                                                                                                                 | CUSIP: 82452J109<br>LEI: N/A                  | Short            | EC               | CORP              | US        |        -843 | NS      | $-37151.01    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| SKOPIMA CONSILIO 05/12/28                       | SKOPIMA CONSILIO 05/12/28                                                                                                                | CUSIP: 36171NAG1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       28561 | PA      | $22823.83     | 0.00%             | 2028-05-12      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-282.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKOPIMA CONSILIO 05/12/28                       | SKOPIMA CONSILIO 05/12/28                                                                                                                | CUSIP: 36171NAG1<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -29319 | PA      | $-23429.39    | -0.00%            | 2028-05-12      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Affirm Holdings Inc                             | Affirm Holdings Inc COM CL A                                                                                                             | CUSIP: 00827B106<br>LEI: N/A                  | Short            | EC               | CORP              | US        |       -2665 | NS      | $-125201.70   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Ascendis Pharma A/S                             | ASND 2.25 04/01/28                                                                                                                       | CUSIP: 04351PAD3<br>LEI: 549300B66JN3W3J8GH73 | Long             | DBT              | CORP              | DK        |       10000 | PA      | $15052.50     | 0.00%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NCL Corporation Ltd.                            | NCLH 1.125 02/15/27                                                                                                                      | CUSIP: 62886HBD2<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |      263000 | PA      | $269443.50    | 0.05%             | 2027-02-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Guardant Health Inc                             | GH 0 11/15/27                                                                                                                            | CUSIP: 40131MAB5<br>LEI: 254900M8C3E5VC8BR186 | Long             | DBT              | CORP              | US        |      931000 | PA      | $972848.52    | 0.19%             | 2027-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Argenx SE                                       | Argenx SE SPONSORED ADR                                                                                                                  | CUSIP: 04016X101<br>LEI: 7245009C5FZE6G9ODQ71 | Long             | EC               | CORP              | NL        |        2580 | NS      | $1978653.60   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Dayforce Inc                                    | DAY 0.25 03/15/26                                                                                                                        | CUSIP: 15677JAD0<br>LEI: 549300T64GVCHFJ8L449 | Long             | DBT              | CORP              | US        |      997000 | PA      | $995504.50    | 0.19%             | 2026-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Opendoor Technologies Inc.                      | OPEN 7 05/15/30                                                                                                                          | CUSIP: 683712AC7<br>LEI: 254900KX11YZ4HV5BQ47 | Long             | DBT              | CORP              | US        |      131000 | PA      | $489114.70    | 0.09%             | 2030-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.625 08/31/30                                                                                                                         | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      914000 | PA      | $918819.92    | 0.18%             | 2030-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ZODIAC PURCHASE 02/14/32                        | ZODIAC PURCHASE 02/14/32                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       29674 | PA      | $26891.73     | 0.01%             | 2032-02-14      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $40900.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| E.ON SE                                         | E.ON SE NPV                                                                                                                              | CUSIP: 000000000<br>LEI: Q9MAIUP40P25UFBFG033 | Short            | EC               | CORP              | DE        |      -18712 | NS      | $-435127.05   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Williams Companies Inc. (The)                   | Williams Companies Inc. (The) COM                                                                                                        | CUSIP: 969457100<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | EC               | CORP              | US        |       17663 | NS      | $1319779.36   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Nigeria (Federal Republic of)                   | NGERIA 9.1297 01/13/46 144A                                                                                                              | CUSIP: 65412AFG2<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |      360000 | PA      | $392301.12    | 0.07%             | 2046-01-13      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| Baxter International, Inc.                      | BAX 3.132 12/01/51                                                                                                                       | CUSIP: 071813CV9<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |      721000 | PA      | $449810.07    | 0.09%             | 2051-12-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Ministerio de Hacienda y Credito Publico        | COLTES 7.25 10/26/50 B                                                                                                                   | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  1573700000 | PA      | $237355.68    | 0.05%             | 2050-10-26      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Argentina (Republic Of)                         | ARGENT 0.75 07/09/30                                                                                                                     | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      796320 | PA      | $676872.00    | 0.13%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                    | B 0 03/03/26                                                                                                                             | CUSIP: 912797ST5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      500000 | PA      | $499949.98    | 0.10%             | 2026-03-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Kaisa Group Holdings Ltd.                       | KAISAG 0 12/31/32 144A                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |      214367 | PA      | $2143.67      | 0.00%             | 2032-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                 | CVS Health Corp COM                                                                                                                      | CUSIP: 126650100<br>LEI: 549300EJG376EN5NQE29 | Long             | EC               | CORP              | US        |       33420 | NS      | $2670258.00   | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| NEXUS BUYE 07/31/31                             | NEXUS BUYE 07/31/31                                                                                                                      | CUSIP: 65343UAH5<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -92317 | PA      | $-87037.43    | -0.02%            | 2031-07-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-207.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TransMedics Group Inc.                          | TransMedics Group Inc. COM                                                                                                               | CUSIP: 89377M109<br>LEI: 549300060GVOSMWARH50 | Short            | EC               | CORP              | US        |       -4607 | NS      | $-669212.82   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| Camtek Limited                                  | Camtek Limited ORD                                                                                                                       | CUSIP: 000000000<br>LEI: 5493000H80W07HCKGS43 | Short            | EC               | CORP              | IL        |       -1823 | NS      | $-305151.97   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Lantheus Holdings Inc                           | Lantheus Holdings Inc COM                                                                                                                | CUSIP: 516544103<br>LEI: 5299005HUB5IOJGO7S39 | Long             | EC               | CORP              | US        |         169 | NS      | $12659.79     | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| Lantheus Holdings Inc                           | Lantheus Holdings Inc COM                                                                                                                | CUSIP: 516544103<br>LEI: 5299005HUB5IOJGO7S39 | Short            | EC               | CORP              | US        |       -2893 | NS      | $-216714.63   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| AbbVie Inc.                                     | ABBV 4.75 03/15/36                                                                                                                       | CUSIP: 00287YEG0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       50000 | PA      | $50281.44     | 0.01%             | 2036-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Argentina (Republic Of)                         | ARGENT 5 01/09/38                                                                                                                        | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      665000 | PA      | $523687.50    | 0.10%             | 2038-01-09      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Kaisa Group Holdings Ltd.                       | KAISAG 0 12/31/31 144A                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |      113628 | PA      | $124.99       | 0.00%             | 2031-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Oddity Tech Ltd.                                | Oddity Tech Ltd. SHS CL A                                                                                                                | CUSIP: 000000000<br>LEI: 254900QH12XZS53G0V57 | Short            | EC               | CORP              | IL        |       -1308 | NS      | $-15395.16    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Xcel Energy Inc                                 | Xcel Energy Inc COM                                                                                                                      | CUSIP: 98389B100<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | EC               | CORP              | US        |       29800 | NS      | $2484128.00   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Coherent Corp                                   | Coherent Corp COM                                                                                                                        | CUSIP: 19247G107<br>LEI: 549300O5C25A0MMHHU33 | Long             | EC               | CORP              | US        |        5521 | NS      | $1429552.53   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8139.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Commvault Systems Inc.                          | Commvault Systems Inc. COM                                                                                                               | CUSIP: 204166102<br>LEI: 65T5VRP62VXG39YFML83 | Short            | EC               | CORP              | US        |         -42 | NS      | $-3573.36     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Astronics Corp.                                 | Astronics Corp. COM                                                                                                                      | CUSIP: 046433108<br>LEI: 549300NNXCF8H4MSMK17 | Short            | EC               | CORP              | US        |       -2153 | NS      | $-173574.86   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| LIBERTY MEDIA CORP                              | Liberty Media Corp Del COM LBTY ONE S C                                                                                                  | CUSIP: 531229755<br>LEI: 549300ZKUTPIBZLWLL89 | Short            | EC               | CORP              | US        |        -260 | NS      | $-23813.40    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Guardant Health Inc                             | GH 1.25 02/15/31                                                                                                                         | CUSIP: 40131MAD1<br>LEI: 254900M8C3E5VC8BR186 | Long             | DBT              | CORP              | US        |        7000 | PA      | $12001.11     | 0.00%             | 2031-02-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| S&S Holdings LLC                                | SSACTI 8.375 10/01/31 144A                                                                                                               | CUSIP: 78525CAA3<br>LEI: 25490047QJT06H3Z7U34 | Long             | DBT              | CORP              | US        |      832000 | PA      | $780436.30    | 0.15%             | 2031-10-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Assured Guaranty US Holdings Inc.               | AGO 3.15 06/15/31                                                                                                                        | CUSIP: 04621WAD2<br>LEI: 5493007YCE0652G9TZ64 | Short            | DBT              | CORP              | US        |      -92000 | PA      | $-86766.32    | -0.02%            | 2031-06-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Cohu Inc                                        | Cohu Inc COM                                                                                                                             | CUSIP: 192576106<br>LEI: 529900FJPORJ3JJ2XS33 | Short            | EC               | CORP              | US        |       -9817 | NS      | $-296473.40   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| AbbVie Inc.                                     | ABBV 5.55 03/15/56                                                                                                                       | CUSIP: 00287YEH8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |        9000 | PA      | $9063.18      | 0.00%             | 2056-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| UL Solutions Inc.                               | UL Solutions Inc. CLASS A COM SHS                                                                                                        | CUSIP: 903731107<br>LEI: 549300F7CUV5ESKV9P71 | Long             | EC               | CORP              | US        |       11456 | NS      | $961960.32    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| MKS Inc.                                        | MKS Inc. COM                                                                                                                             | CUSIP: 55306N104<br>LEI: 549300KEQATBHAGVF505 | Short            | EC               | CORP              | US        |       -2411 | NS      | $-589393.06   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-743.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Super Micro Computer Inc.                       | Super Micro Computer Inc. COM NEW                                                                                                        | CUSIP: 86800U302<br>LEI: 54930022CZO1N2UGVW07 | Short            | EC               | CORP              | US        |       -8206 | NS      | $-265792.34   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Viavi Solutions Inc                             | Viavi Solutions Inc COM                                                                                                                  | CUSIP: 925550105<br>LEI: 5493006K3E3N1QOBF092 | Short            | EC               | CORP              | US        |      -10363 | NS      | $-307884.73   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| 3M Company                                      | MMM 2.25 09/19/26 MTN                                                                                                                    | CUSIP: 88579YAV3<br>LEI: LUZQVYP4VS22CLWDAR65 | Short            | DBT              | CORP              | US        |     -220000 | PA      | $-218086.40   | -0.04%            | 2026-09-19      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| RIVERBED TECHNOL 07/01/28                       | RIVERBED TECHNOL 07/01/28                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       58552 | PA      | $26906.59     | 0.01%             | 2028-07-01      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| Amyris Inc ESCROW                               | Amyris Inc ESCROW 1.5% SNR CONV PERP NTS USD (SEC REGD)                                                                                  | CUSIP: 032ESCAA3<br>LEI: 549300BG17WCUK6EIM58 | Long             | DBT              | CORP              | US        |     1108000 | PA      | $6094.00      | 0.00%             | 2026-11-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Peru (Republic Of)                              | PERU 7.6 08/12/39 144A                                                                                                                   | CUSIP: 715638EA6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     2270000 | PA      | $733932.27    | 0.14%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                    | B 0 05/14/26                                                                                                                             | CUSIP: 912797QN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3500000 | PA      | $3474556.47   | 0.66%             | 2026-05-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Celcuity Inc.                                   | Celcuity Inc. COM                                                                                                                        | CUSIP: 15102K100<br>LEI: 25490070W7UU7W2SEY87 | Long             | EC               | CORP              | US        |        7384 | NS      | $824866.64    | 0.16%             |  |  |  | No            |                  1 | On Loan: —       |
| ON Semiconductor Corp.                          | ON Semiconductor Corp. COM                                                                                                               | CUSIP: 682189105<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Short            | EC               | CORP              | US        |      -12946 | NS      | $-860650.08   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| Cheesecake Factory Inc                          | CAKE 2 03/15/30                                                                                                                          | CUSIP: 163072AB7<br>LEI: 529900872XMLK10SY247 | Long             | DBT              | CORP              | US        |      143000 | PA      | $159091.43    | 0.03%             | 2030-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-213.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Three-Month SOFR Futures, Jun-2027,ETH                                                                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -100 | NC      | $-56070.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GALAXY DIGITAL INC                              | GLXYLP 3 12/15/26                                                                                                                        | CUSIP: 36317GAA4<br>LEI: 9845001C4070E5N07806 | Long             | DBT              | CORP              | US        |      500000 | PA      | $529000.00    | 0.10%             | 2026-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Peloton Interactive Inc                         | PTON 5.5 12/01/29                                                                                                                        | CUSIP: 70614WAD2<br>LEI: 5493002YS021166W0339 | Long             | DBT              | CORP              | US        |       23000 | PA      | $30268.00     | 0.01%             | 2029-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                              | META 5.625 11/15/55 .                                                                                                                    | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Short            | DBT              | CORP              | US        |     -853000 | PA      | $-835596.39   | -0.16%            | 2055-11-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| A10 Networks Inc                                | A10 Networks Inc COM                                                                                                                     | CUSIP: 002121101<br>LEI: 549300UQD4IWUML81Q35 | Short            | EC               | CORP              | US        |        -955 | NS      | $-18393.30    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LBM Acquisition LLC                             | USLBMH 6.25 01/15/29 144A                                                                                                                | CUSIP: 05552BAA4<br>LEI: 549300FAEB3VWZL4NI86 | Short            | DBT              | CORP              | US        |     -701000 | PA      | $-535159.10   | -0.10%            | 2029-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Spectrum Brands Holdings Inc.                   | Spectrum Brands Holdings Inc. COM                                                                                                        | CUSIP: 84790A105<br>LEI: 549300JM0MJETDD30O20 | Short            | EC               | CORP              | US        |        -229 | NS      | $-17949.02    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| H World Group Ltd.                              | HTHT 3 05/01/26                                                                                                                          | CUSIP: 44332NAB2<br>LEI: 549300Y5ML31FVN83730 | Long             | DBT              | CORP              | KY        |      661000 | PA      | $970017.50    | 0.19%             | 2026-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Apogee Therapeutics Inc.                        | Apogee Therapeutics Inc. COM                                                                                                             | CUSIP: 03770N101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       14531 | NS      | $1017170.00   | 0.19%             |  |  |  | No            |                  1 | On Loan: —       |
| UGI Corp                                        | UGI Corp COM                                                                                                                             | CUSIP: 902681105<br>LEI: DX6GCWD4Q1JO9CRE5I40 | Short            | EC               | CORP              | US        |       -2128 | NS      | $-79608.48    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Super Micro Computer Inc.                       | SMCI 0 06/15/30                                                                                                                          | CUSIP: 86800UAE4<br>LEI: 54930022CZO1N2UGVW07 | Long             | DBT              | CORP              | US        |      400000 | PA      | $360280.00    | 0.07%             | 2030-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-124.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cheesecake Factory Inc                          | CAKE 0.375 06/15/26                                                                                                                      | CUSIP: 163072AA9<br>LEI: 529900872XMLK10SY247 | Long             | DBT              | CORP              | US        |       78000 | PA      | $80692.44     | 0.02%             | 2026-06-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM HOLDINGS INC                          | SIRI 3.75 03/15/28                                                                                                                       | CUSIP: 531229AP7<br>LEI: 549300ZKUTPIBZLWLL89 | Long             | DBT              | CORP              | US        |       27000 | PA      | $27864.00     | 0.01%             | 2028-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GALAXY DIGITAL INC                              | GLXYLP 2.5 12/01/29                                                                                                                      | CUSIP: 36317GAB2<br>LEI: 9845001C4070E5N07806 | Long             | DBT              | CORP              | US        |      500000 | PA      | $609750.00    | 0.12%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Blackline Inc                                   | BL 1 06/01/29                                                                                                                            | CUSIP: 09239BAF6<br>LEI: 529900P9N7PK9LV5EK56 | Long             | DBT              | CORP              | US        |      350000 | PA      | $326812.50    | 0.06%             | 2029-06-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Pharming Group NV                               | PHARM 4.5 04/25/29                                                                                                                       | CUSIP: 000000000<br>LEI: 724500DCJ9MPG74JEH91 | Long             | DBT              | CORP              | NL        |      100000 | PA      | $165599.26    | 0.03%             | 2029-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Kaisa Group Holdings Ltd.                       | KAISAG 6.5 12/28/29 144A                                                                                                                 | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |      127961 | PA      | $2559.22      | 0.00%             | 2029-12-28      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Match Group Inc                                 | Match Group Inc COM                                                                                                                      | CUSIP: 57667L107<br>LEI: 15OMOPB0A8K0EFUVD031 | Long             | EC               | CORP              | US        |         191 | NS      | $6035.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Match Group Inc                                 | Match Group Inc COM                                                                                                                      | CUSIP: 57667L107<br>LEI: 15OMOPB0A8K0EFUVD031 | Short            | EC               | CORP              | US        |       -1277 | NS      | $-40353.20    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Duke Energy Corp                                | Duke Energy Corp COM NEW                                                                                                                 | CUSIP: 26441C204<br>LEI: I1BZKREC126H0VB1BL91 | Short            | EC               | CORP              | US        |      -10553 | NS      | $-1380860.05  | -0.26%            |  |  |  | No            |                  1 | On Loan: No      |
| Silvercorp Metals Inc.                          | SVMCN 4.75 12/15/29                                                                                                                      | CUSIP: 82835PAB9<br>LEI: 52990092RT3UCQ7G3177 | Long             | DBT              | CORP              | CA        |      158000 | PA      | $507432.80    | 0.10%             | 2029-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-167.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Energy Vault Holdings Inc                       | NRGV 5.25 03/01/31                                                                                                                       | CUSIP: 29280WAA7<br>LEI: 549300KMBUKUUIQ6FN34 | Long             | DBT              | CORP              | US        |       19000 | PA      | $17565.50     | 0.00%             | 2031-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Shake Shack Inc                                 | SHAK 0 03/01/28                                                                                                                          | CUSIP: 819047AB7<br>LEI: 529900J74GJAHYP80N79 | Long             | DBT              | CORP              | US        |       36000 | PA      | $34785.00     | 0.01%             | 2028-03-01      | None          | 0.00%                 | No            |                  2 | On Loan: —       |
| Snap Inc                                        | SNAP 0.125 03/01/28                                                                                                                      | CUSIP: 83304AAH9<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |      409000 | PA      | $374725.80    | 0.07%             | 2028-03-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| WisdomTree, Inc.                                | WisdomTree, Inc. COM                                                                                                                     | CUSIP: 97717P104<br>LEI: 549300WIU8IS7UFO7871 | Short            | EC               | CORP              | US        |      -49783 | NS      | $-851787.13   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| LIBERTY MEDIA CORP                              | FWONK 2.25 08/15/27                                                                                                                      | CUSIP: 531229AQ5<br>LEI: 549300ZKUTPIBZLWLL89 | Long             | DBT              | CORP              | US        |       32000 | PA      | $38720.00     | 0.01%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Argentina (Republic Of)                         | ARGENT 4.125 07/09/46                                                                                                                    | CUSIP: 040114HW3<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      702591 | PA      | $501649.90    | 0.10%             | 2046-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| PERSHING SQUARE SPARC HOLDINGS LTD              | Pershing Square Sparc Hldgs Ltd SPECIAL PURPOSE ACQUISITION RIGHTS                                                                       | CUSIP: 714920113<br>LEI: 5493000J0QXAU1Z8FB80 | Long             | EC               | CORP              | US        |       10707 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Norwegian Cruise Line Holdings Ltd              | Norwegian Cruise Line Holdings Ltd SHS                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | EC               | CORP              | BM        |      -17229 | NS      | $-427106.91   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| PG&E Corporation                                | PCG 4.25 12/01/27                                                                                                                        | CUSIP: 69331CAL2<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |      141000 | PA      | $150806.55    | 0.03%             | 2027-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                     | GS 0 04/02/26 emTn                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Long             | DBT              | CORP              | GB        |    21550000 | PA      | $442344.05    | 0.08%             | 2026-04-02      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-125.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBOR FREIGH 06/11/31                          | HARBOR FREIGH 06/11/31                                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       21486 | PA      | $21196.99     | 0.00%             | 2031-06-11      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| HARBOR FREIGH 06/11/31                          | HARBOR FREIGH 06/11/31                                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -21595 | PA      | $-21304.62    | -0.00%            | 2031-06-11      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Solaredge Technologies Inc                      | SEDG 2.25 07/01/29                                                                                                                       | CUSIP: 83417MAE4<br>LEI: 5493000K6Y58XXPDF853 | Long             | DBT              | CORP              | US        |       25000 | PA      | $33387.50     | 0.01%             | 2029-07-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Organon & Co                                    | OGN 4.125 04/30/28 144a                                                                                                                  | CUSIP: 68622TAA9<br>LEI: 549300AMCKY57OK2CO56 | Short            | DBT              | CORP              | US        |      -93000 | PA      | $-91351.63    | -0.02%            | 2028-04-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Tempus AI Inc.                                  | TEM 0.75 07/15/30                                                                                                                        | CUSIP: 88023BAD5<br>LEI: 2549009LA0KWRAGQBX50 | Long             | DBT              | CORP              | US        |       32000 | PA      | $32872.00     | 0.01%             | 2030-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| HERBALIFE LTD                                   | Herbalife Ltd. COM SHS                                                                                                                   | CUSIP: 000000000<br>LEI: 549300BA7TYPBSZZIA41 | Short            | EC               | CORP              | KY        |       -3905 | NS      | $-76225.60    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Forgent Power Solutions Inc.                    | Forgent Power Solutions Inc. COM SHS CL A                                                                                                | CUSIP: 34631F102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       11250 | NS      | $386887.50    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| MIDCAP FINL ISSU 11/01/27                       | MIDCAP FINL ISSU 11/01/27                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     2020000 | PA      | $2081459.33   | 0.40%             | 2032-01-07      | Floating      | 8.25%                 | No            |                  3 | On Loan: No      |
| Progress Software Corp.                         | Progress Software Corp. COM                                                                                                              | CUSIP: 743312100<br>LEI: 549300R65B3JG6972S24 | Short            | EC               | CORP              | US        |        -587 | NS      | $-24583.56    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Box Inc.                                        | Box Inc. CL A                                                                                                                            | CUSIP: 10316T104<br>LEI: 549300KQUCPD8687YS68 | Short            | EC               | CORP              | US        |       -3023 | NS      | $-71191.65    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-72.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DRAFTKINGS HOLDINGS INC                         | DKNG 0 03/15/28                                                                                                                          | CUSIP: 26142RAB0<br>LEI: 5493008P45UYYL683Z97 | Long             | DBT              | CORP              | US        |       25000 | PA      | $22612.50     | 0.00%             | 2028-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NCL Corporation Ltd.                            | NCLH 0.75 09/15/30                                                                                                                       | CUSIP: 62886HBW0<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |      428000 | PA      | $444561.87    | 0.08%             | 2030-09-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Nebius Group N.V.                               | NBIS 2 06/05/29 .                                                                                                                        | CUSIP: 63954QAA4<br>LEI: 549300GGZHJ5Q1B18P93 | Long             | DBT              | CORP              | NL        |      815000 | PA      | $1586601.25   | 0.30%             | 2029-06-05      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Carmax Inc                                      | Carmax Inc COM                                                                                                                           | CUSIP: 143130102<br>LEI: 529900F60CID3NCZM330 | Long             | EC               | CORP              | US        |       16229 | NS      | $700605.93    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| PROJ RUBY ULTIMA 03/10/28                       | PROJ RUBY ULTIMA 03/10/28                                                                                                                | CUSIP: 74339UBA7<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -138475 | PA      | $-136138.07   | -0.03%            | 2028-03-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Cloudflare Inc                                  | Cloudflare Inc CL A COM                                                                                                                  | CUSIP: 18915M107<br>LEI: 5493007DY18BGNLDWU14 | Short            | EC               | CORP              | US        |        -507 | NS      | $-87300.33    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CorMedix Inc.                                   | CRMD 4 08/01/30                                                                                                                          | CUSIP: 218939AA4<br>LEI: 5299006YIA3L0MBW8358 | Long             | DBT              | CORP              | US        |      219000 | PA      | $214050.60    | 0.04%             | 2030-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Stride Inc                                      | LRN 1.125 09/01/27                                                                                                                       | CUSIP: 86333MAA6<br>LEI: 254900BRWS3AFONWU277 | Long             | DBT              | CORP              | US        |      779000 | PA      | $1295866.50   | 0.25%             | 2027-09-01      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| LivaNova PLC                                    | LIVN 2.5 03/15/29                                                                                                                        | CUSIP: 53802LAB8<br>LEI: 2138001K2FX6SHK2B339 | Long             | DBT              | CORP              | GB        |      564000 | PA      | $701728.80    | 0.13%             | 2029-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bitdeer Technologies Group                      | Bitdeer Technologies Group CL A ORD SHS                                                                                                  | CUSIP: 000000000<br>LEI: 2549007M2KGWVJ9XFP20 | Short            | EC               | CORP              | KY        |      -16290 | NS      | $-125433.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-261.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LIGADO NETWORKS 04/30/25                        | LIGADO NETWORKS 04/30/25                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      234479 | PA      | $192272.70    | 0.04%             | 2026-02-10      | Floating      | 17.50%                | No            |                  3 | On Loan: No      |
| Rubrik Inc.                                     | Rubrik Inc. CL A                                                                                                                         | CUSIP: 781154109<br>LEI: 254900TRGK2WTBYMYU27 | Short            | EC               | CORP              | US        |       -2610 | NS      | $-135615.60   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| LAB 10/30/28                                    | LAB 10/30/28                                                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       18108 | PA      | $9799.48      | 0.00%             | 2028-10-30      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Ecuador (Republic Of)                           | ECUA 6.9 07/31/35 REGS                                                                                                                   | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |     1115441 | PA      | $1014807.75   | 0.19%             | 2035-07-31      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| Nebius Group N.V.                               | Nebius Group N.V. COM USD0.01 CL 'A                                                                                                      | CUSIP: 000000000<br>LEI: 549300GGZHJ5Q1B18P93 | Long             | EC               | CORP              | NL        |         350 | NS      | $31916.50     | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| Nebius Group N.V.                               | Nebius Group N.V. COM USD0.01 CL 'A                                                                                                      | CUSIP: 000000000<br>LEI: 549300GGZHJ5Q1B18P93 | Short            | EC               | CORP              | NL        |      -29379 | NS      | $-2679071.01  | -0.51%            |  |  |  | No            |                  1 | On Loan: No      |
| Mirum Pharmaceuticals Inc.                      | Mirum Pharmaceuticals Inc. COM                                                                                                           | CUSIP: 604749101<br>LEI: 254900YZKR40F7F27K81 | Short            | EC               | CORP              | US        |      -15620 | NS      | $-1441569.80  | -0.27%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERDIGITAL INC                                | IDCC 3.5 06/01/27                                                                                                                        | CUSIP: 45867GAD3<br>LEI: 529900HQAUTC3VI47G64 | Long             | DBT              | CORP              | US        |      808000 | PA      | $3835980.00   | 0.73%             | 2027-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Live Nation Entertainment, Inc.                 | Live Nation Entertainment, Inc. COM                                                                                                      | CUSIP: 538034109<br>LEI: 5493007B9BM9ZXJINO78 | Short            | EC               | CORP              | US        |       -6753 | NS      | $-1094931.42  | -0.21%            |  |  |  | No            |                  1 | On Loan: No      |
| South Africa (Republic of)                      | SOAF 5 10/12/46 30Y                                                                                                                      | CUSIP: 836205AV6<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |      220000 | PA      | $172229.29    | 0.03%             | 2046-10-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-69.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Stellantis N.V                                  | Stellantis N.V COM EUR0.01                                                                                                               | CUSIP: 000000000<br>LEI: 549300LKT9PW7ZIBDF31 | Long             | EC               | CORP              | NL        |      117093 | NS      | $950077.90    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| Nebius Group N.V.                               | NBIS 3 06/05/31 .                                                                                                                        | CUSIP: 63954QAC0<br>LEI: 549300GGZHJ5Q1B18P93 | Long             | DBT              | CORP              | NL        |      870000 | PA      | $1716162.00   | 0.33%             | 2031-06-05      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JBT Marel Corp.                                 | JBT Marel Corp. COM                                                                                                                      | CUSIP: 477839104<br>LEI: 5493007CT6ATBZ2L6826 | Short            | EC               | CORP              | US        |       -1887 | NS      | $-290598.00   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Bills                    | B 0 04/23/26                                                                                                                             | CUSIP: 912797SM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1000000 | PA      | $994792.78    | 0.19%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HEARTHSIDE RC SO 11/22/24                       | HEARTHSIDE RC SO 11/22/24                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      135464 | PA      | $89406.24     | 0.02%             | 2026-02-10      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| QUANTUMSCAPE CORP                               | QuantumScape Corporation COM CL A                                                                                                        | CUSIP: 74767V109<br>LEI: 529900JQVOM1M73BJE28 | Short            | EC               | CORP              | US        |      -19795 | NS      | $-136981.40   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Spree Acquisition Corp 1 Ltd.                   | Spree Acquisition Corp 1 Ltd. C/WTS 22/12/2028 (TO PUR COM)                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |        3069 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Storagevault Canada Inc                         | Storagevault Canada Inc COM                                                                                                              | CUSIP: 86212H105<br>LEI: 254900A6LDI0HRL1VD69 | Short            | EC               | CORP              | CA        |       -4108 | NS      | $-14907.52    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ON Semiconductor Corp.                          | ON 0 05/01/27                                                                                                                            | CUSIP: 682189AS4<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |      440000 | PA      | $593560.00    | 0.11%             | 2027-05-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                    | B 0 04/09/26                                                                                                                             | CUSIP: 912797SL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    14000000 | PA      | $13946541.42  | 2.66%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1036.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Super Micro Computer Inc.                       | SMCI 3.5 03/01/29                                                                                                                        | CUSIP: 86800UAB0<br>LEI: 54930022CZO1N2UGVW07 | Long             | DBT              | CORP              | US        |      134000 | PA      | $124745.40    | 0.02%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hertz Corp.                                     | HTZ 5.5 10/01/30                                                                                                                         | CUSIP: 428040DG1<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |      261000 | PA      | $181395.00    | 0.03%             | 2030-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bentley Systems Incorporated                    | BSY 0.375 07/01/27                                                                                                                       | CUSIP: 08265TAD1<br>LEI: 549300WVEHPGE0Z56F71 | Long             | DBT              | CORP              | US        |      116000 | PA      | $110954.00    | 0.02%             | 2027-07-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| NewAmsterdam Pharma Company NV                  | NewAmsterdam Pharma Company NV ORDINARY SHARES                                                                                           | CUSIP: 000000000<br>LEI: 984500B6549TF6E14D36 | Long             | EC               | CORP              | NL        |       29107 | NS      | $1032134.22   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| PTC Therapeutics, Inc.                          | PTCT 1.5 09/15/26                                                                                                                        | CUSIP: 69366JAD3<br>LEI: 549300UJLWOIWFDGB318 | Long             | DBT              | CORP              | US        |      632000 | PA      | $856897.20    | 0.16%             | 2026-09-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Collegium Pharmaceutical Inc.                   | COLL 2.875 02/15/29                                                                                                                      | CUSIP: 19459JAC8<br>LEI: 54930049FXZMTLW8D496 | Long             | DBT              | CORP              | US        |       35000 | PA      | $46777.86     | 0.01%             | 2029-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Porch Group Inc.                                | Porch Group Inc. COM                                                                                                                     | CUSIP: 733245104<br>LEI: 549300NXEI7CVW8IXQ90 | Long             | EC               | CORP              | US        |         115 | NS      | $944.15       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Porch Group Inc.                                | Porch Group Inc. COM                                                                                                                     | CUSIP: 733245104<br>LEI: 549300NXEI7CVW8IXQ90 | Short            | EC               | CORP              | US        |        -115 | NS      | $-944.15      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Vertex Pharmaceuticals Incorporated             | Vertex Pharmaceuticals Incorporated COM                                                                                                  | CUSIP: 92532F100<br>LEI: 54930015RAQRRZ5ZGJ91 | Long             | EC               | CORP              | US        |        2227 | NS      | $1106440.41   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Solid Power Inc                                 | Solid Power Inc CLASS A COM                                                                                                              | CUSIP: 83422N105<br>LEI: 5299001ZPFRA2QBIQK79 | Short            | EC               | CORP              | US        |      -15006 | NS      | $-53121.24    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-26.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Gamestop Corp                                   | Gamestop Corp CL A                                                                                                                       | CUSIP: 36467W109<br>LEI: 549300505KLOET039L77 | Short            | EC               | CORP              | US        |      -11244 | NS      | $-270193.32   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Turkey (Republic of)                            | TURKGB 26.2 10/05/33 10Y                                                                                                                 | CUSIP: 000000000<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    10324000 | PA      | $219887.64    | 0.04%             | 2033-10-05      | Fixed         | 26.20%                | No            |                  2 | On Loan: No      |
| Kaisa Group Holdings Ltd.                       | KAISAG 6.25 12/28/28 144A                                                                                                                | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |       76436 | PA      | $1910.89      | 0.00%             | 2028-12-28      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos Sa De CV                    | PEMEX 6.95 01/28/60                                                                                                                      | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      494000 | PA      | $407969.90    | 0.08%             | 2060-01-28      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| LIBERTY MEDIA CORP                              | LLYVK 2.375 09/30/53                                                                                                                     | CUSIP: 531229AR3<br>LEI: 549300ZKUTPIBZLWLL89 | Long             | DBT              | CORP              | US        |      740000 | PA      | $1195470.00   | 0.23%             | 2053-09-30      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Snowflake Inc                                   | Snowflake Inc COM SHS                                                                                                                    | CUSIP: 833445109<br>LEI: 254900CJNSY1K7T53Z16 | Short            | EC               | CORP              | US        |       -2361 | NS      | $-397616.01   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Life360 Inc.                                    | LIF 0 06/01/30                                                                                                                           | CUSIP: 532206AB5<br>LEI: 254900VO9VDOQBQAHF07 | Long             | DBT              | CORP              | US        |      294000 | PA      | $297601.50    | 0.06%             | 2030-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VISTAJET MALTA FINANCE PLC                      | VSTJET 9.5 06/01/28 144A                                                                                                                 | CUSIP: 92841HAA0<br>LEI: 5299001UK94VGT0CPQ36 | Short            | DBT              | CORP              | MT        |     -143000 | PA      | $-147607.17   | -0.03%            | 2028-06-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| SOLARWINDS TLB S 03/12/32                       | SOLARWINDS TLB S 03/12/32                                                                                                                | CUSIP: 85554UAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      100674 | PA      | $87020.40     | 0.02%             | 2032-04-16      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Kaisa Group Holdings Ltd.                       | KAISAG 7 12/28/31 144A                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |      232370 | PA      | $5228.32      | 0.00%             | 2031-12-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-442.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BILL Holdings Inc                               | BILL Holdings Inc COM                                                                                                                    | CUSIP: 090043100<br>LEI: 549300IBF9VZZIGOZW63 | Long             | EC               | CORP              | US        |         609 | NS      | $27106.59     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BILL Holdings Inc                               | BILL Holdings Inc COM                                                                                                                    | CUSIP: 090043100<br>LEI: 549300IBF9VZZIGOZW63 | Short            | EC               | CORP              | US        |        -655 | NS      | $-29154.05    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Tetra Tech Inc                                  | TTEK 2.25 08/15/28                                                                                                                       | CUSIP: 88162GAB9<br>LEI: 549300UJ1LP7JGJC5P32 | Long             | DBT              | CORP              | US        |      185000 | PA      | $210826.00    | 0.04%             | 2028-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Colombia (Republic Of)                          | COLTES 13.25 02/09/33 B                                                                                                                  | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  4526100000 | PA      | $1171497.01   | 0.22%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| Fisker Inc                                      | FSRN 2.5 09/15/26                                                                                                                        | CUSIP: 33813JAA4<br>LEI: 549300UUN5RWU44MBX79 | Long             | DBT              | CORP              | US        |      943587 | PA      | $1513.81      | 0.00%             | 2026-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Super Micro Computer Inc.                       | SMCI 2.25 07/15/28                                                                                                                       | CUSIP: 86800UAD6<br>LEI: 54930022CZO1N2UGVW07 | Long             | DBT              | CORP              | US        |      272000 | PA      | $268804.00    | 0.05%             | 2028-07-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| South Africa (Republic of)                      | SOAF 5.375 07/24/44 30Y                                                                                                                  | CUSIP: 836205AS3<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |      220000 | PA      | $185556.12    | 0.04%             | 2044-07-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                             | Kinder Morgan, Inc. COM                                                                                                                  | CUSIP: 49456B101<br>LEI: 549300WR7IX8XE0TBO16 | Short            | EC               | CORP              | US        |      -25008 | NS      | $-832016.16   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| MULTICOLOR RC SO 10/08/28                       | MULTICOLOR RC SO 10/08/28                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       37569 | PA      | $16905.94     | 0.00%             | 2028-10-08      | Fixed         | 7.67%                 | No            |                  2 | On Loan: No      |
| Bloom Energy Corporation                        | BE 3 06/01/28                                                                                                                            | CUSIP: 093712AK3<br>LEI: 549300XB5J9BFW5JXV97 | Long             | DBT              | CORP              | US        |      489000 | PA      | $4064812.50   | 0.78%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Three-Month SOFR Futures, Jun-2026,ETH                                                                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         -76 | NC      | $18386.42     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1212.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Venezuela (Republic Of)                         | VENZ 11.75 10/21/26                                                                                                                      | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      380000 | PA      | $177118.00    | 0.03%             | 2026-10-21      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| Equipmentshare Com Inc.                         | EQMSRM 8 03/15/33 144A                                                                                                                   | CUSIP: 29450YAC3<br>LEI: 254900PWJK48CGPKPI80 | Short            | DBT              | CORP              | US        |     -219000 | PA      | $-232903.21   | -0.04%            | 2033-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| DATABRICK 01/05/32                              | DATABRICK 01/05/32                                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      413483 | PA      | $417100.50    | 0.08%             | 2032-01-05      | Fixed         | 8.17%                 | No            |                  2 | On Loan: No      |
| IREN Ltd.                                       | IREN 0.25 06/01/32                                                                                                                       | CUSIP: 46270CAG4<br>LEI: 254900FZF02RB3NNGB71 | Long             | DBT              | CORP              | AU        |       32000 | PA      | $31841.60     | 0.01%             | 2032-06-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Development Bank of Kazakhstan JSC              | DBKAZ 13.4892 05/23/28 144A                                                                                                              | CUSIP: 25159XAF0<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | NUSS              | KZ        |   100000000 | PA      | $190416.25    | 0.04%             | 2028-05-23      | Fixed         | 13.49%                | No            |                  2 | On Loan: No      |
| IAC FINANCECO 3 INC                             | MTCH 2 01/15/30                                                                                                                          | CUSIP: 44932KAA4<br>LEI: 5493003IEL8HSZKWUI17 | Long             | DBT              | CORP              | US        |      713000 | PA      | $643839.00    | 0.12%             | 2030-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ANI Pharmaceuticals Inc.                        | ANIP 2.25 09/01/29                                                                                                                       | CUSIP: 00182CAC7<br>LEI: 5493000T6CXTND40YH31 | Long             | DBT              | CORP              | US        |       14000 | PA      | $17027.50     | 0.00%             | 2029-09-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Vaxcyte Inc                                     | Vaxcyte Inc COM                                                                                                                          | CUSIP: 92243G108<br>LEI: 254900M7NMHTGASX8D95 | Long             | EC               | CORP              | US        |       28945 | NS      | $1787064.30   | 0.34%             |  |  |  | No            |                  1 | On Loan: —       |
| Compass Inc.                                    | COMP 0.25 04/15/31                                                                                                                       | CUSIP: 20464UAA8<br>LEI: 254900DMGQSTC3I2IM78 | Long             | DBT              | CORP              | US        |      344000 | PA      | $328981.20    | 0.06%             | 2031-04-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Pitney Bowes Inc.                               | PBI 1.5 08/15/30                                                                                                                         | CUSIP: 724479AR1<br>LEI: 549300N2O26NW4ST6W55 | Long             | DBT              | CORP              | US        |      107000 | PA      | $108524.75    | 0.02%             | 2030-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-69.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Meiji Yasuda Life Insurance Co.                 | MYLIFE V6.1 06/11/55 144A                                                                                                                | CUSIP: 585270AE1<br>LEI: 549300SLU4LP6YMRLK07 | Short            | DBT              | CORP              | JP        |     -276000 | PA      | $-286070.14   | -0.05%            | 2055-06-11      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Unity Software Inc                              | Unity Software Inc COM                                                                                                                   | CUSIP: 91332U101<br>LEI: 549300D1ESJMGNQNG432 | Short            | EC               | CORP              | US        |       -1067 | NS      | $-19451.41    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| OSI System Inc.                                 | OSIS 0.5 02/01/31                                                                                                                        | CUSIP: 671044AG0<br>LEI: DDX3MPX1Y8YD30050X33 | Long             | DBT              | CORP              | US        |      403000 | PA      | $428147.20    | 0.08%             | 2031-02-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Lemaitre Vascular Inc.                          | Lemaitre Vascular Inc. COM                                                                                                               | CUSIP: 525558201<br>LEI: 549300FZUBUB7MHY8R17 | Short            | EC               | CORP              | US        |        -315 | NS      | $-34076.70    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| LI AUTO INC                                     | Li Auto Inc. SPONSORED ADS                                                                                                               | CUSIP: 50202M102<br>LEI: 2549003R73Q70J5H4I65 | Short            | EC               | CORP              | KY        |        -925 | NS      | $-16270.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Lyft Inc                                        | Lyft Inc CL A COM                                                                                                                        | CUSIP: 55087P104<br>LEI: 549300H7I5VN334XVZ52 | Short            | EC               | CORP              | US        |       -2429 | NS      | $-33617.36    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Epicor Software 05/30/31                        | Epicor Software 05/30/31                                                                                                                 | CUSIP: 29426NAZ7<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -41542 | PA      | $-40400.03    | -0.01%            | 2031-05-30      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Plug Power Inc                                  | Plug Power Inc COM NEW                                                                                                                   | CUSIP: 72919P202<br>LEI: 549300JPDKRSJ8JSM954 | Short            | EC               | CORP              | US        |      -42427 | NS      | $-75944.33    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GULFSIDE SUPPL 06/17/31                         | GULFSIDE SUPPL 06/17/31                                                                                                                  | CUSIP: 40273UAE9<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -400555 | PA      | $-371264.62   | -0.07%            | 2031-06-17      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| JBT Marel Corp.                                 | JBTM 0.375 09/15/30                                                                                                                      | CUSIP: 477839AD6<br>LEI: 5493007CT6ATBZ2L6826 | Long             | DBT              | CORP              | US        |      542000 | PA      | $577230.00    | 0.11%             | 2030-09-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-26.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Guitar Center, Inc.                             | GTRC 8.5 01/15/29                                                                                                                        | CUSIP: 402040AS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      461953 | PA      | $371872.53    | 0.07%             | 2029-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Revolution Medicines Inc                        | Revolution Medicines Inc COM                                                                                                             | CUSIP: 76155X100<br>LEI: 549300JU3X0LBCQ65892 | Long             | EC               | CORP              | US        |        9813 | NS      | $1001122.26   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Indie Semiconductor Inc.                        | INDI 4.5 11/15/27                                                                                                                        | CUSIP: 45569UAA9<br>LEI: 254900L1MFXFYGB1PV53 | Long             | DBT              | CORP              | US        |      354000 | PA      | $363735.00    | 0.07%             | 2027-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Akamai Technologies, Inc.                       | AKAM 1.125 02/15/29                                                                                                                      | CUSIP: 00971TAN1<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | DBT              | CORP              | US        |      252000 | PA      | $270572.40    | 0.05%             | 2029-02-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Gazprom Public Joint Stock Company              | Gazprom Public Joint Stock Company RUB5(RUB)                                                                                             | CUSIP: 000000000<br>LEI: 213800FD9J2IHTA7YX78 | Long             | EC               | CORP              | RU        |      615160 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Sri Lanka (Democratic Socialist Republic of)    | SRILAN 3.35 03/15/33 REGS                                                                                                                | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |      105000 | PA      | $98700.00     | 0.02%             | 2033-03-15      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Grab Holdings Ltd.                              | GRAB 0 06/15/30                                                                                                                          | CUSIP: 000000000<br>LEI: 549300N4VQX83VPJF439 | Long             | DBT              | CORP              | KY        |       57000 | PA      | $57313.50     | 0.01%             | 2030-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OSI System Inc.                                 | OSIS 2.25 08/01/29                                                                                                                       | CUSIP: 671044AF2<br>LEI: DDX3MPX1Y8YD30050X33 | Long             | DBT              | CORP              | US        |      230000 | PA      | $373117.50    | 0.07%             | 2029-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| Apellis Pharmaceuticals Inc                     | Apellis Pharmaceuticals Inc COM                                                                                                          | CUSIP: 03753U106<br>LEI: 254900HS0ZFRXXSB9D42 | Long             | EC               | CORP              | US        |       39182 | NS      | $821254.72    | 0.16%             |  |  |  | No            |                  1 | On Loan: —       |
| Pharming Group NV                               | Pharming Group NV EUR0.01                                                                                                                | CUSIP: 000000000<br>LEI: 724500DCJ9MPG74JEH91 | Short            | EC               | CORP              | NL        |      -62979 | NS      | $-104053.41   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3.36        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Univision Communications Inc.                   | UVN 4.5 05/01/29 144A                                                                                                                    | CUSIP: 914906AV4<br>LEI: 549300YQDE2JSGTL8V47 | Short            | DBT              | CORP              | US        |     -534000 | PA      | $-507003.31   | -0.10%            | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Carvana Co                                      | Carvana Co CL A                                                                                                                          | CUSIP: 146869102<br>LEI: 5493003WEAK2PJ5WS063 | Long             | EC               | CORP              | US        |        1804 | NS      | $602824.64    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Vizsla Silver Corp                              | VZLACN 5 01/15/31                                                                                                                        | CUSIP: 92859GAA1<br>LEI: 549300ADJF7HWIEDL366 | Long             | DBT              | CORP              | CA        |      135000 | PA      | $161392.50    | 0.03%             | 2031-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Pitney Bowes Inc.                               | Pitney Bowes Inc. COM                                                                                                                    | CUSIP: 724479100<br>LEI: 549300N2O26NW4ST6W55 | Short            | EC               | CORP              | US        |       -4723 | NS      | $-50677.79    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GoEasy Limited                                  | GSYCN 6.875 02/15/31 144A                                                                                                                | CUSIP: 380355AR8<br>LEI: 5493009DJVZG2P8YV435 | Short            | DBT              | CORP              | CA        |     -204000 | PA      | $-176103.79   | -0.03%            | 2031-02-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Storagevault Canada Inc                         | SVICN 5 03/31/28                                                                                                                         | CUSIP: 86212HAC9<br>LEI: 254900A6LDI0HRL1VD69 | Long             | DBT              | CORP              | CA        |      296000 | PA      | $220212.46    | 0.04%             | 2028-03-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                 | Uniti Group LLC COM SHS                                                                                                                  | CUSIP: 912932100<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |       54767 | NS      | $400894.44    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Kaisa Group Holdings Ltd.                       | KAISAG 0 12/31/27 144A                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |       56816 | PA      | $113.63       | 0.00%             | 2027-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Euronet Worldwide, Inc.                         | Euronet Worldwide, Inc. COM                                                                                                              | CUSIP: 298736109<br>LEI: YG3575C4DSHJPA5KET68 | Short            | EC               | CORP              | US        |         -42 | NS      | $-2921.10     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Gamestop Corp                                   | GME 0 04/01/30                                                                                                                           | CUSIP: 36467WAD1<br>LEI: 549300505KLOET039L77 | Long             | DBT              | CORP              | US        |       14000 | PA      | $15078.00     | 0.00%             | 2030-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-196.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Shift Technologies Inc.                         | SFT 4.75 05/15/26                                                                                                                        | CUSIP: 82452TAA5<br>LEI: 5493000DBZBX1I1QVY71 | Long             | DBT              | CORP              | US        |     1014000 | PA      | $1117.94      | 0.00%             | 2026-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PETCO HEALTH WEL 03/03/28                       | PETCO HEALTH WEL 03/03/28                                                                                                                | CUSIP: 71601HAB2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      372047 | PA      | $371955.48    | 0.07%             | 2028-03-03      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| PETCO HEALTH WEL 03/03/28                       | PETCO HEALTH WEL 03/03/28                                                                                                                | CUSIP: 71601HAB2<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -372047 | PA      | $-371955.48   | -0.07%            | 2028-03-03      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Kaisa Group Holdings Ltd.                       | KAISAG 0 12/31/26 144A                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |       45451 | PA      | $159.08       | 0.00%             | 2026-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Nidec Corp.                                     | Nidec Corp. NPV                                                                                                                          | CUSIP: 000000000<br>LEI: 353800IF171MZTNL6Y31 | Long             | EC               | CORP              | JP        |       40451 | NS      | $636143.68    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Venezuela (Republic Of)                         | VENZ 12.75 08/23/22                                                                                                                      | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     1100000 | PA      | $516010.00    | 0.10%             | 2022-08-23      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| South Africa (Republic of)                      | SAGB 8.75 01/31/44 2044                                                                                                                  | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     9388000 | PA      | $595806.36    | 0.11%             | 2044-01-31      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Akamai Technologies, Inc.                       | AKAM 0.25 05/15/33                                                                                                                       | CUSIP: 00971TAP6<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | DBT              | CORP              | US        |      120000 | PA      | $150402.00    | 0.03%             | 2033-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Kilroy Realty L.P.                              | KRC 3.05 02/15/30                                                                                                                        | CUSIP: 49427RAP7<br>LEI: 5493008CT3N3JR7P1552 | Short            | DBT              | CORP              | US        |      -84000 | PA      | $-78303.45    | -0.01%            | 2030-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Solaris Energy Infrastructure Inc               | Solaris Energy Infrastructure Inc COM CL A                                                                                               | CUSIP: 83418M103<br>LEI: 529900MTK3C8Y8TIIC10 | Short            | EC               | CORP              | US        |      -21084 | NS      | $-1046398.92  | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-467.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Indie Semiconductor Inc.                        | INDI 3.5 12/15/29                                                                                                                        | CUSIP: 45569UAC5<br>LEI: 254900L1MFXFYGB1PV53 | Long             | DBT              | CORP              | US        |      370000 | PA      | $393310.00    | 0.08%             | 2029-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Callaway Golf Co.                               | CALY 2.75 05/01/26                                                                                                                       | CUSIP: 131193AE4<br>LEI: 5493005UB0KFRKBPCU72 | Long             | DBT              | CORP              | US        |      212000 | PA      | $213484.00    | 0.04%             | 2026-05-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Xometry Inc                                     | Xometry Inc CLASS A COM                                                                                                                  | CUSIP: 98423F109<br>LEI: 5493006JFRGU7YRRXE44 | Short            | EC               | CORP              | US        |       -7811 | NS      | $-320368.17   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Akamai Technologies, Inc.                       | Akamai Technologies, Inc. COM                                                                                                            | CUSIP: 00971T101<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Short            | EC               | CORP              | US        |       -2499 | NS      | $-245876.61   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Astronics Corp.                                 | ATRO 0 01/15/31                                                                                                                          | CUSIP: 046433AE8<br>LEI: 549300NNXCF8H4MSMK17 | Long             | DBT              | CORP              | US        |      136000 | PA      | $219096.00    | 0.04%             | 2031-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Datadog Inc                                     | Datadog Inc CL A COM                                                                                                                     | CUSIP: 23804L103<br>LEI: 549300F6JNO0KRPO1K63 | Short            | EC               | CORP              | US        |         -28 | NS      | $-3134.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Target Global Acquisition I Corp                | Target Global Acquisition I Corp C/WTS (TO PUR COM)                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |        3516 | NS      | $37.27        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Celanese US Holdings Llc                        | CE 6.5 04/15/30                                                                                                                          | CUSIP: 15089QAZ7<br>LEI: CD30XVRLT4QO00B1C706 | Short            | DBT              | CORP              | US        |     -449000 | PA      | $-460383.95   | -0.09%            | 2030-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Series Portfolios Trust                         | Series Portfolios Trust ELDRIDGE BBB B CLO ETF                                                                                           | CUSIP: 81752T528<br>LEI: 5493008VNHP5UNYJ3713 | Short            | EC               | RF                | US        |      -27334 | NS      | $-703030.48   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| Teract SA                                       | Teract SA WTS 00/12/2025 (TERACT) EUR11.50                                                                                               | CUSIP: 000000000<br>LEI: 969500HQ6PWNILD1HE63 | Long             | EC               | CORP              | FR        |        3920 | NS      | $18.07        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1002.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                  | MBONO 8 02/21/36 M                                                                                                                       | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     6000000 | PA      | $333435.14    | 0.06%             | 2036-02-21      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Peloton Interactive Inc                         | Peloton Interactive Inc CL A COM                                                                                                         | CUSIP: 70614W100<br>LEI: 5493002YS021166W0339 | Short            | EC               | CORP              | US        |       -3678 | NS      | $-14785.56    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TransMedics Group Inc.                          | TMDX 1.5 06/01/28                                                                                                                        | CUSIP: 89377MAB5<br>LEI: 549300060GVOSMWARH50 | Long             | DBT              | CORP              | US        |      512000 | PA      | $864742.40    | 0.16%             | 2028-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Univision Communications Inc.                   | UVN 7.375 06/30/30 144A                                                                                                                  | CUSIP: 914906AX0<br>LEI: 549300YQDE2JSGTL8V47 | Short            | DBT              | CORP              | US        |     -287000 | PA      | $-287242.29   | -0.05%            | 2030-06-30      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| IREN Ltd.                                       | IREN 3.5 12/15/29 IREN                                                                                                                   | CUSIP: 46270CAC3<br>LEI: 254900FZF02RB3NNGB71 | Long             | DBT              | CORP              | AU        |     1056000 | PA      | $3387331.20   | 0.65%             | 2029-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Welltower OP LLC                                | WELL 3.125 07/15/29                                                                                                                      | CUSIP: 95041AAD0<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |       44000 | PA      | $73018.00     | 0.01%             | 2029-07-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Gamestop Corp                                   | GME 0 06/15/32                                                                                                                           | CUSIP: 36467WAF6<br>LEI: 549300505KLOET039L77 | Long             | DBT              | CORP              | US        |      448000 | PA      | $483168.00    | 0.09%             | 2032-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| INSTITUTIONAL FIDUCIARY TRUST                   | INSTITUTIONAL FIDUCIARY TRUST                                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |      581000 | NS      | $581000.00    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Welltower Inc.                                  | Welltower Inc. COM                                                                                                                       | CUSIP: 95040Q104<br>LEI: 254900F33BIAR82QTA19 | Short            | EC               | CORP              | US        |        -321 | NS      | $-66485.52    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Wix.com Limited                                 | WIX 0 09/15/30                                                                                                                           | CUSIP: 92940WAE9<br>LEI: 5493008P6N29Q1AG9464 | Long             | DBT              | CORP              | IL        |      419000 | PA      | $347015.80    | 0.07%             | 2030-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-318.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ZODIAC PURCHASE 02/14/32                        | ZODIAC PURCHASE 02/14/32                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -29674 | PA      | $-26891.73    | -0.01%            | 2032-02-14      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| America Movil S.A.B. de C.V.                    | AMXLMM 10.125 01/22/29                                                                                                                   | CUSIP: 000000000<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |     3790000 | PA      | $231795.65    | 0.04%             | 2029-01-22      | Fixed         | 10.12%                | No            |                  2 | On Loan: No      |
| RWE AG                                          | RWE AG NPV                                                                                                                               | CUSIP: 000000000<br>LEI: 529900GB7KCA94ACC940 | Short            | EC               | CORP              | DE        |       -8844 | NS      | $-568923.56   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Upstart Holdings Inc                            | UPST 2 10/01/29                                                                                                                          | CUSIP: 91680MAD9<br>LEI: 549300WNB47JRNENIC75 | Long             | DBT              | CORP              | US        |      214000 | PA      | $213914.40    | 0.04%             | 2029-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| IREN Ltd.                                       | IREN 3.25 06/15/30                                                                                                                       | CUSIP: 46270CAB5<br>LEI: 254900FZF02RB3NNGB71 | Long             | DBT              | CORP              | AU        |      277000 | PA      | $730310.50    | 0.14%             | 2030-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Mineralys Therapeutics Inc.                     | Mineralys Therapeutics Inc. COM                                                                                                          | CUSIP: 603170101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       40511 | NS      | $1185351.86   | 0.23%             |  |  |  | No            |                  1 | On Loan: —       |
| United States Treasury Bills                    | B 0 03/26/26                                                                                                                             | CUSIP: 912797SC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12000000 | PA      | $11970987.96  | 2.28%             | 2026-03-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Impinj Inc                                      | Impinj Inc COM                                                                                                                           | CUSIP: 453204109<br>LEI: 549300M26VGKSMMWWN17 | Short            | EC               | CORP              | US        |       -2044 | NS      | $-250717.04   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Bridgebio Pharma Inc                            | BBIO 2.5 03/15/27                                                                                                                        | CUSIP: 10806XAB8<br>LEI: 54930028YG89VTY2J114 | Long             | DBT              | CORP              | US        |      645000 | PA      | $1059573.75   | 0.20%             | 2027-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| The Greenbrier Companies, Inc.                  | The Greenbrier Companies, Inc. COM                                                                                                       | CUSIP: 393657101<br>LEI: 5493001GAGGFR30BP390 | Short            | EC               | CORP              | US        |       -5299 | NS      | $-298969.58   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-693.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Venezuela (Republic Of)                         | VENZ 9 05/07/23                                                                                                                          | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     1381000 | PA      | $562895.60    | 0.11%             | 2023-05-07      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Varonis Systems Inc                             | VRNS 1 09/15/29                                                                                                                          | CUSIP: 922280AD4<br>LEI: 549300SHIVNRRH7STS26 | Long             | DBT              | CORP              | US        |      342000 | PA      | $307885.50    | 0.06%             | 2029-09-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Inotiv Inc.                                     | Inotiv Inc. COM                                                                                                                          | CUSIP: 45783Q100<br>LEI: 549300FH5Z13X0Q5SK81 | Short            | EC               | CORP              | US        |      -18533 | NS      | $-5016.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Romania (Republic Of)                           | ROMANI 5.75 07/04/36 144A                                                                                                                | CUSIP: 775921AA7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      300000 | PA      | $299400.00    | 0.06%             | 2036-07-04      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Equinox Gold Corp                               | Equinox Gold Corp COM                                                                                                                    | CUSIP: 29446Y502<br>LEI: 5493005IN4V1SNP9PN75 | Short            | EC               | CORP              | CA        |      -49555 | NS      | $-929651.80   | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| XAI 06/28/30                                    | XAI 06/28/30                                                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       31759 | PA      | $36030.28     | 0.01%             | 2030-06-28      | Floating      | 12.50%                | No            |                  2 | On Loan: No      |
| Workiva Inc                                     | WK 1.25 08/15/28                                                                                                                         | CUSIP: 98139AAD7<br>LEI: 529900RTOQ8GRWHY1O58 | Long             | DBT              | CORP              | US        |      467000 | PA      | $441198.25    | 0.08%             | 2028-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| NiSource Inc.                                   | NiSource Inc. COM                                                                                                                        | CUSIP: 65473P105<br>LEI: 549300D8GOWWH0SJB189 | Short            | EC               | CORP              | US        |      -10148 | NS      | $-480000.40   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Ping An Insurance (Group) Company of China Ltd. | Ping An Insurance (Group) Company of China Ltd. 'H' CNY1                                                                                 | CUSIP: 000000000<br>LEI: 529900M9MC28JLN35U89 | Short            | EC               | CORP              | CN        |     -127700 | NS      | $-1104687.36  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| Immunovant Inc                                  | Immunovant Inc COM                                                                                                                       | CUSIP: 45258J102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       18634 | NS      | $516720.82    | 0.10%             |  |  |  | No            |                  1 | On Loan: —       |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-703.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VINTY HOLDING 5 SA                              | SIX NPV                                                                                                                                  | CUSIP: 000000000<br>LEI: 2138005LNETKBA1YXW31 | Long             | EC               | CORP              | LU        |    11369458 | NS      | $51162.56     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| Seagate HDD Cayman                              | STX 3.5 06/01/28                                                                                                                         | CUSIP: 81180WBL4<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |      821000 | PA      | $4051840.25   | 0.77%             | 2028-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Kymera Therapeutics Inc                         | Kymera Therapeutics Inc COM                                                                                                              | CUSIP: 501575104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       11780 | NS      | $1076103.00   | 0.21%             |  |  |  | No            |                  1 | On Loan: —       |
| Bloom Energy Corporation                        | BE 3 06/01/29                                                                                                                            | CUSIP: 093712AM9<br>LEI: 549300XB5J9BFW5JXV97 | Long             | DBT              | CORP              | US        |      520000 | PA      | $3919500.00   | 0.75%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NCL Corporation Ltd.                            | NCLH 0.875 04/15/30                                                                                                                      | CUSIP: 62886HBS9<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |      229000 | PA      | $274342.00    | 0.05%             | 2030-04-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| AST SpaceMobile Inc.                            | AST SpaceMobile Inc. COM CL A                                                                                                            | CUSIP: 00217D100<br>LEI: 254900MBSC9P2UCI6623 | Short            | EC               | CORP              | US        |       -1890 | NS      | $-149669.10   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| TCOM/TRIP.COM GROUP LTD                         | Trip.com Group Ltd. ADS                                                                                                                  | CUSIP: 89677Q107<br>LEI: 2549004RMYDSRQL4KW41 | Short            | EC               | CORP              | KY        |        -629 | NS      | $-33097.98    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Guidewire Software Inc                          | Guidewire Software Inc COM                                                                                                               | CUSIP: 40171V100<br>LEI: 549300WXSG0J8IXZCK32 | Short            | EC               | CORP              | US        |        -961 | NS      | $-139652.52   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Bills                    | B 0 03/12/26                                                                                                                             | CUSIP: 912797SB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    15000000 | PA      | $14984891.70  | 2.86%             | 2026-03-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Parsons Corporation                             | PSN 2.625 03/01/29                                                                                                                       | CUSIP: 70202LAD4<br>LEI: 549300ZXH0VRBSEPX752 | Long             | DBT              | CORP              | US        |      358000 | PA      | $375900.00    | 0.07%             | 2029-03-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Three-Month SOFR Futures, Mar-2028,ETH                                                                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         -49 | NC      | $-40865.17    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2141.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Tandem Diabetes Care Inc                        | TNDM 1.5 03/15/29 2024                                                                                                                   | CUSIP: 875372AD6<br>LEI: 549300JEPFOD0K4D3I05 | Long             | DBT              | CORP              | US        |      137000 | PA      | $153525.63    | 0.03%             | 2029-03-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: —       |
| CorMedix Inc.                                   | CorMedix Inc. COM                                                                                                                        | CUSIP: 21900C308<br>LEI: 5299006YIA3L0MBW8358 | Short            | EC               | CORP              | US        |      -10842 | NS      | $-77303.46    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Box Inc.                                        | BOX 1.5 09/15/29                                                                                                                         | CUSIP: 10316TAD6<br>LEI: 549300KQUCPD8687YS68 | Long             | DBT              | CORP              | US        |      441000 | PA      | $412335.00    | 0.08%             | 2029-09-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MKS Inc.                                        | MKSI 1.25 06/01/30                                                                                                                       | CUSIP: 55306NAB0<br>LEI: 549300KEQATBHAGVF505 | Long             | DBT              | CORP              | US        |      432000 | PA      | $752544.00    | 0.14%             | 2030-06-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Premium Brands Holdings Corp.                   | Premium Brands Holdings Corp. COM NPV                                                                                                    | CUSIP: 74061A108<br>LEI: 529900F5EXPGUY8WV366 | Short            | EC               | CORP              | CA        |        -131 | NS      | $-10180.94    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SEDGWICK CLAIMS 07/31/31                        | SEDGWICK CLAIMS 07/31/31                                                                                                                 | CUSIP: 81527CAP2<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -138475 | PA      | $-134528.31   | -0.03%            | 2031-07-31      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Planet Labs Pbc                                 | Planet Labs Pbc COM CL A                                                                                                                 | CUSIP: 72703X106<br>LEI: 254900Q7PVI3HTQBRB44 | Short            | EC               | CORP              | US        |      -15161 | NS      | $-365986.54   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Kaisa Group Holdings Ltd.                       | KAISAG 7.25 12/28/32 144A                                                                                                                | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |      218681 | PA      | $3553.57      | 0.00%             | 2032-12-28      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Euronet Worldwide, Inc.                         | EEFT 0.625 10/01/30                                                                                                                      | CUSIP: 298736AM1<br>LEI: YG3575C4DSHJPA5KET68 | Long             | DBT              | CORP              | US        |       12000 | PA      | $10687.50     | 0.00%             | 2030-10-01      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Wix.com Limited                                 | Wix.com Limited SHS                                                                                                                      | CUSIP: 000000000<br>LEI: 5493008P6N29Q1AG9464 | Short            | EC               | CORP              | IL        |        -938 | NS      | $-66091.48    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7.95        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kilroy Realty L.P.                              | KRC 5.875 10/15/35                                                                                                                       | CUSIP: 49427RAT9<br>LEI: 5493008CT3N3JR7P1552 | Short            | DBT              | CORP              | US        |     -129000 | PA      | $-127221.80   | -0.02%            | 2035-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Solaredge Technologies Inc                      | Solaredge Technologies Inc COM                                                                                                           | CUSIP: 83417M104<br>LEI: 5493000K6Y58XXPDF853 | Long             | EC               | CORP              | US        |       20402 | NS      | $722230.80    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Solaredge Technologies Inc                      | Solaredge Technologies Inc COM                                                                                                           | CUSIP: 83417M104<br>LEI: 5493000K6Y58XXPDF853 | Short            | EC               | CORP              | US        |        -624 | NS      | $-22089.60    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| VICTRA HOLDINGS LLC                             | VICTRA 8.75 09/15/29 144A                                                                                                                | CUSIP: 92648DAA4<br>LEI: 549300KWDYQKQSF0MQ18 | Short            | DBT              | CORP              | US        |     -988000 | PA      | $-1039093.43  | -0.20%            | 2029-09-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Dropbox Inc                                     | DBX 0 03/01/28                                                                                                                           | CUSIP: 26210CAD6<br>LEI: 549300JCDF7UAR6TJR51 | Long             | DBT              | CORP              | US        |      819000 | PA      | $809991.00    | 0.15%             | 2028-03-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Turkey (Republic of)                            | TURKGB 27.7 09/27/34 10Y                                                                                                                 | CUSIP: 000000000<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    34568000 | PA      | $769915.77    | 0.15%             | 2034-09-27      | Fixed         | 27.70%                | No            |                  2 | On Loan: No      |
| Illinois Tool Works Inc.                        | Illinois Tool Works Inc. COM                                                                                                             | CUSIP: 452308109<br>LEI: 76NA4I14SZCFAYMNSV04 | Short            | EC               | CORP              | US        |       -3004 | NS      | $-873052.52   | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| Mohawk Industries, Inc.                         | Mohawk Industries, Inc. COM                                                                                                              | CUSIP: 608190104<br>LEI: 549300JI1115MG3Q6322 | Long             | EC               | CORP              | US        |         652 | NS      | $81676.04     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Applied Optoelectronics Inc                     | AAOI 2.75 01/15/30                                                                                                                       | CUSIP: 03823UAE2<br>LEI: 529900I8U6Q5SYDNLT48 | Long             | DBT              | CORP              | US        |       12000 | PA      | $26011.26     | 0.00%             | 2030-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| HEARTHSIDE FOOD 05/23/25                        | HEARTHSIDE FOOD 05/23/25                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1000742 | PA      | $500371.20    | 0.10%             | 2026-02-27      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-18.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fortuna Mining Corp.                            | FVICN 3.75 06/30/29                                                                                                                      | CUSIP: 349915AE8<br>LEI: 5493003Q88RVK7CW4735 | Long             | DBT              | CORP              | CA        |      191000 | PA      | $428890.50    | 0.08%             | 2029-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MGP Ingredients Inc.                            | MGPI 1.875 11/15/41                                                                                                                      | CUSIP: 55303JAB2<br>LEI: 2549006OMHFVZ4MS8538 | Long             | DBT              | CORP              | US        |      437000 | PA      | $425523.93    | 0.08%             | 2041-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FIRST ADVANTAGE 10/31/31                        | FIRST ADVANTAGE 10/31/31                                                                                                                 | CUSIP: 78477MAH4<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -149740 | PA      | $-143825.58   | -0.03%            | 2031-10-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Etsy Inc                                        | ETSY 0.25 06/15/28                                                                                                                       | CUSIP: 29786AAN6<br>LEI: 54930089Q7XT501AEA40 | Long             | DBT              | CORP              | US        |      503000 | PA      | $452951.50    | 0.09%             | 2028-06-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co.                                 | Eli Lilly & Co. COM                                                                                                                      | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |        1702 | NS      | $1790486.98   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERDIGITAL INC                                | InterDigital, Inc. COM                                                                                                                   | CUSIP: 45867G101<br>LEI: 529900HQAUTC3VI47G64 | Short            | EC               | CORP              | US        |      -10463 | NS      | $-3835003.39  | -0.73%            |  |  |  | No            |                  1 | On Loan: No      |
| Energy Vault Holdings Inc                       | Energy Vault Holdings Inc COM                                                                                                            | CUSIP: 29280W109<br>LEI: 549300KMBUKUUIQ6FN34 | Short            | EC               | CORP              | US        |       -2800 | NS      | $-8400.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Turkey (Republic of)                            | TURKGB 31.08 11/08/28 5Y                                                                                                                 | CUSIP: 000000000<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     6051000 | PA      | $136499.76    | 0.03%             | 2028-11-08      | Fixed         | 31.08%                | No            |                  2 | On Loan: No      |
| Canadian Solar Inc                              | CSIQ 3.25 01/15/31                                                                                                                       | CUSIP: 136635AK5<br>LEI: 5493001XSC6TKMBVOM15 | Long             | DBT              | CORP              | CA        |      138000 | PA      | $133722.00    | 0.03%             | 2031-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Sedgwick Holdings, Inc.                         | Sedgwick Holdings, Inc.                                                                                                                  | CUSIP: 81527CAP2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       18463 | PA      | $17937.11     | 0.00%             | 2031-07-31      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4452.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CoreWeave Inc.                                  | CoreWeave Inc. COM CL A                                                                                                                  | CUSIP: 21873S108<br>LEI: 984500511DP2B6186053 | Short            | EC               | CORP              | US        |       -2080 | NS      | $-165484.80   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Nippon Life Insurance Co.                       | NIPLIF V6.5 04/30/55 144a                                                                                                                | CUSIP: 654579AP6<br>LEI: 549300Y0HHMFW3EVWY08 | Short            | DBT              | CORP              | JP        |     -412000 | PA      | $-443307.06   | -0.08%            | 2055-04-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STUBHUB HOLDCO S 03/15/30                       | STUBHUB HOLDCO S 03/15/30                                                                                                                | CUSIP: 74530DAH8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       37766 | PA      | $36648.75     | 0.01%             | 2030-03-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Ecopetrol S.A.                                  | ECOPET 5.875 11/02/51                                                                                                                    | CUSIP: 279158AQ2<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      440000 | PA      | $318082.98    | 0.06%             | 2051-11-02      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                               | FirstEnergy Corp. COM                                                                                                                    | CUSIP: 337932107<br>LEI: 549300SVYJS666PQJH88 | Long             | EC               | CORP              | US        |       41495 | NS      | $2122884.20   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| ICAHN ENTERPRISES LP                            | IEP 10 11/15/29 144A                                                                                                                     | CUSIP: 451102CK1<br>LEI: 549300T0G4GS0SINS786 | Long             | DBT              | CORP              | US        |      525000 | PA      | $519062.09    | 0.10%             | 2029-11-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| GOL FINANCE                                     | GOLLBZ 14.375 06/06/30 144A                                                                                                              | CUSIP: 36254VAN8<br>LEI: 549300FRXVB8W0960Y03 | Long             | DBT              | CORP              | KY        |      131500 | PA      | $136102.50    | 0.03%             | 2030-06-05      | Fixed         | 14.38%                | No            |                  2 | On Loan: No      |
| DexCom Inc                                      | DexCom Inc COM                                                                                                                           | CUSIP: 252131107<br>LEI: 549300YSK3QDSFR5EU59 | Short            | EC               | CORP              | US        |        -725 | NS      | $-53236.75    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Alphatec Holdings Inc.                          | Alphatec Holdings Inc. COM NEW                                                                                                           | CUSIP: 02081G201<br>LEI: 549300EZE8CQ8K65FS24 | Short            | EC               | CORP              | US        |       -2902 | NS      | $-39525.24    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| TWITTE 02/14/30                                 | TWITTE 02/14/30                                                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       22256 | PA      | $23385.86     | 0.00%             | 2029-10-29      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3510.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Advance Auto Parts Inc.                         | AAP 7.375 08/01/33 144A                                                                                                                  | CUSIP: 00751YAL0<br>LEI: 529900UCNQ5H9FSL0Y70 | Short            | DBT              | CORP              | US        |     -168000 | PA      | $-172284.00   | -0.03%            | 2033-08-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| The Greenbrier Companies, Inc.                  | GBX 2.875 04/15/28                                                                                                                       | CUSIP: 393657AM3<br>LEI: 5493001GAGGFR30BP390 | Long             | DBT              | CORP              | US        |      455000 | PA      | $547183.00    | 0.10%             | 2028-04-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| PRE PAID LEGAL S 12/15/25                       | PRE PAID LEGAL S 12/15/25                                                                                                                | CUSIP: 74006LAS1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |         221 | PA      | $188.62       | 0.00%             | 2028-12-15      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| El Salvador (Republic of)                       | ELSALV 9.65 11/21/54 REGS                                                                                                                | CUSIP: 000000000<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |      650000 | PA      | $741000.00    | 0.14%             | 2054-11-21      | Fixed         | 9.65%                 | No            |                  2 | On Loan: No      |
| PACIRA BIOSCIENCES INC                          | PCRX 2.125 05/15/29                                                                                                                      | CUSIP: 695127AJ9<br>LEI: 549300P56LERYBDHCF69 | Long             | DBT              | CORP              | US        |      340000 | PA      | $329154.00    | 0.06%             | 2029-05-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corporation                          | CMS Energy Corporation COM                                                                                                               | CUSIP: 125896100<br>LEI: 549300IA9XFBAGNIBW29 | Long             | EC               | CORP              | US        |          29 | NS      | $2264.03      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMS Energy Corporation                          | CMS Energy Corporation COM                                                                                                               | CUSIP: 125896100<br>LEI: 549300IA9XFBAGNIBW29 | Short            | EC               | CORP              | US        |         -29 | NS      | $-2264.03     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| DREYFUS QII GOV CASH 289                        | DREYFUS QII GOV CASH 289                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    47194734 | NS      | $47194733.50  | 9.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Solaris Energy Infrastructure Inc               | SEI 4.75 05/01/30                                                                                                                        | CUSIP: 83419XAA6<br>LEI: 529900MTK3C8Y8TIIC10 | Long             | DBT              | CORP              | US        |      495000 | PA      | $1059052.50   | 0.20%             | 2030-05-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Builders Firstsource, Inc.                      | Builders Firstsource, Inc. COM                                                                                                           | CUSIP: 12008R107<br>LEI: 549300W0SKP6L3H7DP63 | Long             | EC               | CORP              | US        |         830 | NS      | $86560.70     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-161.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Terawulf Inc                                    | WULF 2.75 02/01/30                                                                                                                       | CUSIP: 88080TAB0<br>LEI: 254900CVMW1SX2T78A64 | Long             | DBT              | CORP              | US        |      581000 | PA      | $1242642.80   | 0.24%             | 2030-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP                            | IEP 9 06/15/30                                                                                                                           | CUSIP: 451102CJ4<br>LEI: 549300T0G4GS0SINS786 | Short            | DBT              | CORP              | US        |     -735000 | PA      | $-699747.71   | -0.13%            | 2030-06-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 4 03/31/30                                                                                                                             | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4627000 | PA      | $4720262.97   | 0.90%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sumitomo Life Insurance Co.                     | SUMILF V5.875 09/10/55 144A                                                                                                              | CUSIP: 86564CAF7<br>LEI: 549300I5OQCDADQSPI57 | Short            | DBT              | CORP              | JP        |     -258000 | PA      | $-261750.29   | -0.05%            | 2055-09-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Cheesecake Factory Inc                          | Cheesecake Factory Inc COM                                                                                                               | CUSIP: 163072101<br>LEI: 529900872XMLK10SY247 | Short            | EC               | CORP              | US        |       -1706 | NS      | $-110514.68   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Uniqure N.V.                                    | Uniqure N.V. SHS                                                                                                                         | CUSIP: 000000000<br>LEI: 724500RPCTZLFYJZ3S98 | Long             | EC               | CORP              | NL        |       40132 | NS      | $627263.16    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Herbalife Ltd.                                  | HLF 4.25 06/15/28                                                                                                                        | CUSIP: 42703MAF0<br>LEI: 549300BA7TYPBSZZIA41 | Long             | DBT              | CORP              | KY        |       92000 | PA      | $128156.00    | 0.02%             | 2028-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Corp.                      | Constellation Energy Corp. COM                                                                                                           | CUSIP: 21037T109<br>LEI: 549300F8Y20RYGNGV346 | Long             | EC               | CORP              | US        |        8471 | NS      | $2794413.48   | 0.53%             |  |  |  | No            |                  1 | On Loan: No      |
| Arrowhead Pharmaceuticals Inc                   | ARWR 0 01/15/32                                                                                                                          | CUSIP: 04280AAC4<br>LEI: 549300O3CSB8T7OZ3D66 | Long             | DBT              | CORP              | US        |      290000 | PA      | $306095.00    | 0.06%             | 2032-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bloom Energy Corporation                        | Bloom Energy Corporation COM CL A                                                                                                        | CUSIP: 093712107<br>LEI: 549300XB5J9BFW5JXV97 | Short            | EC               | CORP              | US        |      -51572 | NS      | $-8028213.24  | -1.53%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-697.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intuitive Machines Inc                          | Intuitive Machines Inc CLASS A COM                                                                                                       | CUSIP: 46125A100<br>LEI: 254900386IE2PEPLVM59 | Long             | EC               | CORP              | US        |        1100 | NS      | $18128.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| Intuitive Machines Inc                          | Intuitive Machines Inc CLASS A COM                                                                                                       | CUSIP: 46125A100<br>LEI: 254900386IE2PEPLVM59 | Short            | EC               | CORP              | US        |      -17801 | NS      | $-293360.48   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Etsy Inc                                        | ETSY 1 06/15/30                                                                                                                          | CUSIP: 29786AAP1<br>LEI: 54930089Q7XT501AEA40 | Long             | DBT              | CORP              | US        |       28000 | PA      | $28456.40     | 0.01%             | 2030-06-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.5 01/31/28                                                                                                                           | CUSIP: 91282CGH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      113500 | PA      | $113726.11    | 0.02%             | 2028-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMCAST HOLDINGS CORP                           | COMCAST HOLDINGS CORP                                                                                                                    | CUSIP: 200300507<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      386500 | PA      | $248326.25    | 0.05%             | 2029-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Solaris Energy Infrastructure Inc               | SEI 0.25 10/01/31                                                                                                                        | CUSIP: 83419XAB4<br>LEI: 529900MTK3C8Y8TIIC10 | Long             | DBT              | CORP              | US        |      285000 | PA      | $333307.50    | 0.06%             | 2031-10-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Zhenro Properties Group Limited                 | ZHPRHK 6.63 01/07/26                                                                                                                     | CUSIP: 000000000<br>LEI: 549300I66TVJEL841P38 | Long             | DBT              | CORP              | KY        |      203000 | PA      | $1015.00      | 0.00%             | 2026-01-07      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Oddity Finance LLC                              | ODD 0 06/15/30                                                                                                                           | CUSIP: 67579RAA8<br>LEI: 254900FTSJH2TRDJ3905 | Long             | DBT              | CORP              | US        |      292000 | PA      | $191625.00    | 0.04%             | 2030-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Ecopetrol S.A.                                  | ECOPET 8.875 01/13/33                                                                                                                    | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      649000 | PA      | $689229.34    | 0.13%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Enovis Corporation                              | Enovis Corporation COM                                                                                                                   | CUSIP: 194014502<br>LEI: 635400OP2DYYYMOIYL17 | Short            | EC               | CORP              | US        |       -1912 | NS      | $-48698.64    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-108.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Silvercorp Metals Inc.                          | Silvercorp Metals Inc. COM                                                                                                               | CUSIP: 82835P103<br>LEI: 52990092RT3UCQ7G3177 | Short            | EC               | CORP              | CA        |      -32093 | NS      | $-447055.49   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| NVIDIA Corp.                                    | NVDA 3.5 04/01/50                                                                                                                        | CUSIP: 67066GAH7<br>LEI: 549300S4KLFTLO7GSQ80 | Short            | DBT              | CORP              | US        |     -285000 | PA      | $-217700.30   | -0.04%            | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Luz del Sur SA                                  | LUZSUR 6.75 10/09/32 144A                                                                                                                | CUSIP: 550688AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     1739000 | PA      | $531289.12    | 0.10%             | 2032-10-09      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Veeco Instruments Inc.                          | Veeco Instruments Inc. COM                                                                                                               | CUSIP: 922417100<br>LEI: 5493004201F72ADDZW04 | Short            | EC               | CORP              | US        |       -1575 | NS      | $-48132.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| OSI System Inc.                                 | OSI System Inc. COM                                                                                                                      | CUSIP: 671044105<br>LEI: DDX3MPX1Y8YD30050X33 | Short            | EC               | CORP              | US        |       -1817 | NS      | $-518208.40   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Inotiv Inc.                                     | NOTV 3.25 10/15/27                                                                                                                       | CUSIP: 45783QAB6<br>LEI: 549300FH5Z13X0Q5SK81 | Long             | DBT              | CORP              | US        |      244000 | PA      | $58865.00     | 0.01%             | 2027-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Synaptics Incorporated                          | Synaptics Incorporated COM                                                                                                               | CUSIP: 87157D109<br>LEI: 549300AJ3LI4FWNRQX29 | Short            | EC               | CORP              | US        |        -326 | NS      | $-26555.96    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Stride Inc                                      | Stride Inc COM                                                                                                                           | CUSIP: 86333M108<br>LEI: 254900BRWS3AFONWU277 | Short            | EC               | CORP              | US        |      -13059 | NS      | $-1101918.42  | -0.21%            |  |  |  | No            |                  1 | On Loan: No      |
| Porch Group Inc.                                | PRCH 6.75 10/01/28                                                                                                                       | CUSIP: 733245AC8<br>LEI: 549300NXEI7CVW8IXQ90 | Long             | DBT              | CORP              | US        |      348000 | PA      | $352002.00    | 0.07%             | 2028-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Sofi Technologies Inc                           | SOFI 0 10/15/26                                                                                                                          | CUSIP: 83406FAA0<br>LEI: 549300SW81JCMVZDDY09 | Long             | DBT              | CORP              | US        |      428000 | PA      | $453252.00    | 0.09%             | 2026-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-12.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| European Bank For Reconstruction & Development  | EBRD 0 07/11/36 EMTn                                                                                                                     | CUSIP: 000000000<br>LEI: 549300HTGDOVDU6OGK19 | Long             | DBT              | NUSS              | N/A       |   133400000 | PA      | $247235.53    | 0.05%             | 2036-07-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Encore Capital Group Inc.                       | ECPG 8.5 05/15/30 144A                                                                                                                   | CUSIP: 292554AR3<br>LEI: 5493000UVC6H49CIH830 | Short            | DBT              | CORP              | US        |     -205000 | PA      | $-219425.65   | -0.04%            | 2030-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Cornerstone Bldg 04/12/28                       | Cornerstone Bldg 04/12/28                                                                                                                | CUSIP: 72431HAD2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       86210 | PA      | $63764.90     | 0.01%             | 2028-04-12      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Cornerstone Bldg 04/12/28                       | Cornerstone Bldg 04/12/28                                                                                                                | CUSIP: 72431HAD2<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -86210 | PA      | $-63764.90    | -0.01%            | 2028-04-12      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Yinson Boronia Production BV                    | YPANBR 8.947 07/31/42 REGS                                                                                                               | CUSIP: 000000000<br>LEI: 5493007X12FTT746N678 | Long             | DBT              | CORP              | NL        |      562475 | PA      | $620702.22    | 0.12%             | 2042-07-31      | Fixed         | 8.95%                 | No            |                  2 | On Loan: No      |
| Etsy Inc                                        | Etsy Inc COM                                                                                                                             | CUSIP: 29786A106<br>LEI: 54930089Q7XT501AEA40 | Short            | EC               | CORP              | US        |        -194 | NS      | $-10646.72    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UK 02/10/31 Term 02/10/31                       | UK 02/10/31 Term 02/10/31                                                                                                                | CUSIP: 89841EAB1<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -27695 | PA      | $-26289.45    | -0.01%            | 2031-02-10      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| VECTOR CAP CLS B-1 UNIT                         | VECTOR CAP CLS B-1 UNIT                                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        1499 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Romania (Republic Of)                           | ROMANI 4.625 03/04/33 144A                                                                                                               | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      440000 | PA      | $518969.49    | 0.10%             | 2033-03-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Oscar Health Inc                                | Oscar Health Inc CL A                                                                                                                    | CUSIP: 687793109<br>LEI: 254900AE8KDLFDOPKZ19 | Short            | EC               | CORP              | US        |       -3623 | NS      | $-49417.72    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1106.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Encore Capital Group Inc.                       | Encore Capital Group Inc. COM                                                                                                            | CUSIP: 292554102<br>LEI: 5493000UVC6H49CIH830 | Short            | EC               | CORP              | US        |       -4324 | NS      | $-295285.96   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Omnicell Inc                                    | Omnicell Inc COM                                                                                                                         | CUSIP: 68213N109<br>LEI: 5493008RH0GTKHHPZI77 | Short            | EC               | CORP              | US        |        -800 | NS      | $-32880.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Concentrix Corp.                                | CNXC 6.5 03/01/29                                                                                                                        | CUSIP: 20602DAD3<br>LEI: 5493000EAJN1KMPVA737 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24716.51     | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Concentrix Corp.                                | CNXC 6.5 03/01/29                                                                                                                        | CUSIP: 20602DAD3<br>LEI: 5493000EAJN1KMPVA737 | Short            | DBT              | CORP              | US        |     -144000 | PA      | $-142367.12   | -0.03%            | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| First Solar Inc                                 | First Solar Inc COM                                                                                                                      | CUSIP: 336433107<br>LEI: 549300NPYMLM4NHTOF27 | Short            | EC               | CORP              | US        |        -757 | NS      | $-149280.40   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Univision Communications Inc.                   | UVN 9.375 08/01/32 144A                                                                                                                  | CUSIP: 914906BA9<br>LEI: 549300YQDE2JSGTL8V47 | Short            | DBT              | CORP              | US        |     -192000 | PA      | $-203328.26   | -0.04%            | 2032-08-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Core Scientific Inc                             | CORZ 0 06/15/31                                                                                                                          | CUSIP: 21874AAE6<br>LEI: 5299003RGB2LAZ65RK73 | Long             | DBT              | CORP              | US        |      191000 | PA      | $219702.31    | 0.04%             | 2031-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Aurora Innovation Inc                           | Aurora Innovation Inc CLASS A COM                                                                                                        | CUSIP: 051774107<br>LEI: 984500AB2E0D9F7D9D76 | Short            | EC               | CORP              | US        |      -25628 | NS      | $-119939.04   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Venezuela (Republic Of)                         | VENZ 6 12/09/20                                                                                                                          | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      135000 | PA      | $47803.50     | 0.01%             | 2020-12-09      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DigitalOcean Holdings Inc                       | DOCN 0 12/01/26                                                                                                                          | CUSIP: 25402DAB8<br>LEI: 549300EPISPY3RE3DL21 | Long             | DBT              | CORP              | US        |       31000 | PA      | $30108.75     | 0.01%             | 2026-12-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Three-Month SOFR Futures, Mar-2027,ETH                                                                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -102 | NC      | $-42110.66    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-929.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Vishay Intertechnology, Inc.                    | VSH 2.25 09/15/30                                                                                                                        | CUSIP: 928298AR9<br>LEI: 5493009O8F3QQJTCQR75 | Long             | DBT              | CORP              | US        |      464000 | PA      | $459592.00    | 0.09%             | 2030-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Snowflake Inc                                   | SNOW 0 10/01/27                                                                                                                          | CUSIP: 833445AB5<br>LEI: 254900CJNSY1K7T53Z16 | Long             | DBT              | CORP              | US        |      309000 | PA      | $390267.00    | 0.07%             | 2027-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| World Kinect Corporation                        | WKC 3.25 07/01/28                                                                                                                        | CUSIP: 98149GAB6<br>LEI: D3W7PCXCBRQLL17DZ313 | Long             | DBT              | CORP              | US        |      190000 | PA      | $208278.00    | 0.04%             | 2028-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Sri Lanka (Democratic Socialist Republic of)    | SRILAN 3.6 05/15/36 REGS                                                                                                                 | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |       55000 | PA      | $54981.26     | 0.01%             | 2036-05-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Bitdeer Technologies Group                      | BTDR 5 03/01/32                                                                                                                          | CUSIP: 09175RAG5<br>LEI: 2549007M2KGWVJ9XFP20 | Long             | DBT              | CORP              | KY        |      107000 | PA      | $105461.88    | 0.02%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Life360 Inc.                                    | Life360 Inc. COM                                                                                                                         | CUSIP: 532206109<br>LEI: 254900VO9VDOQBQAHF07 | Short            | EC               | CORP              | US        |       -2333 | NS      | $-122832.45   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Roivant Sciences Ltd                            | Roivant Sciences Ltd SHS                                                                                                                 | CUSIP: 000000000<br>LEI: 549300DL466NY5J6U724 | Long             | EC               | CORP              | BM        |       56233 | NS      | $1627383.02   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Xometry Inc                                     | XMTR 1 02/01/27                                                                                                                          | CUSIP: 98423FAB5<br>LEI: 5493006JFRGU7YRRXE44 | Long             | DBT              | CORP              | US        |      459000 | PA      | $483786.00    | 0.09%             | 2027-02-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Vishay Intertechnology, Inc.                    | Vishay Intertechnology, Inc. COM                                                                                                         | CUSIP: 928298108<br>LEI: 5493009O8F3QQJTCQR75 | Short            | EC               | CORP              | US        |       -8277 | NS      | $-154945.44   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Concentrix Corp.                                | CNXC 6.85 08/02/33                                                                                                                       | CUSIP: 20602DAC5<br>LEI: 5493000EAJN1KMPVA737 | Short            | DBT              | CORP              | US        |     -189000 | PA      | $-181836.99   | -0.03%            | 2033-08-02      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-25.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Zscaler Inc                                     | Zscaler Inc COM                                                                                                                          | CUSIP: 98980G102<br>LEI: 529900MZ0RTK1BWRNF46 | Long             | EC               | CORP              | US        |           4 | NS      | $587.96       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Zscaler Inc                                     | Zscaler Inc COM                                                                                                                          | CUSIP: 98980G102<br>LEI: 529900MZ0RTK1BWRNF46 | Short            | EC               | CORP              | US        |         -16 | NS      | $-2351.84     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| DigitalOcean Holdings Inc                       | DOCN 0 08/15/30                                                                                                                          | CUSIP: 25402DAC6<br>LEI: 549300EPISPY3RE3DL21 | Long             | DBT              | CORP              | US        |       38000 | PA      | $61085.00     | 0.01%             | 2030-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Pagerduty Inc                                   | PD 1.5 10/15/28 *                                                                                                                        | CUSIP: 69553PAD2<br>LEI: 549300U1SB749EDAGH21 | Long             | DBT              | CORP              | US        |      230000 | PA      | $210047.50    | 0.04%             | 2028-10-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CSC Holdings, LLC                               | CSCHLD 5 11/15/31 144A                                                                                                                   | CUSIP: 126307BK2<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |       24000 | PA      | $8988.86      | 0.00%             | 2031-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Encore Capital Group Inc.                       | ECPG 4 03/15/29                                                                                                                          | CUSIP: 292554AP7<br>LEI: 5493000UVC6H49CIH830 | Long             | DBT              | CORP              | US        |      392000 | PA      | $489020.00    | 0.09%             | 2029-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Helmerich & Payne Inc                           | HP 4.85 12/01/29                                                                                                                         | CUSIP: 423452AM3<br>LEI: 254900NAOGHJ88RZ4C73 | Short            | DBT              | CORP              | US        |     -342000 | PA      | $-348844.98   | -0.07%            | 2029-12-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Travere Therapeutics Inc                        | Travere Therapeutics Inc COM                                                                                                             | CUSIP: 89422G107<br>LEI: N/A                  | Short            | EC               | CORP              | US        |        -274 | NS      | $-8162.46     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Veeco Instruments Inc.                          | VECO 2.875 06/01/29                                                                                                                      | CUSIP: 922417AJ9<br>LEI: 5493004201F72ADDZW04 | Long             | DBT              | CORP              | US        |       69000 | PA      | $89717.25     | 0.02%             | 2029-06-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: —       |
| Enovis Corporation                              | ENOV 3.875 10/15/28                                                                                                                      | CUSIP: 194014AB2<br>LEI: 635400OP2DYYYMOIYL17 | Long             | DBT              | CORP              | US        |      315000 | PA      | $313031.25    | 0.06%             | 2028-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6618.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LENOVO GROUP LTD                                | Lenovo Group Ltd. NPV                                                                                                                    | CUSIP: 000000000<br>LEI: 254900VUZRGD5U73RE46 | Short            | EC               | CORP              | HK        |     -193700 | NS      | $-239088.33   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Concentrix Corp.                                | CNXC 6.6 08/02/28                                                                                                                        | CUSIP: 20602DAB7<br>LEI: 5493000EAJN1KMPVA737 | Short            | DBT              | CORP              | US        |     -173000 | PA      | $-174553.97   | -0.03%            | 2028-08-02      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Xometry Inc                                     | XMTR 0.75 06/15/30                                                                                                                       | CUSIP: 98423FAC3<br>LEI: 5493006JFRGU7YRRXE44 | Long             | DBT              | CORP              | US        |      255000 | PA      | $301920.00    | 0.06%             | 2030-06-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Etsy Inc                                        | ETSY 0.125 09/01/27                                                                                                                      | CUSIP: 29786AAL0<br>LEI: 54930089Q7XT501AEA40 | Long             | DBT              | CORP              | US        |       69000 | PA      | $64480.50     | 0.01%             | 2027-09-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| SonicWall US Hldgs Inc                          | SonicWall US Hldgs Inc                                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      369683 | PA      | $120940.05    | 0.02%             | 2028-05-18      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Bitdeer Technologies Group                      | BTDR 4 11/15/31                                                                                                                          | CUSIP: 09175RAE0<br>LEI: 2549007M2KGWVJ9XFP20 | Long             | DBT              | CORP              | KY        |      169000 | PA      | $124215.00    | 0.02%             | 2031-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sri Lanka (Democratic Socialist Republic of)    | SRILAN 3.6 06/15/35 REGS                                                                                                                 | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |       80000 | PA      | $65611.21     | 0.01%             | 2035-06-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| HEARTHSIDE FOOD 05/23/25                        | HEARTHSIDE FOOD 05/23/25                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      339377 | PA      | $169688.53    | 0.03%             | 2026-02-27      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| A10 Networks Inc                                | ANETWK 2.75 04/01/30                                                                                                                     | CUSIP: 002121AA9<br>LEI: 549300UQD4IWUML81Q35 | Long             | DBT              | CORP              | US        |       35000 | PA      | $38198.21     | 0.01%             | 2030-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC                     | IONPLA 7.875 09/30/32 144a                                                                                                               | CUSIP: 46205QAB4<br>LEI: 213800FKHT3BRRKMCC89 | Short            | DBT              | CORP              | US        |      -44000 | PA      | $-35335.03    | -0.01%            | 2032-09-30      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-63.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Whirlpool Corp.                                 | Whirlpool Corp. DEPOSITARY SHARES EACH REPRESENTING A 1/20TH INTEREST IN A SHARE OF 8.50% SERIES A MANDATORY CONVERTIBLE PREFERRED STOCK | CUSIP: 963320205<br>LEI: WHENKOULSSK7WUM60H03 | Long             | EP               | CORP              | US        |         250 | NS      | $12462.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Cytokinetics Inc                                | Cytokinetics Inc COM NEW                                                                                                                 | CUSIP: 23282W605<br>LEI: 549300BE5DY1HW7IHA64 | Short            | EC               | CORP              | US        |        -709 | NS      | $-44113.98    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Akamai Technologies, Inc.                       | AKAM 0.375 09/01/27                                                                                                                      | CUSIP: 00971TAL5<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | DBT              | CORP              | US        |       75000 | PA      | $80857.50     | 0.02%             | 2027-09-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Biomarin Pharmaceutical Inc.                    | BMRN 1.25 05/15/27                                                                                                                       | CUSIP: 09061GAK7<br>LEI: NSLL8ITTRR0J5HEMR848 | Long             | DBT              | CORP              | US        |      343000 | PA      | $331706.73    | 0.06%             | 2027-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings Llc                        | CE 7.375 02/15/34                                                                                                                        | CUSIP: 15089QBD5<br>LEI: CD30XVRLT4QO00B1C706 | Short            | DBT              | CORP              | US        |     -572000 | PA      | $-588001.70   | -0.11%            | 2034-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Edwards Lifesciences Corporation                | Edwards Lifesciences Corporation COM                                                                                                     | CUSIP: 28176E108<br>LEI: YA13X31F3V31L8TMPR58 | Long             | EC               | CORP              | US        |       25842 | NS      | $2234557.74   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| Keysight Technologies, Inc.                     | Keysight Technologies, Inc. COM                                                                                                          | CUSIP: 49338L103<br>LEI: 549300GLKVIO8YRCYN02 | Long             | EC               | CORP              | US        |        2593 | NS      | $796906.69    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Delivery Hero SE                                | DEHEHO 3.25 02/21/30                                                                                                                     | CUSIP: 000000000<br>LEI: 529900C3EX1FZGE48X78 | Long             | DBT              | CORP              | DE        |      100000 | PA      | $113200.70    | 0.02%             | 2030-02-21      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| South Africa (Republic of)                      | SAGB 8.75 02/28/48 2048                                                                                                                  | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     5725000 | PA      | $364741.87    | 0.07%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Ionis Pharmaceuticals, Inc.                     | IONS 0 12/01/30                                                                                                                          | CUSIP: 462222AG5<br>LEI: 549300SI4ZGLG0BLUZ92 | Long             | DBT              | CORP              | US        |      196000 | PA      | $216157.59    | 0.04%             | 2030-12-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-29.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORD SE 10/08/32                                | NORD SE 10/08/32                                                                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -507426 | PA      | $-500662.27   | -0.10%            | 2032-10-08      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GRAB HOLDINGS LTD                               | Grab Holdings Ltd. CLASS A ORD                                                                                                           | CUSIP: 000000000<br>LEI: 549300N4VQX83VPJF439 | Short            | EC               | CORP              | KY        |       -4441 | NS      | $-18741.02    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Bogota, Distrito Capital                        | BOGOTA 13.1404 11/05/35 144A                                                                                                             | CUSIP: 097230AC0<br>LEI: 529900L83GNDA0PLHT11 | Long             | DBT              | NUSS              | CO        |  5133000000 | PA      | $1368357.66   | 0.26%             | 2035-11-05      | Fixed         | 13.14%                | No            |                  2 | On Loan: No      |
| Argentina (Republic Of)                         | ARGENT V0 12/15/35 $GDP                                                                                                                  | CUSIP: 040114GM6<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | CORP              | AR        |     3342000 | PA      | $128667.00    | 0.02%             | 2035-12-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| MH SUB 12/11/31                                 | MH SUB 12/11/31                                                                                                                          | CUSIP: 45567YAP0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      130686 | PA      | $89846.83     | 0.02%             | 2031-12-31      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| MH SUB 12/11/31                                 | MH SUB 12/11/31                                                                                                                          | CUSIP: 45567YAP0<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -130686 | PA      | $-89846.83    | -0.02%            | 2031-12-31      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| Tandem Diabetes Care Inc                        | Tandem Diabetes Care Inc COM NEW                                                                                                         | CUSIP: 875372203<br>LEI: 549300JEPFOD0K4D3I05 | Short            | EC               | CORP              | US        |       -2707 | NS      | $-68487.10    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Rfna LP                                         | RFNALP 7.875 02/15/30 144A                                                                                                               | CUSIP: 74984AAA0<br>LEI: 2549002A4GSOTYKKHR45 | Short            | DBT              | CORP              | US        |     -330000 | PA      | $-328786.69   | -0.06%            | 2030-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Lumentum Holdings Inc.                          | Lumentum Holdings Inc. COM                                                                                                               | CUSIP: 55024U109<br>LEI: 549300JLWRRC38DWEF52 | Short            | EC               | CORP              | US        |       -7783 | NS      | $-5455182.53  | -1.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Satellogic Inc                                  | Satellogic Inc WT EXP 012527                                                                                                             | CUSIP: 80401C118<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        2058 | NS      | $1029.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1729.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Upstart Holdings Inc                            | Upstart Holdings Inc COM                                                                                                                 | CUSIP: 91680M107<br>LEI: 549300WNB47JRNENIC75 | Short            | EC               | CORP              | US        |       -3302 | NS      | $-89913.46    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Align Technology Inc.                           | Align Technology Inc. COM                                                                                                                | CUSIP: 016255101<br>LEI: 549300N5YSE0U3LCP840 | Long             | EC               | CORP              | US        |        7797 | NS      | $1482209.70   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Yapi Ve Kredi Bankasi A.S.                      | YKBNK V9.25 01/17/34 REGS                                                                                                                | CUSIP: 000000000<br>LEI: B85ZYWEZ5IZCZ2WNIO12 | Long             | DBT              | CORP              | TR        |      537000 | PA      | $572916.95    | 0.11%             | 2034-01-17      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Indonesia (Republic of)                         | INDOGB 7.125 06/15/38 FR98                                                                                                               | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 15015000000 | PA      | $935918.58    | 0.18%             | 2038-06-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| IREN Ltd.                                       | IREN Ltd. ORDINARY SHARES                                                                                                                | CUSIP: 000000000<br>LEI: 254900FZF02RB3NNGB71 | Short            | EC               | CORP              | AU        |      -89729 | NS      | $-3674402.55  | -0.70%            |  |  |  | No            |                  1 | On Loan: No      |
| Ecuador (Republic Of)                           | ECUA 8.75 01/29/34 144A                                                                                                                  | CUSIP: 27927WAQ5<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |      475000 | PA      | $479275.00    | 0.09%             | 2034-01-29      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Core Scientific Inc                             | Core Scientific Inc COM                                                                                                                  | CUSIP: 21874A106<br>LEI: 5299003RGB2LAZ65RK73 | Short            | EC               | CORP              | US        |      -56168 | NS      | $-953170.96   | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| Kaisa Group Holdings Ltd.                       | KAISAG 6.75 12/28/30 144A                                                                                                                | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |      154233 | PA      | $3470.25      | 0.00%             | 2030-12-28      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Seagate Technology Holdings PLC                 | Seagate Technology Holdings PLC ORD SHS                                                                                                  | CUSIP: 000000000<br>LEI: 635400RUXIFEZSRU8X70 | Short            | EC               | CORP              | IE        |       -9955 | NS      | $-4060047.20  | -0.77%            |  |  |  | No            |                  1 | On Loan: No      |
| Gamestop Corp                                   | Gamestop Corp WT EXP 103026                                                                                                              | CUSIP: 36467W117<br>LEI: 549300505KLOET039L77 | Long             | EC               | CORP              | US        |         320 | NS      | $1376.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-56.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.875 04/30/30                                                                                                                         | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -979000 | PA      | $-994143.91   | -0.19%            | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Microchip Technology Incorporated               | MCHP 0 02/15/30                                                                                                                          | CUSIP: 595017BM5<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |       23000 | PA      | $23838.95     | 0.00%             | 2030-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                  | MEX 6.75 02/09/56                                                                                                                        | CUSIP: 91087BBS8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      752000 | PA      | $763844.00    | 0.15%             | 2056-02-09      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| UNITI SERVICES LLC                              | UNIT 7.5 10/15/33 144A                                                                                                                   | CUSIP: 97382BAB5<br>LEI: 549300KT9GVEBYCD2N29 | Long             | DBT              | CORP              | US        |      228000 | PA      | $237384.94    | 0.05%             | 2033-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Industrial & Commercial Bank of China Ltd.      | ICBCAS V3.2 PERP                                                                                                                         | CUSIP: 000000000<br>LEI: 5493002ERZU2K9PZDL40 | Short            | DBT              | CORP              | CN        |     -279000 | PA      | $-277751.67   | -0.05%            | N/A             | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Kite Realty Group, L.P.                         | KRG 0.75 04/01/27                                                                                                                        | CUSIP: 49803XAB9<br>LEI: 549300X6R2GYI8Y3OD81 | Long             | DBT              | CORP              | US        |       36000 | PA      | $40538.79     | 0.01%             | 2027-04-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fujikura Ltd.                                   | Fujikura Ltd. NPV                                                                                                                        | CUSIP: 000000000<br>LEI: 353800PSDZ8VRCKVPL51 | Long             | EC               | CORP              | JP        |        3889 | NS      | $664056.90    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| iShares Trust                                   | iShares Trust IBOXX HI YD ETF                                                                                                            | CUSIP: 464288513<br>LEI: 5493000860OXIC4B5K91 | Short            | EC               | RF                | US        |      -17844 | NS      | $-1440367.68  | -0.27%            |  |  |  | No            |                  1 | On Loan: No      |
| IDERA TL B2 SOFR 03/02/28                       | IDERA TL B2 SOFR 03/02/28                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       26890 | PA      | $21646.70     | 0.00%             | 2028-03-02      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| IDERA TL B2 SOFR 03/02/28                       | IDERA TL B2 SOFR 03/02/28                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -29225 | PA      | $-23526.42    | -0.00%            | 2028-03-02      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-116.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp.                                    | ORCL 6.7 02/04/56                                                                                                                        | CUSIP: 68389XEB7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Short            | DBT              | CORP              | US        |     -252000 | PA      | $-244533.79   | -0.05%            | 2056-02-04      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| SOLARWINDS TLB S 03/12/32                       | SOLARWINDS TLB S 03/12/32                                                                                                                | CUSIP: 85554UAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       22602 | PA      | $19536.34     | 0.00%             | 2032-04-16      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| SOLARWINDS TLB S 03/12/32                       | SOLARWINDS TLB S 03/12/32                                                                                                                | CUSIP: 85554UAB0<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -924236 | PA      | $-798886.90   | -0.15%            | 2032-04-16      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| Applied Optoelectronics Inc                     | Applied Optoelectronics Inc COM                                                                                                          | CUSIP: 03823U102<br>LEI: 529900I8U6Q5SYDNLT48 | Short            | EC               | CORP              | US        |        -222 | NS      | $-18699.06    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Argentina (Republic Of)                         | ARGENT V0 12/15/35 EGDP                                                                                                                  | CUSIP: 000000000<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     3176000 | PA      | $391202.44    | 0.07%             | 2035-12-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Ecuador (Republic Of)                           | ECUA 9.25 01/29/39 144A                                                                                                                  | CUSIP: 27927WAR3<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |      558000 | PA      | $566370.00    | 0.11%             | 2039-01-29      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| DigitalOcean Holdings Inc                       | DigitalOcean Holdings Inc COM                                                                                                            | CUSIP: 25402D102<br>LEI: 549300EPISPY3RE3DL21 | Short            | EC               | CORP              | US        |        -832 | NS      | $-46641.92    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ELLUCIAN HLDG 10/08/29                          | ELLUCIAN HLDG 10/08/29                                                                                                                   | CUSIP: 28917XAB6<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -92317 | PA      | $-89580.30    | -0.02%            | 2029-10-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Senegal (Republic of)                           | SENEGL 4.75 03/13/28 REGS                                                                                                                | CUSIP: 000000000<br>LEI: 549300NP14ZLQGWIUZ97 | Long             | DBT              | NUSS              | SN        |      270000 | PA      | $254563.25    | 0.05%             | 2028-03-13      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Omnicell Inc                                    | OMCL 1 12/01/29                                                                                                                          | CUSIP: 68213NAF6<br>LEI: 5493008RH0GTKHHPZI77 | Long             | DBT              | CORP              | US        |       70000 | PA      | $72380.00     | 0.01%             | 2029-12-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-695.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Saturn Oil & Gas Inc                            | SOILCN 9.625 06/15/29 144A                                                                                                               | CUSIP: 80412LAA5<br>LEI: 549300G6BWJ7K6PIIY73 | Short            | DBT              | CORP              | CA        |     -525000 | PA      | $-540164.10   | -0.10%            | 2029-06-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| Snowflake Inc                                   | SNOW 0 10/01/29                                                                                                                          | CUSIP: 833445AD1<br>LEI: 254900CJNSY1K7T53Z16 | Long             | DBT              | CORP              | US        |      215000 | PA      | $282080.00    | 0.05%             | 2029-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Mara Holdings Inc                               | MARA 0 08/01/32                                                                                                                          | CUSIP: 565788AJ5<br>LEI: 549300M8ISKPTX2W7F94 | Long             | DBT              | CORP              | US        |       42000 | PA      | $29412.60     | 0.01%             | 2032-08-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Enphase Energy Inc                              | Enphase Energy Inc COM                                                                                                                   | CUSIP: 29355A107<br>LEI: 5493008U7KIGMI59Z314 | Long             | EC               | CORP              | US        |        5607 | NS      | $237007.89    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Mirion Technologies Inc                         | MIR 0.25 06/01/30                                                                                                                        | CUSIP: 60471AAA9<br>LEI: 549300BNTOWVWFNVTJ65 | Long             | DBT              | CORP              | US        |      145000 | PA      | $172731.25    | 0.03%             | 2030-06-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                    | ORCL 6.55 02/04/46                                                                                                                       | CUSIP: 68389XEA9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Short            | DBT              | CORP              | US        |     -210000 | PA      | $-204746.59   | -0.04%            | 2046-02-04      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Blackline Inc                                   | Blackline Inc COM                                                                                                                        | CUSIP: 09239B109<br>LEI: 529900P9N7PK9LV5EK56 | Short            | EC               | CORP              | US        |       -1669 | NS      | $-58832.25    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Uber Technologies Inc                           | UBER 0 05/15/28                                                                                                                          | CUSIP: 90353TAR1<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |      439000 | PA      | $448548.25    | 0.09%             | 2028-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| C.H. Robinson Worldwide Inc                     | C.H. Robinson Worldwide Inc COM NEW                                                                                                      | CUSIP: 12541W209<br>LEI: 529900WNWN5L0OVDHA79 | Long             | EC               | CORP              | US        |        5247 | NS      | $972006.75    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Mastec, Inc.                                    | Mastec, Inc. COM                                                                                                                         | CUSIP: 576323109<br>LEI: 549300TMDIT8WREDOF45 | Long             | EC               | CORP              | US        |       10784 | NS      | $3213847.68   | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-125.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Owens Corning                                   | Owens Corning COM                                                                                                                        | CUSIP: 690742101<br>LEI: JO5M6676RDJIZ2U8X907 | Long             | EC               | CORP              | US        |         700 | NS      | $85449.00     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BILL Holdings Inc                               | BILL 0 04/01/27                                                                                                                          | CUSIP: 090043AD2<br>LEI: 549300IBF9VZZIGOZW63 | Long             | DBT              | CORP              | US        |       49000 | PA      | $47530.00     | 0.01%             | 2027-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| IAC Inc                                         | IAC Inc COM NEW                                                                                                                          | CUSIP: 44891N208<br>LEI: 549300TO56L57RP6P031 | Long             | EC               | CORP              | US        |        6365 | NS      | $243906.80    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| HAT HOLDINGS I LLC                              | HASI 3.75 08/15/28                                                                                                                       | CUSIP: 418751AJ2<br>LEI: 254900YE1WH1XG7Y4E44 | Long             | DBT              | CORP              | US        |       36000 | PA      | $50992.20     | 0.01%             | 2028-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Dominican Republic                              | DOMREP 10.75 06/01/36 144A                                                                                                               | CUSIP: 25714PFA1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    22300000 | PA      | $413874.51    | 0.08%             | 2036-06-01      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Five9 Inc.                                      | FIVN 1 03/15/29                                                                                                                          | CUSIP: 338307AF8<br>LEI: 254900MXP6EWY0SFFR59 | Long             | DBT              | CORP              | US        |      599000 | PA      | $530714.00    | 0.10%             | 2029-03-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Kite Realty Group Trust                         | Kite Realty Group Trust COM NEW                                                                                                          | CUSIP: 49803T300<br>LEI: N/A                  | Short            | EC               | CORP              | US        |       -1115 | NS      | $-29045.75    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Dotdash Meredith Inc                            | DOTMER 7.625 06/15/32 144A                                                                                                               | CUSIP: 25849JAA8<br>LEI: 549300R2AA7U9CJUQO13 | Short            | DBT              | CORP              | US        |     -444000 | PA      | $-411052.98   | -0.08%            | 2032-06-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Sri Lanka (Democratic Socialist Republic of)    | SRILAN 3.6 02/15/38 REGS                                                                                                                 | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |      198000 | PA      | $197235.07    | 0.04%             | 2038-02-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| DATABRICK 01/12/28                              | DATABRICK 01/12/28                                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      198224 | PA      | $199091.47    | 0.04%             | 2028-01-12      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | Three Month SONIA - ICEU, Dec26                                                                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -18 | NC      | $-17732.52    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2162.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HEARTHSIDE FOOD 05/23/25                        | HEARTHSIDE FOOD 05/23/25                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       49841 | PA      | $24920.39     | 0.00%             | 2026-02-27      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| iRhythm Holdings Inc.                           | iRhythm Holdings Inc. COM                                                                                                                | CUSIP: 450056106<br>LEI: N/A                  | Short            | EC               | CORP              | US        |         -34 | NS      | $-4547.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Ziff Davis Inc                                  | Ziff Davis Inc COM                                                                                                                       | CUSIP: 48123V102<br>LEI: 5493008OJYGLHD7MXA18 | Long             | EC               | CORP              | US        |         420 | NS      | $11373.60     | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| Ziff Davis Inc                                  | Ziff Davis Inc COM                                                                                                                       | CUSIP: 48123V102<br>LEI: 5493008OJYGLHD7MXA18 | Short            | EC               | CORP              | US        |        -420 | NS      | $-11373.60    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Mara Holdings Inc                               | Mara Holdings Inc COM                                                                                                                    | CUSIP: 565788106<br>LEI: 549300M8ISKPTX2W7F94 | Short            | EC               | CORP              | US        |       -1527 | NS      | $-13651.38    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LCI Industries                                  | LCI Industries COM                                                                                                                       | CUSIP: 50189K103<br>LEI: 549300E1B98YNJ1WIQ04 | Short            | EC               | CORP              | US        |        -208 | NS      | $-27705.60    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Shake Shack Inc                                 | Shake Shack Inc CL A                                                                                                                     | CUSIP: 819047101<br>LEI: 529900J74GJAHYP80N79 | Short            | EC               | CORP              | US        |         -68 | NS      | $-6528.68     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Biomarin Pharmaceutical Inc.                    | Biomarin Pharmaceutical Inc. COM                                                                                                         | CUSIP: 09061G101<br>LEI: NSLL8ITTRR0J5HEMR848 | Short            | EC               | CORP              | US        |        -205 | NS      | $-12654.65    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Lemaitre Vascular Inc.                          | LMAT 2.5 02/01/30                                                                                                                        | CUSIP: 525558AB8<br>LEI: 549300FZUBUB7MHY8R17 | Long             | DBT              | CORP              | US        |       56000 | PA      | $63158.75     | 0.01%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Rubrik Inc.                                     | RBRK 0 06/15/30                                                                                                                          | CUSIP: 781154AC3<br>LEI: 254900TRGK2WTBYMYU27 | Long             | DBT              | CORP              | US        |      618000 | PA      | $552337.50    | 0.11%             | 2030-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-414.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Itron, Inc.                                     | ITRI 1.375 07/15/30                                                                                                                      | CUSIP: 465741AQ9<br>LEI: 24F6LSZD18II6ICG6S41 | Long             | DBT              | CORP              | US        |      126000 | PA      | $131512.50    | 0.03%             | 2030-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Paraguay (Republic of)                          | PARGUY 8.5 04/04/38 144A                                                                                                                 | CUSIP: 699149CC2<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |  2013000000 | PA      | $313795.84    | 0.06%             | 2038-04-04      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Argentina (Republic Of)                         | ARGENT 0.125 07/09/30 *                                                                                                                  | CUSIP: 000000000<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      421920 | PA      | $421364.02    | 0.08%             | 2030-07-09      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CSC Holdings, LLC                               | CSCHLD 4.625 12/01/30 144a                                                                                                               | CUSIP: 126307BD8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |       21000 | PA      | $7792.16      | 0.00%             | 2030-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Lebanese Republic                               | LEBAN 8.25 04/12/21 REGS                                                                                                                 | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |       50000 | PA      | $14993.75     | 0.00%             | 2021-04-12      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Egypt (Arab Republic of)                        | EGYPT 7.903 02/21/48 REGS                                                                                                                | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |      775000 | PA      | $700795.95    | 0.13%             | 2048-02-21      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| FIRST BRANDS GRO 03/30/27                       | FIRST BRANDS GRO 03/30/27                                                                                                                | CUSIP: 31935HAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      700986 | PA      | $2660.24      | 0.00%             | 2027-03-30      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Canadian Solar Inc                              | Canadian Solar Inc COM                                                                                                                   | CUSIP: 136635109<br>LEI: 5493001XSC6TKMBVOM15 | Short            | EC               | CORP              | CA        |       -3852 | NS      | $-68218.92    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Amphastar Pharmaceuticals Inc                   | AMPH 2 03/15/29                                                                                                                          | CUSIP: 03209RAB9<br>LEI: 54930055TH0ZLSAQMJ38 | Long             | DBT              | CORP              | US        |       36000 | PA      | $32904.00     | 0.01%             | 2029-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.875 03/31/27                                                                                                                         | CUSIP: 91282CMV0<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -375000 | PA      | $-376479.49   | -0.07%            | 2027-03-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-49.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| European Bank For Reconstruction & Development  | EBRD 0 03/04/31 EMTN                                                                                                                     | CUSIP: 000000000<br>LEI: 549300HTGDOVDU6OGK19 | Long             | DBT              | NUSS              | N/A       |    57000000 | PA      | $351258.25    | 0.07%             | 2031-03-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| B2Gold Corp.                                    | BTOCN 2.75 02/01/30                                                                                                                      | CUSIP: 11777QAC4<br>LEI: 549300F7OK456M5NLM05 | Long             | DBT              | CORP              | CA        |      221000 | PA      | $454652.25    | 0.09%             | 2030-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| OneDigital Borro 07/02/31                       | OneDigital Borro 07/02/31                                                                                                                | CUSIP: 68277FAN9<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -27695 | PA      | $-26768.99    | -0.01%            | 2031-07-02      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| BILL Holdings Inc                               | BILL 0 04/01/30                                                                                                                          | CUSIP: 090043AF7<br>LEI: 549300IBF9VZZIGOZW63 | Long             | DBT              | CORP              | US        |      694000 | PA      | $641082.50    | 0.12%             | 2030-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Li Auto Inc.                                    | LI 0.25 05/01/28                                                                                                                         | CUSIP: 50202MAB8<br>LEI: 2549003R73Q70J5H4I65 | Long             | DBT              | CORP              | KY        |      282000 | PA      | $282916.50    | 0.05%             | 2028-05-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| JAVELIN BUYE 12/05/31                           | JAVELIN BUYE 12/05/31                                                                                                                    | CUSIP: 47189BAF6<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -46158 | PA      | $-43215.69    | -0.01%            | 2031-12-05      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Vertex Inc                                      | Vertex Inc CL A                                                                                                                          | CUSIP: 92538J106<br>LEI: 549300QMYW171MP1PL50 | Long             | EC               | CORP              | US        |         642 | NS      | $9296.16      | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| Vertex Inc                                      | Vertex Inc CL A                                                                                                                          | CUSIP: 92538J106<br>LEI: 549300QMYW171MP1PL50 | Short            | EC               | CORP              | US        |        -642 | NS      | $-9296.16     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Hertz Global Holdings Inc.                      | Hertz Global Holdings Inc. COM NEW                                                                                                       | CUSIP: 42806J700<br>LEI: 549300NBK3K85MH1EX16 | Long             | EC               | CORP              | US        |        3709 | NS      | $16838.86     | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| AST SpaceMobile Inc.                            | ASTS 2.375 10/15/32                                                                                                                      | CUSIP: 00217DAC4<br>LEI: 254900MBSC9P2UCI6623 | Long             | DBT              | CORP              | US        |      156000 | PA      | $224445.00    | 0.04%             | 2032-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-19.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANI Pharmaceuticals Inc.                        | ANI Pharmaceuticals Inc. COM                                                                                                             | CUSIP: 00182C103<br>LEI: 5493000T6CXTND40YH31 | Short            | EC               | CORP              | US        |        -141 | NS      | $-10419.90    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MULTI-COLOR TLB 10/29/28                        | MULTI-COLOR TLB 10/29/28                                                                                                                 | CUSIP: 50168EAN2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      942911 | PA      | $438849.72    | 0.08%             | 2028-10-30      | Floating      | 8.94%                 | No            |                  2 | On Loan: No      |
| Sofi Technologies Inc                           | SOFI 1.25 03/15/29                                                                                                                       | CUSIP: 83406FAC6<br>LEI: 549300SW81JCMVZDDY09 | Long             | DBT              | CORP              | US        |      399000 | PA      | $796803.00    | 0.15%             | 2029-03-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Haemonetics Corp                                | HAE 2.5 06/01/29                                                                                                                         | CUSIP: 405024AD2<br>LEI: 549300ZEL6TXZS6F5F95 | Long             | DBT              | CORP              | US        |      183000 | PA      | $180383.10    | 0.03%             | 2029-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                    | T 3.75 04/30/27                                                                                                                          | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -490000 | PA      | $-491464.26   | -0.09%            | 2027-04-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Lebanese Republic                               | LEBAN 6.25 11/04/24 GMTN                                                                                                                 | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |      212000 | PA      | $62253.80     | 0.01%             | 2024-11-04      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| LCPR Loan Financ 10/16/28                       | LCPR Loan Financ 10/16/28                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      118167 | PA      | $82231.16     | 0.02%             | 2028-10-16      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| LCPR Loan Financ 10/16/28                       | LCPR Loan Financ 10/16/28                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -163623 | PA      | $-113863.87   | -0.02%            | 2028-10-16      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Aptiv PLC                                       | Aptiv PLC COM SHS                                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | EC               | CORP              | JE        |       -6526 | NS      | $-479922.04   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| LBM Acquisition LLC                             | USLBMH 9.5 06/15/31 144A                                                                                                                 | CUSIP: 52109SAB5<br>LEI: 549300FAEB3VWZL4NI86 | Long             | DBT              | CORP              | US        |      716000 | PA      | $668708.20    | 0.13%             | 2031-06-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-202.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Palo Alto Networks Inc                          | Palo Alto Networks Inc COM                                                                                                               | CUSIP: 697435105<br>LEI: 549300QXR2YVZV231H43 | Short            | EC               | CORP              | US        |         -96 | NS      | $-14296.32    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COMMUNITY HEALTH SYSTEMS INC                    | Community Health Systems Incorporated COM                                                                                                | CUSIP: 203668108<br>LEI: 549300BQWM4WENQ3YW73 | Long             | EC               | CORP              | US        |       77832 | NS      | $269298.72    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Pershing Square Tontine Holdings Ltd            | Pershing Square Tontine Holdings Ltd SHS                                                                                                 | CUSIP: 715ESC018<br>LEI: 549300ZDVEYEVCF35B08 | Long             | EC               | CORP              | US        |       42829 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| WEC Energy Group Inc.                           | WEC Energy Group Inc. COM                                                                                                                | CUSIP: 92939U106<br>LEI: 549300IGLYTZUK3PVP70 | Short            | EC               | CORP              | US        |       -2959 | NS      | $-346084.64   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| SAMARCO MINERA 5.75 10/23                       | SAMARCO MINERA 5.75 10/23                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |      384000 | PA      | $15763.65     | 0.00%             | 2023-10-24      | Fixed         | 5.75%                 | No            |                  3 | On Loan: No      |
| Ecopetrol S.A.                                  | ECOPET 7.75 02/01/32                                                                                                                     | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      717000 | PA      | $732219.47    | 0.14%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Itron, Inc.                                     | Itron, Inc. COM                                                                                                                          | CUSIP: 465741106<br>LEI: 24F6LSZD18II6ICG6S41 | Short            | EC               | CORP              | US        |        -607 | NS      | $-57027.65    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Eos Energy Enterprises Inc.                     | Eos Energy Enterprises Inc. COM CL A                                                                                                     | CUSIP: 29415C101<br>LEI: 529900UCCJMLRGDXVT41 | Short            | EC               | CORP              | US        |      -40259 | NS      | $-229275.01   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Proofpoin 08/31/28                              | Proofpoin 08/31/28                                                                                                                       | CUSIP: 74345HAJ0<br>LEI: 529900C5FODDK0WSR085 | Long             | LON              | CORP              | US        |       55390 | PA      | $53182.92     | 0.01%             | 2028-08-31      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Compass Inc.                                    | Compass Inc. CL A                                                                                                                        | CUSIP: 20464U100<br>LEI: 254900DMGQSTC3I2IM78 | Long             | EC               | CORP              | US        |         501 | NS      | $4884.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2254.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Compass Inc.                                    | Compass Inc. CL A                                                                                                                        | CUSIP: 20464U100<br>LEI: 254900DMGQSTC3I2IM78 | Short            | EC               | CORP              | US        |      -15216 | NS      | $-148356.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Ionis Pharmaceuticals, Inc.                     | IONS 1.75 06/15/28                                                                                                                       | CUSIP: 462222AF7<br>LEI: 549300SI4ZGLG0BLUZ92 | Long             | DBT              | CORP              | US        |      183000 | PA      | $293257.50    | 0.06%             | 2028-06-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Lebanese Republic                               | LEBAN 6.75 11/29/27 15Y                                                                                                                  | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |      163000 | PA      | $48217.19     | 0.01%             | 2027-11-29      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Check Point Software Technologies Ltd.          | Check Point Software Technologies Ltd. ORD                                                                                               | CUSIP: 000000000<br>LEI: 2549003ZVBH73EPNS513 | Short            | EC               | CORP              | IL        |        -388 | NS      | $-59003.16    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CSC Holdings, LLC                               | CSCHLD 5.75 01/15/30 144A                                                                                                                | CUSIP: 126307BA4<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      561000 | PA      | $217311.04    | 0.04%             | 2030-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MP TOPCO HOLDINGS SHARES                        | MP TOPCO HOLDINGS SHARES                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       27996 | NS      | $391944.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Datadog Inc                                     | DDOG 0 12/01/29                                                                                                                          | CUSIP: 23804LAD5<br>LEI: 549300F6JNO0KRPO1K63 | Long             | DBT              | CORP              | US        |       14000 | PA      | $13555.50     | 0.00%             | 2029-12-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Planet Labs Pbc                                 | PL 0.5 10/15/30                                                                                                                          | CUSIP: 72703XAA4<br>LEI: 254900Q7PVI3HTQBRB44 | Long             | DBT              | CORP              | US        |      198000 | PA      | $438817.50    | 0.08%             | 2030-10-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-12.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-547.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2256.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2551.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | Three Month SONIA - ICEU, Sep26                                                                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -12 | NC      | $-10369.06    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-69.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1468.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4379.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-499.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1.73        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-350.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-272.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-180.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-85.88       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-121.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | Three Month SONIA - ICEU, Jun26                                                                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -18 | NC      | $-10344.27    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-61.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-15.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-99.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-98.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-528.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2977.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-18.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-123.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-124.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-826.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | Three Month SONIA - ICEU, Mar27                                                                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -13 | NC      | $-9699.55     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2128.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-84.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1642.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-556.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS UNIVISION COMMUNICATIONS INC                                                                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-10432.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS KINGDOM OF SAUDI ARABIA                                                                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $5402.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION           | CDS REPUBLIC OF ITALY                                                                                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-1719.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS RAKUTEN INC                                                                                                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $25511.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS ORGANON & CO                                                                                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-46251.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                     | CDS NIPPON PAPER                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $28680.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Swiss Franc Futures, Mar-2026,ETH                                                                                                        | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         -57 | NC      | $-276824.06   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                 | CDS MACYS INC                                                                                                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $13281.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                      | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3112.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1176.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $828.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3122.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3330.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3057.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                         | CURRENCY CONTRACT - EUR                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3132.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                | USD CALL VERSUS JPY PUT                                                                                                                  | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | DE        |    13800000 | NC      | $22789.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | State Street Financial Select Sector SPDR ETF                                                                                            | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |         944 | NC      | $39648.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES U.S., INC.                          | Sugar No. 11 Futures - NYCC, Jul26                                                                                                       | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          -4 | NC      | $2096.28      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | iShares MSCI Europe Financials ETF                                                                                                       | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |         210 | NC      | $13650.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | State Street Financial Select Sector SPDR ETF                                                                                            | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |         210 | NC      | $12600.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | CNXC A 2026-07-17 PUT 25                                                                                                                 | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |          80 | NC      | $19400.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | KRE A 2026-05-15 PUT 63                                                                                                                  | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |         106 | NC      | $28620.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                               | Delivery Hero [european](DHEE) Single Stock Opt,DELIVERY HERO [EUROPEAN]                                                                 | CUSIP: 000000000<br>LEI: 529900UT4DG0LG5R9O07 | N/A              | DE               | CORP              | DE        |        -403 | NC      | $-35713.88    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                               | Delivery Hero [european](DHEE) Single Stock Opt,DELIVERY HERO [EUROPEAN]                                                                 | CUSIP: 000000000<br>LEI: 529900UT4DG0LG5R9O07 | N/A              | DE               | CORP              | DE        |         403 | NC      | $97617.95     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | SMH A 2026-03-20 PUT 370                                                                                                                 | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |          56 | NC      | $27440.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | JPM A 2026-05-15 PUT 250                                                                                                                 | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |          82 | NC      | $31160.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                               | Aston Martin Lagonda(AML) Single Stock Opt,ASTON MARTIN LAGONDA                                                                          | CUSIP: 000000000<br>LEI: 529900UT4DG0LG5R9O07 | N/A              | DE               | CORP              | DE        |        -960 | NC      | $-6468.72     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                               | Aston Martin Lagonda(AML) Single Stock Opt,ASTON MARTIN LAGONDA                                                                          | CUSIP: 000000000<br>LEI: 529900UT4DG0LG5R9O07 | N/A              | DE               | CORP              | DE        |         960 | NC      | $18112.43     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-71.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                          | Sugar No. 11 Futures - NYCC, May26                                                                                                       | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         -51 | NC      | $8072.58      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | PGR A 2026-03-20 PUT 200                                                                                                                 | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |          21 | NC      | $4620.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                | NVDA A 2026-03-20 PUT 165                                                                                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |         114 | NC      | $43320.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE LTD.                 | HANG SENG INDEX FUTURES, MAR-2026                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | N/A       |           7 | NC      | $4145.97      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | 5-Year T-Note Futures, Jun-2026,ETH                                                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          35 | NC      | $12743.12     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                              | Three Month Euro (Euribor) Future - ICEU, Jun27                                                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         100 | NC      | $24793.83     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                               | Euro(FGBS) Schatz Futures                                                                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          47 | NC      | $5093.86      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT PARIS MONEP                            | CAC 40 Index Future, Mar 2026                                                                                                            | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DE               | CORP              | FR        |          10 | NC      | $13273.03     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Soybean Oil Futures, May-2026,ETH                                                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          12 | NC      | $32791.80     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LIMITED | MINI JAP GOVT BOND FUTURES, March 2026                                                                                                   | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DIR              | CORP              | N/A       |         -15 | NC      | $-9595.39     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ZAR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2.20        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Soybean Futures                                                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -6 | NC      | $-2850.76     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ZAR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1.58        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ZAR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $42.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ZAR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $186.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ZAR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $681.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ZAR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $137.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ZAR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $187.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ZAR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $246.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ZAR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $30.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ZAR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7.18        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ZAR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-0.56        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Soybean Futures, Jul-2026,ETH                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -8 | NC      | $-21642.68    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ZAR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $654.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ZAR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $851.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - ZAR                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2033.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-24.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-150.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $41.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-16.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1.50        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $218.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | Soybean Futures, May-2026,ETH                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -18 | NC      | $-41539.78    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $102.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6.62        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $145.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-794.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-0.24        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $158.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1991.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $292.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-29.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $38.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                          | EURO-BUND FUTURE MAR26                                                                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -60 | NC      | $-128865.83   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-10.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $50.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-65.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-0.99        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-85.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-54.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1138.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-501.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-39.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-112.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | E-mini Russell 2000 Index Futures, Mar-2026,ETH                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |         -38 | NC      | $-104284.28   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2.50        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11.35       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $136.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7.50        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4.28        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-20.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $110.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2.39        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2.73         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-270.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                          | Canola Futures - ICUS                                                                                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | CA        |          -1 | NC      | $-477.62      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-175.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-32.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-868.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $44.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-508.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3.50         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-230.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-193.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $19.83        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $60.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                          | Canola Futures - ICUS                                                                                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | CA        |          -3 | NC      | $-540.60      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-10.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $8.35         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $14.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5.59         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-59.38       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-45.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $62.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2.09        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-843.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                          | Canola Futures - ICUS, May26                                                                                                             | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          -7 | NC      | $-1387.12     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-26.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $9.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1.39        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-584.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2164.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-44.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8.33        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $244.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-267.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1.76         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | South African Rand Futures                                                                                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          41 | NC      | $65837.13     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6.59        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $255.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-69.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6.15        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-378.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-75.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-52.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.73         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.11         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $11.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6922.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LIMITED | MSCI Singapore Index Futures, March 2026                                                                                                 | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | N/A       |          33 | NC      | $-4618.93     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3.46         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1.32         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-76.11       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-33.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $126.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.03         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $85.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4.40         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $701.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6.42        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | White Sugar Future - ICEU                                                                                                                | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          -1 | NC      | $118.82       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $548.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-191.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2.18        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $79.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-20.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $95.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-154.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-152.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $610.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1483.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | White Sugar Future - ICEU                                                                                                                | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          -6 | NC      | $1842.92      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $15.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-877.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $169.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $16.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $30.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $19.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $13.35        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $12.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $8.45         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $38.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE - ICE FUTURES LIMITED | LS Gas Oil Futures - ULSD-ARA, Jun26                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |           1 | NC      | $1973.96      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $74.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-36.87       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3.18         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $67.38        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $272.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $27.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2268.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $398.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $82.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $122.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                              | LS Gas Oil Futures - ULSD-ARA                                                                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |           3 | NC      | $16921.88     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-180.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $10.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4.15         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6.94         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $28.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-68.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-326.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $52.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $108.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $132.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE - ICE FUTURES LIMITED | LS Gas Oil Futures - ULSD-ARA, Apr26                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          22 | NC      | $151819.02    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $536.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $392.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1.78         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $43.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $182.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3064.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-151.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-71.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $90.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-16.59       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE - ICE FUTURES LIMITED | LS Gas Oil Futures - ULSD-ARA, Mar26                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |           5 | NC      | $39769.80     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-350.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-337.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-15.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4131.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4.32        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $124.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $402.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $257.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $12.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $279.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE MONTREAL EXCHANGE / BOURSE DE MONTREAL      | S&P/TSX 60 Index Standard Futures                                                                                                        | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DE               | CORP              | CA        |          19 | NC      | $303116.11    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $165.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-282.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-91.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-135.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $42.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $950.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $153.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1000.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $64.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $456.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.              | Platinum Futures, Apr-2026,ETH                                                                                                           | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          -6 | NC      | $-31355.08    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2.43         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-485.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-21.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-307.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $48.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-211.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $658.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1307.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $164.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-21.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Mexican Peso Futures, Mar-2026,ETH                                                                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         141 | NC      | $210083.62    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-888.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-218.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $59.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-458.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $72.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-86.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3626.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-945.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6.60        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6134.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.              | Palladium Futures, Jun-2026,ETH                                                                                                          | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          -4 | NC      | $-4657.12     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-507.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $35.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-61.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-53.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2894.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $43.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-847.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-498.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $557.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-65.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                               | Euro(FGBM) Bobl Futures                                                                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -113 | NC      | $-143212.92   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-86.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-133.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-354.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-10.84       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-17.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-840.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2121.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-154.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-30.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-623.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                               | Euro(FOAT) OAT Futures                                                                                                                   | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -27 | NC      | $-55257.48    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6.83         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-580.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-17.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-61.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-52.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1474.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $937.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-773.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-518.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-186.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | New Zealand Dollar Futures, Mar-2026,ETH                                                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         -49 | NC      | $-77372.82    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-670.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-170.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $48.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-108.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.24         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1017.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $8.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-647.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $246.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $198.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | E-mini Nasdaq-100 Futures, Mar-2026,ETH                                                                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |          58 | NC      | $-461632.36   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-54.35       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $17.56        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-541.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-562.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $133.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $233.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $19.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $565.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-122.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $943.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA SECURITIES EXCHANGE                       | NIKKEI 225 MINI TRADE FUTURE                                                                                                             | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               | CORP              | JP        |         -54 | NC      | $-255154.78   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $10.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-107.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-828.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-865.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $39.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3.13        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $231.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $86.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $54.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $18.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA SECURITIES EXCHANGE                       | NIKKEI 225 TRADE FUTURE, MAR 2026                                                                                                        | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               | CORP              | N/A       |          -6 | NC      | $-273608.01   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-216.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-127.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $103.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-321.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-165.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $65.38        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-216.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $359.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $315.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $136.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LIMITED | NIKKEI 225 INDEX FUTURES, March 2026                                                                                                     | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | N/A       |          -4 | NC      | $-93477.91    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-628.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $326.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $510.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $476.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1185.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $113.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $63.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $85.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $218.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-191.26      | -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      | $5888.32      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-88.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $24.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-0.71        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-209.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $687.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $125.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $291.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $391.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $216.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $110.72       | 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        |          -5 | NC      | $10601.60     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1533.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $46.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $206.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $308.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-219.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-162.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1317.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-56.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1163.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2179.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.              | Henry Hub Natural Gas Futures, Apr-2026,ETH                                                                                              | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         -24 | NC      | $49699.04     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-45.83       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8.59        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-535.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1922.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2041.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-561.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5359.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-28.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1628.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4021.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V.       | EUA Futures - EUA, Dec26                                                                                                                 | CUSIP: 000000000<br>LEI: 549300CZW488L20NT866 | N/A              | DCO              | CORP              | NL        |          -1 | NC      | $16607.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-520.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-177.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2008.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2030.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-205.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-159.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-203.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-73.88       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2318.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-562.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                          | MSCI Emerging Markets Index Futures - ICUS                                                                                               | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               | CORP              | US        |          -9 | NC      | $-16167.87    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1399.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2.16        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-547.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-246.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-272.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-100.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-36.62       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2445.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-316.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Lean Hog Futures                                                                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-2782.18     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-420.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-134.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1746.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4392.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-512.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-463.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $768.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-561.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2.67         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-34.41       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Lean Hog Futures                                                                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-1692.18     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-123.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3401.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-994.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-85.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-99.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-658.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-216.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-30.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1543.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-819.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Lean Hogs Futures, Apr-2026,ETH                                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |          -4 | NC      | $-7208.72     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-191.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1937.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1952.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $580.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1246.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4202.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2710.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-374.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-426.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-21290.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Live Cattle Futures                                                                                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |           1 | NC      | $-2262.18     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-16.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5919.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1979.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-528.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-482.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-16326.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $270.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1668.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2629.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-127.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Live Cattle Futures                                                                                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |           3 | NC      | $-2016.54     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-245.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-275.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1952.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1958.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1975.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1983.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1885.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $27.57        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1004.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-13.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Live Cattle Futures                                                                                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |           5 | NC      | $-4870.90     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-10165.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2427.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-137.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4797.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-40.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1725.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1871.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-365.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-468.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-559.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                | Live Cattle Futures, Apr-2026,ETH                                                                                                        | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |          13 | NC      | $4101.66      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3426.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2059.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2559.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-195.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5.80         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2.54        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5934.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-56.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-456.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                        | CURRENCY CONTRACT - USD                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1213.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-24

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

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

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