# EDGAR Filing Document

**Accession Number:** 0002026275
**File Stem:** 0001398344-26-000368
**Filing Date:** 2026-1
**Character Count:** 769965
**Document Hash:** f58b60b0f916b6117cdc888286bfea11
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001398344-26-000368.hdr.sgml**: 20260108

**ACCESSION NUMBER**: 0001398344-26-000368

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 34

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20260108

**DATE AS OF CHANGE**: 20260108

**EFFECTIVENESS DATE**: 20260108

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Wellington Global Multi-Strategy Fund
- **CENTRAL INDEX KEY:** 0002026275

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23973
- **FILM NUMBER:** 26520120

**BUSINESS ADDRESS:**
- **STREET 1:** 280 CONGRESS STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-790-7151

**MAIL ADDRESS:**
- **STREET 1:** 280 CONGRESS STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

?xml version='1.0' encoding='ASCII'?

As filed with the Securities and Exchange Commission on January 8, 2026

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

**FORM N-CSR**

**CERTIFIED SHAREHOLDER REPORT OF REGISTERED**

**MANAGEMENT INVESTMENT COMPANIES**

Investment Company Act file number: <u>811-23973</u>

<u>WELLINGTON GLOBAL MULTI-STRATEGY FUND</u>

(Exact name of registrant as specified in charter)

<u>280 Congress Street Boston, MA 02210</u>

(Address of principal executive offices) (Zip code)

<u>Kyle T. Sullivan, Wellington Management Company LLP, 280 Congress Street Boston, MA 02210</u>

(Name and address of agent for service)

Registrant's telephone number, including area code: 1-888-287-3403

Date of fiscal year end: <u>October 31</u>

Date of reporting period: <u>October 31, 2025</u>

**Item 1.** **Reports to Stockholders.**

(a)&nbsp;&nbsp;&nbsp;&nbsp;

![](fp0096548_18.jpg)

![](fp0096548_06.jpg)

---

| | |
|:---|:---|
| [Shareholder Letter](#a_001) | 1 |
| [Consolidated Schedule of Investments](#a_002) | 3 |
| [Financial Statements](#a_003) |  |
| &nbsp;&nbsp;&nbsp;[Consolidated Statement of Assets and Liabilities](#a_003) | 129 |
| &nbsp;&nbsp;&nbsp;[Consolidated Statement of Operations](#a_004) | 131 |
| &nbsp;&nbsp;&nbsp;[Consolidated Statement of Changes in Net Assets](#a_005) | 132 |
| &nbsp;&nbsp;&nbsp;[Consolidated Financial Highlights](#a_006) | 133 |
| [Notes to Consolidated Financial Statements](#a_007) | 135 |
| [Report of Independent Registered Public Accounting Firm](#a_008) | 174 |
| [Additional Information (unaudited)](#a_009) | 175 |

---

Shareholder Letter

---

| | |
|:---|:---|
| Wellington Global Multi-Strategy Fund | ![](fp0096548_01.jpg) |

---

DEAR SHAREHOLDER,

This annual report covers the reporting period from 2 January 2025 (commencement of operations) through 31 October 2025 (the "reporting period"). On this page and the following pages, you will find details regarding investment results, as well as some of the factors that affected performance during the reporting period. For detailed and timely information about the Wellington Global Multi-Strategy Fund (the "Fund") please visit the Fund's website at www.wellington.com/en-us/intermediary/funds/global-multi-strategy-fund.

PERFORMANCE REVIEW

For the reporting period, the Fund's Class I Shares returned -2.01**%** of net-of-fees. Despite episodic volatility, the Fund remained resilient and adaptable, navigating ongoing macroeconomic uncertainty, inflation, central bank actions, and geopolitical tensions. The Fund's diverse approach to sectors, regions, trading styles and assets helped cushion overall downside risk, but performance was mixed across our three sub-strategies: Equity Long/Short, Macro & Fixed Income, and Credit.

Our **Macro & Fixed Income strategies** were the largest detractor, driven by our emerging markets ("EM") focused trading books as well as those that trade developed market rates with a directional view. Within EM, our currency positions weighed on performance. Some of our longer-term views and concerns around domestic politics, including a short position in the South African Rand, were challenged. Our systematic processes that trade currencies on a variety of signals, including mean reversion and momentum also negatively impacted performance. Markets reacted to a variety of global events including tariff fears, economic data and central bank actions. The Fund's short duration position in the United Kingdom, based on our view of higher yields, had mixed performance.

Our **Equity Long/Short strategies** were the strongest contributors, with gains driven by a combination of long-term themes, security selection, and cyclical positioning. Notably, our thematic long in European defense was a key contributor along with strong security selection within European equities. Within financials, our positioning in the US and Europe were additive throughout the period thanks to decisions based on earnings, economic certainty, and cycles. Our technology and growth- focused portfolio management teams contributed positively through thematic Artificial Intelligence (AI) longs.

**Credit strategies** also contributed positively, with a fundamental strategy of strong security selection based on idiosyncratic risk. In particular, the Fund benefitted from trades around mergers and acquisitions, new issuance, and strong fundamentals and operational results.

PERFORMANCE CHART

Comparison of change in value of $50,000 investment in the Fund's Class I Shares vs. the benchmark.

![](fp0096548_02.jpg)

Past performance is not indicative of, or a guarantee of, future performance. Future results may vary and may be higher or lower than the data shown. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the repurchase of Fund shares.

Wellington Global Multi-Strategy Fund

RETURN AND BENCHMARK

---

| | |
|:---|:---|
| | **Return Since**<br> **January 2,<br> 2025<br> (Inception<br> date)** |
| Class I Net Return | -2.01% |
| MSCI World Index (USD) | 20.21% |
| Bloomberg Global Aggregate Index | 7.64% |
| HFRI Multi-Manager/Pod Shop Index | 7.63% |

---

**INVESTMENT SUMMARY**

TOP ISSUERS

(% of Fund's net assets)

---

| | |
|:---|:---|
| Italy Buoni Poliennali Del Tesoro | 86.9% |
| U.K. Gilts | 60.4% |
| U.S. Treasury Bills | 54.2% |
| Spain Government Bonds | 25.2% |
| CPPIB Capital, Inc. | 23.7% |
| European Union | 22.8% |
| Hellenic Republic Government Bonds | 16.6% |
| U.S. Treasury Bonds | 15.9% |
| Portugal Obrigacoes do Tesouro OT | 13.4% |
| Japan Government CPI-Linked Bonds | 12.7% |
|  | 331.8% |

---

TOP MARKET SECTORS

(% of Fund's net assets)

![](fp0096548_03.jpg)

![](fp0096548_07.jpg)

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | **Investments** | **Cost** | **Fair**<br> **Value** |
| | **Common Stock (A) (1.47%)** | **Common Stock (A) (1.47%)** | **Common Stock (A) (1.47%)** |
| | **Australia (0.05%)** | **Australia (0.05%)** | **Australia (0.05%)** |
|  | Metals & Mining |  |  |
| 2486 | Lynas Rare Earths Ltd. | $21559 | $24662 |
|  | **Canada (0.05%)** |  |  |
|  | Oil, Gas & Consumable Fuels |  |  |
| 2348 | NexGen Energy Ltd. | 20298 | 22975 |
|  | **China (0.04%)** |  |  |
|  | Textiles, Apparel & Luxury Goods |  |  |
| 195 | Laopu Gold Co., Ltd. Class H | 18473 | 17246 |
|  | **Cyprus (0.11%)** |  |  |
|  | Banks |  |  |
| 6118 | Bank of Cyprus Holdings PLC | 51496 | 56357 |
|  | **France (0.57%)** |  |  |
|  | Ground Transportation |  |  |
| 18013 | Ayvens SA 144A | 204425 | 240625 |
|  | Media |  |  |
| 2376 | Altice USA, Inc. | 41161 | 39353 |
|  | **Total France** | 245586 | 279978 |
|  | **United Kingdom (0.32%)** |  |  |
|  | Banks |  |  |
| 31189 | Shawbrook Group PLC 144A | 162249 | 160223 |
|  | **United States (0.33%)** |  |  |
|  | Construction & Engineering |  |  |
| 7658 | Centuri Holdings, Inc. | 150097 | 154615 |
|  | Metals & Mining |  |  |
| 542 | Ivanhoe Electric, Inc. | 8130 | 8016 |
|  | **Total United States** | 158227 | 162631 |
|  | **Total Common Stock** | 677888 | 724072 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Face Amount** | **Face Amount** | | | | | |
| | | **Fixed Income (A) (41.24%)** | **Fixed Income (A) (41.24%)** | **Fixed Income (A) (41.24%)** | **Fixed Income (A) (41.24%)** | **Fixed Income (A) (41.24%)** |
| | | **Brazil (0.28%)** | **Brazil (0.28%)** | **Brazil (0.28%)** | **Brazil (0.28%)** | **Brazil (0.28%)** |
|  |  | Energy | Energy | Energy | Energy | Energy |
| USD | 142000 | Petrobras Global Finance BV | 6.25% | 01/10/2036 | 138877 | 140064 |
|  |  | **France (1.10%)** |  |  |  |  |
|  |  | Consumer Cyclical |  |  |  |  |
| EUR | 355000 | Bertrand Franchise Finance SAS REG S | 6.50% | 07/18/2030 | 410483 | 398023 |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 250000 | French Republic Government Bonds OAT REG S | 1.75% | 05/25/2066 | 148109 | 147577 |
|  |  | **Total France** |  |  | 558592 | 545600 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Face Amount** | **Face Amount** | **Investments** | **Investments** | **Investments** | **Cost** | **Fair**<br> **Value** |
|  |  | **Fixed Income (A) (continued)** | **Fixed Income (A) (continued)** | **Fixed Income (A) (continued)** | **Fixed Income (A) (continued)** | **Fixed Income (A) (continued)** |
|  |  | **Hungary (0.14%)** | **Hungary (0.14%)** | **Hungary (0.14%)** | **Hungary (0.14%)** | **Hungary (0.14%)** |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 110000 | Hungary Government International Bonds Series 30YR REG S | 1.50% | 11/17/2050 | $62937 | $67488 |
|  |  | **Indonesia (0.41%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| USD | 200000 | Indonesia Government International Bonds | 4.90% | 04/16/2036 | 199191 | 200500 |
|  |  | **Mexico (0.63%)** |  |  |  |  |
|  |  | Energy |  |  |  |  |
| USD | 345000 | Petroleos Mexicanos | 7.69% | 01/23/2050 | 313263 | 312932 |
|  |  | **Netherlands (0.84%)** |  |  |  |  |
|  |  | Industrial |  |  |  |  |
| USD | 200000 | Trivium Packaging Finance BV 144A | 8.25% | 07/15/2030 | 200000 | 207195 |
| USD | 200000 | Trivium Packaging Finance BV 144A | 12.25% | 01/15/2031 | 200000 | 208661 |
|  |  | **Total Netherlands** |  |  | 400000 | 415856 |
|  |  | **Norway (0.42%)** |  |  |  |  |
|  |  | Energy |  |  |  |  |
| USD | 225000 | Aker BP ASA 144A | 5.80% | 10/01/2054 | 205092 | 208336 |
|  |  | **Qatar (0.76%)** |  |  |  |  |
|  |  | Energy |  |  |  |  |
| USD | 525000 | QatarEnergy REG S | 3.30% | 07/12/2051 | 351445 | 377223 |
|  |  | **Romania (0.44%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| USD | 120000 | Romania Government International Bonds REG S | 4.00% | 02/14/2051 | 76281 | 82800 |
| USD | 160000 | Romania Government International Bonds REG S | 5.13% | 06/15/2048 | 126603 | 133200 |
|  |  | **Total Romania** |  |  | 202884 | 216000 |
|  |  | **United States (36.22%)** |  |  |  |  |
|  |  | Basic Materials |  |  |  |  |
| USD | 150000 | Dow Chemical Co. | 6.90% | 05/15/2053 | 154727 | 159210 |
| USD | 350000 | LYB International Finance III LLC | 3.63% | 04/01/2051 | 230982 | 233094 |
|  |  | Communications |  |  |  |  |
| USD | 310000 | Alphabet, Inc. | 5.30% | 05/15/2065 | 299367 | 304602 |
| USD | 275000 | Amazon.com, Inc. | 3.95% | 04/13/2052 | 219882 | 219882 |
| USD | 475000 | CCO Holdings LLC/CCO Holdings Capital Corp. 144A | 4.25% | 01/15/2034 | 397813 | 397813 |
| USD | 250000 | Comcast Corp. | 2.89% | 11/01/2051 | 157046 | 151500 |
| USD | 250000 | Comcast Corp. | 2.94% | 11/01/2056 | 148546 | 144860 |
| USD | 625000 | Comcast Corp. | 2.99% | 11/01/2063 | 360973 | 348262 |
| USD | 270000 | DISH Network Corp. 144A | 11.75% | 11/15/2027 | 278219 | 284252 |
| USD | 840000 | EchoStar Corp. PIK | 6.75% | 11/30/2030 | 833383 | 866804 |
| USD | 375000 | Meta Platforms, Inc. | 4.65% | 08/15/2062 | 320903 | 312014 |
| USD | 275000 | Meta Platforms, Inc. ± | 5.63% | 11/15/2055 | 274516 | 272931 |
| USD | 265000 | Meta Platforms, Inc. ± | 5.75% | 11/15/2065 | 264730 | 262781 |
| USD | 450000 | Univision Communications, Inc. 144A | 9.38% | 08/01/2032 | 451581 | 475008 |
| USD | 285000 | WULF Compute LLC 144A | 7.75% | 10/15/2030 | 285000 | 296079 |
|  |  | Consumer Cyclical |  |  |  |  |
| USD | 25000 | Caesars Entertainment, Inc. 144A | 6.00% | 10/15/2032 | 23930 | 23849 |
| USD | 560000 | Lindblad Expeditions LLC 144A | 7.00% | 09/15/2030 | 560000 | 570345 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Face Amount** | **Face Amount** | **Investments** | **Investments** | **Investments** | **Cost** | **Fair**<br> **Value** |
|  |  | **Fixed Income (A) (continued)** | **Fixed Income (A) (continued)** | **Fixed Income (A) (continued)** | **Fixed Income (A) (continued)** | **Fixed Income (A) (continued)** |
|  |  | **United States (continued)** | **United States (continued)** | **United States (continued)** | **United States (continued)** | **United States (continued)** |
|  |  | Consumer Non-cyclical |  |  |  |  |
| USD | 245575 | Chobani Holdco II LLC 144A PIK | 8.75% | 10/01/2029 | $258942 | $260139 |
| EUR | 115000 | Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc. 144A | 5.50% | 05/15/2033 | 129691 | 137264 |
|  |  | Energy |  |  |  |  |
| USD | 168000 | Aethon United BR LP/Aethon United Finance Corp. 144A | 7.50% | 10/01/2029 | 172770 | 174293 |
| USD | 60000 | Caturus Energy LLC 144A | 8.50% | 02/15/2030 | 60050 | 61161 |
| USD | 500000 | Diamondback Energy, Inc. | 5.75% | 04/18/2054 | 461357 | 481829 |
| USD | 360000 | Diamondback Energy, Inc. | 5.90% | 04/18/2064 | 333762 | 344928 |
| USD | 69000 | DT Midstream, Inc. 144A | 4.38% | 06/15/2031 | 64675 | 66982 |
| USD | 124000 | EQT Corp. | 5.75% | 02/01/2034 | 125924 | 129796 |
| USD | 62000 | Excelerate Energy LP 144A | 8.00% | 05/15/2030 | 64248 | 65459 |
| USD | 500000 | Northern Oil & Gas, Inc. 144A | 7.88% | 10/15/2033 | 501051 | 487001 |
| USD | 400000 | Venture Global Calcasieu Pass LLC 144A | 4.13% | 08/15/2031 | 368226 | 369813 |
| USD | 505000 | Venture Global LNG, Inc. 144A \*~ | 9.00% | 09/30/2029 | 479978 | 472006 |
|  |  | Financial |  |  |  |  |
| USD | 270000 | Five Point Operating Co. LP 144A | 8.00% | 10/01/2030 | 270000 | 276345 |
| USD | 270000 | Freedom Mortgage Holdings LLC 144A | 8.38% | 04/01/2032 | 270913 | 281506 |
| USD | 545000 | Freedom Mortgage Holdings LLC 144A | 9.25% | 02/01/2029 | 562492 | 572250 |
| USD | 1750000 | Visa, Inc. | 2.00% | 08/15/2050 | 956710 | 978398 |
|  |  | Industrial |  |  |  |  |
| USD | 165000 | CP Atlas Buyer, Inc. 144A PIK | 12.75% | 01/15/2031 | 157544 | 161608 |
|  |  | Technology |  |  |  |  |
| USD | 605000 | Cloud Software Group, Inc. 144A | 9.00% | 09/30/2029 | 606103 | 625776 |
| USD | 175000 | Fiserv, Inc. | 4.40% | 07/01/2049 | 143339 | 140229 |
| USD | 275000 | Oracle Corp. | 5.95% | 09/26/2055 | 272308 | 260726 |
| USD | 510000 | Oracle Corp. | 6.10% | 09/26/2065 | 506030 | 486343 |
| USD | 502000 | Rocket Software, Inc. 144A | 6.50% | 02/15/2029 | 488058 | 487682 |
|  |  | U.S. Government Securities |  |  |  |  |
| USD | 4600000 | Federal National Mortgage Association TBA - 30YR | 5.00% | 12/25/2025 | 4557594 | 4576480 |
| USD | 665000 | U.S. Treasury Bonds (B) | 4.75% | 05/15/2055 | 646028 | 673728 |
|  |  | **Total United States** |  |  | 17719391 | 17895028 |
|  |  | **Total Fixed Income** |  |  | 20151672 | 20379027 |
|  |  | **Fixed Income Sell-Buyback Agreements (A) (C) (399.12%)** |  |  |  |  |
|  |  | **Australia (1.28%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| AUD | 264000 | Australia Government Bonds Series 155 | 2.50% | 05/21/2030 | 166259 | 164388 |
| AUD | 339000 | New South Wales Treasury Corp. REG S | 4.75% | 02/20/2037 | 218702 | 215666 |
| AUD | 505000 | Treasury Corp. of Victoria | 2.00% | 09/17/2035 | 257564 | 254300 |
|  |  | **Total Australia** |  |  | 642525 | 634354 |
|  |  | **Bulgaria (2.32%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 974000 | Bulgaria Government International Bonds Series 13YR REG S | 4.13% | 05/07/2038 | 1152599 | 1148541 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Face Amount** | **Face Amount** | **Investments** | **Investments** | **Investments** | **Cost** | **Fair**<br> **Value** |
|  |  | **Fixed Income Sell-Buyback Agreements (A) (C) (continued)** | **Fixed Income Sell-Buyback Agreements (A) (C) (continued)** | **Fixed Income Sell-Buyback Agreements (A) (C) (continued)** | **Fixed Income Sell-Buyback Agreements (A) (C) (continued)** | **Fixed Income Sell-Buyback Agreements (A) (C) (continued)** |
|  |  | **Canada (76.73%)** | **Canada (76.73%)** | **Canada (76.73%)** | **Canada (76.73%)** | **Canada (76.73%)** |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 679000 | CDP Financial, Inc. 144A | 3.25% | 09/30/2035 | $791684 | $785618 |
| EUR | 3993000 | CDP Financial, Inc. REG S | 2.75% | 02/13/2032 | 4621042 | 4577725 |
| AUD | 927000 | CDP Financial, Inc. REG S | 4.10% | 06/13/2030 | 608373 | 602148 |
| USD | 2510000 | CPPIB Capital, Inc. 144A | 3.63% | 10/15/2028 | 2504573 | 2507707 |
| EUR | 1471000 | CPPIB Capital, Inc. REG S | 2.88% | 01/30/2032 | 1720579 | 1705292 |
| EUR | 2323000 | CPPIB Capital, Inc. REG S | 3.25% | 08/27/2035 | 2721577 | 2705492 |
| AUD | 710000 | CPPIB Capital, Inc. REG S | 4.20% | 05/02/2028 | 471725 | 467625 |
| AUD | 3942000 | CPPIB Capital, Inc. REG S | 4.40% | 01/15/2029 | 2634018 | 2610570 |
| AUD | 2546000 | CPPIB Capital, Inc. REG S | 4.60% | 01/16/2030 | 1714181 | 1696753 |
| AUD | 1170000 | Export Development Canada | 4.00% | 09/04/2030 | 767969 | 759572 |
| EUR | 1180000 | OMERS Finance Trust REG S | 3.13% | 01/25/2029 | 1401062 | 1387962 |
| AUD | 340000 | OMERS Finance Trust REG S | 4.50% | 10/16/2029 | 225316 | 224622 |
| EUR | 1746000 | Ontario Teachers' Finance Trust REG S | 0.10% | 05/19/2028 | 1923442 | 1905084 |
| USD | 2160000 | Province of Alberta ± | 4.30% | 11/02/2035 | 2152967 | 2162586 |
| USD | 195000 | Province of Alberta | 4.50% | 01/24/2034 | 198103 | 198485 |
| AUD | 686000 | Province of Alberta | 5.20% | 05/15/2034 | 461902 | 454821 |
| USD | 1355000 | Province of British Columbia | 4.80% | 06/11/2035 | 1391463 | 1393675 |
| AUD | 1840000 | Province of British Columbia REG S | 4.95% | 07/16/2032 | 1239676 | 1226569 |
| AUD | 612000 | Province of Manitoba | 4.85% | 08/28/2034 | 400091 | 394521 |
| USD | 989000 | Province of Ontario | 4.85% | 06/11/2035 | 1023034 | 1024186 |
| AUD | 290000 | Province of Ontario | 5.35% | 05/08/2034 | 197187 | 194276 |
| USD | 2240000 | Province of Quebec | 4.63% | 08/28/2035 | 2275914 | 2279617 |
| AUD | 1385000 | Province of Quebec | 5.25% | 05/02/2034 | 931826 | 922486 |
| AUD | 2242000 | PSP Capital, Inc. | 4.10% | 08/13/2030 | 1471781 | 1455729 |
| AUD | 2764000 | PSP Capital, Inc. | 4.50% | 09/05/2031 | 1828026 | 1806582 |
| EUR | 573000 | PSP Capital, Inc. 144A | 3.25% | 07/02/2034 | 673063 | 666739 |
| AUD | 2701000 | PSP Capital, Inc. REG S | 4.60% | 02/06/2029 | 1810960 | 1795993 |
|  |  | **Total Canada** |  |  | 38161534 | 37912435 |
|  |  | **Finland (5.90%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 389000 | Finland Government Bonds Series 31YR REG S | 2.95% | 04/15/2055 | 392933 | 390951 |
| EUR | 2187000 | Finland Government Bonds Series 7YR REG S | 2.63% | 04/15/2032 | 2546313 | 2522159 |
|  |  | **Total Finland** |  |  | 2939246 | 2913110 |
|  |  | **Germany (14.31%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 2500000 | Bundesrepublik Deutschland Bundesanleihe REG S | 2.60% | 08/15/2034 | 2891140 | 2891141 |
| EUR | 1158000 | Bundesrepublik Deutschland Bundesanleihe REG S + | 3.18% | 08/15/2052 | 584026 | 575539 |
| EUR | 490000 | Bundesrepublik Deutschland Bundesanleihe REG S | 3.25% | 07/04/2042 | 589032 | 582263 |
| EUR | 36527 | Bundesrepublik Deutschland Bundesanleihe REG S | 4.25% | 07/04/2039 | 49169 | 48599 |
| EUR | 484000 | State of North Rhine-Westphalia REG S | 0.95% | 01/10/2121 | 174133 | 173581 |
| EUR | 1774000 | State of North Rhine-Westphalia REG S | 1.45% | 01/19/2122 | 847295 | 837853 |
| EUR | 517000 | State of North Rhine-Westphalia REG S | 1.75% | 10/26/2057 | 381766 | 377625 |
| EUR | 242000 | State of North Rhine-Westphalia REG S | 2.15% | 03/21/2119 | 164696 | 163417 |
| EUR | 1416000 | State of North Rhine-Westphalia REG S | 2.90% | 01/15/2053 | 1428774 | 1420721 |
|  |  | **Total Germany** |  |  | 7110031 | 7070739 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Face Amount** | **Face Amount** | **Investments** | **Investments** | **Investments** | **Cost** | **Fair**<br> **Value** |
|  |  | **Fixed Income Sell-Buyback Agreements (A) (C) (continued)** | **Fixed Income Sell-Buyback Agreements (A) (C) (continued)** | **Fixed Income Sell-Buyback Agreements (A) (C) (continued)** | **Fixed Income Sell-Buyback Agreements (A) (C) (continued)** | **Fixed Income Sell-Buyback Agreements (A) (C) (continued)** |
|  |  | **Greece (16.61%)** | **Greece (16.61%)** | **Greece (16.61%)** | **Greece (16.61%)** | **Greece (16.61%)** |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 2113000 | Hellenic Republic Government Bonds REG S | 1.50% | 06/18/2030 | $2355349 | $2333458 |
| EUR | 4854000 | Hellenic Republic Government Bonds REG S | 4.13% | 06/15/2054 | 5624148 | 5605244 |
| EUR | 213000 | Hellenic Republic Government Bonds REG S | 4.38% | 07/18/2038 | 269093 | 266841 |
|  |  | **Total Greece** |  |  | 8248590 | 8205543 |
|  |  | **Italy (91.12%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| USD | 2085000 | Cassa Depositi e Prestiti SpA 144A | 4.38% | 10/01/2030 | 2083651 | 2088744 |
| EUR | 5268000 | Italy Buoni Poliennali Del Tesoro Series 11YR REG S | 0.90% | 04/01/2031 | 5573994 | 5538100 |
| EUR | 8509000 | Italy Buoni Poliennali Del Tesoro Series 15YR REG S | 3.85% | 10/01/2040 | 9940095 | 9894441 |
| EUR | 903000 | Italy Buoni Poliennali Del Tesoro Series 20YR REG S | 4.10% | 04/30/2046 | 1071633 | 1061991 |
| EUR | 515000 | Italy Buoni Poliennali Del Tesoro Series 30YR REG S | 2.45% | 09/01/2050 | 446057 | 443650 |
| EUR | 6149000 | Italy Buoni Poliennali Del Tesoro Series 30YR REG S | 4.30% | 10/01/2054 | 7174954 | 7177060 |
| EUR | 2724000 | Italy Buoni Poliennali Del Tesoro Series 30YR REG S | 4.65% | 10/01/2055 | 3366020 | 3341804 |
| EUR | 7295000 | Italy Buoni Poliennali Del Tesoro Series 7YR REG S | 3.25% | 11/15/2032 | 8629893 | 8558050 |
| EUR | 1992000 | Italy Buoni Poliennali Del Tesoro Series 7YR REG S | 3.50% | 02/15/2031 | 2410360 | 2389108 |
| EUR | 3398000 | Italy Buoni Poliennali Del Tesoro Series 7YR REG S | 4.00% | 11/15/2030 | 4206965 | 4169300 |
| EUR | 302038 | Italy Buoni Poliennali Del Tesoro Series CPI REG S « | 2.55% | 05/15/2056 | 361159 | 359970 |
|  |  | **Total Italy** |  |  | 45264781 | 45022218 |
|  |  | **Japan (15.82%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| JPY | 376626564 | Japan Government CPI-Linked Bonds Series 24 « | 0.10% | 03/10/2029 | 2519702 | 2487172 |
| JPY | 65100602 | Japan Government CPI-Linked Bonds Series 26 +« (D) | (0.81%) | 03/10/2031 | 447975 | 441751 |
| JPY | 259972125 | Japan Government CPI-Linked Bonds Series 28 +« (D) | (0.14%) | 03/10/2033 | 1729913 | 1704930 |
| JPY | 255275275 | Japan Government CPI-Linked Bonds Series 30 +« | 0.09% | 03/10/2035 | 1664154 | 1649447 |
| JPY | 168600000 | Japan Government Five Year Bonds Series 178 | 1.00% | 03/20/2030 | 1086870 | 1086944 |
| JPY | 70350000 | Japan Government Twenty Year Bonds Series 192 | 2.40% | 03/20/2045 | 444806 | 444830 |
|  |  | **Total Japan** |  |  | 7893420 | 7815074 |
|  |  | **Luxembourg (0.57%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 245000 | State of the Grand-Duchy of Luxembourg REG S | 2.90% | 09/17/2035 | 282773 | 282773 |
|  |  | **Netherlands (8.23%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 918000 | Netherlands Government Bonds REG S | 2.00% | 01/15/2054 | 808551 | 803782 |
| EUR | 1988358 | Netherlands Government Bonds REG S | 2.50% | 07/15/2035 | 2261773 | 2240996 |
| EUR | 705500 | Netherlands Government Bonds REG S | 3.50% | 01/15/2056 | 845129 | 835806 |
|  |  | Utilities |  |  |  |  |
| EUR | 100000 | Tennet Netherlands BV REG S | 1.13% | 06/09/2041 | 83814 | 83135 |
| EUR | 100000 | Tennet Netherlands BV REG S | 1.88% | 06/13/2036 | 103070 | 102416 |
|  |  | **Total Netherlands** |  |  | 4102337 | 4066135 |
|  |  | **Portugal (13.40%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 2382000 | Portugal Obrigacoes do Tesouro OT Series 10YR REG S | 3.00% | 06/15/2035 | 2768437 | 2751013 |
| EUR | 2210000 | Portugal Obrigacoes do Tesouro OT Series 15YR REG S | 3.38% | 06/15/2040 | 2545748 | 2528448 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Face Amount** | **Face Amount** | **Investments** | **Investments** | **Investments** | **Cost** | **Fair**<br> **Value** |
|  |  | **Fixed Income Sell-Buyback Agreements (A) (C) (continued)** | **Fixed Income Sell-Buyback Agreements (A) (C) (continued)** | **Fixed Income Sell-Buyback Agreements (A) (C) (continued)** | **Fixed Income Sell-Buyback Agreements (A) (C) (continued)** | **Fixed Income Sell-Buyback Agreements (A) (C) (continued)** |
|  |  | **Portugal (continued)** | **Portugal (continued)** | **Portugal (continued)** | **Portugal (continued)** | **Portugal (continued)** |
|  |  | Foreign Government Obligations (continued) |  |  |  |  |
| EUR | 1210000 | Portugal Obrigacoes do Tesouro OT Series 30YR REG S | 3.63% | 06/12/2054 | $1349232 | $1341557 |
|  |  | **Total Portugal** |  |  | 6663417 | 6621018 |
|  |  | **Spain (25.18%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 2979000 | Spain Government Bonds REG S | 0.70% | 04/30/2032 | 3061151 | 3033436 |
| EUR | 5812000 | Spain Government Bonds REG S | 3.20% | 10/31/2035 | 6784245 | 6742481 |
| EUR | 898000 | Spain Government Bonds REG S | 3.50% | 01/31/2041 | 1034596 | 1023836 |
| EUR | 1360000 | Spain Government Bonds REG S | 3.55% | 10/31/2033 | 1655535 | 1640139 |
|  |  | **Total Spain** |  |  | 12535527 | 12439892 |
|  |  | **Supranational (34.90%)** |  |  |  |  |
|  |  | Financial |  |  |  |  |
| GBP | 861000 | Central American Bank for Economic Integration REG S | 4.63% | 02/14/2028 | 1149220 | 1133769 |
| EUR | 571000 | European Investment Bank Series EARN REG S | 3.00% | 02/15/2039 | 656213 | 649316 |
| USD | 3820000 | International Bank for Reconstruction & Development | 3.50% | 10/28/2030 | 3773550 | 3771236 |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 375000 | European Stability Mechanism REG S | 2.75% | 02/26/2035 | 431630 | 428313 |
| EUR | 433000 | European Union Series UFA REG S | 0.70% | 07/06/2051 | 254305 | 251515 |
| EUR | 362000 | European Union Series UFA REG S | 1.25% | 02/04/2043 | 296218 | 292625 |
| EUR | 3670000 | European Union Series UFA REG S | 2.75% | 12/13/2032 | 4237902 | 4231875 |
| EUR | 691000 | European Union Series UFA REG S | 2.88% | 10/05/2029 | 820784 | 812463 |
| EUR | 1682000 | European Union Series UFA REG S | 3.00% | 03/04/2053 | 1669670 | 1656478 |
| EUR | 1933000 | European Union Series UFA REG S | 3.25% | 07/04/2034 | 2312022 | 2286664 |
| EUR | 595000 | European Union Series UFA REG S | 3.38% | 10/04/2039 | 689306 | 681353 |
| EUR | 909000 | European Union Series UFA REG S | 3.75% | 10/12/2045 | 1056279 | 1048963 |
|  |  | **Total Supranational** |  |  | 17347099 | 17244570 |
|  |  | **Sweden (9.77%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| USD | 804000 | Sweden Government International Bonds 144A | 3.38% | 01/28/2028 | 799977 | 799976 |
| SEK | 35057423 | Sweden Inflation Linked Bonds Series 3104 REG S « | 3.50% | 12/01/2028 | 4039205 | 4026360 |
|  |  | **Total Sweden** |  |  | 4839182 | 4826336 |
|  |  | **United Kingdom (64.56%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| GBP | 2225048 | U.K. Gilts REG S | 0.50% | 01/31/2029 | 2665577 | 2643077 |
| GBP | 1135625 | U.K. Gilts REG S | 0.88% | 07/31/2033 | 1176893 | 1166662 |
| GBP | 4052685 | U.K. Gilts REG S | 1.00% | 01/31/2032 | 4488668 | 4448431 |
| GBP | 678774 | U.K. Gilts REG S | 1.25% | 10/22/2041 | 542588 | 536972 |
| GBP | 635000 | U.K. Gilts REG S | 1.25% | 07/31/2051 | 374303 | 371163 |
| GBP | 1462500 | U.K. Gilts REG S | 1.75% | 09/07/2037 | 1440369 | 1427439 |
| GBP | 547500 | U.K. Gilts REG S | 3.50% | 01/22/2045 | 587879 | 582416 |
| GBP | 1216000 | U.K. Gilts REG S | 3.75% | 10/22/2053 | 1273169 | 1261574 |
| GBP | 3859000 | U.K. Gilts REG S | 4.25% | 07/31/2034 | 5062097 | 5034926 |
| GBP | 2385000 | U.K. Gilts REG S | 4.38% | 01/31/2040 | 3022822 | 2994242 |
| GBP | 3647300 | U.K. Gilts REG S | 4.50% | 03/07/2035 | 4867165 | 4826377 |
| GBP | 3569250 | U.K. Gilts REG S | 4.75% | 10/22/2043 | 4578177 | 4536047 |
| GBP | 203963 | U.K. Inflation-Linked Gilts Series 3MO REG S « | 0.13% | 03/22/2046 | 182001 | 181401 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Face Amount** | **Face Amount** | **Investments** | **Investments** | **Investments** | **Cost** | **Fair**<br> **Value** |
|  |  | **Fixed Income Sell-Buyback Agreements (A) (C) (continued)** | **Fixed Income Sell-Buyback Agreements (A) (C) (continued)** | **Fixed Income Sell-Buyback Agreements (A) (C) (continued)** | **Fixed Income Sell-Buyback Agreements (A) (C) (continued)** | **Fixed Income Sell-Buyback Agreements (A) (C) (continued)** |
|  |  | **United Kingdom (continued)** | **United Kingdom (continued)** | **United Kingdom (continued)** | **United Kingdom (continued)** | **United Kingdom (continued)** |
|  |  | Foreign Government Obligations (continued) |  |  |  |  |
| GBP | 166187 | U.K. Inflation-Linked Gilts Series 3MO REG S « | 0.13% | 11/22/2056 | $124775 | $124569 |
| GBP | 1424867 | U.K. Inflation-Linked Gilts Series 3MO REG S « | 1.13% | 11/22/2037 | 1769150 | 1765051 |
|  |  | **Total United Kingdom** |  |  | 32155633 | 31900347 |
|  |  | **United States (18.42%)** |  |  |  |  |
|  |  | U.S. Government Securities |  |  |  |  |
| USD | 1838500 | U.S. Treasury Bonds | 1.75% | 08/15/2041 | 1265244 | 1259403 |
| USD | 998000 | U.S. Treasury Bonds | 4.75% | 08/15/2055 | 1012814 | 1012233 |
| USD | 4748000 | U.S. Treasury Bonds | 4.88% | 08/15/2045 | 4906251 | 4893125 |
| USD | 1911000 | U.S. Treasury Notes | 4.25% | 08/15/2035 | 1935783 | 1935863 |
|  |  | **Total United States** |  |  | 9120092 | 9100624 |
|  |  | **Total Fixed Income Sell-Buyback Agreements** |  |  | 198458786 | 197203709 |
|  |  | **Convertible Bonds (A) (1.54%)** |  |  |  |  |
|  |  | **Canada (0.02%)** |  |  |  |  |
|  |  | Energy |  |  |  |  |
| CAD | 14000 | Advantage Energy Ltd. 144A | 5.00% | 06/30/2029 | 9911 | 10711 |
|  |  | **United States (1.52%)** |  |  |  |  |
|  |  | Consumer Non-cyclical |  |  |  |  |
| USD | 239000 | Cytokinetics, Inc. 144A | 1.75% | 10/01/2031 | 239000 | 296025 |
|  |  | Energy |  |  |  |  |
| USD | 41000 | Solaris Energy Infrastructure, Inc. | 0.25% | 10/01/2031 | 41000 | 48749 |
|  |  | Financial |  |  |  |  |
| USD | 354000 | Terawulf, Inc. 144A + | Zero | 05/01/2032 | 354000 | 366839 |
|  |  | Industrial |  |  |  |  |
| USD | 38000 | Bloom Energy Corp. 144A + | Zero | 11/15/2030 | 38000 | 38000 |
|  |  | **Total United States** |  |  | 672000 | 749613 |
|  |  | **Total Convertible Bonds** |  |  | 681911 | 760324 |
|  |  | **Bank Loans \* (A) (4.36%)** |  |  |  |  |
|  |  | **France (0.82%)** |  |  |  |  |
|  |  | Communications |  |  |  |  |
| USD | 404303 | Altice France SA 2021 Term Loan B | 10.86% | 05/30/2031 | 404302 | 403146 |
|  |  | **United States (3.54%)** |  |  |  |  |
|  |  | Communications |  |  |  |  |
| USD | 867833 | CSC Holdings LLC 2022 Term Loan B6 | 8.53% | 04/15/2027 | 835089 | 816674 |
|  |  | Consumer Cyclical |  |  |  |  |
| USD | 540000 | Petco Health & Wellness Co., Inc. 2021 Term Loan B | 7.51% | 03/03/2028 | 525231 | 531484 |
|  |  | Industrial |  |  |  |  |
| USD | 410000 | CP Atlas Buyer, Inc. 2021 Term Loan B | Zero | 07/08/2030 | 405650 | 403543 |
|  |  | **Total United States** |  |  | 1765970 | 1751701 |
|  |  | **Total Bank Loans** |  |  | 2170272 | 2154847 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Face Amount** | **Face Amount** | **Investments** | **Cost** | **Fair**<br> **Value** |
|  |  | **Short-Term Investments + (A) (54.19%)** | **Short-Term Investments + (A) (54.19%)** | **Short-Term Investments + (A) (54.19%)** |
|  |  | **United States (54.19%)** | **United States (54.19%)** | **United States (54.19%)** |
|  |  | United States Government and Agency Obligations | United States Government and Agency Obligations | United States Government and Agency Obligations |
|  |  | U.S.Treasury Bills |  |  |
| USD | 2025000 | 3.89%12/23/2025 | $2013722 | $2014095 |
| USD | 6155000 | 3.99%11/25/2025 (B) | 6138734 | 6140410 |
| USD | 6335000 | 4.00%11/28/2025 (B) | 6316127 | 6318000 |
| USD | 3065000 | 4.01%11/20/2025 (B) | 3058533 | 3059373 |
| USD | 255000 | 4.14%11/04/2025 | 254912 | 254973 |
| USD | 2695000 | 4.15%12/09/2025 (B) | 2683353 | 2684610 |
| USD | 1745000 | 4.16%12/02/2025 (B) | 1738977 | 1739551 |
| USD | 1530000 | 4.18%11/06/2025 | 1529113 | 1529515 |
| USD | 3040000 | 4.28%11/18/2025 (B) | 3034131 | 3035097 |
|  |  |  | 26767602 | 26775624 |
|  |  | **Total United States** | 26767602 | 26775624 |
|  |  | **Total Short-Term Investments** | 26767602 | 26775624 |

---

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Contracts** | **Investments** | **Counterparty/**<br> **Exchange** |  | **Strike**<br> **Price** | **Strike**<br> **Price** | **Expiration**<br> **Date** | **Notional** | **Cost** | **Fair**<br> **Value** |
| | **Purchased Options Contracts (4.58%)** | **Purchased Options Contracts (4.58%)** | **Purchased Options Contracts (4.58%)** | **Purchased Options Contracts (4.58%)** | **Purchased Options Contracts (4.58%)** | **Purchased Options Contracts (4.58%)** | **Purchased Options Contracts (4.58%)** | **Purchased Options Contracts (4.58%)** | **Purchased Options Contracts (4.58%)** |
|  | **Foreign Currency Options (0.26%)** | **Foreign Currency Options (0.26%)** | **Foreign Currency Options (0.26%)** | **Foreign Currency Options (0.26%)** |  |  |  |  |  |
| 50000 | AUD vs JPY | BCY | Call |  | 98.92 | 11/06/2025 | 4945900 | 339 | 620 |
| 50000 | AUD vs JPY | BCY | Put |  | 98.92 | 11/06/2025 | 4945900 | 339 | 14 |
| 60000 | AUD vs USD | DBF | Call |  | 0.66 | 11/06/2025 | 39588 | 354 | 29 |
| 60000 | AUD vs USD | DBF | Put |  | 0.66 | 11/06/2025 | 39588 | 354 | 338 |
| 41000 | EUR vs JPY | BOA | Call |  | 175.49 | 11/20/2025 | 7195090 | 416 | 671 |
| 52000 | EUR vs JPY | BOA | Call |  | 177.87 | 11/26/2025 | 9249240 | 479 | 355 |
| 41000 | EUR vs JPY | BOA | Put |  | 175.49 | 11/20/2025 | 7195090 | 416 | 99 |
| 52000 | EUR vs JPY | BOA | Put |  | 177.87 | 11/26/2025 | 9249240 | 479 | 453 |
| 53000 | EUR vs NZD | DBF | Call |  | 2.02 | 11/13/2025 | 107224 | 508 | 180 |
| 53000 | EUR vs NZD | DBF | Put |  | 2.02 | 11/13/2025 | 107224 | 508 | 397 |
| 53000 | EUR vs USD | DBF | Call |  | 1.16 | 11/13/2025 | 61522 | 505 | 120 |
| 174000 | EUR vs USD | BOA | Call |  | 1.17 | 11/19/2025 | 203945 | 1613 | 171 |
| 30000 | EUR vs USD | UBS | Call |  | 1.18 | 11/24/2025 | 35382 | 513 | 21 |
| 64000 | EUR vs USD | HUS | Call |  | 1.16 | 11/26/2025 | 74534 | 468 | 203 |
| 37000 | EUR vs USD | BOA | Call |  | 1.17 | 01/08/2026 | 43268 | 591 | 257 |
| 53000 | EUR vs USD | DBF | Put |  | 1.16 | 11/13/2025 | 61522 | 505 | 430 |
| 174000 | EUR vs USD | BOA | Put |  | 1.17 | 11/19/2025 | 203945 | 1613 | 3106 |
| 30000 | EUR vs USD | UBS | Put |  | 1.18 | 11/24/2025 | 35382 | 513 | 736 |
| 64000 | EUR vs USD | HUS | Put |  | 1.16 | 11/26/2025 | 74534 | 468 | 761 |
| 466000 | EUR vs USD | BOA | Put |  | 1.15 | 12/02/2025 | 538137 | 3406 | 3406 |
| 37000 | EUR vs USD | BOA | Put |  | 1.17 | 01/08/2026 | 43268 | 591 | 654 |
| 185000 | GBP vs CHF | UBS | Call |  | 1.07 | 11/06/2025 | 197987 | 1587 | 24 |
| 92000 | GBP vs CHF | BOA | Call |  | 1.07 | 11/13/2025 | 98072 | 785 | 66 |
| 185000 | GBP vs CHF | UBS | Put |  | 1.07 | 11/06/2025 | 197987 | 1587 | 3786 |
| 92000 | GBP vs CHF | BOA | Put |  | 1.07 | 11/13/2025 | 98072 | 785 | 1552 |
| 31000 | GBP vs JPY | BOA | Call |  | 201.40 | 11/06/2025 | 6243400 | 392 | 260 |
| 91000 | GBP vs JPY | UBS | Call |  | 201.56 | 11/20/2025 | 18341960 | 1103 | 999 |
| 30000 | GBP vs JPY | BOA | Call |  | 201.60 | 11/20/2025 | 6048000 | 382 | 325 |
| 91000 | GBP vs JPY | BOA | Call |  | 200.80 | 11/26/2025 | 18272800 | 1167 | 1350 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Contracts** | **Investments** | **Counterparty/**<br> **Exchange** |  | **Strike**<br> **Price** | **Expiration**<br> **Date** | **Notional** | **Cost** | **Fair**<br> **Value** |
| | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** |
|  | **Foreign Currency Options (continued)** | **Foreign Currency Options (continued)** | **Foreign Currency Options (continued)** | **Foreign Currency Options (continued)** | **Foreign Currency Options (continued)** |  |  |  |
| 31000 | GBP vs JPY | BOA | Put | 201.40 | 11/06/2025 | 6243400 | $392 | $81 |
| 91000 | GBP vs JPY | UBS | Put | 201.56 | 11/20/2025 | 18341960 | 1103 | 732 |
| 30000 | GBP vs JPY | BOA | Put | 201.60 | 11/20/2025 | 6048000 | 382 | 245 |
| 91000 | GBP vs JPY | BOA | Put | 200.80 | 11/26/2025 | 18272800 | 1167 | 717 |
| 60000 | NZD vs USD | BCY | Call | 0.59 | 11/11/2025 | 35688 | 623 | 0 |
| 90000 | NZD vs USD | UBS | Call | 0.57 | 11/13/2025 | 51552 | 506 | 281 |
| 70000 | NZD vs USD | BOA | Call | 0.57 | 11/20/2025 | 40159 | 410 | 261 |
| 95000 | NZD vs USD | UBS | Call | 0.58 | 11/26/2025 | 54844 | 499 | 283 |
| 350000 | NZD vs USD | UBS | Call | 0.58 | 11/28/2025 | 202825 | 1910 | 870 |
| 60000 | NZD vs USD | BCY | Call | 0.59 | 12/18/2025 | 35142 | 580 | 144 |
| 60000 | NZD vs USD | BCY | Put | 0.59 | 11/11/2025 | 35688 | 623 | 1320 |
| 90000 | NZD vs USD | UBS | Put | 0.57 | 11/13/2025 | 51552 | 506 | 273 |
| 70000 | NZD vs USD | BOA | Put | 0.57 | 11/20/2025 | 40159 | 410 | 306 |
| 590000 | NZD vs USD | MSI | Put | 0.58 | 11/26/2025 | 340430 | 3144 | 4038 |
| 95000 | NZD vs USD | UBS | Put | 0.58 | 11/26/2025 | 54844 | 499 | 668 |
| 350000 | NZD vs USD | UBS | Put | 0.58 | 11/28/2025 | 202825 | 1910 | 3048 |
| 585000 | NZD vs USD | MSI | Put | 0.57 | 12/01/2025 | 336141 | 3140 | 3365 |
| 60000 | NZD vs USD | BCY | Put | 0.59 | 12/18/2025 | 35142 | 580 | 856 |
| 123000 | USD vs BRL | BOA | Call | 5.49 | 11/13/2025 | 674655 | 1702 | 407 |
| 121000 | USD vs BRL | BOA | Call | 5.38 | 11/26/2025 | 651101 | 1339 | 1758 |
| 123000 | USD vs BRL | BOA | Put | 5.49 | 11/13/2025 | 674655 | 1702 | 2237 |
| 121000 | USD vs BRL | BOA | Put | 5.38 | 11/26/2025 | 651101 | 1339 | 825 |
| 207000 | USD vs CAD | CBK | Call | 1.39 | 11/03/2025 | 287647 | 1095 | 1678 |
| 96000 | USD vs CAD | DBF | Call | 1.40 | 11/13/2025 | 134227 | 501 | 349 |
| 205000 | USD vs CAD | BOA | Call | 1.40 | 11/14/2025 | 287390 | 1046 | 504 |
| 43000 | USD vs CAD | HUS | Call | 1.38 | 11/26/2025 | 59297 | 413 | 637 |
| 413000 | USD vs CAD | BOA | Call | 1.39 | 11/26/2025 | 572294 | 14087 | 4389 |
| 86000 | USD vs CAD | PAR | Call | 1.39 | 01/13/2026 | 119927 | 780 | 679 |
| 418000 | USD vs CAD | BOA | Call | 1.35 | 06/09/2026 | 563046 | 9711 | 13778 |
| 207000 | USD vs CAD | CBK | Put | 1.39 | 11/03/2025 | 287647 | 1095 | 0 |
| 96000 | USD vs CAD | DBF | Put | 1.40 | 11/13/2025 | 134227 | 501 | 218 |
| 205000 | USD vs CAD | BOA | Put | 1.40 | 11/14/2025 | 287390 | 1046 | 776 |
| 43000 | USD vs CAD | HUS | Put | 1.38 | 11/26/2025 | 59297 | 413 | 21 |
| 413000 | USD vs CAD | BOA | Put | 1.39 | 11/26/2025 | 572294 | 5322 | 446 |
| 86000 | USD vs CAD | PAR | Put | 1.39 | 01/13/2026 | 119927 | 780 | 595 |
| 418000 | USD vs CAD | BOA | Put | 1.35 | 06/09/2026 | 563046 | 9660 | 2010 |
| 206000 | USD vs CHF | BOA | Call | 0.80 | 11/06/2025 | 163873 | 1605 | 1824 |
| 203000 | USD vs CHF | BOA | Call | 0.79 | 11/20/2025 | 161081 | 1681 | 2407 |
| 35000 | USD vs CHF | BOA | Call | 0.80 | 11/20/2025 | 27843 | 535 | 351 |
| 43000 | USD vs CHF | CBK | Call | 0.79 | 01/05/2026 | 33845 | 581 | 790 |
| 206000 | USD vs CHF | BOA | Put | 0.80 | 11/06/2025 | 163873 | 1605 | 119 |
| 203000 | USD vs CHF | BOA | Put | 0.79 | 11/20/2025 | 161081 | 1681 | 552 |
| 35000 | USD vs CHF | BOA | Put | 0.80 | 11/20/2025 | 27843 | 535 | 118 |
| 43000 | USD vs CHF | CBK | Put | 0.79 | 01/05/2026 | 33845 | 581 | 279 |
| 392000 | USD vs CNH | HUS | Call | 6.98 | 09/24/2026 | 2737571 | 5949 | 5652 |
| 392000 | USD vs CNH | HUS | Put | 6.98 | 09/24/2026 | 2737571 | 5949 | 5333 |
| 413000 | USD vs INR | MSI | Call | 86.22 | 11/11/2025 | 35608860 | 9772 | 12028 |
| 414000 | USD vs INR | MSI | Call | 87.42 | 05/15/2026 | 36191880 | 8263 | 12160 |
| 413000 | USD vs INR | MSI | Put | 86.22 | 11/11/2025 | 35608860 | 2685 | 3 |
| 414000 | USD vs INR | MSI | Put | 87.42 | 05/15/2026 | 36191880 | 8263 | 1223 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Contracts** | **Investments** | **Counterparty/**<br> **Exchange** |  | **Strike**<br> **Price** | **Expiration**<br> **Date** | **Notional** | **Cost** | **Fair**<br> **Value** |
| | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** |
|  | **Foreign Currency Options (continued)** | **Foreign Currency Options (continued)** | **Foreign Currency Options (continued)** | **Foreign Currency Options (continued)** |  |  |  |  |
| 202000 | USD vs JPY | HUS | Call | 153.62 | 12/03/2025 | 31031240 | $1905 | $1905 |
| 202000 | USD vs JPY | HUS | Put | 153.62 | 12/03/2025 | 31031240 | 1905 | 1905 |
| 207000 | USD vs KRW | HUS | Call | 1423.70 | 11/12/2025 | 294705900 | 2050 | 1411 |
| 202000 | USD vs KRW | CBK | Call | 1436.45 | 11/26/2025 | 290162900 | 1975 | 1138 |
| 207000 | USD vs KRW | HUS | Put | 1423.70 | 11/12/2025 | 294705900 | 2050 | 791 |
| 202000 | USD vs KRW | CBK | Put | 1436.45 | 11/26/2025 | 290162900 | 1975 | 2482 |
| 202000 | USD vs SEK | DBF | Call | 9.35 | 11/26/2025 | 1888094 | 1794 | 3439 |
| 202000 | USD vs SEK | DBF | Put | 9.35 | 11/26/2025 | 1888094 | 1794 | 605 |
|  | **Total Foreign Currency Options** | **Total Foreign Currency Options** | **Total Foreign Currency Options** | **Total Foreign Currency Options** |  |  | 158815 | 126693 |
|  | **Options on Commodity Indices (0.05%)** | **Options on Commodity Indices (0.05%)** | **Options on Commodity Indices (0.05%)** | **Options on Commodity Indices (0.05%)** |  |  |  |  |
| 3 | Cocoa | NYBOT | Put | 60.00 | 02/13/2026 | 180 | 11231 | 11610 |
| 6 | Cocoa | NYBOT | Call | 72.00 | 02/13/2026 | 432 | 15603 | 13740 |
|  | **Total Options on Commodity Indices** | **Total Options on Commodity Indices** | **Total Options on Commodity Indices** | **Total Options on Commodity Indices** |  |  | 26834 | 25350 |
|  | **Options on Equity Indices (0.71%)** | **Options on Equity Indices (0.71%)** | **Options on Equity Indices (0.71%)** | **Options on Equity Indices (0.71%)** |  |  |  |  |
| 22 | Deutsche Boerse AG German Stock Index DAX | MSI | Put | 22950.00 | 11/21/2025 | 504900 | 7171 | 2136 |
| 286 | Euro Stoxx 50 Index | GST | Call | 5825.00 | 11/21/2025 | 1665950 | 18163 | 5237 |
| 7400 | Euro Stoxx Banks Index | GST | Put | 220.00 | 12/19/2025 | 1628000 | 41818 | 29929 |
| 2340 | EURO STOXX Banks Index | MSI | Put | 223.00 | 11/21/2025 | 521820 | 12667 | 4655 |
| 486 | MSXXAI Index | MSI | Put | 153.96 | 11/21/2025 | 74825 | 1328 | 495 |
| 393 | MSXXAI Index | MSI | Put | 157.08 | 11/28/2025 | 61732 | 1732 | 679 |
| 319 | MSXXAI Index | MSI | Put | 152.65 | 12/19/2025 | 48695 | 1508 | 823 |
| 1335 | MSXXAI Index | MSI | Put | 167.46 | 11/21/2025 | 223559 | 6591 | 3630 |
| 485 | MSXXAI Index | MSI | Put | 165.68 | 11/21/2025 | 80355 | 1531 | 1138 |
| 4 | S&P 500 Index | CBOE | Put | 6750.00 | 11/21/2025 | 27000 | 20674 | 23260 |
| 8 | S&P 500 Index | CBOE | Call | 6950.00 | 11/21/2025 | 55600 | 19506 | 36320 |
| 4 | S&P 500 Index | CBOE | Put | 6400.00 | 03/20/2026 | 25600 | 50081 | 53520 |
| 8 | S&P 500 Index | CBOE | Call | 7500.00 | 05/15/2026 | 60000 | 79038 | 83240 |
| 2 | S&P 500 Index | CBOE | Call | 7050.00 | 12/31/2025 | 14100 | 16937 | 16900 |
| 5 | S&P 500 Index | CBOE | Put | 6775.00 | 01/16/2026 | 33875 | 62388 | 75275 |
| 9 | S&P 500 Mini Index | MSI | Call | 700.00 | 11/21/2025 | 6300 | 3992 | 2772 |
| 5 | S&P 500 Mini Index | MSI | Put | 660.00 | 11/07/2025 | 3300 | 1877 | 255 |
| 3 | S&P 500 Mini Index | MSI | Put | 675.00 | 11/07/2025 | 2025 | 547 | 597 |
| 4 | S&P 500 Mini Index | MSI | Put | 675.00 | 11/14/2025 | 2700 | 1245 | 520 |
| 42 | S&P 500 Mini Index | MSI | Put | 650.00 | 11/14/2025 | 27300 | 4273 | 4273 |
| 3909 | STOXX Europe 600 Index | GST | Put | 545.00 | 11/21/2025 | 2130405 | 30252 | 4905 |
|  | **Total Options on Equity Indices** | **Total Options on Equity Indices** | **Total Options on Equity Indices** | **Total Options on Equity Indices** |  |  | 383319 | 350559 |
|  | **Options on Exchange Traded Funds (2.60%)** | **Options on Exchange Traded Funds (2.60%)** | **Options on Exchange Traded Funds (2.60%)** | **Options on Exchange Traded Funds (2.60%)** |  |  |  |  |
| 77 | ARK Innovation ETF | CHX | Put | 83.00 | 11/14/2025 | 6391 | 9270 | 8239 |
| 21 | Consumer Discretionary Select Sector SPDR Fund | NYSE | Call | 245.00 | 11/14/2025 | 5145 | 2001 | 3738 |
| 705 | Financial Select Sector SPDR Fund | AMX | Put | 52.00 | 11/21/2025 | 36660 | 52391 | 45825 |
| 58 | Industrial Select Sector SPDR Fund | AMX | Call | 160.00 | 11/21/2025 | 9280 | 3616 | 4582 |
| 17 | Invesco QQQ Trust | AMX | Put | 578.00 | 11/21/2025 | 9826 | 19249 | 2890 |
| 17 | Invesco QQQ Trust | AMX | Put | 590.00 | 11/21/2025 | 10030 | 17004 | 4412 |
| 212 | Invesco QQQ Trust | AMX | Put | 520.00 | 01/15/2027 | 110240 | 465653 | 457920 |
| 6 | Invesco QQQ Trust | AMX | Put | 615.00 | 12/19/2025 | 3690 | 7247 | 7464 |
| 3 | Invesco QQQ Trust | AMX | Put | 610.00 | 11/14/2025 | 1830 | 1296 | 993 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Contracts** | **Investments** | **Counterparty/**<br> **Exchange** |  | **Strike**<br> **Price** | **Expiration**<br> **Date** | **Notional** | **Cost** | **Fair**<br> **Value** |
| | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** |
|  | **Options on Exchange Traded Funds (continued)** | **Options on Exchange Traded Funds (continued)** | **Options on Exchange Traded Funds (continued)** | **Options on Exchange Traded Funds (continued)** |  |  |  |  |
| 24 | Invesco QQQ Trust | AMX | Put | 614.00 | 11/07/2025 | 14736 | $6020 | $4284 |
| 4 | Invesco QQQ Trust | AMX | Put | 620.00 | 11/07/2025 | 2480 | 1365 | 1156 |
| 2 | Invesco QQQ Trust | AMX | Put | 605.00 | 11/28/2025 | 1210 | 1223 | 1146 |
| 66 | Invesco QQQ Trust | AMX | Put | 570.00 | 03/31/2026 | 37620 | 94294 | 94294 |
| 293 | iShares iBoxx $ Investment Grade Corporate Bond ETF | CHX | Put | 109.00 | 01/16/2026 | 31937 | 20600 | 20600 |
| 214 | iShares MSCI Emerging Markets ETF | AMX | Call | 59.00 | 12/19/2025 | 12626 | 7028 | 5778 |
| 203 | iShares Russell 2000 ETF | AMX | Call | 280.00 | 06/18/2026 | 56840 | 127688 | 135198 |
| 45 | iShares Russell 2000 ETF | AMX | Put | 235.00 | 11/21/2025 | 10575 | 6769 | 7515 |
| 3 | iShares Russell 2000 ETF | AMX | Call | 255.00 | 11/21/2025 | 765 | 1390 | 567 |
| 25 | iShares Russell 2000 ETF | AMX | Call | 255.00 | 12/19/2025 | 6375 | 10183 | 11413 |
| 156 | SPDR S&P 500 ETF Trust | PSE | Put | 500.00 | 01/15/2027 | 78000 | 268043 | 168480 |
| 194 | SPDR S&P 500 ETF Trust | PSE | Put | 645.00 | 03/20/2026 | 125130 | 278838 | 289157 |
| 19 | VanEck Semiconductor ETF | AMX | Put | 340.00 | 11/21/2025 | 6460 | 8884 | 8884 |
|  | **Total Options on Exchange Traded Funds** | **Total Options on Exchange Traded Funds** | **Total Options on Exchange Traded Funds** | **Total Options on Exchange Traded Funds** |  |  | 1410052 | 1284535 |
|  | **Options on Exchange Traded Futures Contracts (0.30%)** | **Options on Exchange Traded Futures Contracts (0.30%)** | **Options on Exchange Traded Futures Contracts (0.30%)** | **Options on Exchange Traded Futures Contracts (0.30%)** |  |  |  |  |
| 123 | 3 Month SOFR | CME | Put | 95.50 | 12/12/2025 | 11747 | 7405 | 769 |
| 31 | 3 Month SOFR | CME | Put | 96.25 | 12/12/2025 | 2984 | 19033 | 6781 |
| 78 | 3 Month SOFR | CME | Put | 96.44 | 12/12/2025 | 7522 | 21239 | 43388 |
| 220 | 3 Month SONIA | ICE | Put | 95.20 | 12/12/2025 | 20944 | 98384 | 0 |
| 220 | 3 Month SONIA | ICE | Put | 95.80 | 12/12/2025 | 21076 | 253127 | 0 |
| 52 | 3 Month SONIA | ICE | Put | 96.50 | 12/12/2025 | 5018 | 46890 | 43554 |
| 197 | 3 Month SONIA | ICE | Put | 95.85 | 12/12/2025 | 18882 | 9442 | 0 |
| 197 | 3 Month SONIA | ICE | Put | 96.25 | 12/12/2025 | 18961 | 47703 | 37207 |
| 206 | 3 Month SONIA | ICE | Put | 96.25 | 03/13/2026 | 19828 | 52553 | 15224 |
| 206 | 3 Month SONIA | ICE | Put | 95.85 | 03/13/2026 | 19745 | 7138 | 0 |
|  | **Total Options on Exchange Traded Futures Contracts** | **Total Options on Exchange Traded Futures Contracts** | **Total Options on Exchange Traded Futures Contracts** | **Total Options on Exchange Traded Futures Contracts** |  |  | 562914 | 146923 |
|  | **Options on Securities (0.66%)** | **Options on Securities (0.66%)** | **Options on Securities (0.66%)** | **Options on Securities (0.66%)** |  |  |  |  |
| 197 | 2YR U.S. Treasury Notes | CBT | Call | 104.75 | 01/23/2026 | 20636 | 47139 | 49250 |
| 13 | Advanced Micro Devices, Inc. | AMX | Call | 275.00 | 11/21/2025 | 3575 | 13234 | 13234 |
| 22 | Alibaba Group Holding Ltd. | AMX | Call | 190.00 | 11/21/2025 | 4180 | 7431 | 6380 |
| 2 | Alphabet, Inc. | AMX | Call | 265.00 | 11/21/2025 | 530 | 1463 | 4010 |
| 2 | Alphabet, Inc. | AMX | Put | 260.00 | 11/07/2025 | 520 | 942 | 86 |
| 3 | Amazon.com, Inc. | AMX | Put | 215.00 | 11/07/2025 | 645 | 1009 | 51 |
| 1 | Amazon.com, Inc. | AMX | Put | 210.00 | 11/14/2025 | 210 | 316 | 36 |
| 28 | Amazon.com, Inc. | AMX | Put | 235.00 | 11/21/2025 | 6580 | 8086 | 8086 |
| 278 | AT&T, Inc. | AMX | Call | 27.00 | 12/19/2025 | 7506 | 7036 | 6672 |
| 1 | Celestica, Inc. | NYSE | Put | 285.00 | 11/21/2025 | 285 | 2071 | 535 |
| 13 | Charter Communications, Inc. | AMX | Call | 270.00 | 12/19/2025 | 3510 | 16402 | 6435 |
| 11 | Cisco Systems, Inc. | AMX | Put | 40.00 | 12/19/2025 | 440 | 2171 | 2365 |
| 17 | Dell Technologies, Inc. | AMX | Put | 150.00 | 11/21/2025 | 2550 | 6559 | 4709 |
| 2 | Dick's Sporting Goods, Inc. | AMX | Put | 220.00 | 12/19/2025 | 440 | 2464 | 2770 |
| 11 | DoorDash, Inc. | NYSE | Put | 235.00 | 11/14/2025 | 2585 | 10106 | 7150 |
| 9 | Expedia Group, Inc. | AMX | Put | 210.00 | 11/07/2025 | 1890 | 4771 | 5805 |
| 18 | Five Below, Inc. | ISE | Call | 170.00 | 11/21/2025 | 3060 | 7170 | 4860 |
| 51 | Intel Corp. | AMX | Put | 37.00 | 12/19/2025 | 1887 | 9348 | 9588 |
| 35 | Intel Corp. | AMX | Put | 36.00 | 11/14/2025 | 1260 | 3493 | 1505 |
| 170 | Intel Corp. | AMX | Call | 45.00 | 11/21/2025 | 7650 | 35054 | 15810 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Contracts** | **Investments** | **Counterparty/**<br> **Exchange** |  | **Strike**<br> **Price** | **Expiration**<br> **Date** | **Notional** | **Cost** | **Fair**<br> **Value** |
| | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** | **Purchased Options Contracts (continued)** |
|  | **Options on Securities (continued)** | **Options on Securities (continued)** | **Options on Securities (continued)** | **Options on Securities (continued)** |  |  |  |  |
| 1 | MercadoLibre, Inc. | NYSE | Put | 2200.00 | 11/21/2025 | 2200 | $8072 | $3350 |
| 16 | Micron Technology, Inc. | AMX | Put | 205.00 | 11/21/2025 | 3280 | 11106 | 11106 |
| 2 | Microsoft Corp. | AMX | Put | 525.00 | 11/07/2025 | 1050 | 1640 | 2014 |
| 2 | NVIDIA Corp. | AMX | Call | 190.00 | 11/21/2025 | 380 | 1200 | 3510 |
| 4 | NVIDIA Corp. | AMX | Put | 172.50 | 11/07/2025 | 690 | 1261 | 108 |
| 27 | NVIDIA Corp. | AMX | Call | 215.00 | 11/14/2025 | 5805 | 6338 | 5346 |
| 23 | NVIDIA Corp. | AMX | Put | 192.50 | 11/14/2025 | 4427 | 4730 | 4730 |
| 14 | Oracle Corp. | AMX | Put | 250.00 | 11/21/2025 | 3500 | 9535 | 8750 |
| 11 | Oracle Corp. | AMX | Put | 240.00 | 01/16/2026 | 2640 | 14863 | 15455 |
| 2 | Reddit, Inc. | OPR | Put | 205.00 | 11/07/2025 | 410 | 2669 | 1290 |
| 305 | Shoals Technologies Group, Inc. | CHX | Call | 12.00 | 04/17/2026 | 3660 | 52104 | 63135 |
| 6 | SoFi Technologies, Inc. | NYSE | Call | 31.50 | 11/21/2025 | 189 | 1196 | 660 |
| 86 | SolarEdge Technologies, Inc. | ISE | Call | 47.50 | 01/16/2026 | 4085 | 47585 | 23693 |
| 6 | Synopsys, Inc. | AMX | Call | 485.00 | 11/21/2025 | 2910 | 7688 | 4740 |
| 6 | Target Corp. | AMX | Call | 95.00 | 11/21/2025 | 570 | 2264 | 2220 |
| 1 | Tesla, Inc. | AMX | Call | 470.00 | 11/07/2025 | 470 | 1701 | 915 |
| 12 | Tesla, Inc. | AMX | Put | 430.00 | 11/14/2025 | 5160 | 11264 | 10680 |
| 12 | T-Mobile U.S., Inc. | AMX | Put | 215.00 | 11/21/2025 | 2580 | 4389 | 9516 |
| 104 | Verizon Communications, Inc. | CBOE | Put | 38.00 | 11/21/2025 | 3952 | 5618 | 1768 |
| 23 | Vita Coco Co., Inc. | AMX | Put | 35.00 | 12/19/2025 | 805 | 3431 | 2013 |
| 19 | Walt Disney Co. | CBT | Call | 120.00 | 11/21/2025 | 2280 | 5644 | 4180 |
|  | **Total Options on Securities** |  |  |  |  |  | 390563 | 328516 |
|  | **Total Purchased Options Contracts** |  |  |  |  |  | 2932497 | 2262576 |

---

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Notional** | **Notional** | **Investments** | **Counterparty** | **Frequency** | **Exercise**<br> **Rate** | **Expiration**<br> **Date** | **Cost** | **Fair**<br> **Value** |
|  |  | **Purchased Swaptions Contracts (4.54%)** |  |  |  |  |  |  |
| EUR | 8479907 | 10YR Interest Rate Swap Pay EUR Put | BOA | 1Y | 2.52% | 01/09/2035 | 516732 | 691612 |
| EUR | 8479907 | 10YR Interest Rate Swap Receive EUR Call | BOA | 1Y | 2.52% | 01/09/2035 | 516732 | 261067 |
| EUR | 1125345 | 20YR Interest Rate Swap Pay EUR Put | BCY | 1Y | 2.97% | 02/20/2026 | 33000 | 17583 |
| EUR | 1125345 | 20YR Interest Rate Swap Pay EUR Put | BCY | 1Y | 2.97% | 02/20/2026 | 33140 | 17583 |
| EUR | 242382 | 20YR Interest Rate Swap Pay EUR Put | CBK | 1Y | 2.99% | 07/30/2035 | 23851 | 23595 |
| EUR | 438596 | 20YR Interest Rate Swap Pay EUR Put | CBK | 1Y | 2.99% | 07/30/2035 | 43331 | 51368 |
| EUR | 1125345 | 20YR Interest Rate Swap Receive EUR Call | BCY | 1Y | 2.97% | 02/20/2026 | 33000 | 25901 |
| EUR | 1125345 | 20YR Interest Rate Swap Receive EUR Call | BCY | 1Y | 2.97% | 02/20/2026 | 33140 | 25901 |
| EUR | 242382 | 20YR Interest Rate Swap Receive EUR Call | CBK | 1Y | 2.99% | 07/30/2035 | 23851 | 20532 |
| EUR | 438596 | 20YR Interest Rate Swap Receive EUR Call | CBK | 1Y | 2.99% | 07/30/2035 | 43331 | 37153 |
| EUR | 5499763 | 2YR Interest Rate Swap Pay EUR Put | BOA | 1Y | 2.75% | 07/28/2027 | 27889 | 14465 |
| EUR | 5504380 | 2YR Interest Rate Swap Pay EUR Put | CBK | 1Y | 2.75% | 07/28/2027 | 26368 | 14477 |
| EUR | 5505534 | 2YR Interest Rate Swap Pay EUR Put | BOA | 1Y | 2.75% | 07/28/2027 | 26906 | 14480 |
| USD | 1245000 | 2YR Interest Rate Swap Pay USD Put | PAR | 1Y | 4.00% | 04/22/2027 | 9879 | 3271 |
| USD | 1247000 | 2YR Interest Rate Swap Pay USD Put | BCY | 1Y | 4.00% | 04/22/2027 | 8117 | 3276 |
| USD | 972000 | 2YR Interest Rate Swap Pay USD Put | BCY | 1Y | 4.00% | 08/30/2027 | 3334 | 3531 |
| USD | 1460000 | 2YR Interest Rate Swap Pay USD Put | BCY | 1Y | 4.00% | 08/30/2027 | 5694 | 5304 |
| USD | 230000 | 30YR Interest Rate Swap Pay USD Put | BOA | 1Y | 4.10% | 06/10/2026 | 7575 | 6553 |
| USD | 692000 | 30YR Interest Rate Swap Pay USD Put | GST | 1Y | 4.10% | 06/10/2026 | 17380 | 19714 |
| USD | 2316000 | 30YR Interest Rate Swap Pay USD Put | BOA | 1Y | 4.10% | 06/10/2026 | 75484 | 65982 |
| USD | 9085000 | 30YR Interest Rate Swap Receive USD Call | BOA | OM | 0.99% | 07/21/2027 | 29389 | 21295 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Notional** | **Notional** | **Investments** | **Counterparty** | **Frequency** | **Exercise**<br> **Rate** | **Expiration**<br> **Date** | **Cost** | **Fair**<br> **Value** |
|  |  | **Purchased Swaptions Contracts (continued)** |  |  |  |  |  |  |
| USD | 9090000 | 30YR Interest Rate Swap Receive USD Call | BOA | OM | 0.99% | 07/21/2027 | $29173 | $21331 |
| USD | 18472000 | 30YR Interest Rate Swap Receive USD Call | BOA | OM | 0.99% | 07/21/2027 | 53788 | 43295 |
| USD | 27294000 | 30YR Interest Rate Swap Receive USD Call | BOA | OM | 0.99% | 07/21/2027 | 93393 | 64078 |
| EUR | 3930051 | 3YR Interest Rate Swap Pay EUR Put | BCY | 1Y | 2.50% | 03/02/2026 | 5857 | 1939 |
| EUR | 2205676 | 5YR Interest Rate Swap Pay EUR Put | BOA | 1Y | 2.36% | 02/06/2026 | 16868 | 9824 |
| EUR | 6625108 | 5YR Interest Rate Swap Pay EUR Put | BCY | 1Y | 2.36% | 02/06/2026 | 50747 | 29509 |
| EUR | 2736608 | 5YR Interest Rate Swap Pay EUR Put | BCY | 1Y | 2.66% | 01/08/2030 | 77296 | 73461 |
| EUR | 2901659 | 5YR Interest Rate Swap Pay EUR Put | GST | 1Y | 2.66% | 01/08/2030 | 84919 | 77891 |
| EUR | 2902813 | 5YR Interest Rate Swap Pay EUR Put | BCY | 1Y | 2.66% | 01/10/2035 | 84686 | 77922 |
| JPY | 3163753 | 5YR Interest Rate Swap Pay JPY Put | BOA | 1Y | 1.42% | 01/09/2030 | 55824 | 76853 |
| JPY | 1280329 | 5YR Interest Rate Swap Pay JPY Put | GST | 1Y | 1.45% | 02/05/2030 | 21909 | 30625 |
| JPY | 1486709 | 5YR Interest Rate Swap Pay JPY Put | GST | 1Y | 1.77% | 09/05/2030 | 29236 | 29424 |
| JPY | 1784051 | 5YR Interest Rate Swap Pay JPY Put | GST | 1Y | 1.77% | 09/05/2030 | 34577 | 35308 |
| EUR | 2205676 | 5YR Interest Rate Swap Receive EUR Call | BOA | 1Y | 2.36% | 02/06/2026 | 16868 | 9619 |
| EUR | 6625108 | 5YR Interest Rate Swap Receive EUR Call | BCY | 1Y | 2.36% | 02/06/2026 | 50747 | 28893 |
| EUR | 2736608 | 5YR Interest Rate Swap Receive EUR Call | BCY | 1Y | 2.66% | 01/08/2030 | 77296 | 46451 |
| EUR | 2901659 | 5YR Interest Rate Swap Receive EUR Call | GST | 1Y | 2.66% | 01/08/2030 | 84919 | 49251 |
| EUR | 2902813 | 5YR Interest Rate Swap Receive EUR Call | BCY | 1Y | 2.66% | 01/08/2030 | 84686 | 49271 |
| JPY | 3163753 | 5YR Interest Rate Swap Receive JPY Call | BOA | 1Y | 1.42% | 01/09/2030 | 55824 | 33623 |
| JPY | 1280329 | 5YR Interest Rate Swap Receive JPY Call | GST | 1Y | 1.45% | 02/05/2030 | 21909 | 14298 |
| JPY | 1486709 | 5YR Interest Rate Swap Receive JPY Call | GST | 1Y | 1.77% | 09/05/2030 | 29236 | 26348 |
| JPY | 1784051 | 5YR Interest Rate Swap Receive JPY Call | GST | 1Y | 1.77% | 09/05/2030 | 34577 | 31617 |
| USD | 29450000 | CDX NA IG Series 45 Version 1 Index | GST | 3M | 70.00% | 02/18/2026 | 37519 | 37346 |
|  |  | **Total Purchased Swaptions Contracts** |  |  |  |  | 2669977 | 2242820 |
|  |  | &nbsp;&nbsp;&nbsp;**Total Investments (511.04%)** |  |  |  |  | $254510605 | $252502999 |
|  |  | &nbsp;&nbsp;&nbsp;**Net Other Assets and Other Liabilities ((411.04)%)** |  |  |  |  |  | $(203093545) |
|  |  | &nbsp;&nbsp;&nbsp;**Net Assets (100.00%)** |  |  |  |  |  | $49409454 |

---

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

The percentage shown for each investment category reflects the value of investments in that category as a percentage of total net assets.

---

| | |
|:---|:---|
| \* | Variable or Floating Rate Security. Rate disclosed is based on the latest available information as of October 31, 2025. |
| ~ | Perpetual Maturity. Maturity date presented represents the next call date. |
| + | Zero-coupon bond. Rate represents annualized yield at period end. |
| ± | When Issued Security. |
| « | Inflation linked securities issued by foreign entities in which the principal amount is indexed for inflation or deflation periodically. |
| (A) | At October 31, 2025, security (or a portion thereof) was pledged as collateral for securities sold short. The aggregate value of securities pledged as collateral for securities sold short is $247,997,603, which represents 502% of net assets. |
| (B) | At October 31, 2025, security (or a portion thereof) was pledged as collateral for OTC derivatives. The aggregate value of securities pledged as collateral for open OTC derivatives is $20,987,335, which represents 42% of net assets. |
| (C) | Security purchased under forward delivery commitments due within 60 days after October 31, 2025. The purchase price of the security and the date of delivery were fixed at the time the transaction was negotiated. |
| (D) | Due to deposit rate cuts by central banks, rates may be negative. |

---

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

---

| | |
|:---|:---|
| 144A | Unregistered securities exempt in an institutional sale from the registration and prospectus delivery requirement of the Securities Act of 1933, as specified in SEC Rule 144A. |
| 1Y | Annually |
| 3M | Quarterly |
| AMX | Armenia Stock Exchange |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

---

| | |
|:---|:---|
| BCY | Barclays Bank PLC |
| BOA | Bank of America NA |
| CBK | Citibank NA |
| CBOE | Chicago Board Options Exchange |
| CBT | Chicago Board of Trade |
| CHX | Chicago Stock Exchange |
| CME | Chicago Mercantile Exchange |
| CPI | Consumer Price Index |
| DBF | Deutsche Bank AG |
| ETF | Exchange Traded Fund |
| GST | Goldman Sachs International |
| HUS | HSBC Bank USA NA |
| ICE | Intercontinental Exchange |
| IG | Investment Grade |
| ISE | Indonesia Stock Exchange |
| LLC | Limited Liability Company |
| LP | Limited Partnership |
| MSI | Morgan Stanley & Co. International PLC |
| NYBOT | New York Board of Trade |
| NYSE | New York Stock Exchange |
| OAT | French Treasury Bond |
| OM | Once at maturity |
| OPR | Options Price Reporting Authority |
| PAR | BNP Paribas |
| PIK | Payment-in-Kind security. Security that pays interest in the form of cash or additional debt securities. |
| PLC | Public Limited Company |
| PSE | Philippine Stock Exchange |
| REG S | Unregistered securities exempt in a sale of non-US securities from the registration and prospectus delivery requirement of the Securities Act of 1933, as specified in SEC Regulation S. |
| SA | French Public Limited Company |
| SOFR | Secured Overnight Financing Rate |
| SONIA | Sterling Overnight Index Average |
| SpA | Italian Public Limited Company |
| TBA | (To Be Announced) commitment to purchase or sell securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the face amount has not been finalized. |
| UBS | UBS AG |

---

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

---

| | | | |
|:---|:---|:---|:---|
| AUD | Australian Dollar | INR | Indian Rupee |
| BRL | Brazilian Real | JPY | Japanese Yen |
| CAD | Canadian Dollar | KRW | South Korean Won |
| CHF | Swiss Franc | NZD | New Zealand Dollar |
| CNH | Chinese Yuan Offshore Renminbi | SEK | Swedish Krona |
| EUR | Euro | USD | United States Dollar |
| GBP | Great Britain Pound |  |  |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

---

| | | |
|:---|:---|:---|
| **Concentration by Industry**<br>**Industry** |<br>**% of Net Assets** |<br>**Fair**<br> **Value** |
| Foreign Government Obligations | 370.37% | $182994778 |
| United States Government and Agency Obligations | 54.19 | 26775624 |
| U.S. Government Securities | 29.05 | 14350832 |
| Financial | 16.25 | 8029659 |
| Communications | 11.25 | 5556608 |
| Energy | 7.58 | 3751283 |
| Purchased Swaptions Contracts | 4.54 | 2242820 |
| Technology | 4.05 | 2000756 |
| Consumer Cyclical | 3.07 | 1523701 |
| Options on Exchange Traded Funds | 2.60 | 1284535 |
| Industrial | 2.07 | 1019007 |
| Consumer Non-cyclical | 1.40 | 693428 |
| Basic Materials | 0.79 | 392304 |
| Options on Equity Indices | 0.71 | 350559 |
| Options on Securities | 0.66 | 328516 |
| Ground Transportation | 0.49 | 240625 |
| Banks | 0.43 | 216580 |
| Utilities | 0.38 | 185551 |
| Construction & Engineering | 0.31 | 154615 |
| Options on Exchange Traded Futures Contracts | 0.30 | 146923 |
| Foreign Currency Options | 0.26 | 126693 |
| Media | 0.08 | 39353 |
| Metals & Mining | 0.07 | 32678 |
| Options on Commodity Indices | 0.05 | 25350 |
| Oil, Gas & Consumable Fuels | 0.05 | 22975 |
| Textiles, Apparel & Luxury Goods | 0.04 | 17246 |
| Total Investments | 511.04% | $252502999 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

**Derivative Assets**

**Swap Contracts**

**Bi-Lateral Credit Default Swaps**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Expiration**<br> **Date** | **Counter-**<br> **party** | **Receive**<br> **(Pay)** | **Reference**<br> **Obligation** | **Buy/Sell**<br> **Protection** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | 20000 | 07/09/2029 3M | DBF | 5.00% | Argentina Republic Government International Bonds | Buy | $4861 | $1977 | $(2884) |
| USD | 85000 | 06/22/2030 3M | BOA | 1.00% | Republic of South Africa Government International Bonds | Buy | 2577 | 1895 | (682) |
| USD | 255000 | 12/20/2030 3M | MSI | 1.00% | Penerbangan Malaysia Bhd. | Sell | 7172 | 7630 | 458 |
| USD | 255000 | 12/20/2030 3M | JPM | 1.00% | Penerbangan Malaysia Bhd. | Sell | 7235 | 7630 | 395 |
| USD | 530000 | 12/20/2030 3M | DBF | 1.00% | Penerbangan Malaysia Bhd. | Sell | 15166 | 15859 | 693 |
| USD | 5000 | 07/28/2031 3M | DBF | 1.00% | Indonesia Government International Bonds | Sell | 39 | 67 | 28 |
| USD | 10000 | 07/28/2031 3M | GST | 1.00% | Indonesia Government International Bonds | Sell | 89 | 133 | 44 |
| USD | 10000 | 07/28/2031 3M | MSI | 1.00% | Indonesia Government International Bonds | Sell | 89 | 133 | 44 |
| USD | 15000 | 07/28/2031 3M | BOA | 1.00% | Indonesia Government International Bonds | Sell | 110 | 200 | 90 |
| USD | 25000 | 07/28/2031 3M | BCY | 1.00% | Indonesia Government International Bonds | Sell | 196 | 333 | 137 |
| **Total Bi-Lateral Credit Default Swaps** | **Total Bi-Lateral Credit Default Swaps** | **Total Bi-Lateral Credit Default Swaps** | **Total Bi-Lateral Credit Default Swaps** | **Total Bi-Lateral Credit Default Swaps** | **Total Bi-Lateral Credit Default Swaps** | **Total Bi-Lateral Credit Default Swaps** | $37534 | $35857 | $(1677) |

---

**Centrally Cleared Credit Default Swaps**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Expiration**<br> **Date** | **Receive**<br> **(Pay)** | **Reference**<br> **Obligation** | **Buy/Sell**<br> **Protection** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | 3490000 | 12/20/2030 3M ICE | 1.00% | CDX EM Series 44 Version 1 Index | Buy | $62003 | $52750 | $(9253) |

---

**Centrally Cleared Interest Rate Swaps**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Expiration**<br> **Date** | **Fixed**<br> **Rate** | **Pay/Receive**<br> **Variable Rate** | **Variable**<br> **Rate** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| MXN | 3110204 | 12/16/2026 1M CME | 7.07% | Receive | 28 Day MXN TIIE Banxico | $15 | $3856 | $3841 |
| NOK | 971693 | 12/17/2026 3M LCH | 4.00% | Receive | 12 Month NOK NIBOR NIBR | (97) | 1349 | 1446 |
| SEK | 1382724 | 12/17/2026 3M LCH | 1.91% | Receive | 12 Month SEK STIBOR | 857 | 1613 | 756 |
| EUR | 1824854 | 12/17/2026 6M LCH | 1.88% | Receive | 12 Month EUR EURIBOR | 2088 | 4244 | 2156 |
| BRL | 317197 | 01/04/2027 1M CME | 13.97% | Pay | BRL CDI | 0 | 327 | 327 |
| SGD | 472056 | 03/18/2027 6M LCH | 1.19% | Receive | 6 Month SGD SOR Telerate | 7 | 329 | 322 |
| NZD | 476144 | 03/18/2027 6M LCH | 2.50% | Pay | 6 Month NZD BBR FRA | 3 | 274 | 271 |
| ZAR | 1040422 | 03/18/2027 3M LCH | 6.75% | Pay | 3 Month ZAR JIBAR SAFEX | (35) | 1703 | 1738 |
| EUR | 667095 | 06/17/2027 6M LCH | 1.91% | Receive | 12 Month EUR EURIBOR | 2218 | 1330 | (888) |
| SEK | 796172 | 06/17/2027 3M LCH | 1.97% | Receive | 12 Month SEK STIBOR | 3267 | 1032 | (2235) |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

**Derivative Assets**

**Swap Contracts (continued)**

**Centrally Cleared Interest Rate Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Expiration**<br> **Date** | **Fixed**<br> **Rate** | **Pay/Receive**<br> **Variable Rate** | **Variable**<br> **Rate** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| MXN | 496563 | 12/15/2027 1M CME | 7.53% | Pay | 28 Day MXN TIIE Banxico | $0 | $2948 | $2948 |
| MXN | 496563 | 12/15/2027 1M CME | 7.54% | Pay | 28 Day MXN TIIE Banxico | 0 | 3013 | 3013 |
| MXN | 787007 | 12/15/2027 1M CME | 7.07% | Receive | 28 Day MXN TIIE Banxico | 120 | 1183 | 1063 |
| MXN | 2537515 | 12/15/2027 1M CME | 7.36% | Pay | 28 Day MXN TIIE Banxico | 298 | 6993 | 6695 |
| COP | 7722 | 12/17/2027 3M CME | 8.25% | Receive | 3 Month COP IBR OIS Compound | 0 | 122 | 122 |
| HUF | 79990 | 12/17/2027 6M LCH | 6.06% | Receive | 12 Month HUF BUBOR | 0 | 273 | 273 |
| CNY | 134168 | 12/17/2027 3M LCH | 1.48% | Receive | 3 Month CNY CNREPOFIX | 0 | 86 | 86 |
| COP | 134599 | 12/17/2027 3M CME | 8.27% | Receive | 3 Month COP IBR OIS Compound | 0 | 2073 | 2073 |
| COP | 136349 | 12/17/2027 3M CME | 8.28% | Receive | 3 Month COP IBR OIS Compound | 0 | 2048 | 2048 |
| HUF | 182464 | 12/17/2027 6M LCH | 6.23% | Receive | 12 Month HUF BUBOR | 0 | 68 | 68 |
| COP | 215842 | 12/17/2027 3M CME | 8.27% | Receive | 3 Month COP IBR OIS Compound | 0 | 3337 | 3337 |
| HUF | 290525 | 12/17/2027 6M LCH | 6.08% | Receive | 12 Month HUF BUBOR | 0 | 883 | 883 |
| COP | 326174 | 12/17/2027 3M CME | 8.36% | Receive | 3 Month COP IBR OIS Compound | 0 | 4427 | 4427 |
| COP | 365427 | 12/17/2027 3M CME | 8.35% | Receive | 3 Month COP IBR OIS Compound | 0 | 4939 | 4939 |
| ZAR | 382030 | 12/17/2027 3M LCH | 6.53% | Receive | 3 Month ZAR JIBAR SAFEX | 0 | 325 | 325 |
| ZAR | 428395 | 12/17/2027 3M LCH | 6.52% | Receive | 3 Month ZAR JIBAR SAFEX | 0 | 508 | 508 |
| SGD | 682702 | 12/17/2027 6M LCH | 1.62% | Pay | 6 Month SGD SOR Telerate | 1 | 4205 | 4204 |
| GBP | 1261991 | 12/17/2027 1Y LCH | 3.69% | Pay | 12 Month GBP WMBA SONIA Compound | 1225 | 4413 | 3188 |
| NZD | 3088343 | 12/17/2027 6M LCH | 3.38% | Pay | 6 Month NZD BBR FRA | 2801 | 44843 | 42042 |
| EUR | 27261898 | 12/17/2027 1Y LCH | 1.94% | Pay | 12 Month EUR STR | 2197 | 27737 | 25540 |
| ZAR | 705530 | 03/17/2028 3M LCH | 6.78% | Pay | 3 Month ZAR JIBAR SAFEX | (27) | 1638 | 1665 |
| PLN | 1143793 | 03/17/2028 1Y LCH | 3.82% | Pay | 12 Month PLN WIBOR WIBO | 52 | 616 | 564 |
| MYR | 249172 | 03/18/2028 3M LCH | 3.16% | Receive | 3 Month MYR KLIBOR BNM | 0 | 161 | 161 |
| HUF | 333147 | 03/18/2028 6M LCH | 6.03% | Receive | 12 Month HUF BUBOR | 0 | 860 | 860 |
| KRW | 352150 | 03/18/2028 3M LCH | 2.49% | Receive | 3 Month KRW CD KSDA | 0 | 975 | 975 |
| USD | 418882 | 03/18/2028 1Y LCH | 3.09% | Receive | 12 Month USD SOFR | (118) | 1393 | 1511 |
| KRW | 458082 | 03/18/2028 3M LCH | 2.51% | Receive | 3 Month KRW CD KSDA | 0 | 1141 | 1141 |
| HUF | 469725 | 03/18/2028 6M LCH | 6.04% | Receive | 12 Month HUF BUBOR | 0 | 1154 | 1154 |
| KRW | 591613 | 03/18/2028 3M LCH | 2.49% | Receive | 3 Month KRW CD KSDA | 0 | 1638 | 1638 |
| HUF | 651535 | 03/18/2028 6M LCH | 6.10% | Receive | 12 Month HUF BUBOR | 0 | 859 | 859 |
| PLN | 824151 | 03/18/2028 1Y LCH | 3.97% | Pay | 12 Month PLN WIBOR WIBO | (6) | 2263 | 2269 |
| AUD | 1841247 | 03/18/2028 3M LCH | 3.28% | Receive | 3 Month AUD BBR BBSW | 1176 | 8715 | 7539 |
| CAD | 2612103 | 03/18/2028 6M LCH | 2.38% | Pay | CAD CORRA | (456) | 3430 | 3886 |
| ILS | 2874539 | 03/18/2028 1Y LCH | 3.70% | Pay | 1 day ILS SHIR | 0 | 10245 | 10245 |
| EUR | 851352 | 03/04/2029 1Y LCH | 2.25% | Pay | 12 Month EUR EURIBOR | 47 | 645 | 598 |
| EUR | 3203651 | 07/30/2029 1Y LCH | 2.47% | Pay | 12 Month EUR EURIBOR | (1188) | 6377 | 7565 |
| SEK | 424198 | 12/16/2029 1Y LCH | 2.56% | Pay | 12 Month SEK STIBOR | (184) | 2425 | 2609 |
| NOK | 601247 | 12/16/2029 6M LCH | 3.59% | Receive | 12 Month NOK NIBOR NIBR | 6833 | 4262 | (2571) |
| COP | 337890 | 03/17/2030 3M CME | 9.03% | Receive | 3 Month COP IBR OIS Compound | (388) | 1432 | 1820 |
| GBP | 2551435 | 04/15/2030 1M LCH | 3.48% | Pay | U.K. Retail Price Index | 1483 | 1640 | 157 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

**Derivative Assets**

**Swap Contracts (continued)**

**Centrally Cleared Interest Rate Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Expiration**<br> **Date** | **Fixed**<br> **Rate** | **Pay/Receive**<br> **Variable Rate** | **Variable**<br> **Rate** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| EUR | 2258698 | 06/15/2030 1M LCH | 1.76% | Receive | Eurostat Eurozone HICP ex-Tobacco NSA | $4497 | $10514 | $6017 |
| GBP | 2457843 | 06/15/2030 1M LCH | 3.30% | Pay | U.K. Retail Price Index | (4488) | 11376 | 15864 |
| NZD | 861652 | 06/16/2030 6M LCH | 3.78% | Pay | 6 Month NZD BBR FRA | 5940 | 11468 | 5528 |
| EUR | 1144000 | 06/16/2030 6M LCH | 2.03% | Receive | 12 Month EUR EURIBOR | 12030 | 13167 | 1137 |
| MXN | 139096 | 09/11/2030 1M CME | 7.94% | Pay | 28 Day MXN TIIE Banxico | 0 | 805 | 805 |
| PLN | 120332 | 09/15/2030 1Y LCH | 4.13% | Pay | 12 Month PLN WIBOR WIBO | 0 | 239 | 239 |
| CLP | 276810 | 09/15/2030 6M CME | 5.03% | Pay | 6 Month CLP TNA ABIF | 0 | 387 | 387 |
| MXN | 186388 | 12/11/2030 1M CME | 7.76% | Pay | 28 Day MXN TIIE Banxico | 0 | 1841 | 1841 |
| SGD | 16337 | 12/17/2030 6M LCH | 1.97% | Pay | 6 Month SGD SOR Telerate | 0 | 320 | 320 |
| PLN | 60853 | 12/17/2030 1Y LCH | 4.10% | Pay | 12 Month PLN WIBOR WIBO | 0 | 252 | 252 |
| INR | 66728 | 12/17/2030 6M LCH | 5.74% | Pay | 6 Month INR FBIL MIBOR OIS Compound | 0 | 196 | 196 |
| HUF | 70933 | 12/17/2030 6M LCH | 6.25% | Receive | 12 Month HUF BUBOR | 0 | 95 | 95 |
| SGD | 116275 | 12/17/2030 6M LCH | 1.58% | Pay | 6 Month SGD SOR Telerate | 0 | 166 | 166 |
| SGD | 142824 | 12/17/2030 6M LCH | 1.63% | Pay | 6 Month SGD SOR Telerate | 0 | 511 | 511 |
| PLN | 165070 | 12/17/2030 1Y LCH | 4.07% | Pay | 12 Month PLN WIBOR WIBO | 0 | 483 | 483 |
| HUF | 255300 | 12/17/2030 6M LCH | 6.20% | Receive | 12 Month HUF BUBOR | 0 | 930 | 930 |
| PLN | 266957 | 12/17/2030 1Y LCH | 4.02% | Pay | 12 Month PLN WIBOR WIBO | 0 | 182 | 182 |
| NZD | 596846 | 12/17/2030 6M LCH | 3.63% | Pay | 6 Month NZD BBR FRA | 9969 | 14597 | 4628 |
| SEK | 3193191 | 12/17/2030 3M LCH | 2.28% | Receive | 12 Month SEK STIBOR | 12249 | 15088 | 2839 |
| CHF | 5355921 | 12/17/2030 1Y LCH | 0.16% | Pay | 12 Month CHF SARON | (1876) | 10309 | 12185 |
| BRL | 118629 | 01/02/2031 1M CME | 13.22% | Receive | BRL CDI | 0 | 49 | 49 |
| CAD | 299734 | 03/15/2031 6M LCH | 2.72% | Pay | CAD CORRA | 118 | 173 | 55 |
| CZK | 77265 | 03/18/2031 6M LCH | 3.83% | Receive | 12 Month CZK PRIBOR PRBO | (3) | 381 | 384 |
| JPY | 88684 | 03/18/2031 1Y LCH | 1.13% | Receive | 12 Month JPY TONA | 104 | 483 | 379 |
| MYR | 111572 | 03/18/2031 3M LCH | 3.27% | Receive | 3 Month MYR KLIBOR BNM | 0 | 29 | 29 |
| MYR | 148007 | 03/18/2031 3M LCH | 3.20% | Receive | 3 Month MYR KLIBOR BNM | 0 | 539 | 539 |
| PLN | 214794 | 03/18/2031 1Y LCH | 4.17% | Pay | 12 Month PLN WIBOR WIBO | (2) | 1545 | 1547 |
| NOK | 215337 | 03/18/2031 1Y LCH | 3.94% | Pay | 12 Month NOK NIBOR NIBR | 76 | 87 | 11 |
| HUF | 383066 | 03/18/2031 6M LCH | 6.25% | Receive | 12 Month HUF BUBOR | 0 | 541 | 541 |
| GBP | 424489 | 03/18/2031 1Y LCH | 3.78% | Pay | 12 Month GBP WMBA SONIA Compound | 2837 | 3210 | 373 |
| USD | 653798 | 03/18/2031 1Y LCH | 3.19% | Receive | 12 Month USD SOFR | 4798 | 5795 | 997 |
| EUR | 5848 | 01/10/2035 6M LCH | 2.66% | Receive | 12 Month EUR EURIBOR | 42 | 57 | 15 |
| EUR | 441070 | 02/26/2035 6M LCH | 2.56% | Receive | 12 Month EUR EURIBOR | 479 | 1365 | 886 |
| USD | 4882432 | 03/03/2035 1M LCH | 2.49% | Receive | U.S. CPI Urban Consumers NSA | (3568) | 8546 | 12114 |
| CLP | 80187 | 03/20/2035 6M CME | 6.02% | Pay | 6 Month CLP TNA ABIF | (3) | 1162 | 1165 |
| SEK | 4741248 | 05/11/2035 1Y LCH | 2.72% | Pay | 12 Month SEK STIBOR | 29402 | 26846 | (2556) |
| CZK | 81937 | 09/18/2035 6M LCH | 4.19% | Receive | 12 Month CZK PRIBOR PRBO | 0 | 811 | 811 |
| KRW | 100402 | 09/18/2035 3M LCH | 2.86% | Receive | 3 Month KRW CD KSDA | 0 | 810 | 810 |
| KRW | 129296 | 09/18/2035 3M LCH | 2.83% | Receive | 3 Month KRW CD KSDA | 0 | 1172 | 1172 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

**Derivative Assets**

**Swap Contracts (continued)**

**Centrally Cleared Interest Rate Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Expiration**<br> **Date** | **Fixed**<br> **Rate** | **Pay/Receive**<br> **Variable Rate** | **Variable**<br> **Rate** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | 459181 | 09/18/2035 1Y LCH | 4.06% | Pay | 12 Month USD SOFR | $(3181) | $1415 | $4596 |
| KRW | 29359 | 12/17/2035 3M LCH | 2.67% | Receive | 3 Month KRW CD KSDA | 0 | 646 | 646 |
| CZK | 38109 | 12/17/2035 6M LCH | 4.03% | Receive | 12 Month CZK PRIBOR PRBO | 0 | 438 | 438 |
| PLN | 85951 | 12/17/2035 1Y LCH | 4.45% | Pay | 12 Month PLN WIBOR WIBO | 0 | 467 | 467 |
| ZAR | 102808 | 12/17/2035 3M LCH | 7.98% | Pay | 3 Month ZAR JIBAR SAFEX | 0 | 749 | 749 |
| ZAR | 115594 | 12/17/2035 3M LCH | 7.97% | Pay | 3 Month ZAR JIBAR SAFEX | 0 | 780 | 780 |
| CZK | 161170 | 12/17/2035 6M LCH | 3.72% | Receive | 12 Month CZK PRIBOR PRBO | 6 | 6235 | 6229 |
| NZD | 203010 | 12/17/2035 6M LCH | 3.94% | Pay | 6 Month NZD BBR FRA | 1376 | 4252 | 2876 |
| AUD | 224227 | 12/17/2035 6M LCH | 4.19% | Receive | 3 Month AUD BBR BBSW | 1201 | 2990 | 1789 |
| EUR | 2260239 | 12/17/2035 1Y LCH | 2.56% | Pay | 12 Month EUR STR | 1055 | 19114 | 18059 |
| HUF | 18635 | 12/18/2035 6M LCH | 7.03% | Receive | 12 Month HUF BUBOR | 0 | 5 | 5 |
| HUF | 169152 | 12/18/2035 6M LCH | 7.02% | Receive | 12 Month HUF BUBOR | 0 | 100 | 100 |
| EUR | 230622 | 12/18/2035 1Y LCH | 3.09% | Pay | 12 Month EUR EURIBOR | 1 | 828 | 827 |
| KRW | 238388 | 12/18/2035 3M LCH | 2.90% | Receive | 3 Month KRW CD KSDA | 0 | 1557 | 1557 |
| KRW | 279534 | 12/18/2035 3M LCH | 2.86% | Receive | 3 Month KRW CD KSDA | 0 | 2304 | 2304 |
| HUF | 77036 | 03/18/2036 1Y LCH | 6.62% | Pay | 12 Month HUF BUBOR | 0 | 19 | 19 |
| CLP | 82307 | 03/18/2036 6M CME | 5.23% | Receive | 6 Month CLP TNA ABIF | 0 | 324 | 324 |
| ZAR | 91694 | 03/18/2036 3M LCH | 8.06% | Pay | 3 Month ZAR JIBAR SAFEX | 0 | 657 | 657 |
| HUF | 155527 | 03/18/2036 1Y LCH | 6.65% | Pay | 12 Month HUF BUBOR | 0 | 318 | 318 |
| GBP | 167509 | 03/18/2036 1Y LCH | 4.16% | Pay | 12 Month GBP WMBA SONIA Compound | 319 | 2732 | 2413 |
| ZAR | 190024 | 03/18/2036 3M LCH | 8.42% | Pay | 3 Month ZAR JIBAR SAFEX | (27) | 6283 | 6310 |
| NOK | 265831 | 03/18/2036 6M LCH | 3.91% | Receive | 12 Month NOK NIBOR NIBR | 1614 | 1635 | 21 |
| CAD | 331250 | 03/18/2036 6M LCH | 2.91% | Pay | CAD CORRA | (1274) | 134 | 1408 |
| SGD | 424687 | 03/18/2036 6M LCH | 1.87% | Receive | 6 Month SGD SOR Telerate | (2) | 520 | 522 |
| KRW | 896626 | 03/18/2036 3M LCH | 2.73% | Receive | 3 Month KRW CD KSDA | (505) | 16088 | 16593 |
| SEK | 1764771 | 03/18/2036 3M LCH | 2.66% | Receive | 12 Month SEK STIBOR | (1642) | 12338 | 13980 |
| HUF | 141145 | 03/19/2036 1Y LCH | 7.08% | Pay | 12 Month HUF BUBOR | 0 | 16 | 16 |
| ZAR | 278809 | 03/19/2036 3M LCH | 9.40% | Receive | 3 Month ZAR JIBAR SAFEX | 0 | 116 | 116 |
| NOK | 777838 | 03/19/2036 6M LCH | 4.03% | Receive | 12 Month NOK NIBOR NIBR | (829) | 480 | 1309 |
| GBP | 814009 | 03/19/2036 1Y LCH | 4.63% | Pay | 12 Month GBP WMBA SONIA Compound | 768 | 7643 | 6875 |
| EUR | 1115301 | 05/07/2038 6M LCH | 2.59% | Receive | 12 Month EUR EURIBOR | 14863 | 17040 | 2177 |
| EUR | 442648 | 02/04/2043 6M LCH | 1.25% | Receive | 12 Month EUR EURIBOR | 71830 | 91787 | 19957 |
| USD | 1342000 | 09/09/2045 1Y LCH | 4.55% | Pay | 12 Month USD SOFR | 0 | 7232 | 7232 |
| EUR | 1592714 | 03/04/2053 6M LCH | 2.88% | Receive | 12 Month EUR EURIBOR | (3009) | 6386 | 9395 |
| USD | 1365402 | 11/15/2053 1Y CME | 3.97% | Pay | 12 Month USD SOFR | 1598 | 1598 | 0 |
| EUR | 70895 | 08/01/2055 6M LCH | 2.97% | Receive | 12 Month EUR EURIBOR | (27) | 1052 | 1079 |
| EUR | 7619852 | 09/25/2055 1Y LCH | 2.84% | Pay | 12 Month EUR STR | 31236 | 10041 | (21195) |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

**Derivative Assets**

**Swap Contracts (continued)**

**Centrally Cleared Interest Rate Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Expiration**<br> **Date** | **Fixed**<br> **Rate** | **Pay/Receive**<br> **Variable Rate** | **Variable**<br> **Rate** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| EUR | 372878 | 10/26/2057 6M LCH | 2.28% | Receive | 12 Month EUR EURIBOR | $0 | $53822 | $53822 |
| EUR | 1120927 | 03/19/2075 6M LCH | 2.00% | Receive | 12 Month EUR EURIBOR | 3323 | 260039 | 256716 |
| **Total Centrally Cleared Interest Rate Swaps** | **Total Centrally Cleared Interest Rate Swaps** | **Total Centrally Cleared Interest Rate Swaps** | **Total Centrally Cleared Interest Rate Swaps** | **Total Centrally Cleared Interest Rate Swaps** | **Total Centrally Cleared Interest Rate Swaps** | $213484 | $869057 | $655573 |

---

**Total Return Swaps**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| AUD | 235920 | 05/15/2033 1M | MSI | 1 day AUD AONIA | Challenger Ltd. | $0 | $9381 | $9381 |
| HKD | 392300 | 05/20/2033 1M | GST | 1 day HKD HONIA | Alibaba Group Holding Ltd. | 0 | 7590 | 7590 |
| HKD | 212113 | 05/15/2033 1M | MSI | 1 day HKD HONIA | Alibaba Group Holding Ltd. | 0 | 4509 | 4509 |
| HKD | 31049 | 05/15/2033 1M | MSI | 1 day HKD HONIA | Tencent Holdings Ltd. | 0 | 170 | 170 |
| HKD | 33927 | 05/20/2033 1M | GST | 1 day HKD HONIA | Tencent Holdings Ltd. | 0 | 159 | 159 |
| ILS | 125405 | 05/15/2033 1M | MSI | 1 day ILS SHIR | Bank Leumi Le-Israel BM | 0 | 3587 | 3587 |
| ILS | 46603 | 05/20/2033 1M | GST | 1 day ILS SHIR | Phoenix Financial Ltd. | 0 | 725 | 725 |
| USD | 1351988 | 05/15/2033 1M | MSI | 1 day USD OBFR | Amazon.com, Inc. | 0 | 68396 | 68396 |
| USD | 1269991 | 05/20/2033 1M | GST | 1 day USD OBFR | NVIDIA Corp. | 0 | 33234 | 33234 |
| USD | 127779 | 05/15/2033 1M | MSI | 1 day USD OBFR | Cactus, Inc. | 0 | 30040 | 30040 |
| USD | 234596 | 05/05/2028 1M | JPM | 1 day USD OBFR | Amazon.com, Inc. | 0 | 24766 | 24766 |
| USD | 335676 | 05/20/2033 1M | GST | 1 day USD OBFR | Amazon.com, Inc. | 0 | 24304 | 24304 |
| USD | 250665 | 05/05/2028 1M | JPM | 1 day USD OBFR | NVIDIA Corp. | 0 | 22899 | 22899 |
| USD | 69557 | 05/15/2033 1M | MSI | 1 day USD OBFR | SK Hynix, Inc. | 0 | 21747 | 21747 |
| USD | 36017 | 05/15/2033 1M | MSI | 1 day USD OBFR | IsuPetasys Co., Ltd. | 0 | 16386 | 16386 |
| USD | 192831 | 05/15/2033 1M | MSI | 1 day USD OBFR | Lam Research Corp. | 0 | 16276 | 16276 |
| USD | 33183 | 05/05/2028 1M | JPM | 1 day USD OBFR | Celestica, Inc. | 0 | 15389 | 15389 |
| USD | 140417 | 05/20/2033 1M | GST | 1 day USD OBFR | Snowflake, Inc. | 0 | 15165 | 15165 |
| USD | 61523 | 05/15/2033 1M | MSI | 1 day USD OBFR | Celestica, Inc. | 0 | 14607 | 14607 |
| USD | 50922 | 05/15/2033 1M | MSI | 1 day USD OBFR | Lumentum Holdings, Inc. | 0 | 13980 | 13980 |
| USD | 131078 | 05/20/2033 1M | GST | 1 day USD OBFR | MongoDB, Inc. | 0 | 12850 | 12850 |
| USD | 32619 | 05/15/2033 1M | MSI | 1 day USD OBFR | ASE Technology Holding Co., Ltd. | 0 | 12808 | 12808 |
| USD | 100525 | 05/15/2033 1M | MSI | 1 day USD OBFR | NVIDIA Corp. | 0 | 12667 | 12667 |
| USD | 1081638 | 05/20/2033 1M | GST | 1 day USD OBFR | Morgan Stanley | 0 | 11652 | 11652 |
| USD | 52962 | 05/20/2033 1M | GST | 1 day USD OBFR | WESCO International, Inc. | 0 | 9845 | 9845 |
| USD | 39570 | 05/20/2033 1M | GST | 1 day USD OBFR | Wayfair, Inc. | 0 | 9701 | 9701 |
| USD | 294308 | 05/15/2033 1M | MSI | 1 day USD OBFR | Emirates NBD Bank PJSC | 0 | 9580 | 9580 |
| USD | 241928 | 05/15/2033 1M | MSI | 1 day USD OBFR | Broadcom, Inc. | 0 | 9420 | 9420 |
| USD | 210260 | 05/05/2028 1M | JPM | 1 day USD OBFR | Morgan Stanley | 0 | 9190 | 9190 |
| USD | 49742 | 05/15/2033 1M | MSI | 1 day USD OBFR | Chroma ATE, Inc. | 0 | 9183 | 9183 |
| USD | 134024 | 05/20/2033 1M | GST | 1 day USD OBFR | Alphabet, Inc. | 0 | 9141 | 9141 |
| USD | 822781 | 05/20/2033 1M | GST | 1 day USD OBFR | Wells Fargo & Co. | 0 | 9087 | 9087 |
| USD | 825459 | 05/15/2033 1M | MSI | 1 day USD OBFR | Goldman Sachs Group, Inc. | 0 | 8906 | 8906 |
| USD | 390027 | 05/15/2033 1M | MSI | 1 day USD OBFR | Targa Resources Corp. | 0 | 8891 | 8891 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | 62624 | 05/15/2033 1M | MSI | 1 day USD OBFR | Snowflake, Inc. | $0 | $8845 | $8845 |
| USD | 29522 | 05/05/2028 1M | JPM | 1 day USD OBFR | SK Hynix, Inc. | 0 | 8716 | 8716 |
| USD | 123721 | 05/20/2033 1M | GST | 1 day USD OBFR | Lam Research Corp. | 0 | 8388 | 8388 |
| USD | 43471 | 05/20/2033 1M | GST | 1 day USD OBFR | Cactus, Inc. | 0 | 8076 | 8076 |
| USD | 73665 | 05/15/2033 1M | MSI | 1 day USD OBFR | MercadoLibre, Inc. | 0 | 7789 | 7789 |
| USD | 372931 | 05/20/2033 1M | GST | 1 day USD OBFR | Bank of America Corp. | 0 | 7740 | 7740 |
| USD | 52562 | 05/20/2033 1M | GST | 1 day USD OBFR | Samsung Electro-Mechanics Co., Ltd. | 0 | 7701 | 7701 |
| USD | 211501 | 05/20/2033 1M | GST | 1 day USD OBFR | Stifel Financial Corp. | 0 | 7594 | 7594 |
| USD | 60854 | 05/05/2028 1M | JPM | 1 day USD OBFR | Alphabet, Inc. | 0 | 7475 | 7475 |
| USD | 58915 | 05/20/2033 1M | GST | 1 day USD OBFR | Lumentum Holdings, Inc. | 0 | 7196 | 7196 |
| USD | 76490 | 05/20/2033 1M | GST | 1 day USD OBFR | Caterpillar, Inc. | 0 | 6907 | 6907 |
| USD | 230316 | 05/15/2033 1M | MSI | 1 day USD OBFR | Five Below, Inc. | 0 | 6847 | 6847 |
| USD | 26499 | 05/05/2028 1M | JPM | 1 day USD OBFR | Lumentum Holdings, Inc. | 0 | 6758 | 6758 |
| USD | 54829 | 05/05/2028 1M | JPM | 1 day USD OBFR | Alphabet, Inc. | 0 | 6608 | 6608 |
| USD | 75398 | 05/05/2028 1M | JPM | 1 day USD OBFR | MercadoLibre, Inc. | 0 | 6056 | 6056 |
| USD | 28927 | 05/15/2033 1M | MSI | 1 day USD OBFR | Coherent Corp. | 0 | 5646 | 5646 |
| USD | 52363 | 05/20/2033 1M | GST | 1 day USD OBFR | Palantir Technologies, Inc. | 0 | 5573 | 5573 |
| USD | 106891 | 05/15/2033 1M | MSI | 1 day USD OBFR | DNOW, Inc. | 0 | 5505 | 5505 |
| USD | 235320 | 05/20/2033 1M | GST | 1 day USD OBFR | Vnom Sub, Inc. | 0 | 5252 | 5252 |
| USD | 125975 | 05/15/2033 1M | MSI | 1 day USD OBFR | Synopsys, Inc. | 0 | 5179 | 5179 |
| USD | 408907 | 05/15/2033 1M | MSI | 1 day USD OBFR | Wells Fargo & Co. | 0 | 5157 | 5157 |
| USD | 227074 | 05/15/2033 1M | MSI | 1 day USD OBFR | Saudi National Bank | 0 | 5063 | 5063 |
| USD | 11558 | 05/05/2028 1M | JPM | 1 day USD OBFR | ASE Technology Holding Co., Ltd. | 0 | 4891 | 4891 |
| USD | 69798 | 05/15/2033 1M | MSI | 1 day USD OBFR | Halliburton Co. | 0 | 4790 | 4790 |
| USD | 376997 | 05/15/2033 1M | MSI | 1 day USD OBFR | Permian Resources Corp. | 0 | 4701 | 4701 |
| USD | 106516 | 05/15/2033 1M | MSI | 1 day USD OBFR | Phillips 66 | 0 | 4574 | 4574 |
| USD | 42042 | 05/20/2033 1M | GST | 1 day USD OBFR | MercadoLibre, Inc. | 0 | 4503 | 4503 |
| USD | 236613 | 05/15/2033 1M | MSI | 1 day USD OBFR | Vnom Sub, Inc. | 0 | 4372 | 4372 |
| USD | 128067 | 05/15/2033 1M | MSI | 1 day USD OBFR | Canadian Natural Resources Ltd. | 0 | 4319 | 4319 |
| USD | 345096 | 05/20/2033 1M | GST | 1 day USD OBFR | Diamondback Energy, Inc. | 0 | 4288 | 4288 |
| USD | 405114 | 05/20/2033 1M | GST | 1 day USD OBFR | ARES Management Corp. | 0 | 4285 | 4285 |
| USD | 146505 | 05/05/2028 1M | JPM | 1 day USD OBFR | Taiwan Semiconductor Manufacturing Co., Ltd. | 0 | 4282 | 4282 |
| USD | 28762 | 05/15/2033 1M | MSI | 1 day USD OBFR | Structure Therapeutics, Inc. | 0 | 4025 | 4025 |
| USD | 43503 | 05/15/2033 1M | MSI | 1 day USD OBFR | First Solar, Inc. | 0 | 4012 | 4012 |
| USD | 65479 | 05/20/2033 1M | GST | 1 day USD OBFR | Alphabet, Inc. | 0 | 3975 | 3975 |
| USD | 205271 | 05/20/2033 1M | GST | 1 day USD OBFR | Broadcom, Inc. | 0 | 3939 | 3939 |
| USD | 34679 | 05/15/2033 1M | MSI | 1 day USD OBFR | Shopify, Inc. | 0 | 3918 | 3918 |
| USD | 61599 | 05/15/2033 1M | MSI | 1 day USD OBFR | Caterpillar, Inc. | 0 | 3917 | 3917 |
| USD | 191214 | 05/15/2033 1M | MSI | 1 day USD OBFR | Coterra Energy, Inc. | 0 | 3791 | 3791 |
| USD | 81234 | 05/20/2033 1M | GST | 1 day USD OBFR | Kinetik Holdings, Inc. | 0 | 3758 | 3758 |
| USD | 37566 | 05/15/2033 1M | MSI | 1 day USD OBFR | Arista Networks, Inc. | 0 | 3749 | 3749 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | 32750 | 05/20/2033 1M | GST | 1 day USD OBFR | Victory Giant Technology Huizhou Co., Ltd. | $0 | $3744 | $3744 |
| USD | 68468 | 05/05/2028 1M | JPM | 1 day USD OBFR | Marvell Technology, Inc. | 0 | 3711 | 3711 |
| USD | 44356 | 05/20/2033 1M | GST | 1 day USD OBFR | Zscaler, Inc. | 0 | 3660 | 3660 |
| USD | 191148 | 05/05/2028 1M | JPM | 1 day USD OBFR | Bank of New York Mellon Corp. | 0 | 3646 | 3646 |
| USD | 140977 | 05/15/2033 1M | MSI | 1 day USD OBFR | SLB Ltd. | 0 | 3587 | 3587 |
| USD | 57456 | 05/05/2028 1M | JPM | 1 day USD OBFR | HubSpot, Inc. | 0 | 3542 | 3542 |
| USD | 56528 | 05/05/2028 1M | JPM | 1 day USD OBFR | Lam Research Corp. | 0 | 3149 | 3149 |
| USD | 12876 | 05/20/2033 1M | GST | 1 day USD OBFR | ASE Technology Holding Co., Ltd. | 0 | 3095 | 3095 |
| USD | 51856 | 05/15/2033 1M | MSI | 1 day USD OBFR | Axis Capital Holdings Ltd. | 0 | 2841 | 2841 |
| USD | 55338 | 05/20/2033 1M | GST | 1 day USD OBFR | KLA Corp. | 0 | 2681 | 2681 |
| USD | 361030 | 05/15/2033 1M | MSI | 1 day USD OBFR | Diamondback Energy, Inc. | 0 | 2673 | 2673 |
| USD | 44303 | 05/15/2033 1M | MSI | 1 day USD OBFR | Marathon Petroleum Corp. | 0 | 2670 | 2670 |
| USD | 86652 | 05/15/2033 1M | MSI | 1 day USD OBFR | Vita Coco Co., Inc. | 0 | 2668 | 2668 |
| USD | 449954 | 05/15/2033 1M | MSI | 1 day USD OBFR | S&P Global, Inc. | 0 | 2664 | 2664 |
| USD | 27165 | 05/20/2033 1M | GST | 1 day USD OBFR | Coherent Corp. | 0 | 2658 | 2658 |
| USD | 34227 | 05/15/2033 1M | MSI | 1 day USD OBFR | Docusign, Inc. | 0 | 2636 | 2636 |
| USD | 95394 | 05/20/2033 1M | GST | 1 day USD OBFR | Targa Resources Corp. | 0 | 2591 | 2591 |
| USD | 158693 | 05/20/2033 1M | GST | 1 day USD OBFR | Permian Resources Corp. | 0 | 2527 | 2527 |
| USD | 44586 | 05/15/2033 1M | MSI | 1 day USD OBFR | Innovex International, Inc. | 0 | 2519 | 2519 |
| USD | 111775 | 05/15/2033 1M | MSI | 1 day USD OBFR | Bank of America Corp. | 0 | 2501 | 2501 |
| USD | 26868 | 05/20/2033 1M | GST | 1 day USD OBFR | Marvell Technology, Inc. | 0 | 2473 | 2473 |
| USD | 29780 | 05/20/2033 1M | GST | 1 day USD OBFR | Monday.com Ltd. | 0 | 2443 | 2443 |
| USD | 45699 | 05/15/2033 1M | MSI | 1 day USD OBFR | MRC Global, Inc. | 0 | 2414 | 2414 |
| USD | 35816 | 05/15/2033 1M | MSI | 1 day USD OBFR | Baker Hughes Co. | 0 | 2282 | 2282 |
| USD | 262940 | 05/20/2033 1M | GST | 1 day USD OBFR | TransUnion | 0 | 2193 | 2193 |
| USD | 8245 | 05/20/2033 1M | JPM | 1 day USD OBFR | Revolution Medicines, Inc. | 0 | 2170 | 2170 |
| USD | 76434 | 05/15/2033 1M | MSI | 1 day USD OBFR | Primoris Services Corp. | 0 | 2110 | 2110 |
| USD | 23031 | 05/20/2033 1M | GST | 1 day USD OBFR | HubSpot, Inc. | 0 | 2057 | 2057 |
| USD | 19230 | 05/15/2033 1M | MSI | 1 day USD OBFR | Huaming Power Equipment Co., Ltd. | 0 | 2051 | 2051 |
| USD | 102452 | 05/15/2033 1M | MSI | 1 day USD OBFR | Stifel Financial Corp. | 0 | 2003 | 2003 |
| USD | 97906 | 05/20/2033 1M | GST | 1 day USD OBFR | S&P Global, Inc. | 0 | 1972 | 1972 |
| USD | 151950 | 05/15/2033 1M | MSI | 1 day USD OBFR | Taiwan Semiconductor Manufacturing Co., Ltd. | 0 | 1842 | 1842 |
| USD | 158769 | 05/20/2033 1M | GST | 1 day USD OBFR | Chord Energy Corp. | 0 | 1805 | 1805 |
| USD | 28451 | 05/20/2033 1M | GST | 1 day USD OBFR | Contemporary Amperex Technology Co., Ltd. | 0 | 1779 | 1779 |
| USD | 40200 | 05/15/2033 1M | MSI | 1 day USD OBFR | Quanta Computer, Inc. | 0 | 1745 | 1745 |
| USD | 73499 | 05/20/2033 1M | GST | 1 day USD OBFR | Burlington Stores, Inc. | 0 | 1738 | 1738 |
| USD | 14223 | 05/20/2033 1M | GST | 1 day USD OBFR | AppLovin Corp. | 0 | 1710 | 1710 |
| USD | 137597 | 05/20/2033 1M | GST | 1 day USD OBFR | KeyCorp | 0 | 1663 | 1663 |
| USD | 46282 | 05/05/2028 1M | JPM | 1 day USD OBFR | CyberArk Software Ltd. | 0 | 1629 | 1629 |
| USD | 35209 | 05/05/2028 1M | JPM | 1 day USD OBFR | Ryanair Holdings PLC | 0 | 1529 | 1529 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | 12877 | 05/05/2028 1M | JPM | 1 day USD OBFR | MongoDB, Inc. | $0 | $1516 | $1516 |
| USD | 76071 | 05/20/2033 1M | GST | 1 day USD OBFR | Procore Technologies, Inc. | 0 | 1513 | 1513 |
| USD | 19963 | 05/20/2033 1M | GST | 1 day USD OBFR | Unity Software, Inc. | 0 | 1489 | 1489 |
| USD | 34383 | 05/05/2028 1M | JPM | 1 day USD OBFR | NEXTracker, Inc. | 0 | 1448 | 1448 |
| USD | 189843 | 05/05/2028 1M | JPM | 1 day USD OBFR | Marathon Petroleum Corp. | 0 | 1364 | 1364 |
| USD | 10889 | 05/15/2033 1M | MSI | 1 day USD OBFR | MongoDB, Inc. | 0 | 1345 | 1345 |
| USD | 22507 | 05/20/2033 1M | GST | 1 day USD OBFR | Advanced Micro Devices, Inc. | 0 | 1312 | 1312 |
| USD | 5581 | 05/20/2033 1M | GST | 1 day USD OBFR | Celestica, Inc. | 0 | 1308 | 1308 |
| USD | 69361 | 05/05/2028 1M | JPM | 1 day USD OBFR | S&P Global, Inc. | 0 | 1285 | 1285 |
| USD | 41210 | 05/20/2033 1M | GST | 1 day USD OBFR | Fox Corp. | 0 | 1265 | 1265 |
| USD | 8895 | 05/20/2033 1M | GST | 1 day USD OBFR | SK Hynix, Inc. | 0 | 1249 | 1249 |
| USD | 14765 | 05/15/2033 1M | MSI | 1 day USD OBFR | Samsung Electro-Mechanics Co., Ltd. | 0 | 1202 | 1202 |
| USD | 25871 | 05/20/2033 1M | GST | 1 day USD OBFR | Baker Hughes Co. | 0 | 1191 | 1191 |
| USD | 30429 | 05/05/2028 1M | JPM | 1 day USD OBFR | Innovex International, Inc. | 0 | 1181 | 1181 |
| USD | 36851 | 05/20/2033 1M | GST | 1 day USD OBFR | Reddit, Inc. | 0 | 1178 | 1178 |
| USD | 13816 | 05/15/2033 1M | MSI | 1 day USD OBFR | Luxshare Precision Industry Co., Ltd. | 0 | 1146 | 1146 |
| USD | 38730 | 05/05/2028 1M | JPM | 1 day USD OBFR | Dynatrace, Inc. | 0 | 1119 | 1119 |
| USD | 268595 | 05/20/2033 1M | GST | 1 day USD OBFR | Bank of New York Mellon Corp. | 0 | 1113 | 1113 |
| USD | 105217 | 05/20/2033 1M | GST | 1 day USD OBFR | Coterra Energy, Inc. | 0 | 1040 | 1040 |
| USD | 22352 | 05/20/2033 1M | GST | 1 day USD OBFR | Marathon Petroleum Corp. | 0 | 1037 | 1037 |
| USD | 8688 | 05/20/2033 1M | GST | 1 day USD OBFR | Innovex International, Inc. | 0 | 1026 | 1026 |
| USD | 24703 | 05/20/2033 1M | GST | 1 day USD OBFR | Seadrill Ltd. | 0 | 1019 | 1019 |
| USD | 26607 | 05/20/2033 1M | GST | 1 day USD OBFR | Airtac International Group | 0 | 1015 | 1015 |
| USD | 19214 | 05/15/2033 1M | MSI | 1 day USD OBFR | Cia de Saneamento Basico do Estado de Sao Paulo SABESP | 0 | 982 | 982 |
| USD | 209752 | 05/15/2033 1M | MSI | 1 day USD OBFR | Huntington Bancshares, Inc. | 0 | 958 | 958 |
| USD | 16104 | 05/20/2033 1M | GST | 1 day USD OBFR | Wix.com Ltd. | 0 | 925 | 925 |
| USD | 8993 | 05/20/2033 1M | GST | 1 day USD OBFR | Luxshare Precision Industry Co., Ltd. | 0 | 914 | 914 |
| USD | 140107 | 05/20/2033 1M | GST | 1 day USD OBFR | Capital One Financial Corp. | 0 | 906 | 906 |
| USD | 47913 | 05/20/2033 1M | GST | 1 day USD OBFR | Ciena Corp. | 0 | 897 | 897 |
| USD | 4431 | 05/20/2033 1M | GST | 1 day USD OBFR | Structure Therapeutics, Inc. | 0 | 867 | 867 |
| USD | 39487 | 05/15/2033 1M | MSI | 1 day USD OBFR | TransUnion | 0 | 860 | 860 |
| USD | 9560 | 05/20/2033 1M | GST | 1 day USD OBFR | Revolution Medicines, Inc. | 0 | 855 | 855 |
| USD | 31322 | 05/20/2033 1M | GST | 1 day USD OBFR | Williams-Sonoma, Inc. | 0 | 853 | 853 |
| USD | 41119 | 05/20/2033 1M | GST | 1 day USD OBFR | American Electric Power Co., Inc. | 0 | 852 | 852 |
| USD | 24162 | 05/20/2033 1M | GST | 1 day USD OBFR | Gitlab, Inc. | 0 | 846 | 846 |
| USD | 8052 | 05/05/2028 1M | JPM | 1 day USD OBFR | Broadcom, Inc. | 0 | 819 | 819 |
| USD | 93808 | 05/15/2033 1M | MSI | 1 day USD OBFR | Capital One Financial Corp. | 0 | 788 | 788 |
| USD | 112920 | 05/15/2033 1M | MSI | 1 day USD OBFR | Chord Energy Corp. | 0 | 752 | 752 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | 18853 | 05/05/2028 1M | JPM | 1 day USD OBFR | American Electric Power Co., Inc. | $0 | $750 | $750 |
| USD | 12711 | 05/15/2033 1M | MSI | 1 day USD OBFR | Marvell Technology, Inc. | 0 | 694 | 694 |
| USD | 16474 | 05/20/2033 1M | GST | 1 day USD OBFR | Solaris Energy Infrastructure, Inc. | 0 | 667 | 667 |
| USD | 50614 | 05/20/2033 1M | GST | 1 day USD OBFR | Assurant, Inc. | 0 | 622 | 622 |
| USD | 4523 | 05/15/2033 1M | MSI | 1 day USD OBFR | Monday.com Ltd. | 0 | 608 | 608 |
| USD | 68367 | 05/15/2033 1M | MSI | 1 day USD OBFR | Walt Disney Co. | 0 | 557 | 557 |
| USD | 18914 | 05/20/2033 1M | GST | 1 day USD OBFR | Phillips 66 | 0 | 554 | 554 |
| USD | 19176 | 05/20/2033 1M | GST | 1 day USD OBFR | DNOW, Inc. | 0 | 536 | 536 |
| USD | 33900 | 05/15/2033 1M | MSI | 1 day USD OBFR | American Electric Power Co., Inc. | 0 | 495 | 495 |
| USD | 15577 | 05/20/2033 1M | GST | 1 day USD OBFR | United Therapeutics Corp. | 0 | 459 | 459 |
| USD | 20877 | 05/15/2033 1M | MSI | 1 day USD OBFR | Eversource Energy | 0 | 454 | 454 |
| USD | 14694 | 05/15/2033 1M | MSI | 1 day USD OBFR | United Therapeutics Corp. | 0 | 450 | 450 |
| USD | 26083 | 05/05/2028 1M | JPM | 1 day USD OBFR | ASML Holding NV | 0 | 438 | 438 |
| USD | 6338 | 05/20/2033 1M | GST | 1 day USD OBFR | Lens Technology Co., Ltd. | 0 | 435 | 435 |
| USD | 12750 | 05/20/2033 1M | GST | 1 day USD OBFR | Corning, Inc. | 0 | 433 | 433 |
| USD | 5726 | 05/15/2033 1M | MSI | 1 day USD OBFR | Advanced Micro Devices, Inc. | 0 | 420 | 420 |
| USD | 2525 | 05/05/2028 1M | JPM | 1 day USD OBFR | First Solar, Inc. | 0 | 411 | 411 |
| USD | 2187 | 05/15/2033 1M | MSI | 1 day USD OBFR | WESCO International, Inc. | 0 | 408 | 408 |
| USD | 23934 | 05/20/2033 1M | GST | 1 day USD OBFR | Primoris Services Corp. | 0 | 408 | 408 |
| USD | 55858 | 05/15/2033 1M | MSI | 1 day USD OBFR | Antero Resources Corp. | 0 | 398 | 398 |
| USD | 13221 | 05/20/2033 1M | GST | 1 day USD OBFR | MRC Global, Inc. | 0 | 380 | 380 |
| USD | 12820 | 05/15/2033 1M | MSI | 1 day USD OBFR | Corning, Inc. | 0 | 364 | 364 |
| USD | 17064 | 05/20/2033 1M | GST | 1 day USD OBFR | ConocoPhillips | 0 | 353 | 353 |
| USD | 26080 | 05/20/2033 1M | GST | 1 day USD OBFR | Eversource Energy | 0 | 344 | 344 |
| USD | 3968 | 05/05/2028 1M | JPM | 1 day USD OBFR | Zscaler, Inc. | 0 | 337 | 337 |
| USD | 4766 | 05/15/2033 1M | MSI | 1 day USD OBFR | Wix.com Ltd. | 0 | 328 | 328 |
| USD | 43816 | 05/05/2028 1M | JPM | 1 day USD OBFR | ServiceNow, Inc. | 0 | 309 | 309 |
| USD | 2066 | 05/05/2028 1M | JPM | 1 day USD OBFR | Coherent Corp. | 0 | 309 | 309 |
| USD | 6293 | 05/15/2033 1M | MSI | 1 day USD OBFR | HighPeak Energy, Inc. | 0 | 303 | 303 |
| USD | 16731 | 05/20/2033 1M | GST | 1 day USD OBFR | Devon Energy Corp. | 0 | 293 | 293 |
| USD | 49879 | 05/15/2033 1M | MSI | 1 day USD OBFR | Essent Group Ltd. | 0 | 273 | 273 |
| USD | 10934 | 05/05/2028 1M | JPM | 1 day USD OBFR | Cia de Saneamento Basico do Estado de Sao Paulo SABESP | 0 | 254 | 254 |
| USD | 4506 | 05/20/2033 1M | GST | 1 day USD OBFR | MNTN, Inc. | 0 | 253 | 253 |
| USD | 14091 | 05/15/2033 1M | MSI | 1 day USD OBFR | Alphabet, Inc. | 0 | 249 | 249 |
| USD | 33104 | 05/20/2033 1M | GST | 1 day USD OBFR | Five Below, Inc. | 0 | 237 | 237 |
| USD | 4697 | 05/20/2033 1M | GST | 1 day USD OBFR | Zhejiang Crystal-Optech Co., Ltd. | 0 | 212 | 212 |
| USD | 4818 | 05/15/2033 1M | MSI | 1 day USD OBFR | Reddit, Inc. | 0 | 197 | 197 |
| USD | 3012 | 05/15/2033 1M | MSI | 1 day USD OBFR | AppLovin Corp. | 0 | 175 | 175 |
| USD | 6462 | 05/15/2033 1M | MSI | 1 day USD OBFR | Williams-Sonoma, Inc. | 0 | 168 | 168 |
| USD | 1213 | 05/05/2028 1M | JPM | 1 day USD OBFR | Snowflake, Inc. | 0 | 162 | 162 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | 1666 | 05/15/2033 1M | MSI | 1 day USD OBFR | MNTN, Inc. | $0 | $142 | $142 |
| USD | 123931 | 05/20/2033 1M | GST | 1 day USD OBFR | Cisco Systems, Inc. | 0 | 137 | 137 |
| USD | 18738 | 05/15/2033 1M | MSI | 1 day USD OBFR | NexGen Energy Ltd. | 0 | 128 | 128 |
| USD | 18786 | 05/15/2033 1M | MSI | 1 day USD OBFR | Lens Technology Co., Ltd. | 0 | 119 | 119 |
| USD | 7393 | 05/05/2028 1M | JPM | 1 day USD OBFR | Primoris Services Corp. | 0 | 108 | 108 |
| USD | 2789 | 05/15/2033 1M | MSI | 1 day USD OBFR | Atlassian Corp. | 0 | 91 | 91 |
| USD | 3126 | 05/15/2033 1M | MSI | 1 day USD OBFR | Shenzhen Megmeet Electrical Co., Ltd. | 0 | 87 | 87 |
| USD | 44477 | 05/15/2033 1M | MSI | 1 day USD OBFR | Williams Cos., Inc. | 0 | 83 | 83 |
| USD | 655 | 05/15/2033 1M | MSI | 1 day USD OBFR | Gitlab, Inc. | 0 | 77 | 77 |
| USD | 22963 | 05/20/2033 1M | GST | 1 day USD OBFR | Taiwan Semiconductor Manufacturing Co., Ltd. | 0 | 60 | 60 |
| USD | 605 | 05/05/2028 1M | MSI | 1 day USD OBFR | Zscaler, Inc. | 0 | 58 | 58 |
| USD | 28730 | 05/20/2033 1M | GST | 1 day USD OBFR | Crowdstrike Holdings, Inc. | 0 | 50 | 50 |
| USD | 1320 | 05/05/2028 1M | JPM | 1 day USD OBFR | Gitlab, Inc. | 0 | 45 | 45 |
| USD | 6382 | 05/20/2033 1M | GST | 1 day USD OBFR | Walt Disney Co. | 0 | 38 | 38 |
| USD | 968 | 05/05/2028 1M | JPM | 1 day USD OBFR | Monolithic Power Systems, Inc. | 0 | 37 | 37 |
| USD | 19413 | 05/15/2033 1M | MSI | 1 day USD OBFR | ROBLOX Corp. | 0 | 33 | 33 |
| USD | 707 | 05/20/2033 1M | GST | 1 day USD OBFR | Docusign, Inc. | 0 | 25 | 25 |
| USD | 4718 | 05/15/2033 1M | MSI | 1 day USD OBFR | Airtac International Group | 0 | 24 | 24 |
| USD | 6715 | 05/15/2033 1M | MSI | 1 day USD OBFR | Freeport-McMoRan, Inc. | 0 | 23 | 23 |
| USD | 903 | 05/15/2033 1M | MSI | 1 day USD OBFR | ServiceNow, Inc. | 0 | 16 | 16 |
| USD | 30888 | 05/15/2033 1M | MSI | 1 day USD OBFR | Kratos Defense & Security Solutions, Inc. | 0 | 7 | 7 |
| USD | 658 | 05/05/2028 1M | JPM | 1 day USD OBFR | Procore Technologies, Inc. | 0 | 6 | 6 |
| USD | 3032 | 05/15/2033 1M | MSI | 1 day USD OBFR | Kinder Morgan, Inc. | 0 | 6 | 6 |
| USD | 2753 | 05/20/2033 1M | GST | 1 day USD OBFR | ServiceNow, Inc. | 0 | 5 | 5 |
| USD | 460 | 05/20/2033 1M | GST | 1 day USD OBFR | Cia de Saneamento Basico do Estado de Sao Paulo SABESP | 0 | 5 | 5 |
| USD | 488 | 05/05/2028 1M | JPM | 1 day USD OBFR | Unity Software, Inc. | 0 | 5 | 5 |
| USD | 1161 | 05/15/2033 1M | MSI | 1 day USD OBFR | Tidewater, Inc. | 0 | 3 | 3 |
| USD | 2720 | 05/20/2033 1M | GST | 1 day USD OBFR | Synopsys, Inc. | 0 | 3 | 3 |
| DKK | 202196 | 05/15/2033 1M | MSI | 1 Month DKK CIBOR | Alm Brand AS | 0 | 2025 | 2025 |
| DKK | 40534 | 05/20/2033 1M | GST | 1 Month DKK CIBOR | Pandora AS | 0 | 1693 | 1693 |
| DKK | 20235 | 05/15/2033 1M | MSI | 1 Month DKK CIBOR | Pandora AS | 0 | 1363 | 1363 |
| DKK | 17216 | 05/05/2028 1M | JPM | 1 Month DKK CIBOR | Pandora AS | 0 | 1194 | 1194 |
| DKK | 5786 | 05/15/2033 1M | MSI | 1 Month DKK CIBOR | FLSmidth & Co. AS | 0 | 416 | 416 |
| DKK | 10975 | 05/05/2028 1M | JPM | 1 Month DKK CIBOR | Royal Unibrew AS | 0 | 2 | 2 |
| NOK | 72571 | 05/20/2033 1M | GST | 1 Month NOK NIBOR | Storebrand ASA | 0 | 1840 | 1840 |
| CHF | 63901 | 05/05/2028 1M | JPM | 12 Month CHF SARON | Amrize Ltd. | 0 | 4786 | 4786 |
| CHF | 51262 | 05/05/2028 1M | JPM | 12 Month CHF SARON | Holcim AG | 0 | 4261 | 4261 |
| CHF | 82064 | 05/05/2028 1M | JPM | 12 Month CHF SARON | Galderma Group AG | 0 | 3862 | 3862 |
| CHF | 40822 | 05/20/2033 1M | GST | 12 Month CHF SARON | Holcim AG | 0 | 2641 | 2641 |
| CHF | 25507 | 05/20/2033 1M | GST | 12 Month CHF SARON | Amrize Ltd. | 0 | 1938 | 1938 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| CHF | 60256 | 05/20/2033 1M | GST | 12 Month CHF SARON | Sulzer AG | $0 | $1849 | $1849 |
| CHF | 84221 | 05/20/2033 1M | GST | 12 Month CHF SARON | Baloise Holding AG | 0 | 1495 | 1495 |
| CHF | 13632 | 05/15/2033 1M | MSI | 12 Month CHF SARON | Sulzer AG | 0 | 820 | 820 |
| CHF | 38939 | 05/20/2033 1M | GST | 12 Month CHF SARON | UBS Group AG | 0 | 650 | 650 |
| CHF | 40645 | 05/20/2033 1M | GST | 12 Month CHF SARON | ABB Ltd. | 0 | 552 | 552 |
| CHF | 33598 | 05/05/2028 1M | JPM | 12 Month CHF SARON | ABB Ltd. | 0 | 528 | 528 |
| CHF | 20414 | 05/05/2028 1M | JPM | 12 Month CHF SARON | Baloise Holding AG | 0 | 146 | 146 |
| CHF | 19985 | 05/15/2033 1M | MSI | 12 Month CHF SARON | ABB Ltd. | 0 | 78 | 78 |
| CZK | 23762 | 05/20/2033 1M | GST | 12 Month CZK PRIBOR PRBO | Komercni Banka AS | 0 | 830 | 830 |
| EUR | 568919 | 05/15/2033 1M | MSI | 12 Month EUR STR | Banco Santander SA | 0 | 29555 | 29555 |
| EUR | 353658 | 05/15/2033 1M | MSI | 12 Month EUR STR | AIB Group PLC | 0 | 22663 | 22663 |
| EUR | 158656 | 05/15/2033 1M | MSI | 12 Month EUR STR | BPER Banca SpA | 0 | 19932 | 19932 |
| EUR | 152368 | 05/20/2033 1M | GST | 12 Month EUR STR | AIB Group PLC | 0 | 12785 | 12785 |
| EUR | 543192 | 05/20/2033 1M | GST | 12 Month EUR STR | Legrand SA | 0 | 12029 | 12029 |
| EUR | 40058 | 05/20/2033 1M | GST | 12 Month EUR STR | Permanent TSB Group Holdings PLC | 0 | 10267 | 10267 |
| EUR | 141857 | 05/15/2033 1M | MSI | 12 Month EUR STR | Banca Monte dei Paschi di Siena SpA | 0 | 10025 | 10025 |
| EUR | 235999 | 05/20/2033 1M | GST | 12 Month EUR STR | KBC Group NV | 0 | 9731 | 9731 |
| EUR | 277815 | 05/15/2033 1M | MSI | 12 Month EUR STR | KBC Group NV | 0 | 8576 | 8576 |
| EUR | 105882 | 05/20/2033 1M | GST | 12 Month EUR STR | Erste Group Bank AG | 0 | 8254 | 8254 |
| EUR | 115893 | 05/20/2033 1M | GST | 12 Month EUR STR | BAWAG Group AG | 0 | 8137 | 8137 |
| EUR | 97504 | 05/20/2033 1M | GST | 12 Month EUR STR | Bank of Ireland Group PLC | 0 | 7618 | 7618 |
| EUR | 155729 | 05/15/2033 1M | MSI | 12 Month EUR STR | Nordea Bank Abp | 0 | 7598 | 7598 |
| EUR | 126510 | 05/15/2033 1M | MSI | 12 Month EUR STR | FinecoBank Banca Fineco SpA | 0 | 7402 | 7402 |
| EUR | 82520 | 05/20/2033 1M | GST | 12 Month EUR STR | Jeronimo Martins SGPS SA | 0 | 7083 | 7083 |
| EUR | 467922 | 05/20/2033 1M | GST | 12 Month EUR STR | UniCredit SpA | 0 | 6662 | 6662 |
| EUR | 118466 | 05/20/2033 1M | GST | 12 Month EUR STR | FinecoBank Banca Fineco SpA | 0 | 6360 | 6360 |
| EUR | 364502 | 05/20/2033 1M | GST | 12 Month EUR STR | Banco Bilbao Vizcaya Argentaria SA | 0 | 5806 | 5806 |
| EUR | 87441 | 05/20/2033 1M | GST | 12 Month EUR STR | Italgas SpA | 0 | 5735 | 5735 |
| EUR | 248219 | 05/15/2033 1M | MSI | 12 Month EUR STR | ABN AMRO Bank NV | 0 | 4851 | 4851 |
| EUR | 76409 | 05/05/2028 1M | JPM | 12 Month EUR STR | Danone SA | 0 | 4578 | 4578 |
| EUR | 284333 | 05/15/2033 1M | MSI | 12 Month EUR STR | Generali | 0 | 4499 | 4499 |
| EUR | 62792 | 05/20/2033 1M | GST | 12 Month EUR STR | Fluidra SA | 0 | 4118 | 4118 |
| EUR | 82792 | 05/15/2033 1M | MSI | 12 Month EUR STR | ASML Holding NV | 0 | 4091 | 4091 |
| EUR | 183416 | 05/05/2028 1M | JPM | 12 Month EUR STR | UniCredit SpA | 0 | 3996 | 3996 |
| EUR | 204386 | 05/05/2028 1M | JPM | 12 Month EUR STR | Prysmian SpA | 0 | 3867 | 3867 |
| EUR | 366786 | 05/15/2033 1M | MSI | 12 Month EUR STR | Societe Generale SA | 0 | 3741 | 3741 |
| EUR | 87113 | 05/20/2033 1M | GST | 12 Month EUR STR | Generali | 0 | 3675 | 3675 |
| EUR | 154183 | 05/15/2033 1M | MSI | 12 Month EUR STR | Adyen NV | 0 | 3521 | 3521 |
| EUR | 68558 | 05/20/2033 1M | GST | 12 Month EUR STR | Heidelberg Materials AG | 0 | 3365 | 3365 |
| EUR | 90752 | 05/15/2033 1M | MSI | 12 Month EUR STR | Azimut Holding SpA | 0 | 3200 | 3200 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| EUR | 49196 | 05/20/2033 1M | GST | 12 Month EUR STR | Buzzi Unicem SpA | $0 | $3127 | $3127 |
| EUR | 79569 | 05/20/2033 1M | GST | 12 Month EUR STR | BFF Bank SpA | 0 | 2993 | 2993 |
| EUR | 104753 | 05/15/2033 1M | MSI | 12 Month EUR STR | UniCredit SpA | 0 | 2906 | 2906 |
| EUR | 203225 | 05/20/2033 1M | GST | 12 Month EUR STR | Prysmian SpA | 0 | 2896 | 2896 |
| EUR | 19078 | 05/05/2028 1M | JPM | 12 Month EUR STR | Fortum OYJ | 0 | 2704 | 2704 |
| EUR | 58643 | 05/05/2028 1M | JPM | 12 Month EUR STR | Publicis Groupe SA | 0 | 2701 | 2701 |
| EUR | 45849 | 05/20/2033 1M | GST | 12 Month EUR STR | AlzChem Group AG | 0 | 2573 | 2573 |
| EUR | 61581 | 05/20/2033 1M | GST | 12 Month EUR STR | Societe Generale SA | 0 | 2505 | 2505 |
| EUR | 33696 | 05/05/2028 1M | JPM | 12 Month EUR STR | Fluidra SA | 0 | 2440 | 2440 |
| EUR | 39654 | 05/15/2033 1M | MSI | 12 Month EUR STR | Ayvens SA | 0 | 2357 | 2357 |
| EUR | 76897 | 05/20/2033 1M | GST | 12 Month EUR STR | Maire SpA | 0 | 2345 | 2345 |
| EUR | 68201 | 05/20/2033 1M | GST | 12 Month EUR STR | Bank of Cyprus Holdings PLC | 0 | 2169 | 2169 |
| EUR | 26272 | 05/05/2028 1M | JPM | 12 Month EUR STR | Heidelberg Materials AG | 0 | 2095 | 2095 |
| EUR | 22196 | 05/20/2033 1M | GST | 12 Month EUR STR | Medincell SA | 0 | 2077 | 2077 |
| EUR | 48452 | 05/05/2028 1M | JPM | 12 Month EUR STR | ASML Holding NV | 0 | 1884 | 1884 |
| EUR | 39028 | 05/05/2028 1M | JPM | 12 Month EUR STR | Argenx SE | 0 | 1685 | 1685 |
| EUR | 37862 | 05/15/2033 1M | MSI | 12 Month EUR STR | Evotec SE | 0 | 1672 | 1672 |
| EUR | 17483 | 05/05/2028 1M | JPM | 12 Month EUR STR | Buzzi SpA | 0 | 1598 | 1598 |
| EUR | 104774 | 05/15/2033 1M | MSI | 12 Month EUR STR | Unipol Assicurazioni SpA | 0 | 1585 | 1585 |
| EUR | 26914 | 05/15/2033 1M | MSI | 12 Month EUR STR | Fluidra SA | 0 | 1581 | 1581 |
| EUR | 34666 | 05/20/2033 1M | GST | 12 Month EUR STR | ABN AMRO Bank NV | 0 | 1554 | 1554 |
| EUR | 120424 | 05/15/2033 1M | MSI | 12 Month EUR STR | Tecnicas Reunidas SA | 0 | 1474 | 1474 |
| EUR | 19165 | 05/15/2033 1M | MSI | 12 Month EUR STR | Fortum OYJ | 0 | 1420 | 1420 |
| EUR | 19553 | 05/05/2028 1M | JPM | 12 Month EUR STR | Ryanair Holdings PLC | 0 | 1322 | 1322 |
| EUR | 23241 | 05/15/2033 1M | MSI | 12 Month EUR STR | Ryanair Holdings PLC | 0 | 1307 | 1307 |
| EUR | 52586 | 05/05/2028 1M | JPM | 12 Month EUR STR | Sacyr SA | 0 | 1254 | 1254 |
| EUR | 59586 | 05/20/2033 1M | GST | 12 Month EUR STR | Addiko Bank AG | 0 | 1198 | 1198 |
| EUR | 45024 | 05/20/2033 1M | GST | 12 Month EUR STR | Dassault Aviation SA | 0 | 915 | 915 |
| EUR | 51297 | 05/20/2033 1M | GST | 12 Month EUR STR | Adyen NV | 0 | 804 | 804 |
| EUR | 18857 | 05/15/2033 1M | MSI | 12 Month EUR STR | Heidelberg Materials AG | 0 | 797 | 797 |
| EUR | 14713 | 05/20/2033 1M | GST | 12 Month EUR STR | Evotec SE | 0 | 792 | 792 |
| EUR | 12689 | 05/15/2033 1M | MSI | 12 Month EUR STR | Wartsila OYJ Abp | 0 | 720 | 720 |
| EUR | 9177 | 05/05/2028 1M | JPM | 12 Month EUR STR | Jeronimo Martins SGPS SA | 0 | 718 | 718 |
| EUR | 73149 | 05/20/2033 1M | GST | 12 Month EUR STR | Publicis Groupe SA | 0 | 642 | 642 |
| EUR | 59582 | 05/20/2033 1M | GST | 12 Month EUR STR | Vienna Insurance Group AG Wiener Versicherung Gruppe | 0 | 515 | 515 |
| EUR | 5981 | 05/15/2033 1M | MSI | 12 Month EUR STR | Jeronimo Martins SGPS SA | 0 | 515 | 515 |
| EUR | 19876 | 05/20/2033 1M | GST | 12 Month EUR STR | Ferrari NV | 0 | 498 | 498 |
| EUR | 23804 | 05/15/2033 1M | MSI | 12 Month EUR STR | BFF Bank SpA | 0 | 491 | 491 |
| EUR | 22267 | 05/20/2033 1M | GST | 12 Month EUR STR | UNIQA Insurance Group AG | 0 | 489 | 489 |
| EUR | 55346 | 05/15/2033 1M | MSI | 12 Month EUR STR | Publicis Groupe SA | 0 | 487 | 487 |
| EUR | 8513 | 05/05/2028 1M | JPM | 12 Month EUR STR | Ferrari NV | 0 | 418 | 418 |
| EUR | 20936 | 05/20/2033 1M | GST | 12 Month EUR STR | Leonardo SpA | 0 | 398 | 398 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| EUR | 8185 | 05/05/2028 1M | JPM | 12 Month EUR STR | Erste Group Bank AG | $0 | $327 | $327 |
| EUR | 32185 | 05/05/2028 1M | JPM | 12 Month EUR STR | FUCHS SE | 0 | 312 | 312 |
| EUR | 76843 | 05/20/2033 1M | GST | 12 Month EUR STR | Sampo OYJ | 0 | 300 | 300 |
| EUR | 22785 | 05/05/2028 1M | JPM | 12 Month EUR STR | Legrand SA | 0 | 273 | 273 |
| EUR | 12787 | 05/15/2033 1M | MSI | 12 Month EUR STR | Addiko Bank AG | 0 | 258 | 258 |
| EUR | 24249 | 05/20/2033 1M | GST | 12 Month EUR STR | DiaSorin SpA | 0 | 254 | 254 |
| EUR | 21900 | 05/05/2028 1M | JPM | 12 Month EUR STR | Beiersdorf AG | 0 | 244 | 244 |
| EUR | 15954 | 05/05/2028 1M | JPM | 12 Month EUR STR | Maire SpA | 0 | 173 | 173 |
| EUR | 19161 | 05/15/2033 1M | MSI | 12 Month EUR STR | Wacker Chemie AG | 0 | 152 | 152 |
| EUR | 58957 | 05/15/2033 1M | MSI | 12 Month EUR STR | Cementir Holding NV | 0 | 148 | 148 |
| EUR | 17490 | 05/15/2033 1M | MSI | 12 Month EUR STR | Konecranes OYJ | 0 | 138 | 138 |
| EUR | 6708 | 05/15/2033 1M | MSI | 12 Month EUR STR | Leonardo SpA | 0 | 128 | 128 |
| EUR | 3605 | 05/15/2033 1M | MSI | 12 Month EUR STR | Italgas SpA | 0 | 116 | 116 |
| EUR | 5506 | 05/15/2033 1M | MSI | 12 Month EUR STR | Danone SA | 0 | 110 | 110 |
| EUR | 2679 | 05/05/2028 1M | JPM | 12 Month EUR STR | AIB Group PLC | 0 | 100 | 100 |
| EUR | 8369 | 05/05/2028 1M | JPM | 12 Month EUR STR | Qiagen NV | 0 | 95 | 95 |
| EUR | 686 | 05/05/2028 1M | JPM | 12 Month EUR STR | AlzChem Group AG | 0 | 95 | 95 |
| EUR | 13891 | 05/20/2033 1M | GST | 12 Month EUR STR | Tecnicas Reunidas SA | 0 | 80 | 80 |
| EUR | 1428 | 05/05/2028 1M | JPM | 12 Month EUR STR | KBC Group NV | 0 | 40 | 40 |
| EUR | 4921 | 05/05/2028 1M | JPM | 12 Month EUR STR | Elis SA | 0 | 36 | 36 |
| USD | (22818) | 05/15/2033 1M | MSI | 12 Month EUR STR | SAP SE | 0 | 977 | 977 |
| GBP | 288899 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | Standard Chartered PLC | 0 | 35456 | 35456 |
| GBP | 369704 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | Barclays PLC | 0 | 27572 | 27572 |
| GBP | 604479 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | British American Tobacco PLC | 0 | 18322 | 18322 |
| GBP | 230098 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | Lloyds Banking Group PLC | 0 | 17078 | 17078 |
| GBP | 248339 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | Lloyds Banking Group PLC | 0 | 14429 | 14429 |
| GBP | 172220 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | Prudential PLC | 0 | 8562 | 8562 |
| GBP | 122473 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | Beazley PLC | 0 | 7640 | 7640 |
| GBP | 485378 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | Rolls-Royce Holdings PLC | 0 | 6654 | 6654 |
| GBP | 71953 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | Next PLC | 0 | 6476 | 6476 |
| GBP | 70166 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | Smiths Group PLC | 0 | 5511 | 5511 |
| GBP | 97607 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | Smiths Group PLC | 0 | 5106 | 5106 |
| GBP | 88159 | 05/05/2028 1M | JPM | 12 Month GBP WMBA SONIA Compound | Unilever PLC | 0 | 4536 | 4536 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| GBP | 182735 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | Hiscox Ltd. | $0 | $4504 | $4504 |
| GBP | 150362 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | Beazley PLC | 0 | 4207 | 4207 |
| GBP | 100877 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | Serco Group PLC | 0 | 4126 | 4126 |
| GBP | 204193 | 05/05/2028 1M | JPM | 12 Month GBP WMBA SONIA Compound | British American Tobacco PLC | 0 | 3286 | 3286 |
| GBP | 51158 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | IMI PLC | 0 | 2354 | 2354 |
| GBP | 151777 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | Imperial Brands PLC | 0 | 2067 | 2067 |
| GBP | 51575 | 05/05/2028 1M | JPM | 12 Month GBP WMBA SONIA Compound | Antofagasta PLC | 0 | 1893 | 1893 |
| GBP | 16608 | 05/05/2028 1M | JPM | 12 Month GBP WMBA SONIA Compound | Haleon PLC | 0 | 1353 | 1353 |
| GBP | 51802 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | Lancashire Holdings Ltd. | 0 | 1353 | 1353 |
| GBP | 47759 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | Savills PLC | 0 | 1275 | 1275 |
| GBP | 139683 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | Haleon PLC | 0 | 1174 | 1174 |
| GBP | 17249 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | British American Tobacco PLC | 0 | 1099 | 1099 |
| GBP | 26263 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | Rolls-Royce Holdings PLC | 0 | 991 | 991 |
| GBP | 33033 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | Rotork PLC | 0 | 888 | 888 |
| GBP | 12769 | 05/05/2028 1M | JPM | 12 Month GBP WMBA SONIA Compound | SSE PLC | 0 | 755 | 755 |
| GBP | 76147 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | Spectris PLC | 0 | 715 | 715 |
| GBP | 27066 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | SSE PLC | 0 | 674 | 674 |
| GBP | 4194 | 05/05/2028 1M | JPM | 12 Month GBP WMBA SONIA Compound | Next PLC | 0 | 617 | 617 |
| GBP | 81579 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | RS Group PLC | 0 | 458 | 458 |
| GBP | 7317 | 05/05/2028 1M | JPM | 12 Month GBP WMBA SONIA Compound | Smiths Group PLC | 0 | 453 | 453 |
| GBP | 20717 | 05/05/2028 1M | JPM | 12 Month GBP WMBA SONIA Compound | Anglo American PLC | 0 | 441 | 441 |
| GBP | 18611 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | Hill & Smith PLC | 0 | 402 | 402 |
| GBP | 14028 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | Rotork PLC | 0 | 387 | 387 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| GBP | 38158 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | Wise PLC | $0 | $371 | $371 |
| GBP | 54015 | 05/05/2028 1M | JPM | 12 Month GBP WMBA SONIA Compound | Rotork PLC | 0 | 350 | 350 |
| GBP | 2921 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | Next PLC | 0 | 328 | 328 |
| GBP | 13384 | 05/05/2028 1M | JPM | 12 Month GBP WMBA SONIA Compound | Savills PLC | 0 | 308 | 308 |
| GBP | 11056 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | Hill & Smith PLC | 0 | 239 | 239 |
| GBP | 7990 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | RS Group PLC | 0 | 124 | 124 |
| GBP | 29421 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | Prudential PLC | 0 | 109 | 109 |
| GBP | 6792 | 05/05/2028 1M | JPM | 12 Month GBP WMBA SONIA Compound | Hill & Smith PLC | 0 | 106 | 106 |
| GBP | 13394 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | SSE PLC | 0 | 104 | 104 |
| GBP | 2352 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | Antofagasta PLC | 0 | 86 | 86 |
| GBP | 1353 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | Serco Group PLC | 0 | 70 | 70 |
| GBP | 1619 | 05/05/2028 1M | JPM | 12 Month GBP WMBA SONIA Compound | IMI PLC | 0 | 54 | 54 |
| GBP | 16019 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | NewRiver REIT PLC | 0 | 52 | 52 |
| GBP | 3614 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | Unilever PLC | 0 | 46 | 46 |
| GBP | 28992 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | AstraZeneca PLC | 0 | 44 | 44 |
| GBP | 3887 | 05/05/2028 1M | JPM | 12 Month GBP WMBA SONIA Compound | Imperial Brands PLC | 0 | 28 | 28 |
| GBP | 7545 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | Imperial Brands PLC | 0 | 18 | 18 |
| HUF | 332681 | 05/20/2033 1M | GST | 12 Month HUF BUBOR | OTP Bank Nyrt | 0 | 15922 | 15922 |
| HUF | 36897 | 05/15/2033 1M | MSI | 12 Month HUF BUBOR | OTP Bank Nyrt | 0 | 1702 | 1702 |
| JPY | 49931 | 05/05/2028 1M | JPM | 12 Month JPY TONA | Ibiden Co., Ltd. | 0 | 24260 | 24260 |
| JPY | 452087 | 05/15/2033 1M | MSI | 12 Month JPY TONA | Nomura Holdings, Inc. | 0 | 21145 | 21145 |
| JPY | 638383 | 05/20/2033 1M | GST | 12 Month JPY TONA | Tokyo Stock Exchange TOPIX Banks Index | 0 | 20556 | 20556 |
| JPY | 232695 | 05/15/2033 1M | MSI | 12 Month JPY TONA | Fukuoka Financial Group, Inc. | 0 | 17058 | 17058 |
| JPY | 51040 | 05/20/2033 1M | GST | 12 Month JPY TONA | Advantest Corp. | 0 | 15517 | 15517 |
| JPY | 61311 | 05/20/2033 1M | GST | 12 Month JPY TONA | Fujikura Ltd. | 0 | 13777 | 13777 |
| JPY | 74535 | 05/15/2033 1M | MSI | 12 Month JPY TONA | Tochigi Bank Ltd. | 0 | 12594 | 12594 |
| JPY | 215022 | 05/20/2033 1M | GST | 12 Month JPY TONA | Mebuki Financial Group, Inc. | 0 | 11607 | 11607 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| JPY | 218793 | 05/20/2033 1M | GST | 12 Month JPY TONA | Hokuhoku Financial Group, Inc. | $0 | $11123 | $11123 |
| JPY | 40298 | 05/20/2033 1M | GST | 12 Month JPY TONA | Sumitomo Electric Industries Ltd. | 0 | 9460 | 9460 |
| JPY | 89140 | 05/20/2033 1M | GST | 12 Month JPY TONA | Bank of Nagoya Ltd. | 0 | 9007 | 9007 |
| JPY | 81507 | 05/20/2033 1M | GST | 12 Month JPY TONA | Tochigi Bank Ltd. | 0 | 8231 | 8231 |
| JPY | 48904 | 05/15/2033 1M | MSI | 12 Month JPY TONA | Bank of Nagoya Ltd. | 0 | 8082 | 8082 |
| JPY | 110788 | 05/15/2033 1M | MSI | 12 Month JPY TONA | Hachijuni Bank Ltd. | 0 | 7528 | 7528 |
| JPY | 51746 | 05/20/2033 1M | GST | 12 Month JPY TONA | TDK Corp. | 0 | 6472 | 6472 |
| JPY | 200138 | 05/15/2033 1M | MSI | 12 Month JPY TONA | Kyoto Financial Group, Inc. | 0 | 6043 | 6043 |
| JPY | 31059 | 05/20/2033 1M | GST | 12 Month JPY TONA | Murata Manufacturing Co., Ltd. | 0 | 5297 | 5297 |
| JPY | 21711 | 05/05/2028 1M | JPM | 12 Month JPY TONA | Yamaichi Electronics Co., Ltd. | 0 | 4514 | 4514 |
| JPY | 37041 | 05/20/2033 1M | GST | 12 Month JPY TONA | Hoya Corp. | 0 | 4171 | 4171 |
| JPY | 37855 | 05/05/2028 1M | JPM | 12 Month JPY TONA | Nitto Boseki Co., Ltd. | 0 | 3550 | 3550 |
| JPY | 27048 | 05/20/2033 1M | GST | 12 Month JPY TONA | Kokusai Electric Corp. | 0 | 3111 | 3111 |
| JPY | 48046 | 05/15/2033 1M | MSI | 12 Month JPY TONA | Kyushu Financial Group, Inc. | 0 | 3043 | 3043 |
| JPY | 59836 | 05/15/2033 1M | MSI | 12 Month JPY TONA | Keiyo Bank Ltd. | 0 | 2823 | 2823 |
| JPY | 55952 | 05/15/2033 1M | MSI | 12 Month JPY TONA | Tokyo Kiraboshi Financial Group, Inc. | 0 | 2763 | 2763 |
| JPY | 14852 | 05/05/2028 1M | JPM | 12 Month JPY TONA | Osaka Gas Co., Ltd. | 0 | 2547 | 2547 |
| JPY | 26298 | 05/15/2033 1M | MSI | 12 Month JPY TONA | Niterra Co., Ltd. | 0 | 2047 | 2047 |
| JPY | 24998 | 05/15/2033 1M | MSI | 12 Month JPY TONA | Kansai Electric Power Co., Inc. | 0 | 1991 | 1991 |
| JPY | 18849 | 05/15/2033 1M | MSI | 12 Month JPY TONA | Nichicon Corp. | 0 | 1787 | 1787 |
| JPY | 14936 | 05/15/2033 1M | MSI | 12 Month JPY TONA | Murata Manufacturing Co., Ltd. | 0 | 1726 | 1726 |
| JPY | 25219 | 05/20/2033 1M | GST | 12 Month JPY TONA | Shionogi & Co., Ltd. | 0 | 1626 | 1626 |
| JPY | 96305 | 05/20/2033 1M | GST | 12 Month JPY TONA | Keiyo Bank Ltd. | 0 | 1501 | 1501 |
| JPY | 22183 | 05/15/2033 1M | MSI | 12 Month JPY TONA | Ulvac, Inc. | 0 | 1099 | 1099 |
| JPY | 18410 | 05/05/2028 1M | JPM | 12 Month JPY TONA | Keiyo Bank Ltd. | 0 | 866 | 866 |
| JPY | 3411 | 05/15/2033 1M | MSI | 12 Month JPY TONA | TDK Corp. | 0 | 679 | 679 |
| JPY | 40669 | 05/20/2033 1M | GST | 12 Month JPY TONA | TOPPAN Holdings, Inc. | 0 | 620 | 620 |
| JPY | 1411 | 05/15/2033 1M | MSI | 12 Month JPY TONA | Yamaichi Electronics Co., Ltd. | 0 | 376 | 376 |
| JPY | 1875 | 05/20/2033 1M | GST | 12 Month JPY TONA | Yamaichi Electronics Co., Ltd. | 0 | 363 | 363 |
| JPY | 6586 | 05/20/2033 1M | GST | 12 Month JPY TONA | Nichicon Corp. | 0 | 276 | 276 |
| JPY | 3482 | 05/15/2033 1M | MSI | 12 Month JPY TONA | Shiga Bank Ltd. | 0 | 160 | 160 |
| JPY | 9316 | 05/20/2033 1M | GST | 12 Month JPY TONA | Ulvac, Inc. | 0 | 141 | 141 |
| JPY | 229 | 05/15/2033 1M | MSI | 12 Month JPY TONA | Advantest Corp. | 0 | 73 | 73 |
| JPY | 746 | 05/15/2033 1M | MSI | 12 Month JPY TONA | Sony Group Corp. | 0 | 62 | 62 |
| PLN | 12488 | 05/15/2033 1M | MSI | 12 Month PLN WIBOR WIBO | KGHM Polska Miedz SA | 0 | 248 | 248 |
| SEK | 79187 | 05/05/2028 1M | JPM | 12 Month SEK STIBOR | Assa Abloy AB | 0 | 5736 | 5736 |
| SEK | 45102 | 05/20/2033 1M | GST | 12 Month SEK STIBOR | Trelleborg AB | 0 | 3601 | 3601 |
| SEK | 12700 | 05/05/2028 1M | JPM | 12 Month SEK STIBOR | Sandvik AB | 0 | 776 | 776 |
| SEK | 50564 | 05/05/2028 1M | JPM | 12 Month SEK STIBOR | Alfa Laval AB | 0 | 302 | 302 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| SEK | 3133 | 05/15/2033 1M | MSI | 12 Month SEK STIBOR | Assa Abloy AB | $0 | $198 | $198 |
| SEK | 25037 | 05/15/2033 1M | MSI | 12 Month SEK STIBOR | Sandvik AB | 0 | 149 | 149 |
| SEK | 1969 | 05/20/2033 1M | GST | 12 Month SEK STIBOR | Assa Abloy AB | 0 | 89 | 89 |
| SEK | 112 | 05/15/2033 1M | MSI | 12 Month SEK STIBOR | Trelleborg AB | 0 | 13 | 13 |
| CAD | 759514 | 05/15/2033 1M | MSI | 6 Month CAD CORRA | Bank of Nova Scotia | 0 | 11760 | 11760 |
| CAD | 276720 | 05/15/2033 1M | MSI | 6 Month CAD CORRA | iA Financial Corp., Inc. | 0 | 9994 | 9994 |
| CAD | 127002 | 05/05/2028 1M | JPM | 6 Month CAD CORRA | Peyto Exploration & Development Corp. | 0 | 7740 | 7740 |
| CAD | 81239 | 05/15/2033 1M | MSI | 6 Month CAD CORRA | Kelt Exploration Ltd. | 0 | 4644 | 4644 |
| CAD | 96486 | 05/15/2033 1M | MSI | 6 Month CAD CORRA | Aecon Group, Inc. | 0 | 3790 | 3790 |
| CAD | 44627 | 05/15/2033 1M | MSI | 6 Month CAD CORRA | Athabasca Oil Corp. | 0 | 3423 | 3423 |
| CAD | 63302 | 05/15/2033 1M | MSI | 6 Month CAD CORRA | Headwater Exploration, Inc. | 0 | 2075 | 2075 |
| CAD | 67419 | 05/15/2033 1M | MSI | 6 Month CAD CORRA | ARC Resources Ltd. | 0 | 1467 | 1467 |
| CAD | 16725 | 05/20/2033 1M | GST | 6 Month CAD CORRA | TransAlta Corp. | 0 | 800 | 800 |
| CAD | 697 | 05/15/2033 1M | MSI | 6 Month CAD CORRA | Lunr Royalties Corp. | 0 | 716 | 716 |
| CAD | 6759 | 05/15/2033 1M | MSI | 6 Month CAD CORRA | Solaris Resources, Inc. | 0 | 686 | 686 |
| CAD | 27345 | 05/20/2033 1M | GST | 6 Month CAD CORRA | Bank of Nova Scotia | 0 | 646 | 646 |
| CAD | 17595 | 05/20/2033 1M | GST | 6 Month CAD CORRA | Lundin Mining Corp. | 0 | 539 | 539 |
| CAD | 18508 | 05/20/2033 1M | GST | 6 Month CAD CORRA | Tamarack Valley Energy Ltd. | 0 | 434 | 434 |
| CAD | 18746 | 05/15/2033 1M | MSI | 6 Month CAD CORRA | Lundin Mining Corp. | 0 | 201 | 201 |
| CAD | 179 | 05/20/2033 1M | GST | 6 Month CAD CORRA | Lunr Royalties Corp. | 0 | 184 | 184 |
| CAD | 29007 | 05/20/2033 1M | GST | 6 Month CAD CORRA | Advantage Energy Ltd. | 0 | 52 | 52 |
| SGD | 101181 | 05/15/2033 1M | MSI | 6 Month SGD SOR Telerate | Oversea-Chinese Banking Corp. Ltd. | 0 | 1183 | 1183 |
| USD | (2849) | 05/20/2033 1M | GST | Abbott Laboratories | 1 day USD OBFR | 0 | 117 | 117 |
| USD | (12474) | 05/20/2033 1M | GST | Alerian MLP ETF | 1 day USD OBFR | 0 | 21 | 21 |
| USD | (161078) | 05/15/2033 1M | MSI | Alinma Bank | 1 day USD OBFR | 0 | 2431 | 2431 |
| USD | (10321) | 05/15/2033 1M | MSI | Alliant Energy Corp. | 1 day USD OBFR | 0 | 87 | 87 |
| USD | (8294) | 05/20/2033 1M | GST | Alliant Energy Corp. | 1 day USD OBFR | 0 | 80 | 80 |
| USD | (79567) | 05/15/2033 1M | MSI | Allstate Corp. | 1 day USD OBFR | 0 | 3533 | 3533 |
| USD | (213169) | 05/20/2033 1M | GST | Allstate Corp. | 1 day USD OBFR | 0 | 2497 | 2497 |
| EUR | (34618) | 05/05/2028 1M | JPM | Alstom SA | 12 Month EUR STR | 0 | 1028 | 1028 |
| EUR | (17341) | 05/15/2033 1M | MSI | Alstom SA | 12 Month EUR STR | 0 | 406 | 406 |
| EUR | (16922) | 05/20/2033 1M | GST | Alstom SA | 12 Month EUR STR | 0 | 72 | 72 |
| EUR | (25494) | 05/20/2033 1M | GST | Amadeus IT Group SA | 12 Month EUR STR | 0 | 497 | 497 |
| EUR | (2451) | 05/05/2028 1M | JPM | Amadeus IT Group SA | 12 Month EUR STR | 0 | 57 | 57 |
| EUR | (3972) | 05/15/2033 1M | MSI | Amadeus IT Group SA | 12 Month EUR STR | 0 | 36 | 36 |
| DKK | (68322) | 05/20/2033 1M | GST | Ambu AS | 1 Month DKK CIBOR | 0 | 2929 | 2929 |
| DKK | (37047) | 05/05/2028 1M | JPM | Ambu AS | 1 Month DKK CIBOR | 0 | 1987 | 1987 |
| USD | (110692) | 05/15/2033 1M | MSI | Ameriprise Financial, Inc. | 1 day USD OBFR | 0 | 6555 | 6555 |
| USD | (95954) | 05/20/2033 1M | GST | Ameriprise Financial, Inc. | 1 day USD OBFR | 0 | 4042 | 4042 |
| USD | (1941) | 05/05/2028 1M | JPM | Amplitude, Inc. | 1 day USD OBFR | 0 | 42 | 42 |
| USD | (21175) | 05/20/2033 1M | GST | Analog Devices, Inc. | 1 day USD OBFR | 0 | 1040 | 1040 |
| USD | (29585) | 05/05/2028 1M | JPM | Analog Devices, Inc. | 1 day USD OBFR | 0 | 1021 | 1021 |
| USD | (5716) | 05/15/2033 1M | MSI | Analog Devices, Inc. | 1 day USD OBFR | 0 | 96 | 96 |
| EUR | (125) | 05/20/2033 1M | GST | Anheuser-Busch InBev SA | 12 Month EUR STR | 0 | 2 | 2 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| JPY | (27929) | 05/05/2028 1M | JPM | Aozora Bank Ltd. | 12 Month JPY TONA | $0 | $1129 | $1129 |
| JPY | (47454) | 05/15/2033 1M | MSI | Aozora Bank Ltd. | 12 Month JPY TONA | 0 | 549 | 549 |
| JPY | (47130) | 05/20/2033 1M | GST | Aozora Bank Ltd. | 12 Month JPY TONA | 0 | 76 | 76 |
| USD | (104535) | 05/15/2033 1M | MSI | APA Corp. | 1 day USD OBFR | 0 | 940 | 940 |
| USD | (283086) | 05/15/2033 1M | MSI | Apollo Global Management, Inc. | 1 day USD OBFR | 0 | 4755 | 4755 |
| USD | (93885) | 05/05/2028 1M | JPM | Apollo Global Management, Inc. | 1 day USD OBFR | 0 | 1771 | 1771 |
| USD | (134955) | 05/20/2033 1M | GST | Apollo Global Management, Inc. | 1 day USD OBFR | 0 | 949 | 949 |
| JPY | (1200) | 05/05/2028 1M | JPM | Appier Group, Inc. | 12 Month JPY TONA | 0 | 170 | 170 |
| EUR | (2552) | 05/20/2033 1M | GST | Argenx SE | 12 Month EUR STR | 0 | 71 | 71 |
| USD | (44561) | 05/15/2033 1M | MSI | ARK Innovation ETF | 1 day USD OBFR | 0 | 170 | 170 |
| USD | (56187) | 05/20/2033 1M | GST | AT&T, Inc. | 1 day USD OBFR | 0 | 2257 | 2257 |
| SEK | (39601) | 05/05/2028 1M | JPM | Atlas Copco AB | 12 Month SEK STIBOR | 0 | 952 | 952 |
| USD | (3881) | 05/05/2028 1M | JPM | Autodesk, Inc. | 1 day USD OBFR | 0 | 265 | 265 |
| USD | (3969) | 05/20/2033 1M | GST | AutoZone, Inc. | 1 day USD OBFR | 0 | 294 | 294 |
| SEK | (46721) | 05/15/2033 1M | MSI | Avanza Bank Holding AB | 12 Month SEK STIBOR | 0 | 875 | 875 |
| SEK | (278) | 05/20/2033 1M | GST | Avanza Bank Holding AB | 12 Month SEK STIBOR | 0 | 4 | 4 |
| USD | (2195) | 05/05/2028 1M | JPM | AvePoint, Inc. | 1 day USD OBFR | 0 | 168 | 168 |
| USD | (34212) | 05/20/2033 1M | GST | Avista Corp. | 1 day USD OBFR | 0 | 842 | 842 |
| USD | (18904) | 05/15/2033 1M | MSI | Avista Corp. | 1 day USD OBFR | 0 | 31 | 31 |
| EUR | (452032) | 05/15/2033 1M | MSI | AXA SA | 12 Month EUR STR | 0 | 20649 | 20649 |
| EUR | (546530) | 05/05/2028 1M | JPM | AXA SA | 12 Month EUR STR | 0 | 19299 | 19299 |
| USD | (14847) | 05/20/2033 1M | GST | Axcelis Technologies, Inc. | 1 day USD OBFR | 0 | 765 | 765 |
| SEK | (37359) | 05/20/2033 1M | GST | Axfood AB | 12 Month SEK STIBOR | 0 | 2861 | 2861 |
| HKD | (3821) | 05/15/2033 1M | MSI | Baidu, Inc. | 1 day HKD HONIA | 0 | 84 | 84 |
| CHF | (6556) | 05/15/2033 1M | MSI | Banque Cantonale Vaudoise | 12 Month CHF SARON | 0 | 9 | 9 |
| USD | (35051) | 05/15/2033 1M | MSI | Banque Saudi Fransi | 1 day USD OBFR | 0 | 1783 | 1783 |
| USD | (22459) | 05/20/2033 1M | GST | Banque Saudi Fransi | 1 day USD OBFR | 0 | 936 | 936 |
| EUR | (51966) | 05/20/2033 1M | GST | Basic-Fit NV | 12 Month EUR STR | 0 | 4366 | 4366 |
| JPY | (946) | 05/05/2028 1M | JPM | BayCurrent, Inc. | 12 Month JPY TONA | 0 | 195 | 195 |
| SEK | (37130) | 05/20/2033 1M | GST | Beijer Ref AB | 12 Month SEK STIBOR | 0 | 398 | 398 |
| USD | (174539) | 05/20/2033 1M | GST | BGC Group, Inc. | 1 day USD OBFR | 0 | 1327 | 1327 |
| USD | (15563) | 05/20/2033 1M | GST | Blackstone, Inc. | 1 day USD OBFR | 0 | 1339 | 1339 |
| USD | (281224) | 05/20/2033 1M | GST | Blue Owl Capital, Inc. | 1 day USD OBFR | 0 | 14711 | 14711 |
| USD | (255614) | 05/05/2028 1M | JPM | Blue Owl Capital, Inc. | 1 day USD OBFR | 0 | 11605 | 11605 |
| USD | (47285) | 05/15/2033 1M | MSI | Blue Owl Capital, Inc. | 1 day USD OBFR | 0 | 3729 | 3729 |
| EUR | (206159) | 05/15/2033 1M | MSI | BNP Paribas SA | 12 Month EUR STR | 0 | 2022 | 2022 |
| EUR | (538382) | 05/20/2033 1M | GST | BNP Paribas SA | 12 Month EUR STR | 0 | 1543 | 1543 |
| EUR | (179323) | 05/05/2028 1M | JPM | BNP Paribas SA | 12 Month EUR STR | 0 | 1347 | 1347 |
| SEK | (35915) | 05/05/2028 1M | JPM | BoneSupport Holding AB | 12 Month SEK STIBOR | 0 | 8702 | 8702 |
| SEK | (163) | 05/20/2033 1M | GST | BoneSupport Holding AB | 12 Month SEK STIBOR | 0 | 22 | 22 |
| USD | (87328) | 05/15/2033 1M | MSI | Booking Holdings, Inc. | 1 day USD OBFR | 0 | 1006 | 1006 |
| USD | (86352) | 05/20/2033 1M | GST | Booking Holdings, Inc. | 1 day USD OBFR | 0 | 30 | 30 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | (161476) | 05/20/2033 1M | GST | Broadridge Financial Solutions, Inc. | 1 day USD OBFR | $0 | $7196 | $7196 |
| CAD | (12996) | 05/15/2033 1M | MSI | Brookfield Asset Management Ltd. | 6 Month CAD CORRA | 0 | 513 | 513 |
| USD | (777959) | 05/15/2033 1M | MSI | Brookfield Asset Management Ltd. | 1 day USD OBFR | 0 | 29876 | 29876 |
| USD | (546) | 05/20/2033 1M | GST | Brookfield Asset Management Ltd. | 1 day USD OBFR | 0 | 5 | 5 |
| EUR | (36337) | 05/20/2033 1M | GST | Brunello Cucinelli SpA | 12 Month EUR STR | 0 | 971 | 971 |
| EUR | (18692) | 05/05/2028 1M | JPM | Brunello Cucinelli SpA | 12 Month EUR STR | 0 | 598 | 598 |
| EUR | (23575) | 05/15/2033 1M | MSI | Brunello Cucinelli SpA | 12 Month EUR STR | 0 | 571 | 571 |
| GBP | (61109) | 05/20/2033 1M | GST | BT Group PLC | 12 Month GBP WMBA SONIA Compound | 0 | 65 | 65 |
| HKD | (8060) | 05/15/2033 1M | MSI | BYD Co., Ltd. | 1 day HKD HONIA | 0 | 576 | 576 |
| HKD | (5667) | 05/05/2028 1M | JPM | BYD Co., Ltd. | 1 day HKD HONIA | 0 | 381 | 381 |
| JPY | (1382) | 05/05/2028 1M | JPM | Canon Electronics, Inc. | 12 Month JPY TONA | 0 | 60 | 60 |
| JPY | (12180) | 05/20/2033 1M | GST | Canon, Inc. | 12 Month JPY TONA | 0 | 233 | 233 |
| USD | (370932) | 05/20/2033 1M | GST | Capital One Financial Corp. | 1 day USD OBFR | 0 | 2449 | 2449 |
| USD | (205239) | 05/15/2033 1M | MSI | Capital One Financial Corp. | 1 day USD OBFR | 0 | 1968 | 1968 |
| USD | (104993) | 05/05/2028 1M | JPM | Capital One Financial Corp. | 1 day USD OBFR | 0 | 498 | 498 |
| USD | (383141) | 05/05/2028 1M | JPM | Carlyle Group, Inc. | 1 day USD OBFR | 0 | 60661 | 60661 |
| USD | (488172) | 05/20/2033 1M | GST | Carlyle Group, Inc. | 1 day USD OBFR | 0 | 31433 | 31433 |
| USD | (81437) | 05/15/2033 1M | MSI | Carlyle Group, Inc. | 1 day USD OBFR | 0 | 8336 | 8336 |
| USD | (2367) | 05/20/2033 1M | GST | Carnival Corp. | 1 day USD OBFR | 0 | 2 | 2 |
| EUR | (16163) | 05/20/2033 1M | GST | Carrefour SA | 12 Month EUR STR | 0 | 397 | 397 |
| USD | (2218) | 05/05/2028 1M | JPM | Carvana Co. | 1 day USD OBFR | 0 | 378 | 378 |
| SEK | (22180) | 05/20/2033 1M | GST | Castellum AB | 12 Month SEK STIBOR | 0 | 764 | 764 |
| PLN | (38066) | 05/20/2033 1M | GST | CCC SA | 12 Month PLN WIBOR WIBO | 0 | 448 | 448 |
| USD | (14262) | 05/20/2033 1M | GST | CEVA, Inc. | 1 day USD OBFR | 0 | 222 | 222 |
| USD | (9316) | 05/20/2033 1M | GST | CGI, Inc. | 1 day USD OBFR | 0 | 7 | 7 |
| USD | 43796 | 05/15/2033 1M | MSI | Chevron Corp. | 1 day USD OBFR | 0 | 681 | 681 |
| USD | (1832) | 05/05/2028 1M | JPM | Chipotle Mexican Grill, Inc. | 1 day USD OBFR | 0 | 437 | 437 |
| HKD | (2906) | 05/15/2033 1M | MSI | Chow Tai Fook Jewellery Group Ltd. | 1 day HKD HONIA | 0 | 19 | 19 |
| USD | (2455) | 05/20/2033 1M | GST | Cigna Group | 1 day USD OBFR | 0 | 499 | 499 |
| USD | (2624) | 05/15/2033 1M | MSI | Cintas Corp. | 1 day USD OBFR | 0 | 59 | 59 |
| USD | (34070) | 05/05/2028 1M | JPM | Civitas Resources, Inc. | 1 day USD OBFR | 0 | 5442 | 5442 |
| USD | (314721) | 05/20/2033 1M | GST | CME Group, Inc. | 1 day USD OBFR | 0 | 2505 | 2505 |
| USD | (99752) | 05/15/2033 1M | MSI | CME Group, Inc. | 1 day USD OBFR | 0 | 990 | 990 |
| USD | (44282) | 05/15/2033 1M | MSI | CMS Energy Corp. | 1 day USD OBFR | 0 | 1035 | 1035 |
| USD | (1890) | 05/20/2033 1M | GST | Colgate-Palmolive Co. | 1 day USD OBFR | 0 | 28 | 28 |
| USD | (98255) | 05/05/2028 1M | JPM | Commercial Bank PSQC | 1 day USD OBFR | 0 | 4736 | 4736 |
| USD | (33499) | 05/15/2033 1M | MSI | Commercial Bank PSQC | 1 day USD OBFR | 0 | 1267 | 1267 |
| AUD | (9220) | 05/20/2033 1M | GST | Commonwealth Bank of Australia | 1 day AUD AONIA | 0 | 80 | 80 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | (2317) | 05/05/2028 1M | JPM | Commvault Systems, Inc. | 1 day USD OBFR | $0 | $507 | $507 |
| GBP | (3146) | 05/20/2033 1M | GST | Compass Group PLC | 12 Month GBP WMBA SONIA Compound | 0 | 34 | 34 |
| USD | (7696) | 05/05/2028 1M | JPM | Comstock Resources, Inc. | 1 day USD OBFR | 0 | 909 | 909 |
| USD | (24641) | 05/15/2033 1M | MSI | Constellation Energy Corp. | 1 day USD OBFR | 0 | 1644 | 1644 |
| CAD | (16969) | 05/15/2033 1M | MSI | Constellation Software, Inc. | 6 Month CAD CORRA | 0 | 1196 | 1196 |
| EUR | (44517) | 05/15/2033 1M | MSI | Corp. ACCIONA Energias Renovables SA | 12 Month EUR STR | 0 | 625 | 625 |
| USD | (175349) | 05/20/2033 1M | GST | Corpay, Inc. | 1 day USD OBFR | 0 | 15754 | 15754 |
| USD | (272408) | 05/20/2033 1M | GST | Costco Wholesale Corp. | 1 day USD OBFR | 0 | 6798 | 6798 |
| USD | (28650) | 05/15/2033 1M | MSI | Costco Wholesale Corp. | 1 day USD OBFR | 0 | 1267 | 1267 |
| EUR | (28408) | 05/15/2033 1M | MSI | CVC Capital Partners PLC | 12 Month EUR STR | 0 | 975 | 975 |
| EUR | (6253) | 05/05/2028 1M | JPM | CVC Capital Partners PLC | 12 Month EUR STR | 0 | 449 | 449 |
| EUR | (15684) | 05/20/2033 1M | GST | CVC Capital Partners PLC | 12 Month EUR STR | 0 | 159 | 159 |
| EUR | (28680) | 05/05/2028 1M | JPM | Daimler Truck Holding AG | 12 Month EUR STR | 0 | 413 | 413 |
| EUR | (12819) | 05/20/2033 1M | GST | Daimler Truck Holding AG | 12 Month EUR STR | 0 | 12 | 12 |
| USD | (48906) | 05/15/2033 1M | MSI | Darden Restaurants, Inc. | 1 day USD OBFR | 0 | 1706 | 1706 |
| USD | (96463) | 05/15/2033 1M | MSI | Deckers Outdoor Corp. | 1 day USD OBFR | 0 | 5998 | 5998 |
| EUR | (22444) | 05/05/2028 1M | JPM | Delivery Hero SE | 12 Month EUR STR | 0 | 2672 | 2672 |
| EUR | (37511) | 05/15/2033 1M | MSI | Delivery Hero SE | 12 Month EUR STR | 0 | 1752 | 1752 |
| EUR | (1883) | 05/20/2033 1M | GST | Delivery Hero SE | 12 Month EUR STR | 0 | 110 | 110 |
| USD | (2447) | 05/05/2028 1M | JPM | Delta Air Lines, Inc. | 1 day USD OBFR | 0 | 29 | 29 |
| JPY | (1400) | 05/05/2028 1M | JPM | Denso Corp. | 12 Month JPY TONA | 0 | 44 | 44 |
| EUR | (76929) | 05/20/2033 1M | GST | Deutsche Post AG | 12 Month EUR STR | 0 | 159 | 159 |
| GBP | (2337) | 05/20/2033 1M | GST | Diageo PLC | 12 Month GBP WMBA SONIA Compound | 0 | 46 | 46 |
| PLN | (49073) | 05/20/2033 1M | GST | Dino Polska SA | 12 Month PLN WIBOR WIBO | 0 | 1414 | 1414 |
| PLN | (3520) | 05/15/2033 1M | MSI | Dino Polska SA | 12 Month PLN WIBOR WIBO | 0 | 27 | 27 |
| JPY | (25653) | 05/20/2033 1M | GST | Disco Corp. | 12 Month JPY TONA | 0 | 1065 | 1065 |
| JPY | (720) | 05/05/2028 1M | JPM | Disco Corp. | 12 Month JPY TONA | 0 | 34 | 34 |
| JPY | (692) | 05/15/2033 1M | MSI | Disco Corp. | 12 Month JPY TONA | 0 | 14 | 14 |
| JPY | (1143) | 05/05/2028 1M | JPM | DMG Mori Co., Ltd. | 12 Month JPY TONA | 0 | 254 | 254 |
| NOK | (104264) | 05/15/2033 1M | MSI | DNB Bank ASA | 1 Month NOK NIBOR | 0 | 213 | 213 |
| USD | (140318) | 05/15/2033 1M | MSI | Dollar General Corp. | 1 day USD OBFR | 0 | 1997 | 1997 |
| USD | (68285) | 05/15/2033 1M | MSI | Dollar Tree, Inc. | 1 day USD OBFR | 0 | 388 | 388 |
| USD | (83326) | 05/20/2033 1M | GST | DoorDash, Inc. | 1 day USD OBFR | 0 | 3454 | 3454 |
| USD | (40118) | 05/05/2028 1M | JPM | DTE Energy Co. | 1 day USD OBFR | 0 | 1760 | 1760 |
| USD | (14816) | 05/15/2033 1M | MSI | DTE Energy Co. | 1 day USD OBFR | 0 | 720 | 720 |
| USD | (18025) | 05/15/2033 1M | MSI | Dubai Islamic Bank PJSC | 1 day USD OBFR | 0 | 144 | 144 |
| USD | (4093) | 05/15/2033 1M | MSI | Duolingo, Inc. | 1 day USD OBFR | 0 | 845 | 845 |
| USD | (3127) | 05/20/2033 1M | GST | Duolingo, Inc. | 1 day USD OBFR | 0 | 421 | 421 |
| USD | (641) | 05/05/2028 1M | JPM | Duolingo, Inc. | 1 day USD OBFR | 0 | 99 | 99 |
| USD | (2583) | 05/20/2033 1M | GST | eBay, Inc. | 1 day USD OBFR | 0 | 387 | 387 |
| EUR | (29604) | 05/05/2028 1M | JPM | EDP Renovaveis SA | 12 Month EUR STR | 0 | 225 | 225 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | (2124) | 05/20/2033 1M | GST | Elevance Health, Inc. | 1 day USD OBFR | $0 | $221 | $221 |
| CHF | (29166) | 05/20/2033 1M | GST | Emmi AG | 12 Month CHF SARON | 0 | 1146 | 1146 |
| CAD | (44408) | 05/15/2033 1M | MSI | Enbridge, Inc. | 6 Month CAD CORRA | 0 | 991 | 991 |
| CAD | (29265) | 05/20/2033 1M | GST | Enbridge, Inc. | 6 Month CAD CORRA | 0 | 372 | 372 |
| USD | (176209) | 05/15/2033 1M | MSI | Energy Transfer LP | 1 day USD OBFR | 0 | 790 | 790 |
| USD | (17947) | 05/05/2028 1M | JPM | Entegris, Inc. | 1 day USD OBFR | 0 | 1538 | 1538 |
| USD | (14231) | 05/15/2033 1M | MSI | EOG Resources, Inc. | 1 day USD OBFR | 0 | 365 | 365 |
| USD | (8831) | 05/20/2033 1M | GST | EOG Resources, Inc. | 1 day USD OBFR | 0 | 46 | 46 |
| SEK | (19055) | 05/15/2033 1M | MSI | EQT AB | 12 Month SEK STIBOR | 0 | 529 | 529 |
| USD | (169704) | 05/15/2033 1M | MSI | Equifax, Inc. | 1 day USD OBFR | 0 | 13701 | 13701 |
| USD | (79521) | 05/20/2033 1M | GST | Equifax, Inc. | 1 day USD OBFR | 0 | 7113 | 7113 |
| USD | (51378) | 05/05/2028 1M | JPM | Equifax, Inc. | 1 day USD OBFR | 0 | 4091 | 4091 |
| USD | (18698) | 05/05/2028 1M | JPM | Equinor ASA | 1 day USD OBFR | 0 | 1039 | 1039 |
| USD | (2854) | 05/20/2033 1M | GST | Etsy, Inc. | 1 day USD OBFR | 0 | 374 | 374 |
| EUR | (51834) | 05/05/2028 1M | JPM | Eurofins Scientific SE | 12 Month EUR STR | 0 | 750 | 750 |
| EUR | (216) | 05/15/2033 1M | MSI | Eurofins Scientific SE | 12 Month EUR STR | 0 | 2 | 2 |
| USD | (16682) | 05/20/2033 1M | GST | Euronet Worldwide, Inc. | 1 day USD OBFR | 0 | 2193 | 2193 |
| USD | (2374) | 05/05/2028 1M | JPM | Euronet Worldwide, Inc. | 1 day USD OBFR | 0 | 326 | 326 |
| USD | (257) | 05/15/2033 1M | MSI | Euronet Worldwide, Inc. | 1 day USD OBFR | 0 | 29 | 29 |
| USD | (16198) | 05/15/2033 1M | MSI | Evolv Technologies Holdings, Inc. | 1 day USD OBFR | 0 | 1020 | 1020 |
| USD | (24263) | 05/20/2033 1M | GST | ExlService Holdings, Inc. | 1 day USD OBFR | 0 | 960 | 960 |
| USD | (9059) | 05/15/2033 1M | MSI | ExlService Holdings, Inc. | 1 day USD OBFR | 0 | 300 | 300 |
| USD | (936) | 05/05/2028 1M | JPM | ExlService Holdings, Inc. | 1 day USD OBFR | 0 | 76 | 76 |
| USD | (2076) | 05/20/2033 1M | GST | F5, Inc. | 1 day USD OBFR | 0 | 304 | 304 |
| USD | (178602) | 05/20/2033 1M | GST | FactSet Research Systems, Inc. | 1 day USD OBFR | 0 | 14520 | 14520 |
| USD | (62753) | 05/15/2033 1M | MSI | FactSet Research Systems, Inc. | 1 day USD OBFR | 0 | 3790 | 3790 |
| SEK | (19673) | 05/20/2033 1M | GST | Fastighets AB Balder | 12 Month SEK STIBOR | 0 | 701 | 701 |
| SEK | (10494) | 05/15/2033 1M | MSI | Fastighets AB Balder | 12 Month SEK STIBOR | 0 | 366 | 366 |
| USD | (54314) | 05/20/2033 1M | GST | FirstEnergy Corp. | 1 day USD OBFR | 0 | 1610 | 1610 |
| USD | (47420) | 05/15/2033 1M | MSI | FirstEnergy Corp. | 1 day USD OBFR | 0 | 1040 | 1040 |
| USD | (51424) | 05/05/2028 1M | JPM | FirstEnergy Corp. | 1 day USD OBFR | 0 | 599 | 599 |
| USD | (33766) | 05/20/2033 1M | GST | Fiserv, Inc. | 1 day USD OBFR | 0 | 15626 | 15626 |
| USD | (19862) | 05/15/2033 1M | MSI | Fiserv, Inc. | 1 day USD OBFR | 0 | 8925 | 8925 |
| USD | (1376) | 05/05/2028 1M | JPM | Fiserv, Inc. | 1 day USD OBFR | 0 | 642 | 642 |
| USD | (2378) | 05/20/2033 1M | GST | Floor & Decor Holdings, Inc. | 1 day USD OBFR | 0 | 316 | 316 |
| USD | (61079) | 05/15/2033 1M | MSI | Flutter Entertainment PLC | 1 day USD OBFR | 0 | 2699 | 2699 |
| USD | (3460) | 05/20/2033 1M | GST | Freeport-McMoRan, Inc. | 1 day USD OBFR | 0 | 28 | 28 |
| EUR | (28649) | 05/05/2028 1M | JPM | Fugro NV | 12 Month EUR STR | 0 | 1567 | 1567 |
| EUR | (4162) | 05/15/2033 1M | MSI | Fugro NV | 12 Month EUR STR | 0 | 73 | 73 |
| JPY | (1532) | 05/05/2028 1M | JPM | FUJIFILM Holdings Corp. | 12 Month JPY TONA | 0 | 36 | 36 |
| USD | (4090) | 05/05/2028 1M | JPM | Gambling.com Group Ltd. | 1 day USD OBFR | 0 | 525 | 525 |
| GBP | (14959) | 05/20/2033 1M | GST | Gamma Communications PLC | 12 Month GBP WMBA SONIA Compound | 0 | 86 | 86 |
| USD | (3564) | 05/20/2033 1M | GST | GE Vernova, Inc. | 1 day USD OBFR | 0 | 28 | 28 |
| CHF | (67585) | 05/05/2028 1M | JPM | Geberit AG | 12 Month CHF SARON | 0 | 1865 | 1865 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| EUR | (22346) | 05/20/2033 1M | GST | Gecina SA | 12 Month EUR STR | $0 | $546 | $546 |
| EUR | (8486) | 05/05/2028 1M | JPM | Gecina SA | 12 Month EUR STR | 0 | 172 | 172 |
| HKD | (2111) | 05/15/2033 1M | MSI | Geely Automobile Holdings Ltd. | 1 day HKD HONIA | 0 | 84 | 84 |
| USD | (30430) | 05/15/2033 1M | MSI | Generac Holdings, Inc. | 1 day USD OBFR | 0 | 1698 | 1698 |
| USD | (10682) | 05/20/2033 1M | GST | Genpact Ltd. | 1 day USD OBFR | 0 | 458 | 458 |
| USD | (534) | 05/05/2028 1M | JPM | Genpact Ltd. | 1 day USD OBFR | 0 | 38 | 38 |
| CHF | (18371) | 05/20/2033 1M | GST | Georg Fischer AG | 12 Month CHF SARON | 0 | 447 | 447 |
| USD | (3447) | 05/20/2033 1M | GST | Gilead Sciences, Inc. | 1 day USD OBFR | 0 | 93 | 93 |
| CHF | (55608) | 05/05/2028 1M | JPM | Givaudan SA | 12 Month CHF SARON | 0 | 1511 | 1511 |
| USD | (173953) | 05/20/2033 1M | GST | Global Payments, Inc. | 1 day USD OBFR | 0 | 18511 | 18511 |
| GBP | (51544) | 05/15/2033 1M | MSI | Grainger PLC | 12 Month GBP WMBA SONIA Compound | 0 | 1545 | 1545 |
| GBP | (30688) | 05/20/2033 1M | GST | Grainger PLC | 12 Month GBP WMBA SONIA Compound | 0 | 765 | 765 |
| GBP | (9703) | 05/05/2028 1M | JPM | Grainger PLC | 12 Month GBP WMBA SONIA Compound | 0 | 156 | 156 |
| GBP | (31132) | 05/20/2033 1M | GST | Great Portland Estates PLC | 12 Month GBP WMBA SONIA Compound | 0 | 787 | 787 |
| GBP | (26130) | 05/20/2033 1M | GST | Greggs PLC | 12 Month GBP WMBA SONIA Compound | 0 | 458 | 458 |
| GBP | (7506) | 05/05/2028 1M | JPM | Greggs PLC | 12 Month GBP WMBA SONIA Compound | 0 | 232 | 232 |
| GBP | (10565) | 05/15/2033 1M | MSI | Greggs PLC | 12 Month GBP WMBA SONIA Compound | 0 | 92 | 92 |
| EUR | (34353) | 05/15/2033 1M | MSI | Grenke AG | 12 Month EUR STR | 0 | 1641 | 1641 |
| EUR | (21949) | 05/20/2033 1M | GST | Grenke AG | 12 Month EUR STR | 0 | 1255 | 1255 |
| EUR | (37601) | 05/05/2028 1M | JPM | Grifols SA | 12 Month EUR STR | 0 | 2185 | 2185 |
| EUR | (2120) | 05/15/2033 1M | MSI | Grifols SA | 12 Month EUR STR | 0 | 122 | 122 |
| USD | (2540) | 05/20/2033 1M | GST | Guidewire Software, Inc. | 1 day USD OBFR | 0 | 203 | 203 |
| EUR | (160945) | 05/20/2033 1M | GST | Hannover Rueck SE | 12 Month EUR STR | 0 | 3198 | 3198 |
| EUR | (102863) | 05/15/2033 1M | MSI | Hannover Rueck SE | 12 Month EUR STR | 0 | 2222 | 2222 |
| JPY | (1276) | 05/05/2028 1M | JPM | Harmonic Drive Systems, Inc. | 12 Month JPY TONA | 0 | 33 | 33 |
| SEK | (39507) | 05/20/2033 1M | GST | Hemnet Group AB | 12 Month SEK STIBOR | 0 | 1905 | 1905 |
| SEK | (3512) | 05/15/2033 1M | MSI | Hemnet Group AB | 12 Month SEK STIBOR | 0 | 231 | 231 |
| SEK | (2321) | 05/05/2028 1M | JPM | Hemnet Group AB | 12 Month SEK STIBOR | 0 | 164 | 164 |
| EUR | (43943) | 05/20/2033 1M | GST | Hermes International SCA | 12 Month EUR STR | 0 | 1459 | 1459 |
| EUR | (5056) | 05/15/2033 1M | MSI | Hermes International SCA | 12 Month EUR STR | 0 | 72 | 72 |
| USD | (41893) | 05/20/2033 1M | GST | HF Sinclair Corp. | 1 day USD OBFR | 0 | 820 | 820 |
| USD | (66482) | 05/15/2033 1M | MSI | HF Sinclair Corp. | 1 day USD OBFR | 0 | 537 | 537 |
| USD | (8188) | 05/05/2028 1M | JPM | HF Sinclair Corp. | 1 day USD OBFR | 0 | 86 | 86 |
| USD | (3382) | 05/05/2028 1M | JPM | Hilton Worldwide Holdings, Inc. | 1 day USD OBFR | 0 | 42 | 42 |
| USD | (11116) | 05/05/2028 1M | JPM | Hims & Hers Health, Inc. | 1 day USD OBFR | 0 | 1888 | 1888 |
| USD | (10889) | 05/20/2033 1M | GST | Home Depot, Inc. | 1 day USD OBFR | 0 | 260 | 260 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| HKD | (1981) | 05/15/2033 1M | MSI | Hong Kong Exchanges & Clearing Ltd. | 1 day HKD HONIA | $0 | $18 | $18 |
| GBP | (105413) | 05/15/2033 1M | MSI | HSBC Holdings PLC | 12 Month GBP WMBA SONIA Compound | 0 | 153 | 153 |
| HKD | (5366) | 05/15/2033 1M | MSI | Hua Hong Semiconductor Ltd. | 1 day HKD HONIA | 0 | 65 | 65 |
| SEK | (37875) | 05/20/2033 1M | GST | Hufvudstaden AB | 12 Month SEK STIBOR | 0 | 815 | 815 |
| USD | (2810) | 05/20/2033 1M | GST | Hyatt Hotels Corp. | 1 day USD OBFR | 0 | 199 | 199 |
| USD | (738) | 05/05/2028 1M | JPM | Hyatt Hotels Corp. | 1 day USD OBFR | 0 | 51 | 51 |
| EUR | (38579) | 05/20/2033 1M | GST | ICADE | 12 Month EUR STR | 0 | 1553 | 1553 |
| EUR | (2701) | 05/15/2033 1M | MSI | ICADE | 12 Month EUR STR | 0 | 71 | 71 |
| GBP | (4236) | 05/05/2028 1M | JPM | ICG PLC | 12 Month GBP WMBA SONIA Compound | 0 | 648 | 648 |
| USD | (5245) | 05/15/2033 1M | MSI | Infinity Natural Resources, Inc. | 1 day USD OBFR | 0 | 401 | 401 |
| USD | (5844) | 05/20/2033 1M | GST | Infinity Natural Resources, Inc. | 1 day USD OBFR | 0 | 253 | 253 |
| CAD | (187845) | 05/15/2033 1M | MSI | Intact Financial Corp. | 6 Month CAD CORRA | 0 | 735 | 735 |
| GBP | (11041) | 05/20/2033 1M | GST | InterContinental Hotels Group PLC | 12 Month GBP WMBA SONIA Compound | 0 | 132 | 132 |
| EUR | (8383) | 05/20/2033 1M | GST | Intercos SpA | 12 Month EUR STR | 0 | 369 | 369 |
| GBP | (43591) | 05/20/2033 1M | GST | Intermediate Capital Group PLC | 12 Month GBP WMBA SONIA Compound | 0 | 128 | 128 |
| USD | (56958) | 05/05/2028 1M | JPM | Intuit, Inc. | 1 day USD OBFR | 0 | 216 | 216 |
| USD | (8373) | 05/05/2028 1M | JPM | IonQ, Inc. | 1 day USD OBFR | 0 | 1761 | 1761 |
| JPY | (1261) | 05/05/2028 1M | JPM | Isetan Mitsukoshi Holdings Ltd. | 12 Month JPY TONA | 0 | 122 | 122 |
| USD | (339564) | 05/15/2033 1M | MSI | iShares MSCI USA Momentum Factor ETF | 1 day USD OBFR | 0 | 516 | 516 |
| USD | (16127) | 05/20/2033 1M | GST | Jack Henry & Associates, Inc. | 1 day USD OBFR | 0 | 638 | 638 |
| JPY | (1096) | 05/05/2028 1M | JPM | Japan Aviation Electronics Industry Ltd. | 12 Month JPY TONA | 0 | 128 | 128 |
| JPY | (1338) | 05/05/2028 1M | JPM | Japan Material Co., Ltd. | 12 Month JPY TONA | 0 | 2 | 2 |
| GBP | (10827) | 05/05/2028 1M | JPM | JD Sports Fashion PLC | 12 Month GBP WMBA SONIA Compound | 0 | 574 | 574 |
| GBP | (26672) | 05/20/2033 1M | GST | JD Sports Fashion PLC | 12 Month GBP WMBA SONIA Compound | 0 | 504 | 504 |
| GBP | (20986) | 05/15/2033 1M | MSI | JD Sports Fashion PLC | 12 Month GBP WMBA SONIA Compound | 0 | 302 | 302 |
| HKD | (47530) | 05/05/2028 1M | JPM | JD.com, Inc. | 1 day HKD HONIA | 0 | 3330 | 3330 |
| JPY | (734) | 05/05/2028 1M | JPM | JINS Holdings, Inc. | 12 Month JPY TONA | 0 | 64 | 64 |
| SEK | (9461) | 05/20/2033 1M | GST | JM AB | 12 Month SEK STIBOR | 0 | 1011 | 1011 |
| USD | (4258) | 05/05/2028 1M | JPM | Kanzhun Ltd. | 1 day USD OBFR | 0 | 380 | 380 |
| EUR | (54865) | 05/05/2028 1M | JPM | Kering SA | 12 Month EUR STR | 0 | 546 | 546 |
| EUR | (1895) | 05/20/2033 1M | GST | Kering SA | 12 Month EUR STR | 0 | 105 | 105 |
| EUR | (18498) | 05/20/2033 1M | GST | Kesko OYJ | 12 Month EUR STR | 0 | 847 | 847 |
| JPY | (14701) | 05/20/2033 1M | GST | Keyence Corp. | 12 Month JPY TONA | 0 | 998 | 998 |
| USD | (133131) | 05/20/2033 1M | GST | Kinder Morgan, Inc. | 1 day USD OBFR | 0 | 5246 | 5246 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | (66027) | 05/05/2028 1M | JPM | Kinder Morgan, Inc. | 1 day USD OBFR | $0 | $4113 | $4113 |
| USD | (43182) | 05/15/2033 1M | MSI | Kinder Morgan, Inc. | 1 day USD OBFR | 0 | 2221 | 2221 |
| EUR | (33107) | 05/15/2033 1M | MSI | Kingspan Group PLC | 12 Month EUR STR | 0 | 2609 | 2609 |
| USD | (1726) | 05/20/2033 1M | GST | Kinsus Interconnect Technology Corp. | 1 day USD OBFR | 0 | 170 | 170 |
| JPY | (403) | 05/05/2028 1M | JPM | Kitz Corp. | 12 Month JPY TONA | 0 | 3 | 3 |
| USD | (12011) | 05/20/2033 1M | GST | KKR & Co., Inc. | 1 day USD OBFR | 0 | 178 | 178 |
| USD | (186514) | 05/20/2033 1M | GST | KLA Corp. | 1 day USD OBFR | 0 | 368 | 368 |
| EUR | (19157) | 05/15/2033 1M | MSI | Kojamo OYJ | 12 Month EUR STR | 0 | 253 | 253 |
| EUR | (9924) | 05/05/2028 1M | JPM | Kojamo OYJ | 12 Month EUR STR | 0 | 32 | 32 |
| EUR | (1585) | 05/20/2033 1M | GST | Kojamo OYJ | 12 Month EUR STR | 0 | 3 | 3 |
| JPY | (1346) | 05/05/2028 1M | JPM | Konica Minolta, Inc. | 12 Month JPY TONA | 0 | 32 | 32 |
| USD | (6394) | 05/05/2028 1M | JPM | Kopin Corp. | 1 day USD OBFR | 0 | 197 | 197 |
| USD | (3032) | 05/05/2028 1M | JPM | Kyndryl Holdings, Inc. | 1 day USD OBFR | 0 | 169 | 169 |
| CHF | (23834) | 05/05/2028 1M | JPM | Landis & Gyr Group AG | 12 Month CHF SARON | 0 | 1908 | 1908 |
| USD | (20754) | 05/15/2033 1M | MSI | Largan Precision Co., Ltd. | 1 day USD OBFR | 0 | 138 | 138 |
| USD | (1299) | 05/20/2033 1M | GST | Largan Precision Co., Ltd. | 1 day USD OBFR | 0 | 2 | 2 |
| USD | (14527) | 05/05/2028 1M | JPM | Life360, Inc. | 1 day USD OBFR | 0 | 1596 | 1596 |
| USD | (12943) | 05/05/2028 1M | JPM | Live Nation Entertainment, Inc. | 1 day USD OBFR | 0 | 532 | 532 |
| EUR | (21194) | 05/20/2033 1M | GST | L'Oreal SA | 12 Month EUR STR | 0 | 1773 | 1773 |
| EUR | (38561) | 05/05/2028 1M | JPM | L'Oreal SA | 12 Month EUR STR | 0 | 1222 | 1222 |
| EUR | (13253) | 05/15/2033 1M | MSI | L'Oreal SA | 12 Month EUR STR | 0 | 626 | 626 |
| USD | (33766) | 05/15/2033 1M | MSI | Louisiana-Pacific Corp. | 1 day USD OBFR | 0 | 2145 | 2145 |
| USD | (140094) | 05/15/2033 1M | MSI | Lowe's Cos., Inc. | 1 day USD OBFR | 0 | 1418 | 1418 |
| USD | (109748) | 05/20/2033 1M | GST | Lowe's Cos., Inc. | 1 day USD OBFR | 0 | 1332 | 1332 |
| USD | (20059) | 05/05/2028 1M | JPM | Lowe's Cos., Inc. | 1 day USD OBFR | 0 | 194 | 194 |
| EUR | (65627) | 05/20/2033 1M | GST | LVMH Moet Hennessy Louis Vuitton SE | 12 Month EUR STR | 0 | 20 | 20 |
| USD | (2403) | 05/20/2033 1M | GST | Madison Square Garden Entertainment Corp. | 1 day USD OBFR | 0 | 18 | 18 |
| USD | (2001) | 05/20/2033 1M | GST | Madison Square Garden Sports Corp. | 1 day USD OBFR | 0 | 71 | 71 |
| USD | (76249) | 05/05/2028 1M | JPM | Magnolia Oil & Gas Corp. | 1 day USD OBFR | 0 | 4714 | 4714 |
| USD | (34479) | 05/20/2033 1M | GST | Magnolia Oil & Gas Corp. | 1 day USD OBFR | 0 | 721 | 721 |
| USD | (18575) | 05/15/2033 1M | MSI | Magnolia Oil & Gas Corp. | 1 day USD OBFR | 0 | 315 | 315 |
| JPY | (835) | 05/05/2028 1M | JPM | Makita Corp. | 12 Month JPY TONA | 0 | 20 | 20 |
| EUR | (45618) | 05/20/2033 1M | GST | Mapfre SA | 12 Month EUR STR | 0 | 1650 | 1650 |
| JPY | (1500) | 05/05/2028 1M | JPM | Marubeni Corp. | 12 Month JPY TONA | 0 | 7 | 7 |
| USD | (149411) | 05/20/2033 1M | GST | Mastercard, Inc. | 1 day USD OBFR | 0 | 2531 | 2531 |
| USD | (33958) | 05/15/2033 1M | MSI | Mastercard, Inc. | 1 day USD OBFR | 0 | 286 | 286 |
| USD | (7599) | 05/05/2028 1M | JPM | MaxLinear, Inc. | 1 day USD OBFR | 0 | 630 | 630 |
| JPY | (1321) | 05/05/2028 1M | JPM | Mazda Motor Corp. | 12 Month JPY TONA | 0 | 20 | 20 |
| USD | (59218) | 05/15/2033 1M | MSI | McDonald's Corp. | 1 day USD OBFR | 0 | 1323 | 1323 |
| JPY | (1359) | 05/05/2028 1M | JPM | Megachips Corp. | 12 Month JPY TONA | 0 | 23 | 23 |
| HKD | (10448) | 05/05/2028 1M | JPM | Meituan | 1 day HKD HONIA | 0 | 356 | 356 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| EUR | (22585) | 05/15/2033 1M | MSI | Melexis NV | 12 Month EUR STR | $0 | $684 | $684 |
| EUR | (5485) | 05/20/2033 1M | GST | Melexis NV | 12 Month EUR STR | 0 | 87 | 87 |
| USD | (2849) | 05/20/2033 1M | GST | Merck & Co., Inc. | 1 day USD OBFR | 0 | 11 | 11 |
| USD | (286228) | 05/20/2033 1M | GST | Meta Platforms, Inc. | 1 day USD OBFR | 0 | 13921 | 13921 |
| USD | (7298) | 05/20/2033 1M | GST | MGE Energy, Inc. | 1 day USD OBFR | 0 | 254 | 254 |
| USD | (5165) | 05/15/2033 1M | MSI | MGE Energy, Inc. | 1 day USD OBFR | 0 | 110 | 110 |
| USD | (30669) | 05/05/2028 1M | JPM | MGE Energy, Inc. | 1 day USD OBFR | 0 | 7 | 7 |
| USD | (7445) | 05/20/2033 1M | GST | Microchip Technology, Inc. | 1 day USD OBFR | 0 | 516 | 516 |
| USD | (6456) | 05/15/2033 1M | MSI | Microchip Technology, Inc. | 1 day USD OBFR | 0 | 276 | 276 |
| SEK | (15198) | 05/05/2028 1M | JPM | MIPS AB | 12 Month SEK STIBOR | 0 | 414 | 414 |
| SEK | (7382) | 05/20/2033 1M | GST | MIPS AB | 12 Month SEK STIBOR | 0 | 346 | 346 |
| SEK | (2175) | 05/15/2033 1M | MSI | MIPS AB | 12 Month SEK STIBOR | 0 | 103 | 103 |
| JPY | (1247) | 05/05/2028 1M | JPM | Mitsui High-Tec, Inc. | 12 Month JPY TONA | 0 | 57 | 57 |
| ILS | (147943) | 05/15/2033 1M | MSI | Mizrahi Tefahot Bank Ltd. | 1 day ILS SHIR | 0 | 3219 | 3219 |
| USD | (262939) | 05/15/2033 1M | MSI | Moelis & Co. | 1 day USD OBFR | 0 | 16585 | 16585 |
| USD | (40023) | 05/20/2033 1M | GST | Moelis & Co. | 1 day USD OBFR | 0 | 3102 | 3102 |
| EUR | (19939) | 05/20/2033 1M | GST | Moncler SpA | 12 Month EUR STR | 0 | 486 | 486 |
| EUR | (6337) | 05/15/2033 1M | MSI | Moncler SpA | 12 Month EUR STR | 0 | 52 | 52 |
| USD | (29082) | 05/15/2033 1M | MSI | Mondelez International, Inc. | 1 day USD OBFR | 0 | 294 | 294 |
| USD | (3095) | 05/20/2033 1M | GST | Monolithic Power Systems, Inc. | 1 day USD OBFR | 0 | 80 | 80 |
| USD | (50732) | 05/05/2028 1M | JPM | Moody's Corp. | 1 day USD OBFR | 0 | 301 | 301 |
| EUR | (268183) | 05/15/2033 1M | MSI | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 12 Month EUR STR | 0 | 11185 | 11185 |
| SEK | (13051) | 05/05/2028 1M | JPM | Munters Group AB | 12 Month SEK STIBOR | 0 | 92 | 92 |
| EUR | (21049) | 05/20/2033 1M | GST | Nagarro SE | 12 Month EUR STR | 0 | 501 | 501 |
| EUR | (771) | 05/05/2028 1M | JPM | Nagarro SE | 12 Month EUR STR | 0 | 89 | 89 |
| EUR | (1557) | 05/15/2033 1M | MSI | Nagarro SE | 12 Month EUR STR | 0 | 37 | 37 |
| ZAR | (4847) | 05/05/2028 1M | JPM | Naspers Ltd. | 3 Month ZAR JIBAR SAFEX | 0 | 228 | 228 |
| USD | (56378) | 05/20/2033 1M | GST | National Fuel Gas Co. | 1 day USD OBFR | 0 | 4929 | 4929 |
| USD | (43926) | 05/15/2033 1M | MSI | National Fuel Gas Co. | 1 day USD OBFR | 0 | 2341 | 2341 |
| USD | (10) | 05/20/2033 1M | GST | NAURA Technology Group Co., Ltd. | 1 day USD OBFR | 0 | 10 | 10 |
| EUR | 114372 | 11/28/2025 1M | GST | Negative Return on Goldman Sachs EUR Volatility Carry Index | Positive Return on Goldman Sachs EUR Volatility Carry Index | 0 | 24 | 24 |
| EUR | (45816) | 05/20/2033 1M | GST | Nemetschek SE | 12 Month EUR STR | 0 | 2174 | 2174 |
| EUR | (12487) | 05/05/2028 1M | JPM | Nemetschek SE | 12 Month EUR STR | 0 | 840 | 840 |
| HKD | (13566) | 05/15/2033 1M | MSI | NetEase, Inc. | 1 day HKD HONIA | 0 | 850 | 850 |
| USD | (36930) | 05/15/2033 1M | MSI | New Jersey Resources Corp. | 1 day USD OBFR | 0 | 1534 | 1534 |
| JPY | (1499) | 05/05/2028 1M | JPM | NIDEC Corp. | 12 Month JPY TONA | 0 | 392 | 392 |
| USD | (29066) | 05/15/2033 1M | MSI | NIKE, Inc. | 1 day USD OBFR | 0 | 258 | 258 |
| JPY | (1309) | 05/05/2028 1M | JPM | Nikon Corp. | 12 Month JPY TONA | 0 | 25 | 25 |
| NOK | (39235) | 05/20/2033 1M | GST | Nordic Semiconductor ASA | 1 Month NOK NIBOR | 0 | 4194 | 4194 |
| SEK | (134409) | 05/20/2033 1M | GST | Nordnet AB publ | 12 Month SEK STIBOR | 0 | 5789 | 5789 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| JPY | (1323) | 05/05/2028 1M | JPM | Noritsu Koki Co., Ltd. | 12 Month JPY TONA | $0 | $49 | $49 |
| USD | (61378) | 05/05/2028 1M | JPM | Northern Oil & Gas, Inc. | 1 day USD OBFR | 0 | 8112 | 8112 |
| USD | (7326) | 05/20/2033 1M | GST | Northwest Natural Holding Co. | 1 day USD OBFR | 0 | 100 | 100 |
| USD | (12508) | 05/20/2033 1M | GST | Northwestern Energy Group, Inc. | 1 day USD OBFR | 0 | 395 | 395 |
| USD | (19706) | 05/15/2033 1M | MSI | Novatek Microelectronics Corp. | 1 day USD OBFR | 0 | 758 | 758 |
| USD | (2610) | 05/20/2033 1M | GST | Novatek Microelectronics Corp. | 1 day USD OBFR | 0 | 144 | 144 |
| USD | (10633) | 05/05/2028 1M | JPM | Nutanix, Inc. | 1 day USD OBFR | 0 | 446 | 446 |
| USD | (13189) | 05/20/2033 1M | GST | NXP Semiconductors NV | 1 day USD OBFR | 0 | 642 | 642 |
| CAD | (52005) | 05/15/2033 1M | MSI | Obsidian Energy Ltd. | 6 Month CAD CORRA | 0 | 2708 | 2708 |
| GBP | (15370) | 05/20/2033 1M | GST | Ocado Group PLC | 12 Month GBP WMBA SONIA Compound | 0 | 774 | 774 |
| GBP | (6194) | 05/15/2033 1M | MSI | Ocado Group PLC | 12 Month GBP WMBA SONIA Compound | 0 | 487 | 487 |
| GBP | (1495) | 05/05/2028 1M | JPM | Ocado Group PLC | 12 Month GBP WMBA SONIA Compound | 0 | 39 | 39 |
| USD | (92833) | 05/15/2033 1M | MSI | Occidental Petroleum Corp. | 1 day USD OBFR | 0 | 339 | 339 |
| USD | (26107) | 05/15/2033 1M | MSI | OGE Energy Corp. | 1 day USD OBFR | 0 | 1610 | 1610 |
| JPY | (1079) | 05/05/2028 1M | JPM | Olympus Corp. | 12 Month JPY TONA | 0 | 16 | 16 |
| USD | (65950) | 05/20/2033 1M | GST | On Holding AG | 1 day USD OBFR | 0 | 7104 | 7104 |
| USD | (65316) | 05/15/2033 1M | MSI | On Holding AG | 1 day USD OBFR | 0 | 6768 | 6768 |
| USD | (8769) | 05/05/2028 1M | JPM | On Holding AG | 1 day USD OBFR | 0 | 1117 | 1117 |
| USD | (14765) | 05/20/2033 1M | GST | ON Semiconductor Corp. | 1 day USD OBFR | 0 | 1294 | 1294 |
| USD | (28504) | 05/15/2033 1M | MSI | ON Semiconductor Corp. | 1 day USD OBFR | 0 | 158 | 158 |
| USD | (14245) | 05/20/2033 1M | GST | Onto Innovation, Inc. | 1 day USD OBFR | 0 | 75 | 75 |
| JPY | (1352) | 05/05/2028 1M | JPM | Optorun Co., Ltd. | 12 Month JPY TONA | 0 | 28 | 28 |
| USD | (145723) | 05/05/2028 1M | JPM | Oracle Corp. | 1 day USD OBFR | 0 | 16782 | 16782 |
| USD | (87931) | 05/20/2033 1M | GST | Oracle Corp. | 1 day USD OBFR | 0 | 3634 | 3634 |
| USD | (27467) | 05/15/2033 1M | MSI | Oracle Corp. | 1 day USD OBFR | 0 | 1206 | 1206 |
| USD | (67648) | 05/15/2033 1M | MSI | O'Reilly Automotive, Inc. | 1 day USD OBFR | 0 | 3617 | 3617 |
| USD | (72131) | 05/20/2033 1M | GST | O'Reilly Automotive, Inc. | 1 day USD OBFR | 0 | 2907 | 2907 |
| USD | (1550) | 05/05/2028 1M | JPM | O'Reilly Automotive, Inc. | 1 day USD OBFR | 0 | 133 | 133 |
| USD | (7771) | 05/05/2028 1M | JPM | Otter Tail Corp. | 1 day USD OBFR | 0 | 204 | 204 |
| USD | (8143) | 05/15/2033 1M | MSI | Otter Tail Corp. | 1 day USD OBFR | 0 | 112 | 112 |
| USD | (18175) | 05/20/2033 1M | GST | Otter Tail Corp. | 1 day USD OBFR | 0 | 105 | 105 |
| EUR | (1849) | 05/15/2033 1M | MSI | Ottobock SE & Co. KGaA | 12 Month EUR STR | 0 | 5 | 5 |
| GBP | (18491) | 05/15/2033 1M | MSI | Paragon Banking Group PLC | 12 Month GBP WMBA SONIA Compound | 0 | 42 | 42 |
| CAD | (10380) | 05/15/2033 1M | MSI | Parex Resources, Inc. | 6 Month CAD CORRA | 0 | 29 | 29 |
| CHF | (231184) | 05/15/2033 1M | MSI | Partners Group Holding AG | 12 Month CHF SARON | 0 | 5568 | 5568 |
| USD | (96841) | 05/20/2033 1M | GST | Paychex, Inc. | 1 day USD OBFR | 0 | 7313 | 7313 |
| USD | (7641) | 05/20/2033 1M | GST | Paycom Software, Inc. | 1 day USD OBFR | 0 | 532 | 532 |
| USD | (85495) | 05/20/2033 1M | GST | Paymentus Holdings, Inc. | 1 day USD OBFR | 0 | 2383 | 2383 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | (24917) | 05/20/2033 1M | GST | Peabody Energy Corp. | 1 day USD OBFR | $0 | $2707 | $2707 |
| GBP | (43647) | 05/15/2033 1M | MSI | Pearson PLC | 12 Month GBP WMBA SONIA Compound | 0 | 1181 | 1181 |
| GBP | (18503) | 05/05/2028 1M | JPM | Pearson PLC | 12 Month GBP WMBA SONIA Compound | 0 | 16 | 16 |
| GBP | (453) | 05/20/2033 1M | GST | Pearson PLC | 12 Month GBP WMBA SONIA Compound | 0 | 12 | 12 |
| USD | (23968) | 05/20/2033 1M | GST | PepsiCo, Inc. | 1 day USD OBFR | 0 | 1178 | 1178 |
| USD | (8465) | 05/15/2033 1M | MSI | PepsiCo, Inc. | 1 day USD OBFR | 0 | 284 | 284 |
| USD | (20820) | 05/15/2033 1M | MSI | Philip Morris International, Inc. | 1 day USD OBFR | 0 | 1769 | 1769 |
| USD | (17387) | 05/20/2033 1M | GST | Philip Morris International, Inc. | 1 day USD OBFR | 0 | 1510 | 1510 |
| USD | (58944) | 05/15/2033 1M | MSI | Pinnacle West Capital Corp. | 1 day USD OBFR | 0 | 3265 | 3265 |
| EUR | (151933) | 05/15/2033 1M | MSI | Piraeus Financial Holdings SA | 12 Month EUR STR | 0 | 2844 | 2844 |
| USD | (18762) | 05/15/2033 1M | MSI | Plug Power, Inc. | 1 day USD OBFR | 0 | 2243 | 2243 |
| USD | (6178) | 05/20/2033 1M | GST | Plug Power, Inc. | 1 day USD OBFR | 0 | 1290 | 1290 |
| USD | (128327) | 05/05/2028 1M | JPM | PNC Financial Services Group, Inc. | 1 day USD OBFR | 0 | 7459 | 7459 |
| HKD | (20864) | 05/20/2033 1M | GST | Pop Mart International Group Ltd. | 1 day HKD HONIA | 0 | 3893 | 3893 |
| HKD | (17474) | 05/15/2033 1M | MSI | Pop Mart International Group Ltd. | 1 day HKD HONIA | 0 | 2797 | 2797 |
| HKD | (7610) | 05/05/2028 1M | JPM | Pop Mart International Group Ltd. | 1 day HKD HONIA | 0 | 596 | 596 |
| PLN | (138974) | 05/15/2033 1M | MSI | Powszechna Kasa Oszczednosci Bank Polski SA | 12 Month PLN WIBOR WIBO | 0 | 531 | 531 |
| AUD | (14862) | 05/15/2033 1M | MSI | Pro Medicus Ltd. | 1 day AUD AONIA | 0 | 1513 | 1513 |
| EUR | (7915) | 05/05/2028 1M | JPM | Prosus NV | 12 Month EUR STR | 0 | 144 | 144 |
| USD | (15236) | 05/15/2033 1M | MSI | PureCycle Technologies, Inc. | 1 day USD OBFR | 0 | 3575 | 3575 |
| USD | (1911) | 05/05/2028 1M | JPM | Q2 Holdings, Inc. | 1 day USD OBFR | 0 | 120 | 120 |
| EUR | (17386) | 05/05/2028 1M | JPM | QT Group OYJ | 12 Month EUR STR | 0 | 4212 | 4212 |
| EUR | (11675) | 05/20/2033 1M | GST | QT Group OYJ | 12 Month EUR STR | 0 | 1144 | 1144 |
| EUR | (1056) | 05/15/2033 1M | MSI | QT Group OYJ | 12 Month EUR STR | 0 | 269 | 269 |
| USD | (3330) | 05/20/2033 1M | GST | Ralph Lauren Corp. | 1 day USD OBFR | 0 | 133 | 133 |
| USD | (219345) | 05/15/2033 1M | MSI | Raymond James Financial, Inc. | 1 day USD OBFR | 0 | 6727 | 6727 |
| AUD | (15366) | 05/15/2033 1M | MSI | REA Group Ltd. | 1 day AUD AONIA | 0 | 553 | 553 |
| JPY | (14918) | 05/20/2033 1M | GST | Recruit Holdings Co., Ltd. | 12 Month JPY TONA | 0 | 236 | 236 |
| EUR | (5324) | 05/05/2028 1M | JPM | Redcare Pharmacy NV | 12 Month EUR STR | 0 | 492 | 492 |
| EUR | (9393) | 05/20/2033 1M | GST | Redcare Pharmacy NV | 12 Month EUR STR | 0 | 68 | 68 |
| USD | (74059) | 05/05/2028 1M | JPM | RenaissanceRe Holdings Ltd. | 1 day USD OBFR | 0 | 3422 | 3422 |
| JPY | (6532) | 05/20/2033 1M | GST | Renesas Electronics Corp. | 12 Month JPY TONA | 0 | 64 | 64 |
| USD | (16398) | 05/15/2033 1M | MSI | Ring Energy, Inc. | 1 day USD OBFR | 0 | 1196 | 1196 |
| USD | (194361) | 05/15/2033 1M | MSI | Riyad Bank | 1 day USD OBFR | 0 | 2365 | 2365 |
| USD | (20628) | 05/20/2033 1M | GST | Riyad Bank | 1 day USD OBFR | 0 | 325 | 325 |
| USD | (14272) | 05/15/2033 1M | MSI | ROBLOX Corp. | 1 day USD OBFR | 0 | 2559 | 2559 |
| SEK | (16761) | 05/15/2033 1M | MSI | Roko AB | 12 Month SEK STIBOR | 0 | 372 | 372 |
| SEK | (1968) | 05/05/2028 1M | JPM | Roko AB | 12 Month SEK STIBOR | 0 | 169 | 169 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| JPY | (1678) | 05/05/2028 1M | JPM | Rorze Corp. | 12 Month JPY TONA | $0 | $159 | $159 |
| USD | (9024) | 05/15/2033 1M | MSI | Royal Caribbean Cruises Ltd. | 1 day USD OBFR | 0 | 706 | 706 |
| USD | (6965) | 05/20/2033 1M | GST | Royal Caribbean Cruises Ltd. | 1 day USD OBFR | 0 | 368 | 368 |
| USD | (2948) | 05/15/2033 1M | MSI | SailPoint, Inc. | 1 day USD OBFR | 0 | 151 | 151 |
| USD | (2057) | 05/20/2033 1M | GST | SailPoint, Inc. | 1 day USD OBFR | 0 | 84 | 84 |
| JPY | (1424) | 05/05/2028 1M | JPM | Sanrio Co., Ltd. | 12 Month JPY TONA | 0 | 95 | 95 |
| AUD | (7228) | 05/05/2028 1M | JPM | Santos Ltd. | 1 day AUD AONIA | 0 | 387 | 387 |
| AUD | (21660) | 05/15/2033 1M | MSI | Santos Ltd. | 1 day AUD AONIA | 0 | 104 | 104 |
| EUR | (68682) | 05/20/2033 1M | GST | SAP SE | 12 Month EUR STR | 0 | 3731 | 3731 |
| EUR | (12762) | 05/05/2028 1M | JPM | SAP SE | 12 Month EUR STR | 0 | 484 | 484 |
| USD | (4724) | 05/20/2033 1M | GST | SAP SE | 12 Month EUR STR | 0 | 304 | 304 |
| USD | (21327) | 05/20/2033 1M | GST | Saudi Awwal Bank | 1 day USD OBFR | 0 | 288 | 288 |
| USD | (84447) | 05/15/2033 1M | MSI | Saudi Awwal Bank | 1 day USD OBFR | 0 | 110 | 110 |
| EUR | (19452) | 05/05/2028 1M | JPM | Schneider Electric SE | 12 Month EUR STR | 0 | 236 | 236 |
| EUR | (6064) | 05/20/2033 1M | GST | Schneider Electric SE | 12 Month EUR STR | 0 | 42 | 42 |
| EUR | (28143) | 05/15/2033 1M | MSI | Schneider Electric SE | 12 Month EUR STR | 0 | 3 | 3 |
| EUR | (355) | 05/10/2026 1M | CBK | Scout24 SE | 12 Month EUR STR | 0 | 7 | 7 |
| EUR | (2577) | 05/20/2033 1M | GST | Scout24 SE | 12 Month EUR STR | 0 | 4 | 4 |
| JPY | (1658) | 05/05/2028 1M | JPM | SCREEN Holdings Co., Ltd. | 12 Month JPY TONA | 0 | 10 | 10 |
| USD | (14218) | 05/15/2033 1M | MSI | Sea Ltd. | 1 day USD OBFR | 0 | 624 | 624 |
| JPY | (418) | 05/05/2028 1M | JPM | Seibu Holdings, Inc. | 12 Month JPY TONA | 0 | 23 | 23 |
| USD | (14793) | 05/05/2028 1M | JPM | Semtech Corp. | 1 day USD OBFR | 0 | 67 | 67 |
| USD | (22371) | 05/20/2033 1M | GST | Shift4 Payments, Inc. | 1 day USD OBFR | 0 | 1848 | 1848 |
| USD | (4983) | 05/15/2033 1M | MSI | Shift4 Payments, Inc. | 1 day USD OBFR | 0 | 284 | 284 |
| EUR | (10494) | 05/20/2033 1M | GST | Shurgard Self Storage Ltd. | 12 Month EUR STR | 0 | 565 | 565 |
| EUR | (8789) | 05/05/2028 1M | JPM | Shurgard Self Storage Ltd. | 12 Month EUR STR | 0 | 296 | 296 |
| USD | (14435) | 05/20/2033 1M | GST | Silicon Laboratories, Inc. | 1 day USD OBFR | 0 | 672 | 672 |
| JPY | (1441) | 05/05/2028 1M | JPM | Sinfonia Technology Co., Ltd. | 12 Month JPY TONA | 0 | 35 | 35 |
| USD | (14763) | 05/05/2028 1M | JPM | SiTime Corp. | 1 day USD OBFR | 0 | 1150 | 1150 |
| SEK | (39945) | 05/05/2028 1M | JPM | Skandinaviska Enskilda Banken AB | 12 Month SEK STIBOR | 0 | 993 | 993 |
| USD | (28121) | 05/05/2028 1M | JPM | SM Energy Co. | 1 day USD OBFR | 0 | 4753 | 4753 |
| USD | (92359) | 05/15/2033 1M | MSI | SM Energy Co. | 1 day USD OBFR | 0 | 1758 | 1758 |
| USD | (66076) | 05/20/2033 1M | GST | SM Energy Co. | 1 day USD OBFR | 0 | 528 | 528 |
| EUR | (13314) | 05/20/2033 1M | GST | Sofina SA | 12 Month EUR STR | 0 | 255 | 255 |
| EUR | (1713) | 05/05/2028 1M | JPM | Sofina SA | 12 Month EUR STR | 0 | 49 | 49 |
| CAD | (11991) | 05/20/2033 1M | GST | South Bow Corp. | 6 Month CAD CORRA | 0 | 92 | 92 |
| USD | (205115) | 05/05/2028 1M | JPM | SPDR S&P Oil & Gas Exploration & Production ETF | 1 day USD OBFR | 0 | 11208 | 11208 |
| USD | (53441) | 05/20/2033 1M | GST | Spotify Technology SA | 1 day USD OBFR | 0 | 1670 | 1670 |
| USD | (16111) | 05/15/2033 1M | MSI | Spotify Technology SA | 1 day USD OBFR | 0 | 384 | 384 |
| JPY | (31680) | 05/05/2028 1M | JPM | Square Enix Holdings Co., Ltd. | 12 Month JPY TONA | 0 | 2129 | 2129 |
| USD | (167121) | 05/15/2033 1M | MSI | Starbucks Corp. | 1 day USD OBFR | 0 | 4006 | 4006 |
| USD | (30684) | 05/20/2033 1M | GST | Starbucks Corp. | 1 day USD OBFR | 0 | 1329 | 1329 |
| USD | (44272) | 05/15/2033 1M | MSI | State Street SPDR S&P Metals & Mining ETF | 1 day USD OBFR | 0 | 1386 | 1386 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | (915229) | 05/15/2033 1M | MSI | State Street SPDR S&P Retail ETF | 1 day USD OBFR | $0 | $13203 | $13203 |
| EUR | (26588) | 05/05/2028 1M | JPM | Stellantis NV | 12 Month EUR STR | 0 | 1172 | 1172 |
| USD | (27825) | 05/20/2033 1M | GST | Stevanato Group SpA | 1 day USD OBFR | 0 | 689 | 689 |
| EUR | (8774) | 05/20/2033 1M | GST | STMicroelectronics NV | 12 Month EUR STR | 0 | 1582 | 1582 |
| EUR | (5691) | 05/15/2033 1M | MSI | STMicroelectronics NV | 12 Month EUR STR | 0 | 793 | 793 |
| EUR | (102833) | 05/15/2033 1M | MSI | STOXX Europe 600 Financial Services Index | 12 Month EUR STR | 0 | 1058 | 1058 |
| EUR | (54538) | 05/15/2033 1M | MSI | STOXX Europe 600 Insurance Index | 12 Month EUR STR | 0 | 1637 | 1637 |
| EUR | (901002) | 05/20/2033 1M | GST | STOXX Europe 600 Insurance Index | 12 Month EUR STR | 0 | 670 | 670 |
| EUR | (48810) | 05/15/2033 1M | MSI | STOXX Europe 600 Real Estate Index | 12 Month EUR STR | 0 | 363 | 363 |
| JPY | (21904) | 05/20/2033 1M | GST | SUMCO Corp. | 12 Month JPY TONA | 0 | 1603 | 1603 |
| JPY | (18039) | 05/15/2033 1M | MSI | SUMCO Corp. | 12 Month JPY TONA | 0 | 1259 | 1259 |
| JPY | (2566) | 05/05/2028 1M | JPM | SUMCO Corp. | 12 Month JPY TONA | 0 | 213 | 213 |
| CAD | (103845) | 05/15/2033 1M | MSI | Sun Life Financial, Inc. | 6 Month CAD CORRA | 0 | 1800 | 1800 |
| USD | (16604) | 05/05/2028 1M | JPM | Super Micro Computer, Inc. | 1 day USD OBFR | 0 | 809 | 809 |
| JPY | (1292) | 05/05/2028 1M | JPM | SWCC Corp. | 12 Month JPY TONA | 0 | 53 | 53 |
| CHF | (133892) | 05/15/2033 1M | MSI | Swiss Life Holding AG | 12 Month CHF SARON | 0 | 1546 | 1546 |
| CHF | (186442) | 05/15/2033 1M | MSI | Swiss Re AG | 12 Month CHF SARON | 0 | 3242 | 3242 |
| CHF | (10739) | 05/05/2028 1M | JPM | Swiss Re AG | 12 Month CHF SARON | 0 | 315 | 315 |
| USD | (13390) | 05/05/2028 1M | JPM | Synopsys, Inc. | 1 day USD OBFR | 0 | 683 | 683 |
| USD | (2559) | 05/20/2033 1M | GST | Tapestry, Inc. | 1 day USD OBFR | 0 | 143 | 143 |
| CAD | (95623) | 05/15/2033 1M | MSI | TC Energy Corp. | 6 Month CAD CORRA | 0 | 3032 | 3032 |
| EUR | (9283) | 05/05/2028 1M | JPM | Telefonica SA | 12 Month EUR STR | 0 | 301 | 301 |
| HKD | (10273) | 05/05/2028 1M | JPM | Tencent Holdings Ltd. | 1 day HKD HONIA | 0 | 715 | 715 |
| USD | (13259) | 05/05/2028 1M | JPM | Tencent Music Entertainment Group | 1 day USD OBFR | 0 | 336 | 336 |
| USD | (26544) | 05/05/2028 1M | JPM | Texas Instruments, Inc. | 1 day USD OBFR | 0 | 2764 | 2764 |
| USD | (20473) | 05/20/2033 1M | GST | Texas Instruments, Inc. | 1 day USD OBFR | 0 | 1904 | 1904 |
| EUR | (31638) | 05/05/2028 1M | JPM | Theon International PLC | 12 Month EUR STR | 0 | 2090 | 2090 |
| USD | (218082) | 05/15/2033 1M | MSI | Thomson Reuters Corp. | 1 day USD OBFR | 0 | 8543 | 8543 |
| EUR | (17263) | 05/05/2028 1M | JPM | Thyssenkrupp Nucera AG & Co. KGaA | 12 Month EUR STR | 0 | 2391 | 2391 |
| USD | (206384) | 05/20/2033 1M | GST | TJX Cos., Inc. | 1 day USD OBFR | 0 | 4442 | 4442 |
| USD | (143557) | 05/15/2033 1M | MSI | TJX Cos., Inc. | 1 day USD OBFR | 0 | 2856 | 2856 |
| USD | (102598) | 05/20/2033 1M | GST | T-Mobile U.S., Inc. | 1 day USD OBFR | 0 | 1984 | 1984 |
| JPY | (2097) | 05/05/2028 1M | JPM | Tokyo Seimitsu Co., Ltd. | 12 Month JPY TONA | 0 | 38 | 38 |
| USD | (117693) | 05/15/2033 1M | MSI | Tractor Supply Co. | 1 day USD OBFR | 0 | 3737 | 3737 |
| USD | (13705) | 05/20/2033 1M | GST | Tractor Supply Co. | 1 day USD OBFR | 0 | 719 | 719 |
| USD | (45881) | 05/20/2033 1M | GST | Trade Desk, Inc. | 1 day USD OBFR | 0 | 1936 | 1936 |
| EUR | (13641) | 05/05/2028 1M | JPM | Traton SE | 12 Month EUR STR | 0 | 37 | 37 |
| JPY | (1382) | 05/05/2028 1M | JPM | Tri Chemical Laboratories, Inc. | 12 Month JPY TONA | 0 | 81 | 81 |
| SEK | (46291) | 05/20/2033 1M | GST | Truecaller AB | 12 Month SEK STIBOR | 0 | 12401 | 12401 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| SEK | (1547) | 05/05/2028 1M | JPM | Truecaller AB | 12 Month SEK STIBOR | $0 | $438 | $438 |
| SEK | (752) | 05/15/2033 1M | MSI | Truecaller AB | 12 Month SEK STIBOR | 0 | 206 | 206 |
| DKK | (191513) | 05/15/2033 1M | MSI | Tryg AS | 1 Month DKK CIBOR | 0 | 2618 | 2618 |
| DKK | (14967) | 05/20/2033 1M | GST | Tryg AS | 1 Month DKK CIBOR | 0 | 49 | 49 |
| EUR | (3581) | 05/15/2033 1M | MSI | UCB SA | 12 Month EUR STR | 0 | 3205 | 3205 |
| EUR | (1991) | 05/05/2028 1M | JPM | Universal Music Group NV | 12 Month EUR STR | 0 | 108 | 108 |
| USD | (89005) | 05/15/2033 1M | MSI | Utilities Select Sector SPDR Fund | 1 day USD OBFR | 0 | 2132 | 2132 |
| CHF | (4377) | 05/05/2028 1M | JPM | VAT Group AG | 12 Month CHF SARON | 0 | 0 | 0 |
| USD | (4902) | 05/20/2033 1M | GST | Veeco Instruments, Inc. | 1 day USD OBFR | 0 | 129 | 129 |
| USD | (4883) | 05/05/2028 1M | JPM | Venture Global, Inc. | 1 day USD OBFR | 0 | 1883 | 1883 |
| USD | (12346) | 05/20/2033 1M | GST | Venture Global, Inc. | 1 day USD OBFR | 0 | 957 | 957 |
| USD | (10228) | 05/15/2033 1M | MSI | Venture Global, Inc. | 1 day USD OBFR | 0 | 638 | 638 |
| EUR | (77736) | 05/20/2033 1M | GST | Veolia Environnement SA | 12 Month EUR STR | 0 | 2382 | 2382 |
| USD | (2936) | 05/20/2033 1M | GST | VeriSign, Inc. | 1 day USD OBFR | 0 | 298 | 298 |
| USD | (5882) | 05/05/2028 1M | JPM | Verisk Analytics, Inc. | 1 day USD OBFR | 0 | 631 | 631 |
| USD | (4358) | 05/15/2033 1M | MSI | Verisk Analytics, Inc. | 1 day USD OBFR | 0 | 421 | 421 |
| USD | (2118) | 05/20/2033 1M | GST | Verisk Analytics, Inc. | 1 day USD OBFR | 0 | 149 | 149 |
| USD | (729) | 05/10/2026 1M | CBK | Verisk Analytics, Inc. | 1 day USD OBFR | 0 | 73 | 73 |
| USD | (28707) | 05/05/2028 1M | JPM | Verizon Communications, Inc. | 1 day USD OBFR | 0 | 412 | 412 |
| CAD | (136041) | 05/15/2033 1M | MSI | Vermilion Energy, Inc. | 6 Month CAD CORRA | 0 | 652 | 652 |
| USD | (237987) | 05/20/2033 1M | GST | Visa, Inc. | 1 day USD OBFR | 0 | 2536 | 2536 |
| USD | (28254) | 05/15/2033 1M | MSI | Vistra Corp. | 1 day USD OBFR | 0 | 3022 | 3022 |
| SEK | (47221) | 05/20/2033 1M | GST | Vitec Software Group AB | 12 Month SEK STIBOR | 0 | 2588 | 2588 |
| USD | (7896) | 05/05/2028 1M | JPM | Vitesse Energy, Inc. | 1 day USD OBFR | 0 | 588 | 588 |
| EUR | (61358) | 05/20/2033 1M | GST | Vonovia SE | 12 Month EUR STR | 0 | 3330 | 3330 |
| EUR | (13700) | 05/05/2028 1M | JPM | Vonovia SE | 12 Month EUR STR | 0 | 483 | 483 |
| EUR | (8863) | 05/05/2028 1M | JPM | VusionGroup | 12 Month EUR STR | 0 | 149 | 149 |
| EUR | (35877) | 05/20/2033 1M | GST | VusionGroup | 12 Month EUR STR | 0 | 59 | 59 |
| USD | (20568) | 05/05/2028 1M | JPM | W&T Offshore, Inc. | 1 day USD OBFR | 0 | 571 | 571 |
| USD | (4340) | 05/15/2033 1M | MSI | W&T Offshore, Inc. | 1 day USD OBFR | 0 | 289 | 289 |
| JPY | (1269) | 05/05/2028 1M | JPM | Wacom Co., Ltd. | 12 Month JPY TONA | 0 | 10 | 10 |
| SEK | (38900) | 05/20/2033 1M | GST | Wallenstam AB | 12 Month SEK STIBOR | 0 | 676 | 676 |
| SEK | (1588) | 05/15/2033 1M | MSI | Wallenstam AB | 12 Month SEK STIBOR | 0 | 32 | 32 |
| USD | (13417) | 05/05/2028 1M | JPM | Walt Disney Co. | 1 day USD OBFR | 0 | 15 | 15 |
| AUD | (128504) | 05/15/2033 1M | MSI | Westpac Banking Corp. | 1 day AUD AONIA | 0 | 1716 | 1716 |
| GBP | (27715) | 05/20/2033 1M | GST | Whitbread PLC | 12 Month GBP WMBA SONIA Compound | 0 | 932 | 932 |
| CAD | (131013) | 05/15/2033 1M | MSI | Whitecap Resources, Inc. | 6 Month CAD CORRA | 0 | 1034 | 1034 |
| EUR | (10672) | 05/20/2033 1M | GST | Wienerberger AG | 12 Month EUR STR | 0 | 189 | 189 |
| AUD | (12118) | 05/15/2033 1M | MSI | WiseTech Global Ltd. | 1 day AUD AONIA | 0 | 2311 | 2311 |
| USD | (64901) | 05/20/2033 1M | GST | Workday, Inc. | 1 day USD OBFR | 0 | 602 | 602 |
| AUD | (15861) | 05/05/2028 1M | JPM | Xero Ltd. | 1 day AUD AONIA | 0 | 1312 | 1312 |
| HKD | (2119) | 05/15/2033 1M | MSI | Xiaomi Corp. | 1 day HKD HONIA | 0 | 268 | 268 |
| JPY | (1326) | 05/05/2028 1M | JPM | Yokohama Rubber Co., Ltd. | 12 Month JPY TONA | 0 | 10 | 10 |
| SEK | (2610) | 05/20/2033 1M | GST | Yubico AB | 12 Month SEK STIBOR | 0 | 405 | 405 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| SEK | (790) | 05/15/2033 1M | MSI | Yubico AB | 12 Month SEK STIBOR | $0 | $139 | $139 |
| PLN | (43049) | 05/20/2033 1M | GST | Zabka Group SA | 12 Month PLN WIBOR WIBO | 0 | 721 | 721 |
| PLN | (6345) | 05/05/2028 1M | JPM | Zabka Group SA | 12 Month PLN WIBOR WIBO | 0 | 89 | 89 |
| USD | (2412) | 05/20/2033 1M | GST | Zebra Technologies Corp. | 1 day USD OBFR | 0 | 258 | 258 |
| USD | (6034) | 05/05/2028 1M | JPM | Zeta Global Holdings Corp. | 1 day USD OBFR | 0 | 601 | 601 |
| CHF | (205584) | 05/15/2033 1M | MSI | Zurich Insurance Group AG | 12 Month CHF SARON | 0 | 36 | 36 |
| **Other Total Return Swap Contracts** | **Other Total Return Swap Contracts** | **Other Total Return Swap Contracts** | **Other Total Return Swap Contracts** | **Other Total Return Swap Contracts** |  | 0 | 41195 | 41195 |
| **Total Total Return Swaps** | **Total Total Return Swaps** | **Total Total Return Swaps** | **Total Total Return Swaps** | **Total Total Return Swaps** |  | $0 | $2746134 | $2746134 |
| **Total Swap Contracts** | **Total Swap Contracts** | **Total Swap Contracts** | **Total Swap Contracts** | **Total Swap Contracts** |  | $313021 | $3703798 | $3390777 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Forward Currency Contracts**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Bought**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Appreciation** |
| AUD | 55000 | JPY | 5350950 | UBS | BUY | 1.53 | 11/04/2025 | $1272 |
| USD | 13867 | AUD | 21000 | BCY | BUY | 1.51 | 11/04/2025 | 119 |
| USD | 14511 | AUD | 22000 | TDS | BUY | 1.52 | 11/04/2025 | 108 |
| USD | 79382 | AUD | 120000 | BCY | BUY | 1.51 | 11/04/2025 | 824 |
| USD | 85490 | AUD | 130000 | JPM | BUY | 1.52 | 11/04/2025 | 386 |
| USD | 86079 | AUD | 130000 | JPM | BUY | 1.51 | 11/04/2025 | 975 |
| USD | 102302 | AUD | 155000 | BCY | BUY | 1.52 | 11/04/2025 | 831 |
| USD | 109148 | AUD | 165000 | BCY | BUY | 1.51 | 11/04/2025 | 1130 |
| USD | 118253 | AUD | 180000 | BOA | BUY | 1.52 | 11/04/2025 | 416 |
| USD | 135723 | AUD | 205000 | BCY | BUY | 1.51 | 11/04/2025 | 1520 |
| USD | 135814 | AUD | 205000 | JPM | BUY | 1.51 | 11/04/2025 | 1611 |
| USD | 157575 | AUD | 240000 | BCY | BUY | 1.52 | 11/04/2025 | 459 |
| USD | 158978 | AUD | 240000 | JPM | BUY | 1.51 | 11/04/2025 | 1862 |
| USD | 180216 | AUD | 275000 | BCY | BUY | 1.53 | 11/04/2025 | 187 |
| USD | 368869 | AUD | 560000 | BOA | BUY | 1.52 | 11/04/2025 | 2265 |
| USD | 400615 | AUD | 605000 | DBF | BUY | 1.51 | 11/04/2025 | 4552 |
| USD | 4627796 | AUD | 7015000 | TDS | BUY | 1.52 | 11/04/2025 | 35426 |
| USD | 28375 | AUD | 43000 | TDS | BUY | 1.52 | 12/01/2025 | 216 |
| USD | 81901 | AUD | 125000 | JPM | BUY | 1.53 | 12/01/2025 | 43 |
| USD | 105723 | AUD | 160000 | BCY | BUY | 1.51 | 12/01/2025 | 944 |
| USD | 175236 | AUD | 265000 | BCY | BUY | 1.51 | 12/01/2025 | 1696 |
| USD | 196751 | AUD | 300000 | DBF | BUY | 1.52 | 12/01/2025 | 291 |
| USD | 310275 | AUD | 470000 | UBS | BUY | 1.51 | 12/01/2025 | 2488 |
| USD | 503494 | AUD | 763000 | TDS | BUY | 1.52 | 12/01/2025 | 3832 |
| USD | 3292 | AUD | 5000 | CBK | BUY | 1.52 | 12/17/2025 | 17 |
| USD | 6557 | AUD | 10000 | PAR | BUY | 1.52 | 12/17/2025 | 7 |
| USD | 23173 | AUD | 35000 | RBC | BUY | 1.51 | 12/17/2025 | 250 |
| AUD | 780000 | USD | 508634 | GST | SELL | 1.53 | 11/04/2025 | 1993 |
| AUD | 250000 | USD | 162472 | BCY | SELL | 1.54 | 11/04/2025 | 1191 |
| AUD | 210000 | USD | 136279 | JPM | SELL | 1.54 | 11/04/2025 | 1198 |
| AUD | 210000 | USD | 136218 | JPM | SELL | 1.54 | 11/04/2025 | 1259 |
| AUD | 205000 | USD | 132767 | JPM | SELL | 1.54 | 11/04/2025 | 1436 |
| AUD | 185000 | USD | 119666 | BCY | SELL | 1.55 | 11/04/2025 | 1444 |
| AUD | 165000 | USD | 107066 | BCY | SELL | 1.54 | 11/04/2025 | 951 |
| AUD | 160000 | USD | 104694 | UBS | SELL | 1.53 | 11/04/2025 | 50 |
| AUD | 145000 | USD | 93760 | BCY | SELL | 1.55 | 11/04/2025 | 1164 |
| AUD | 140000 | USD | 91357 | BCY | SELL | 1.53 | 11/04/2025 | 294 |
| AUD | 140000 | USD | 90958 | BCY | SELL | 1.54 | 11/04/2025 | 693 |
| AUD | 130000 | USD | 84786 | BCY | SELL | 1.53 | 11/04/2025 | 319 |
| AUD | 130000 | USD | 84434 | JPM | SELL | 1.54 | 11/04/2025 | 670 |
| AUD | 130000 | USD | 84396 | BCY | SELL | 1.54 | 11/04/2025 | 709 |
| AUD | 130000 | USD | 84364 | BCY | SELL | 1.54 | 11/04/2025 | 740 |
| AUD | 130000 | USD | 84306 | BCY | SELL | 1.54 | 11/04/2025 | 799 |
| AUD | 130000 | USD | 84203 | BCY | SELL | 1.54 | 11/04/2025 | 902 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

**Derivative Assets**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Bought**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Appreciation** |
| AUD | 120000 | USD | 78281 | BCY | SELL | 1.53 | 11/04/2025 | $277 |
| AUD | 120000 | USD | 78151 | BCY | SELL | 1.54 | 11/04/2025 | 407 |
| AUD | 120000 | USD | 78000 | BCY | SELL | 1.54 | 11/04/2025 | 558 |
| AUD | 120000 | USD | 77964 | BCY | SELL | 1.54 | 11/04/2025 | 594 |
| AUD | 120000 | USD | 77863 | BCY | SELL | 1.54 | 11/04/2025 | 695 |
| AUD | 62000 | USD | 40325 | JPM | SELL | 1.54 | 11/28/2025 | 275 |
| USD | 14892 | BRL | 80000 | UBS | BUY | 5.37 | 11/04/2025 | 36 |
| USD | 29718 | BRL | 160000 | BOA | BUY | 5.38 | 11/04/2025 | 6 |
| USD | 63516 | BRL | 342000 | BOA | BUY | 5.38 | 11/04/2025 | 8 |
| USD | 122859 | BRL | 660000 | UBS | BUY | 5.37 | 11/04/2025 | 300 |
| USD | 996835 | BRL | 5355000 | UBS | BUY | 5.37 | 11/04/2025 | 2434 |
| USD | 11059 | BRL | 60000 | CBK | BUY | 5.43 | 12/17/2025 | 31 |
| BRL | 10175000 | USD | 1885324 | GST | SELL | 5.40 | 11/04/2025 | 4131 |
| BRL | 4160000 | USD | 770727 | BOA | SELL | 5.40 | 11/04/2025 | 1768 |
| BRL | 2035000 | USD | 377691 | BOA | SELL | 5.39 | 11/04/2025 | 200 |
| BRL | 1800000 | USD | 325671 | PAR | SELL | 5.53 | 11/04/2025 | 8582 |
| BRL | 660000 | USD | 122291 | GST | SELL | 5.40 | 11/04/2025 | 268 |
| BRL | 327000 | USD | 59995 | HUS | SELL | 5.45 | 11/04/2025 | 728 |
| BRL | 292000 | USD | 53450 | BOA | SELL | 5.46 | 11/04/2025 | 773 |
| BRL | 177000 | USD | 32400 | BOA | SELL | 5.46 | 11/04/2025 | 468 |
| BRL | 89000 | USD | 16299 | CBK | SELL | 5.46 | 11/04/2025 | 228 |
| BRL | 80000 | USD | 14823 | GST | SELL | 5.40 | 11/04/2025 | 32 |
| BRL | 975000 | USD | 176238 | CBK | SELL | 5.53 | 12/17/2025 | 2970 |
| USD | 35759 | CAD | 50000 | UBS | BUY | 1.40 | 11/04/2025 | 73 |
| USD | 46660 | CAD | 65000 | BCY | BUY | 1.39 | 11/04/2025 | 267 |
| USD | 86099 | CAD | 120000 | BCY | BUY | 1.39 | 11/04/2025 | 451 |
| USD | 86348 | CAD | 120000 | BCY | BUY | 1.39 | 11/04/2025 | 700 |
| USD | 92846 | CAD | 130000 | BCY | BUY | 1.40 | 11/04/2025 | 60 |
| USD | 93259 | CAD | 130000 | BCY | BUY | 1.39 | 11/04/2025 | 474 |
| USD | 93300 | CAD | 130000 | BCY | BUY | 1.39 | 11/04/2025 | 515 |
| USD | 100877 | CAD | 140000 | BCY | BUY | 1.39 | 11/04/2025 | 954 |
| USD | 121993 | CAD | 170000 | BCY | BUY | 1.39 | 11/04/2025 | 658 |
| USD | 122526 | CAD | 170000 | PAR | BUY | 1.39 | 11/04/2025 | 1191 |
| USD | 135955 | CAD | 190000 | BCY | BUY | 1.40 | 11/04/2025 | 345 |
| USD | 136327 | CAD | 190000 | BCY | BUY | 1.39 | 11/04/2025 | 717 |
| USD | 146659 | CAD | 205000 | CBK | BUY | 1.40 | 11/04/2025 | 344 |
| USD | 153473 | CAD | 215000 | PAR | BUY | 1.40 | 11/04/2025 | 20 |
| USD | 159721 | CAD | 222000 | JPM | BUY | 1.39 | 11/04/2025 | 1272 |
| USD | 161106 | CAD | 224000 | RBC | BUY | 1.39 | 11/04/2025 | 1230 |
| USD | 161218 | CAD | 224000 | SSB | BUY | 1.39 | 11/04/2025 | 1341 |
| USD | 164171 | CAD | 230000 | BCY | BUY | 1.40 | 11/04/2025 | 12 |
| USD | 187706 | CAD | 260000 | RBC | BUY | 1.39 | 11/04/2025 | 2135 |
| USD | 214666 | CAD | 300000 | JPM | BUY | 1.40 | 11/04/2025 | 545 |
| USD | 236156 | CAD | 330000 | BCY | BUY | 1.40 | 11/04/2025 | 623 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

**Derivative Assets**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Bought**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Appreciation** |
| USD | 251871 | CAD | 350000 | BCY | BUY | 1.39 | 11/04/2025 | $2063 |
| USD | 258691 | CAD | 360000 | DBF | BUY | 1.39 | 11/04/2025 | 1747 |
| USD | 312324 | CAD | 435000 | JPM | BUY | 1.39 | 11/04/2025 | 1848 |
| USD | 331927 | CAD | 458000 | RBC | BUY | 1.38 | 11/04/2025 | 5036 |
| USD | 376862 | CAD | 525000 | JPM | BUY | 1.39 | 11/04/2025 | 2151 |
| USD | 539173 | CAD | 755000 | RBC | BUY | 1.40 | 11/04/2025 | 303 |
| USD | 590310 | CAD | 820000 | BOA | BUY | 1.39 | 11/04/2025 | 5047 |
| USD | 1743702 | CAD | 2406000 | RBC | BUY | 1.38 | 11/04/2025 | 26453 |
| USD | 31761 | CAD | 44194 | PAR | BUY | 1.39 | 11/28/2025 | 179 |
| USD | 42936 | CAD | 60000 | HUS | BUY | 1.40 | 11/28/2025 | 59 |
| USD | 977640 | CAD | 1360806 | HUS | BUY | 1.39 | 11/28/2025 | 5192 |
| USD | 41065 | CAD | 57000 | BCY | BUY | 1.39 | 12/01/2025 | 326 |
| USD | 89776 | CAD | 125000 | BCY | BUY | 1.39 | 12/01/2025 | 435 |
| USD | 92018 | CAD | 128000 | BCY | BUY | 1.39 | 12/01/2025 | 534 |
| USD | 121147 | CAD | 168000 | PAR | BUY | 1.39 | 12/01/2025 | 1074 |
| USD | 3498117 | CAD | 4851000 | PAR | BUY | 1.39 | 12/01/2025 | 31003 |
| CAD | 230000 | USD | 164000 | BCY | SELL | 1.40 | 11/04/2025 | 159 |
| CAD | 230000 | USD | 163795 | JPM | SELL | 1.40 | 11/04/2025 | 364 |
| CAD | 220000 | USD | 156747 | JPM | SELL | 1.40 | 11/04/2025 | 275 |
| CAD | 190000 | USD | 135393 | BCY | SELL | 1.40 | 11/04/2025 | 217 |
| CAD | 190000 | USD | 135337 | BCY | SELL | 1.40 | 11/04/2025 | 273 |
| CAD | 180000 | USD | 128416 | JPM | SELL | 1.40 | 11/04/2025 | 57 |
| CAD | 180000 | USD | 128259 | JPM | SELL | 1.40 | 11/04/2025 | 214 |
| CAD | 150000 | USD | 106943 | BCY | SELL | 1.40 | 11/04/2025 | 117 |
| CAD | 130000 | USD | 92697 | BCY | SELL | 1.40 | 11/04/2025 | 89 |
| CAD | 120000 | USD | 85549 | BCY | SELL | 1.40 | 11/04/2025 | 99 |
| CAD | 120000 | USD | 85532 | BCY | SELL | 1.40 | 11/04/2025 | 117 |
| CAD | 110000 | USD | 78486 | BCY | SELL | 1.40 | 11/04/2025 | 25 |
| CAD | 110000 | USD | 78357 | BCY | SELL | 1.40 | 11/04/2025 | 154 |
| USD | 258748 | CLP | 242900000 | HUS | BUY | 938.75 | 11/04/2025 | 938 |
| CLP | 608390000 | USD | 637385 | CBK | SELL | 954.51 | 11/04/2025 | 8352 |
| CLP | 608390000 | USD | 636718 | HUS | SELL | 955.51 | 11/04/2025 | 9019 |
| CLP | 269900000 | USD | 283538 | HUS | SELL | 951.90 | 11/04/2025 | 2930 |
| CLP | 152225000 | USD | 160406 | MSI | SELL | 949.00 | 11/04/2025 | 1164 |
| CLP | 152225000 | USD | 160406 | MSI | SELL | 949.00 | 11/04/2025 | 1164 |
| CLP | 120300000 | USD | 126259 | DBF | SELL | 952.80 | 11/04/2025 | 1425 |
| CLP | 117125000 | USD | 123289 | HUS | SELL | 950.00 | 11/04/2025 | 1025 |
| CLP | 117125000 | USD | 123289 | GST | SELL | 950.00 | 11/04/2025 | 1025 |
| CLP | 117125000 | USD | 123264 | MSI | SELL | 950.20 | 11/04/2025 | 1051 |
| CLP | 97424000 | USD | 102610 | CBK | SELL | 949.46 | 11/04/2025 | 794 |
| CLP | 87000000 | USD | 91976 | UBS | SELL | 945.90 | 11/04/2025 | 365 |
| CLP | 74200000 | USD | 78490 | MSI | SELL | 945.34 | 11/04/2025 | 265 |
| CLP | 70275000 | USD | 73989 | BCY | SELL | 949.80 | 11/04/2025 | 600 |
| CLP | 46850000 | USD | 49363 | SCB | SELL | 949.10 | 11/04/2025 | 363 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Bought**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Appreciation** |
| CLP | 1000000 | USD | 1048 | CBK | SELL | 954.51 | 11/04/2025 | $14 |
| CLP | 1000000 | USD | 1047 | HUS | SELL | 955.51 | 11/04/2025 | 15 |
| CLP | 110654000 | USD | 117397 | UBS | SELL | 942.56 | 12/01/2025 | 72 |
| CLP | 2000000 | USD | 2122 | UBS | SELL | 942.56 | 12/01/2025 | 1 |
| USD | 78801 | CNH | 561000 | JPM | BUY | 7.12 | 11/04/2025 | 34 |
| USD | 79103 | CNH | 563000 | JPM | BUY | 7.12 | 11/04/2025 | 55 |
| USD | 84083 | CNH | 598000 | BCY | BUY | 7.11 | 11/04/2025 | 121 |
| USD | 84273 | CNH | 600000 | JPM | BUY | 7.12 | 11/04/2025 | 30 |
| USD | 85995 | CNH | 612000 | JPM | BUY | 7.12 | 11/04/2025 | 68 |
| USD | 107878 | CNH | 768000 | JPM | BUY | 7.12 | 11/04/2025 | 47 |
| USD | 107879 | CNH | 768000 | JPM | BUY | 7.12 | 11/04/2025 | 48 |
| USD | 120187 | CNH | 855000 | JPM | BUY | 7.11 | 11/04/2025 | 141 |
| USD | 140972 | CNH | 1004000 | JPM | BUY | 7.12 | 11/04/2025 | 6 |
| USD | 155080 | CNH | 1104000 | BCY | BUY | 7.12 | 11/04/2025 | 72 |
| USD | 360320 | CNH | 2564000 | JPM | BUY | 7.12 | 11/04/2025 | 321 |
| USD | 582907 | CNH | 4151000 | SCB | BUY | 7.12 | 11/04/2025 | 86 |
| USD | 757273 | CNH | 5388000 | DBF | BUY | 7.11 | 11/04/2025 | 771 |
| USD | 1572637 | CNH | 11158000 | GST | BUY | 7.10 | 11/04/2025 | 5997 |
| USD | 77066 | CNH | 546000 | JPM | BUY | 7.08 | 12/01/2025 | 258 |
| USD | 77157 | CNH | 547000 | JPM | BUY | 7.09 | 12/01/2025 | 208 |
| USD | 91039 | CNH | 645000 | JPM | BUY | 7.08 | 12/01/2025 | 304 |
| USD | 105621 | CNH | 748000 | GST | BUY | 7.08 | 12/01/2025 | 396 |
| USD | 105702 | CNH | 749000 | JPM | BUY | 7.09 | 12/01/2025 | 337 |
| USD | 119119 | CNH | 844000 | JPM | BUY | 7.09 | 12/01/2025 | 389 |
| USD | 134276 | CNH | 951000 | JPM | BUY | 7.08 | 12/01/2025 | 495 |
| CNH | 2550000 | USD | 357451 | JPM | SELL | 7.13 | 11/04/2025 | 582 |
| CNH | 1696000 | USD | 238034 | JPM | SELL | 7.12 | 11/04/2025 | 93 |
| CNH | 1540000 | USD | 216198 | BCY | SELL | 7.12 | 11/04/2025 | 26 |
| CNH | 1281000 | USD | 179653 | BCY | SELL | 7.13 | 11/04/2025 | 206 |
| CNH | 1230000 | USD | 172583 | JPM | SELL | 7.13 | 11/04/2025 | 115 |
| CNH | 1101000 | USD | 154585 | JPM | SELL | 7.12 | 11/04/2025 | 1 |
| CNH | 969000 | USD | 135802 | JPM | SELL | 7.14 | 11/04/2025 | 251 |
| CNH | 873000 | USD | 122536 | JPM | SELL | 7.12 | 11/04/2025 | 38 |
| CNH | 770000 | USD | 107899 | JPM | SELL | 7.14 | 11/04/2025 | 213 |
| CNH | 612000 | USD | 85802 | BCY | SELL | 7.13 | 11/04/2025 | 126 |
| COP | 579102000 | USD | 149964 | CBK | SELL | 3861.60 | 11/04/2025 | 39 |
| COP | 555000000 | USD | 142560 | HUS | SELL | 3893.02 | 11/04/2025 | 1200 |
| COP | 490300000 | USD | 125300 | UBS | SELL | 3912.98 | 11/04/2025 | 1701 |
| COP | 66371000 | USD | 17114 | CBK | SELL | 3878.22 | 11/04/2025 | 78 |
| COP | 549400000 | USD | 141598 | CBK | SELL | 3880.03 | 12/01/2025 | 160 |
| COP | 484692000 | USD | 124372 | PAR | SELL | 3897.12 | 12/01/2025 | 690 |
| COP | 329640000 | USD | 84871 | PAR | SELL | 3883.95 | 12/01/2025 | 184 |
| COP | 219760000 | USD | 56566 | BOA | SELL | 3885.00 | 12/01/2025 | 137 |
| COP | 136708000 | USD | 35098 | PAR | SELL | 3894.99 | 12/01/2025 | 176 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Bought**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Appreciation** |
| USD | 63428 | CZK | 1320000 | DBF | BUY | 20.81 | 11/04/2025 | $828 |
| USD | 90643 | CZK | 1890000 | BCY | BUY | 20.85 | 11/04/2025 | 1010 |
| USD | 205179 | CZK | 4279000 | BCY | BUY | 20.85 | 11/04/2025 | 2248 |
| USD | 211246 | CZK | 4430000 | JPM | BUY | 20.97 | 11/04/2025 | 1154 |
| USD | 469815 | CZK | 9798000 | BCY | BUY | 20.85 | 11/04/2025 | 5147 |
| USD | 90686 | CZK | 1890000 | JPM | BUY | 20.84 | 12/01/2025 | 1005 |
| USD | 115272 | CZK | 2410000 | DBF | BUY | 20.91 | 12/01/2025 | 918 |
| USD | 133734 | CZK | 2790000 | BCY | BUY | 20.86 | 12/01/2025 | 1348 |
| USD | 1247 | DKK | 8000 | JPM | BUY | 6.42 | 11/28/2025 | 8 |
| USD | 66276 | DKK | 425000 | GST | BUY | 6.41 | 11/28/2025 | 477 |
| USD | 207416 | EUR | 176000 | BOA | BUY | 0.85 | 11/03/2025 | 4277 |
| USD | 7096 | EUR | 6000 | DBF | BUY | 0.85 | 11/04/2025 | 171 |
| USD | 9365 | EUR | 8000 | CBK | BUY | 0.85 | 11/04/2025 | 131 |
| USD | 18563 | EUR | 16000 | MSI | BUY | 0.86 | 11/04/2025 | 96 |
| USD | 19900 | EUR | 17000 | CBK | BUY | 0.85 | 11/04/2025 | 279 |
| USD | 20882 | EUR | 18000 | PAR | BUY | 0.86 | 11/04/2025 | 107 |
| USD | 20933 | EUR | 18000 | CBK | BUY | 0.86 | 11/04/2025 | 158 |
| USD | 20946 | EUR | 18000 | SSB | BUY | 0.86 | 11/04/2025 | 170 |
| USD | 26817 | EUR | 23000 | DBF | BUY | 0.86 | 11/04/2025 | 270 |
| USD | 26980 | EUR | 23000 | UBS | BUY | 0.85 | 11/04/2025 | 434 |
| USD | 27939 | EUR | 24000 | JPM | BUY | 0.86 | 11/04/2025 | 238 |
| USD | 28206 | EUR | 24000 | DBF | BUY | 0.85 | 11/04/2025 | 505 |
| USD | 30324 | EUR | 26000 | CBK | BUY | 0.86 | 11/04/2025 | 315 |
| USD | 31000 | EUR | 26600 | HUS | BUY | 0.86 | 11/04/2025 | 299 |
| USD | 33754 | EUR | 29000 | BCY | BUY | 0.86 | 11/04/2025 | 282 |
| USD | 34894 | EUR | 30000 | DBF | BUY | 0.86 | 11/04/2025 | 268 |
| USD | 36505 | EUR | 31000 | BOA | BUY | 0.85 | 11/04/2025 | 724 |
| USD | 37237 | EUR | 32000 | SSB | BUY | 0.86 | 11/04/2025 | 303 |
| USD | 38378 | EUR | 33000 | CBK | BUY | 0.86 | 11/04/2025 | 289 |
| USD | 38727 | EUR | 33000 | MSI | BUY | 0.85 | 11/04/2025 | 639 |
| USD | 41686 | EUR | 35400 | BOA | BUY | 0.85 | 11/04/2025 | 827 |
| USD | 45393 | EUR | 39000 | JPM | BUY | 0.86 | 11/04/2025 | 379 |
| USD | 52365 | EUR | 45000 | SSB | BUY | 0.86 | 11/04/2025 | 426 |
| USD | 55966 | EUR | 48000 | DBF | BUY | 0.86 | 11/04/2025 | 564 |
| USD | 77261 | EUR | 66000 | CBK | BUY | 0.85 | 11/04/2025 | 1084 |
| USD | 78058 | EUR | 67000 | BCY | BUY | 0.86 | 11/04/2025 | 726 |
| USD | 79047 | EUR | 68000 | BCY | BUY | 0.86 | 11/04/2025 | 561 |
| USD | 79124 | EUR | 68000 | BCY | BUY | 0.86 | 11/04/2025 | 639 |
| USD | 79711 | EUR | 68000 | JPM | BUY | 0.85 | 11/04/2025 | 1225 |
| USD | 82228 | EUR | 71000 | JPM | BUY | 0.86 | 11/04/2025 | 280 |
| USD | 85237 | EUR | 73000 | BCY | BUY | 0.86 | 11/04/2025 | 980 |
| USD | 85337 | EUR | 73000 | BCY | BUY | 0.86 | 11/04/2025 | 1081 |
| USD | 86208 | EUR | 74000 | BCY | BUY | 0.86 | 11/04/2025 | 797 |
| USD | 86967 | EUR | 74000 | UBS | BUY | 0.85 | 11/04/2025 | 1556 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Bought**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Appreciation** |
| USD | 99107 | EUR | 85000 | DBF | BUY | 0.86 | 11/04/2025 | $1000 |
| USD | 100922 | EUR | 86000 | BCY | BUY | 0.85 | 11/04/2025 | 1661 |
| USD | 105728 | EUR | 91000 | JPM | BUY | 0.86 | 11/04/2025 | 696 |
| USD | 106026 | EUR | 91000 | BCY | BUY | 0.86 | 11/04/2025 | 994 |
| USD | 107151 | EUR | 92000 | BCY | BUY | 0.86 | 11/04/2025 | 965 |
| USD | 111173 | EUR | 94000 | DBF | BUY | 0.85 | 11/04/2025 | 2678 |
| USD | 111932 | EUR | 96000 | DBF | BUY | 0.86 | 11/04/2025 | 1129 |
| USD | 114577 | EUR | 99000 | PAR | BUY | 0.86 | 11/04/2025 | 312 |
| USD | 114706 | EUR | 97000 | BOA | BUY | 0.85 | 11/04/2025 | 2749 |
| USD | 118279 | EUR | 100000 | CBK | BUY | 0.85 | 11/04/2025 | 2859 |
| USD | 119663 | EUR | 103000 | BCY | BUY | 0.86 | 11/04/2025 | 781 |
| USD | 121210 | EUR | 103000 | BOA | BUY | 0.85 | 11/04/2025 | 2328 |
| USD | 135361 | EUR | 115000 | PAR | BUY | 0.85 | 11/04/2025 | 2628 |
| USD | 135845 | EUR | 116000 | JPM | BUY | 0.85 | 11/04/2025 | 1958 |
| USD | 143947 | EUR | 123000 | JPM | BUY | 0.85 | 11/04/2025 | 1981 |
| USD | 150173 | EUR | 129000 | UBS | BUY | 0.86 | 11/04/2025 | 1281 |
| USD | 150747 | EUR | 128000 | BCY | BUY | 0.85 | 11/04/2025 | 3009 |
| USD | 155786 | EUR | 133000 | MSI | BUY | 0.85 | 11/04/2025 | 2278 |
| USD | 157581 | EUR | 136000 | GST | BUY | 0.86 | 11/04/2025 | 610 |
| USD | 157638 | EUR | 134000 | JPM | BUY | 0.85 | 11/04/2025 | 2975 |
| USD | 157717 | EUR | 134000 | BCY | BUY | 0.85 | 11/04/2025 | 3054 |
| USD | 158573 | EUR | 134000 | JPM | BUY | 0.84 | 11/04/2025 | 3910 |
| USD | 167089 | EUR | 142000 | JPM | BUY | 0.85 | 11/04/2025 | 3193 |
| USD | 172367 | EUR | 148000 | BCY | BUY | 0.86 | 11/04/2025 | 1545 |
| USD | 175374 | EUR | 151000 | JPM | BUY | 0.86 | 11/04/2025 | 1089 |
| USD | 176575 | EUR | 152000 | BCY | BUY | 0.86 | 11/04/2025 | 1136 |
| USD | 193184 | EUR | 166000 | JPM | BUY | 0.86 | 11/04/2025 | 1587 |
| USD | 198213 | EUR | 170000 | DBF | BUY | 0.86 | 11/04/2025 | 1999 |
| USD | 244478 | EUR | 211000 | JPM | BUY | 0.86 | 11/04/2025 | 941 |
| USD | 250932 | EUR | 214000 | JPM | BUY | 0.85 | 11/04/2025 | 3933 |
| USD | 283845 | EUR | 240000 | DBF | BUY | 0.85 | 11/04/2025 | 6837 |
| USD | 351977 | EUR | 303000 | JPM | BUY | 0.86 | 11/04/2025 | 2254 |
| USD | 418295 | EUR | 361000 | GST | BUY | 0.86 | 11/04/2025 | 1629 |
| USD | 704240 | EUR | 604000 | DBF | BUY | 0.86 | 11/04/2025 | 7103 |
| USD | 741862 | EUR | 638000 | JPM | BUY | 0.86 | 11/04/2025 | 5482 |
| USD | 742866 | EUR | 639000 | DBF | BUY | 0.86 | 11/04/2025 | 5332 |
| USD | 865650 | EUR | 739000 | DBF | BUY | 0.85 | 11/04/2025 | 12696 |
| USD | 943548 | EUR | 797800 | DBF | BUY | 0.85 | 11/04/2025 | 22727 |
| USD | 1426152 | EUR | 1221000 | CBK | BUY | 0.86 | 11/04/2025 | 16874 |
| USD | 29900 | EUR | 25700 | DBF | BUY | 0.86 | 11/28/2025 | 197 |
| USD | 77368 | EUR | 66500 | DBF | BUY | 0.86 | 11/28/2025 | 510 |
| USD | 163781 | EUR | 141000 | JPM | BUY | 0.86 | 11/28/2025 | 818 |
| USD | 195143 | EUR | 168000 | JPM | BUY | 0.86 | 11/28/2025 | 975 |
| USD | 345449 | EUR | 297000 | DBF | BUY | 0.86 | 11/28/2025 | 2187 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Bought**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Appreciation** |
| USD | 492003 | EUR | 423000 | DBF | BUY | 0.86 | 11/28/2025 | $3115 |
| USD | 821517 | EUR | 706300 | DBF | BUY | 0.86 | 11/28/2025 | 5202 |
| USD | 49844 | EUR | 43000 | BCY | BUY | 0.86 | 12/01/2025 | 138 |
| USD | 61918 | EUR | 53000 | BCY | BUY | 0.86 | 12/01/2025 | 652 |
| USD | 92258 | EUR | 79000 | JPM | BUY | 0.86 | 12/01/2025 | 937 |
| USD | 94586 | EUR | 81000 | DBF | BUY | 0.86 | 12/01/2025 | 954 |
| USD | 97913 | EUR | 84000 | BCY | BUY | 0.86 | 12/01/2025 | 812 |
| USD | 173823 | EUR | 150000 | BCY | BUY | 0.86 | 12/01/2025 | 430 |
| USD | 180685 | EUR | 156000 | JPM | BUY | 0.86 | 12/01/2025 | 356 |
| USD | 231211 | EUR | 198000 | DBF | BUY | 0.86 | 12/01/2025 | 2332 |
| USD | 503716 | EUR | 432000 | DBF | BUY | 0.86 | 12/01/2025 | 4343 |
| USD | 575225 | EUR | 492600 | DBF | BUY | 0.86 | 12/01/2025 | 5801 |
| USD | 8129 | EUR | 7000 | GST | BUY | 0.86 | 12/17/2025 | 30 |
| USD | 8198 | EUR | 7000 | BOA | BUY | 0.85 | 12/17/2025 | 98 |
| USD | 28269 | EUR | 24000 | DBF | BUY | 0.85 | 12/17/2025 | 501 |
| USD | 30633 | EUR | 26000 | CBK | BUY | 0.85 | 12/17/2025 | 551 |
| USD | 108220 | EUR | 92000 | MSI | BUY | 0.85 | 12/17/2025 | 1774 |
| USD | 112226 | EUR | 96000 | CBK | BUY | 0.86 | 12/17/2025 | 1152 |
| USD | 120561 | EUR | 102000 | SSB | BUY | 0.85 | 12/17/2025 | 2545 |
| USD | 41673 | GBP | 31000 | UBS | BUY | 0.74 | 11/03/2025 | 944 |
| USD | 1331 | GBP | 1000 | GST | BUY | 0.75 | 11/04/2025 | 17 |
| USD | 2701 | GBP | 2000 | GST | BUY | 0.74 | 11/04/2025 | 74 |
| USD | 4052 | GBP | 3000 | GST | BUY | 0.74 | 11/04/2025 | 111 |
| USD | 11960 | GBP | 9000 | UBS | BUY | 0.75 | 11/04/2025 | 136 |
| USD | 11994 | GBP | 9000 | BCY | BUY | 0.75 | 11/04/2025 | 169 |
| USD | 25570 | GBP | 19000 | MSI | BUY | 0.74 | 11/04/2025 | 607 |
| USD | 34780 | GBP | 26000 | BCY | BUY | 0.75 | 11/04/2025 | 620 |
| USD | 36282 | GBP | 27000 | GST | BUY | 0.74 | 11/04/2025 | 809 |
| USD | 37423 | GBP | 28000 | SSB | BUY | 0.75 | 11/04/2025 | 636 |
| USD | 37717 | GBP | 28000 | BCY | BUY | 0.74 | 11/04/2025 | 930 |
| USD | 39148 | GBP | 29000 | UBS | BUY | 0.74 | 11/04/2025 | 1046 |
| USD | 78015 | GBP | 58000 | BCY | BUY | 0.74 | 11/04/2025 | 1812 |
| USD | 78630 | GBP | 59000 | UBS | BUY | 0.75 | 11/04/2025 | 1113 |
| USD | 79233 | GBP | 59000 | BCY | BUY | 0.74 | 11/04/2025 | 1716 |
| USD | 79322 | GBP | 59000 | UBS | BUY | 0.74 | 11/04/2025 | 1805 |
| USD | 79408 | GBP | 59000 | JPM | BUY | 0.74 | 11/04/2025 | 1891 |
| USD | 84608 | GBP | 63000 | UBS | BUY | 0.74 | 11/04/2025 | 1836 |
| USD | 86478 | GBP | 64000 | UBS | BUY | 0.74 | 11/04/2025 | 2391 |
| USD | 90548 | GBP | 68000 | UBS | BUY | 0.75 | 11/04/2025 | 1207 |
| USD | 92666 | GBP | 69000 | UBS | BUY | 0.74 | 11/04/2025 | 2011 |
| USD | 106809 | GBP | 80000 | JPM | BUY | 0.75 | 11/04/2025 | 1701 |
| USD | 107144 | GBP | 80000 | JPM | BUY | 0.75 | 11/04/2025 | 2036 |
| USD | 107208 | GBP | 80000 | BCY | BUY | 0.75 | 11/04/2025 | 2100 |
| USD | 107366 | GBP | 80000 | BCY | BUY | 0.75 | 11/04/2025 | 2258 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Bought**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Appreciation** |
| USD | 107386 | GBP | 80000 | BCY | BUY | 0.74 | 11/04/2025 | $2278 |
| USD | 107788 | GBP | 81000 | BCY | BUY | 0.75 | 11/04/2025 | 1367 |
| USD | 108115 | GBP | 80000 | BCY | BUY | 0.74 | 11/04/2025 | 3007 |
| USD | 108121 | GBP | 80000 | UBS | BUY | 0.74 | 11/04/2025 | 3013 |
| USD | 108180 | GBP | 81000 | JPM | BUY | 0.75 | 11/04/2025 | 1758 |
| USD | 108341 | GBP | 81000 | JPM | BUY | 0.75 | 11/04/2025 | 1920 |
| USD | 108562 | GBP | 81000 | JPM | BUY | 0.75 | 11/04/2025 | 2140 |
| USD | 111976 | GBP | 84000 | GST | BUY | 0.75 | 11/04/2025 | 1613 |
| USD | 128074 | GBP | 96000 | JPM | BUY | 0.75 | 11/04/2025 | 1944 |
| USD | 133421 | GBP | 100000 | BCY | BUY | 0.75 | 11/04/2025 | 2036 |
| USD | 133514 | GBP | 100000 | BCY | BUY | 0.75 | 11/04/2025 | 2129 |
| USD | 136333 | GBP | 102000 | BCY | BUY | 0.75 | 11/04/2025 | 2320 |
| USD | 137222 | GBP | 102000 | BCY | BUY | 0.74 | 11/04/2025 | 3209 |
| USD | 137389 | GBP | 102000 | JPM | BUY | 0.74 | 11/04/2025 | 3376 |
| USD | 137468 | GBP | 102000 | UBS | BUY | 0.74 | 11/04/2025 | 3455 |
| USD | 137804 | GBP | 102000 | UBS | BUY | 0.74 | 11/04/2025 | 3792 |
| USD | 140776 | GBP | 105000 | HUS | BUY | 0.75 | 11/04/2025 | 2821 |
| USD | 144528 | GBP | 107000 | GST | BUY | 0.74 | 11/04/2025 | 3947 |
| USD | 151282 | GBP | 112000 | GST | BUY | 0.74 | 11/04/2025 | 4131 |
| USD | 157511 | GBP | 117000 | UBS | BUY | 0.74 | 11/04/2025 | 3790 |
| USD | 157944 | GBP | 118000 | JPM | BUY | 0.75 | 11/04/2025 | 2909 |
| USD | 172416 | GBP | 129000 | JPM | BUY | 0.75 | 11/04/2025 | 2929 |
| USD | 175956 | GBP | 132000 | JPM | BUY | 0.75 | 11/04/2025 | 2528 |
| USD | 180541 | GBP | 134000 | PAR | BUY | 0.74 | 11/04/2025 | 4485 |
| USD | 250421 | GBP | 186000 | JPM | BUY | 0.74 | 11/04/2025 | 6045 |
| USD | 350799 | GBP | 263000 | BCY | BUY | 0.75 | 11/04/2025 | 5256 |
| USD | 361197 | GBP | 269000 | GST | BUY | 0.74 | 11/04/2025 | 7771 |
| USD | 722655 | GBP | 542000 | HUS | BUY | 0.75 | 11/04/2025 | 10548 |
| USD | 723881 | GBP | 543000 | UBS | BUY | 0.75 | 11/04/2025 | 10460 |
| USD | 906513 | GBP | 678000 | CBK | BUY | 0.75 | 11/04/2025 | 15723 |
| USD | 1422170 | GBP | 1060000 | GST | BUY | 0.75 | 11/04/2025 | 29489 |
| USD | 18640 | GBP | 14000 | JPM | BUY | 0.75 | 11/28/2025 | 245 |
| USD | 19972 | GBP | 15000 | JPM | BUY | 0.75 | 11/28/2025 | 263 |
| USD | 107920 | GBP | 81000 | HUS | BUY | 0.75 | 11/28/2025 | 1492 |
| USD | 179867 | GBP | 135000 | HUS | BUY | 0.75 | 11/28/2025 | 2486 |
| USD | 186344 | GBP | 139900 | BCY | BUY | 0.75 | 11/28/2025 | 2525 |
| USD | 1331 | GBP | 1000 | GST | BUY | 0.75 | 12/01/2025 | 17 |
| USD | 2662 | GBP | 2000 | GST | BUY | 0.75 | 12/01/2025 | 34 |
| USD | 3992 | GBP | 3000 | GST | BUY | 0.75 | 12/01/2025 | 50 |
| USD | 87830 | GBP | 66000 | GST | BUY | 0.75 | 12/01/2025 | 1110 |
| USD | 133202 | GBP | 101000 | UBS | BUY | 0.76 | 12/01/2025 | 494 |
| USD | 133323 | GBP | 101000 | JPM | BUY | 0.76 | 12/01/2025 | 615 |
| USD | 549605 | GBP | 413000 | GST | BUY | 0.75 | 12/01/2025 | 6948 |
| USD | 1196356 | GBP | 899000 | GST | BUY | 0.75 | 12/01/2025 | 15124 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Bought**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Appreciation** |
| USD | 1350 | GBP | 1000 | CBK | BUY | 0.74 | 12/17/2025 | $36 |
| USD | 6710 | GBP | 5000 | CBK | BUY | 0.75 | 12/17/2025 | 140 |
| USD | 15994 | GBP | 12000 | CBK | BUY | 0.75 | 12/17/2025 | 226 |
| USD | 94640 | GBP | 71000 | JPM | BUY | 0.75 | 12/17/2025 | 1351 |
| USD | 434319 | HKD | 3375000 | MSI | BUY | 7.77 | 11/04/2025 | 79 |
| USD | 2576 | HKD | 20000 | DBF | BUY | 7.77 | 11/28/2025 | 1 |
| USD | 18673 | HKD | 145000 | DBF | BUY | 7.77 | 11/28/2025 | 8 |
| USD | 22214 | HKD | 172500 | SCB | BUY | 7.77 | 11/28/2025 | 9 |
| USD | 66964 | HKD | 520000 | DBF | BUY | 7.77 | 11/28/2025 | 27 |
| USD | 79198 | HKD | 615000 | SCB | BUY | 7.77 | 11/28/2025 | 32 |
| USD | 348923 | HKD | 2710000 | PAR | BUY | 7.77 | 12/01/2025 | 56 |
| USD | 6439 | HKD | 50000 | SCB | BUY | 7.76 | 12/17/2025 | 2 |
| HKD | 2080000 | USD | 267444 | HUS | SELL | 7.78 | 11/04/2025 | 177 |
| USD | 36142 | HUF | 11928000 | BCY | BUY | 330.04 | 11/04/2025 | 643 |
| USD | 52280 | HUF | 17400000 | HUS | BUY | 332.82 | 11/04/2025 | 496 |
| USD | 83506 | HUF | 27900000 | BCY | BUY | 334.11 | 11/04/2025 | 473 |
| USD | 86661 | HUF | 28900000 | BCY | BUY | 333.48 | 11/04/2025 | 652 |
| USD | 98535 | HUF | 33100000 | BCY | BUY | 335.92 | 11/04/2025 | 27 |
| USD | 107264 | HUF | 35800000 | BCY | BUY | 333.76 | 11/04/2025 | 720 |
| USD | 137121 | HUF | 45900000 | JPM | BUY | 334.74 | 11/04/2025 | 519 |
| USD | 157287 | HUF | 52500000 | PAR | BUY | 333.79 | 11/04/2025 | 1042 |
| USD | 236124 | HUF | 78800000 | BCY | BUY | 333.72 | 11/04/2025 | 1608 |
| USD | 878929 | HUF | 290240000 | GST | BUY | 330.22 | 11/04/2025 | 15151 |
| USD | 15757 | HUF | 5300000 | BCY | BUY | 336.36 | 11/28/2025 | 9 |
| USD | 83233 | HUF | 28000000 | PAR | BUY | 336.41 | 12/01/2025 | 53 |
| USD | 306568 | HUF | 102340000 | BCY | BUY | 333.83 | 12/01/2025 | 2545 |
| USD | 450248 | HUF | 150304000 | BCY | BUY | 333.83 | 12/01/2025 | 3737 |
| HUF | 115500000 | USD | 340504 | GST | SELL | 339.20 | 11/04/2025 | 3234 |
| HUF | 50000000 | USD | 148493 | BCY | SELL | 336.72 | 11/04/2025 | 312 |
| HUF | 31800000 | USD | 94591 | BCY | SELL | 336.18 | 11/04/2025 | 48 |
| HUF | 28400000 | USD | 84110 | BCY | SELL | 337.65 | 11/04/2025 | 411 |
| USD | 84734 | INR | 7450000 | JPM | BUY | 87.92 | 11/04/2025 | 810 |
| USD | 2001665 | INR | 176747000 | CBK | BUY | 88.30 | 11/04/2025 | 10626 |
| USD | 2002776 | INR | 176747000 | PAR | BUY | 88.25 | 11/04/2025 | 11737 |
| USD | 15774 | INR | 1395000 | CBK | BUY | 88.43 | 12/01/2025 | 82 |
| USD | 15784 | INR | 1395000 | PAR | BUY | 88.38 | 12/01/2025 | 91 |
| USD | 281822 | INR | 25030000 | DBF | BUY | 88.81 | 12/01/2025 | 256 |
| INR | 155280000 | USD | 1745749 | DBF | SELL | 88.95 | 11/04/2025 | 3466 |
| INR | 66078000 | USD | 743285 | BOA | SELL | 88.90 | 11/04/2025 | 1078 |
| INR | 65560000 | USD | 737894 | BOA | SELL | 88.85 | 11/04/2025 | 634 |
| INR | 33886000 | USD | 381213 | BOA | SELL | 88.89 | 11/04/2025 | 510 |
| INR | 29150000 | USD | 327721 | DBF | SELL | 88.95 | 11/04/2025 | 651 |
| INR | 6230000 | USD | 70019 | DBF | SELL | 88.98 | 11/04/2025 | 161 |
| USD | 127879 | IDR | 2124000000 | DBF | BUY | 16608.54 | 12/01/2025 | 368 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Bought**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Appreciation** |
| USD | 118745 | ILS | 385000 | DBF | BUY | 3.24 | 12/01/2025 | $446 |
| ILS | 2050000 | USD | 628545 | GST | SELL | 3.26 | 11/04/2025 | 1410 |
| ILS | 1080000 | USD | 327605 | GST | SELL | 3.30 | 11/04/2025 | 4274 |
| ILS | 395000 | USD | 118972 | CBK | SELL | 3.32 | 11/04/2025 | 2409 |
| JPY | 5555775 | AUD | 55000 | UBS | BUY | 153.71 | 11/04/2025 | 58 |
| USD | 10874 | JPY | 1600000 | MSI | BUY | 147.14 | 11/04/2025 | 488 |
| USD | 14611 | JPY | 2200000 | GST | BUY | 150.57 | 11/04/2025 | 331 |
| USD | 17044 | JPY | 2600000 | BOA | BUY | 152.55 | 11/04/2025 | 167 |
| USD | 29904 | JPY | 4400000 | MSI | BUY | 147.14 | 11/04/2025 | 1343 |
| USD | 30058 | JPY | 4400000 | DBF | BUY | 146.39 | 11/04/2025 | 1496 |
| USD | 36263 | JPY | 5400000 | BCY | BUY | 148.91 | 11/04/2025 | 1210 |
| USD | 54321 | JPY | 7981000 | JPM | BUY | 146.92 | 11/04/2025 | 2515 |
| USD | 77434 | JPY | 11800000 | BOA | BUY | 152.39 | 11/04/2025 | 838 |
| USD | 77459 | JPY | 11800000 | JPM | BUY | 152.34 | 11/04/2025 | 863 |
| USD | 78416 | JPY | 11500000 | PAR | BUY | 146.65 | 11/04/2025 | 3768 |
| USD | 78898 | JPY | 11600000 | BCY | BUY | 147.03 | 11/04/2025 | 3600 |
| USD | 79301 | JPY | 11900000 | BCY | BUY | 150.06 | 11/04/2025 | 2056 |
| USD | 79315 | JPY | 11700000 | BCY | BUY | 147.51 | 11/04/2025 | 3368 |
| USD | 79653 | JPY | 11800000 | JPM | BUY | 148.14 | 11/04/2025 | 3057 |
| USD | 79724 | JPY | 12100000 | BCY | BUY | 151.77 | 11/04/2025 | 1181 |
| USD | 79822 | JPY | 11700000 | PAR | BUY | 146.58 | 11/04/2025 | 3875 |
| USD | 79879 | JPY | 11700000 | BCY | BUY | 146.47 | 11/04/2025 | 3932 |
| USD | 80055 | JPY | 11800000 | BCY | BUY | 147.40 | 11/04/2025 | 3459 |
| USD | 86090 | JPY | 13100000 | BCY | BUY | 152.17 | 11/04/2025 | 1055 |
| USD | 90993 | JPY | 13900000 | JPM | BUY | 152.76 | 11/04/2025 | 765 |
| USD | 101138 | JPY | 15400000 | BCY | BUY | 152.27 | 11/04/2025 | 1174 |
| USD | 105776 | JPY | 16100000 | BCY | BUY | 152.21 | 11/04/2025 | 1268 |
| USD | 106553 | JPY | 16200000 | JPM | BUY | 152.04 | 11/04/2025 | 1396 |
| USD | 106952 | JPY | 16300000 | JPM | BUY | 152.41 | 11/04/2025 | 1145 |
| USD | 107060 | JPY | 16300000 | JPM | BUY | 152.25 | 11/04/2025 | 1253 |
| USD | 108345 | JPY | 16500000 | UBS | BUY | 152.29 | 11/04/2025 | 1240 |
| USD | 108418 | JPY | 16300000 | BCY | BUY | 150.34 | 11/04/2025 | 2612 |
| USD | 108698 | JPY | 16100000 | JPM | BUY | 148.12 | 11/04/2025 | 4190 |
| USD | 108743 | JPY | 15900000 | JPM | BUY | 146.22 | 11/04/2025 | 5533 |
| USD | 109657 | JPY | 16700000 | JPM | BUY | 152.29 | 11/04/2025 | 1254 |
| USD | 120985 | JPY | 18200000 | JPM | BUY | 150.43 | 11/04/2025 | 2846 |
| USD | 123638 | JPY | 18100000 | JPM | BUY | 146.40 | 11/04/2025 | 6147 |
| USD | 128993 | JPY | 19300000 | JPM | BUY | 149.62 | 11/04/2025 | 3713 |
| USD | 135998 | JPY | 20300000 | UBS | BUY | 149.27 | 11/04/2025 | 4227 |
| USD | 136097 | JPY | 20500000 | BOA | BUY | 150.63 | 11/04/2025 | 3028 |
| USD | 136522 | JPY | 20800000 | BCY | BUY | 152.36 | 11/04/2025 | 1505 |
| USD | 154387 | JPY | 23600000 | JPM | BUY | 152.86 | 11/04/2025 | 1195 |
| USD | 159036 | JPY | 23500000 | BCY | BUY | 147.77 | 11/04/2025 | 6493 |
| USD | 160702 | JPY | 23800000 | MSI | BUY | 148.10 | 11/04/2025 | 6212 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Bought**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Appreciation** |
| USD | 178897 | JPY | 26900000 | BCY | BUY | 150.37 | 11/04/2025 | $4284 |
| USD | 178918 | JPY | 26200000 | CBK | BUY | 146.44 | 11/04/2025 | 8849 |
| USD | 202985 | JPY | 30823000 | PAR | BUY | 151.85 | 11/04/2025 | 2907 |
| USD | 237950 | JPY | 35500000 | JPM | BUY | 149.19 | 11/04/2025 | 7513 |
| USD | 439950 | JPY | 67300000 | HUS | BUY | 152.97 | 11/04/2025 | 3093 |
| USD | 620537 | JPY | 94800000 | MSI | BUY | 152.77 | 11/04/2025 | 5173 |
| USD | 620553 | JPY | 94800000 | CBK | BUY | 152.77 | 11/04/2025 | 5189 |
| USD | 893940 | JPY | 133000000 | MSI | BUY | 148.78 | 11/04/2025 | 30612 |
| USD | 1460521 | JPY | 219800000 | MSI | BUY | 150.49 | 11/04/2025 | 33758 |
| USD | 7215 | JPY | 1100000 | MSI | BUY | 152.47 | 11/28/2025 | 58 |
| USD | 14427 | JPY | 2200000 | JPM | BUY | 152.49 | 11/28/2025 | 113 |
| USD | 23611 | JPY | 3600000 | MSI | BUY | 152.47 | 11/28/2025 | 188 |
| USD | 104271 | JPY | 15900000 | JPM | BUY | 152.49 | 11/28/2025 | 820 |
| USD | 10565 | JPY | 1600000 | PAR | BUY | 151.44 | 12/01/2025 | 152 |
| USD | 15848 | JPY | 2400000 | PAR | BUY | 151.44 | 12/01/2025 | 228 |
| USD | 19707 | JPY | 3000000 | UBS | BUY | 152.23 | 12/01/2025 | 182 |
| USD | 83847 | JPY | 12700000 | BCY | BUY | 151.47 | 12/01/2025 | 1191 |
| USD | 105518 | JPY | 16000000 | BCY | BUY | 151.63 | 12/01/2025 | 1385 |
| USD | 132153 | JPY | 20300000 | BCY | BUY | 153.61 | 12/01/2025 | 33 |
| USD | 292524 | JPY | 44300000 | PAR | BUY | 151.44 | 12/01/2025 | 4204 |
| USD | 327429 | JPY | 49617000 | MSI | BUY | 151.53 | 12/01/2025 | 4505 |
| USD | 655496 | JPY | 99383000 | CBK | BUY | 151.61 | 12/01/2025 | 8677 |
| USD | 71323 | JPY | 10800000 | CBK | BUY | 151.42 | 12/17/2025 | 916 |
| USD | 93218 | JPY | 14200000 | PAR | BUY | 152.33 | 12/17/2025 | 646 |
| USD | 120708 | JPY | 17700000 | CBK | BUY | 146.64 | 12/17/2025 | 5318 |
| USD | 219868 | JPY | 32100000 | PAR | BUY | 146.00 | 12/17/2025 | 10603 |
| JPY | 11700000 | USD | 76118 | UBS | SELL | 153.71 | 12/01/2025 | 30 |
| JPY | 10882000 | USD | 70692 | BCY | SELL | 153.94 | 12/01/2025 | 132 |
| USD | 7606 | MXN | 140000 | DBF | BUY | 18.41 | 11/04/2025 | 60 |
| USD | 9756 | MXN | 180000 | DBF | BUY | 18.45 | 11/04/2025 | 54 |
| USD | 11407 | MXN | 210000 | HUS | BUY | 18.41 | 11/04/2025 | 87 |
| USD | 78240 | MXN | 1440000 | GST | BUY | 18.40 | 11/04/2025 | 618 |
| USD | 78477 | MXN | 1450000 | JPM | BUY | 18.48 | 11/04/2025 | 317 |
| USD | 78895 | MXN | 1460000 | BOA | BUY | 18.51 | 11/04/2025 | 196 |
| USD | 85328 | MXN | 1570000 | JPM | BUY | 18.40 | 11/04/2025 | 699 |
| USD | 86218 | MXN | 1590000 | BCY | BUY | 18.44 | 11/04/2025 | 511 |
| USD | 92720 | MXN | 1720000 | JPM | BUY | 18.55 | 11/04/2025 | 5 |
| USD | 93132 | MXN | 1720000 | JPM | BUY | 18.47 | 11/04/2025 | 417 |
| USD | 93518 | MXN | 1720000 | JPM | BUY | 18.39 | 11/04/2025 | 803 |
| USD | 93689 | MXN | 1720000 | JPM | BUY | 18.36 | 11/04/2025 | 974 |
| USD | 100378 | MXN | 1840000 | BCY | BUY | 18.33 | 11/04/2025 | 1195 |
| USD | 107782 | MXN | 1980000 | BOA | BUY | 18.37 | 11/04/2025 | 1052 |
| USD | 113761 | MXN | 2094000 | GST | BUY | 18.41 | 11/04/2025 | 886 |
| USD | 113956 | MXN | 2110000 | BOA | BUY | 18.52 | 11/04/2025 | 218 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Bought**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Appreciation** |
| USD | 115327 | MXN | 2130000 | BCY | BUY | 18.47 | 11/04/2025 | $511 |
| USD | 119678 | MXN | 2220000 | BCY | BUY | 18.55 | 11/04/2025 | 11 |
| USD | 120876 | MXN | 2226000 | BCY | BUY | 18.42 | 11/04/2025 | 885 |
| USD | 135161 | MXN | 2490000 | BCY | BUY | 18.42 | 11/04/2025 | 940 |
| USD | 135279 | MXN | 2500000 | BCY | BUY | 18.48 | 11/04/2025 | 519 |
| USD | 136712 | MXN | 2510000 | JPM | BUY | 18.36 | 11/04/2025 | 1413 |
| USD | 237466 | MXN | 4370000 | SSB | BUY | 18.40 | 11/04/2025 | 1906 |
| USD | 398651 | MXN | 7330000 | GST | BUY | 18.39 | 11/04/2025 | 3535 |
| USD | 769147 | MXN | 14200000 | RBC | BUY | 18.46 | 11/04/2025 | 3711 |
| USD | 1009100 | MXN | 18630000 | RBC | BUY | 18.46 | 11/04/2025 | 4868 |
| USD | 10299 | MXN | 190000 | SSB | BUY | 18.45 | 11/28/2025 | 83 |
| USD | 51306 | MXN | 950000 | RBC | BUY | 18.52 | 12/01/2025 | 242 |
| USD | 54690 | MXN | 1011000 | JPM | BUY | 18.49 | 12/01/2025 | 347 |
| USD | 54719 | MXN | 1011000 | JPM | BUY | 18.48 | 12/01/2025 | 376 |
| USD | 71190 | MXN | 1323000 | BCY | BUY | 18.58 | 12/01/2025 | 77 |
| USD | 132594 | MXN | 2450000 | JPM | BUY | 18.48 | 12/01/2025 | 903 |
| USD | 255151 | MXN | 4718000 | HUS | BUY | 18.49 | 12/01/2025 | 1551 |
| MXN | 2230000 | USD | 120133 | JPM | SELL | 18.56 | 11/04/2025 | 73 |
| MXN | 1840000 | USD | 99106 | JPM | SELL | 18.57 | 11/04/2025 | 77 |
| MXN | 1580000 | USD | 85056 | BCY | SELL | 18.58 | 11/04/2025 | 112 |
| MXN | 2450000 | USD | 131395 | BOA | SELL | 18.65 | 12/01/2025 | 296 |
| USD | 6303 | TWD | 193000 | DBF | BUY | 30.62 | 11/04/2025 | 25 |
| USD | 102856 | TWD | 3130000 | UBS | BUY | 30.43 | 11/04/2025 | 1037 |
| USD | 149691 | TWD | 4600000 | DBF | BUY | 30.73 | 11/04/2025 | 54 |
| USD | 788672 | TWD | 23810000 | CBK | BUY | 30.19 | 11/04/2025 | 14136 |
| USD | 312746 | TWD | 9373000 | JPM | BUY | 29.97 | 07/07/2026 | 3196 |
| TWD | 13255000 | USD | 430357 | MSI | SELL | 30.80 | 11/04/2025 | 826 |
| USD | 20053 | NZD | 35000 | HUS | BUY | 1.75 | 11/04/2025 | 11 |
| USD | 48678 | NZD | 83000 | UBS | BUY | 1.70 | 11/04/2025 | 1148 |
| USD | 51986 | NZD | 90000 | HUS | BUY | 1.73 | 11/04/2025 | 447 |
| USD | 77359 | NZD | 135000 | BCY | BUY | 1.75 | 11/04/2025 | 52 |
| USD | 77450 | NZD | 135000 | BCY | BUY | 1.74 | 11/04/2025 | 142 |
| USD | 77779 | NZD | 135000 | BCY | BUY | 1.74 | 11/04/2025 | 471 |
| USD | 81072 | NZD | 140000 | BOA | BUY | 1.73 | 11/04/2025 | 901 |
| USD | 83279 | NZD | 145000 | BCY | BUY | 1.74 | 11/04/2025 | 244 |
| USD | 91734 | NZD | 160000 | BCY | BUY | 1.74 | 11/04/2025 | 110 |
| USD | 91871 | NZD | 160000 | BCY | BUY | 1.74 | 11/04/2025 | 247 |
| USD | 93468 | NZD | 160000 | JPM | BUY | 1.71 | 11/04/2025 | 1844 |
| USD | 97742 | NZD | 170000 | BOA | BUY | 1.74 | 11/04/2025 | 391 |
| USD | 99148 | NZD | 170000 | DBF | BUY | 1.71 | 11/04/2025 | 1797 |
| USD | 101890 | NZD | 175000 | BCY | BUY | 1.72 | 11/04/2025 | 1676 |
| USD | 134913 | NZD | 235000 | BCY | BUY | 1.74 | 11/04/2025 | 340 |
| USD | 150420 | NZD | 260000 | JPM | BUY | 1.73 | 11/04/2025 | 1531 |
| USD | 165424 | NZD | 285000 | BCY | BUY | 1.72 | 11/04/2025 | 2219 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Bought**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Appreciation** |
| USD | 465576 | NZD | 805000 | DBF | BUY | 1.73 | 11/04/2025 | $4593 |
| USD | 538945 | NZD | 935000 | MSI | BUY | 1.73 | 11/04/2025 | 3517 |
| USD | 3530773 | NZD | 6097000 | BCY | BUY | 1.73 | 11/04/2025 | 39326 |
| USD | 2529 | NZD | 4400 | SCB | BUY | 1.74 | 11/28/2025 | 7 |
| USD | 68411 | NZD | 118000 | BCY | BUY | 1.72 | 12/01/2025 | 762 |
| USD | 98222 | NZD | 170000 | DBF | BUY | 1.73 | 12/01/2025 | 762 |
| USD | 189764 | NZD | 330000 | HUS | BUY | 1.74 | 12/01/2025 | 577 |
| USD | 201175 | NZD | 347000 | BCY | BUY | 1.72 | 12/01/2025 | 2242 |
| USD | 468919 | NZD | 810000 | MSI | BUY | 1.73 | 12/01/2025 | 4550 |
| NZD | 1281000 | USD | 730710 | UBS | SELL | 1.75 | 11/04/2025 | 2854 |
| NZD | 689000 | USD | 393812 | PAR | SELL | 1.75 | 11/04/2025 | 744 |
| NZD | 235000 | USD | 134506 | UBS | SELL | 1.75 | 11/04/2025 | 67 |
| NZD | 145000 | USD | 83028 | BOA | SELL | 1.75 | 11/04/2025 | 6 |
| NZD | 145000 | USD | 82935 | BCY | SELL | 1.75 | 11/04/2025 | 99 |
| USD | 1013 | NOK | 10000 | UBS | BUY | 9.87 | 11/04/2025 | 24 |
| USD | 77740 | NOK | 780000 | JPM | BUY | 10.03 | 11/04/2025 | 642 |
| USD | 79376 | NOK | 800000 | UBS | BUY | 10.08 | 11/04/2025 | 300 |
| USD | 82678 | NOK | 820000 | JPM | BUY | 9.92 | 11/04/2025 | 1626 |
| USD | 84122 | NOK | 840000 | JPM | BUY | 9.99 | 11/04/2025 | 1093 |
| USD | 85607 | NOK | 860000 | UBS | BUY | 10.05 | 11/04/2025 | 601 |
| USD | 86566 | NOK | 860000 | JPM | BUY | 9.93 | 11/04/2025 | 1561 |
| USD | 86822 | NOK | 860000 | BCY | BUY | 9.91 | 11/04/2025 | 1816 |
| USD | 90616 | NOK | 900000 | BCY | BUY | 9.93 | 11/04/2025 | 1656 |
| USD | 92768 | NOK | 930000 | JPM | BUY | 10.02 | 11/04/2025 | 843 |
| USD | 93578 | NOK | 930000 | BCY | BUY | 9.94 | 11/04/2025 | 1653 |
| USD | 94826 | NOK | 940000 | UBS | BUY | 9.91 | 11/04/2025 | 1913 |
| USD | 101607 | NOK | 1010000 | UBS | BUY | 9.94 | 11/04/2025 | 1775 |
| USD | 101635 | NOK | 1010000 | JPM | BUY | 9.94 | 11/04/2025 | 1803 |
| USD | 107695 | NOK | 1070000 | JPM | BUY | 9.94 | 11/04/2025 | 1932 |
| USD | 108462 | NOK | 1080000 | JPM | BUY | 9.96 | 11/04/2025 | 1711 |
| USD | 115354 | NOK | 1150000 | DBF | BUY | 9.97 | 11/04/2025 | 1684 |
| USD | 133914 | NOK | 1350000 | JPM | BUY | 10.08 | 11/04/2025 | 474 |
| USD | 134140 | NOK | 1350000 | JPM | BUY | 10.06 | 11/04/2025 | 701 |
| USD | 143860 | NOK | 1430000 | UBS | BUY | 9.94 | 11/04/2025 | 2513 |
| USD | 143955 | NOK | 1430000 | UBS | BUY | 9.93 | 11/04/2025 | 2608 |
| USD | 159929 | NOK | 1590000 | JPM | BUY | 9.94 | 11/04/2025 | 2767 |
| USD | 160088 | NOK | 1597000 | TDS | BUY | 9.98 | 11/04/2025 | 2234 |
| USD | 177696 | NOK | 1794000 | UBS | BUY | 10.10 | 11/04/2025 | 370 |
| USD | 177931 | NOK | 1770000 | TDS | BUY | 9.95 | 11/04/2025 | 2977 |
| USD | 186258 | NOK | 1850000 | DBF | BUY | 9.93 | 11/04/2025 | 3396 |
| USD | 203883 | NOK | 2033000 | JPM | BUY | 9.97 | 11/04/2025 | 2933 |
| USD | 289950 | NOK | 2926000 | GST | BUY | 10.09 | 11/04/2025 | 733 |
| USD | 441529 | NOK | 4359000 | UBS | BUY | 9.87 | 11/04/2025 | 10668 |
| USD | 1599 | NOK | 16000 | DBF | BUY | 10.00 | 11/28/2025 | 18 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Bought**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Appreciation** |
| USD | 998 | NOK | 10000 | GST | BUY | 10.02 | 12/01/2025 | $10 |
| USD | 83514 | NOK | 840000 | UBS | BUY | 10.06 | 12/01/2025 | 486 |
| USD | 118324 | NOK | 1190000 | UBS | BUY | 10.06 | 12/01/2025 | 700 |
| USD | 189020 | NOK | 1890000 | UBS | BUY | 10.00 | 12/01/2025 | 2206 |
| USD | 321713 | NOK | 3223000 | GST | BUY | 10.02 | 12/01/2025 | 3141 |
| USD | 2263769 | NOK | 22679000 | GST | BUY | 10.02 | 12/01/2025 | 22100 |
| USD | 5030 | NOK | 50000 | CBK | BUY | 9.94 | 12/17/2025 | 88 |
| USD | 9022 | NOK | 90000 | CBK | BUY | 9.98 | 12/17/2025 | 126 |
| USD | 86661 | NOK | 860000 | MSI | BUY | 9.92 | 12/17/2025 | 1659 |
| NOK | 860000 | USD | 84408 | JPM | SELL | 10.19 | 11/04/2025 | 598 |
| NOK | 860000 | USD | 84334 | BCY | SELL | 10.20 | 11/04/2025 | 672 |
| PEN | 792000 | USD | 226247 | SCB | SELL | 3.50 | 11/04/2025 | 8656 |
| PEN | 792000 | USD | 233195 | CBK | SELL | 3.40 | 12/01/2025 | 1511 |
| PHP | 34830000 | USD | 587947 | JPM | SELL | 59.24 | 12/01/2025 | 5112 |
| USD | 36090 | PLN | 132000 | BCY | BUY | 3.66 | 11/04/2025 | 317 |
| USD | 92461 | PLN | 335000 | BCY | BUY | 3.62 | 11/04/2025 | 1675 |
| USD | 121920 | PLN | 445000 | BCY | BUY | 3.65 | 11/04/2025 | 1323 |
| USD | 135514 | PLN | 500000 | BCY | BUY | 3.69 | 11/04/2025 | 13 |
| USD | 237766 | PLN | 865000 | BCY | BUY | 3.64 | 11/04/2025 | 3349 |
| USD | 290147 | PLN | 1070000 | BCY | BUY | 3.69 | 11/04/2025 | 175 |
| USD | 1870278 | PLN | 6746000 | GST | BUY | 3.61 | 11/04/2025 | 42094 |
| USD | 1372 | PLN | 5000 | BCY | BUY | 3.64 | 11/28/2025 | 17 |
| USD | 12737 | PLN | 46500 | GST | BUY | 3.65 | 11/28/2025 | 137 |
| USD | 124039 | PLN | 455000 | PAR | BUY | 3.67 | 12/01/2025 | 758 |
| USD | 143582 | PLN | 522000 | BCY | BUY | 3.64 | 12/01/2025 | 2148 |
| USD | 318797 | PLN | 1159000 | BCY | BUY | 3.64 | 12/01/2025 | 4769 |
| USD | 6235 | SGD | 8000 | BCY | BUY | 1.28 | 11/04/2025 | 88 |
| USD | 77562 | SGD | 100000 | HUS | BUY | 1.29 | 11/04/2025 | 725 |
| USD | 84809 | SGD | 110000 | BCY | BUY | 1.30 | 11/04/2025 | 288 |
| USD | 84908 | SGD | 110000 | BCY | BUY | 1.30 | 11/04/2025 | 387 |
| USD | 92633 | SGD | 120000 | BCY | BUY | 1.30 | 11/04/2025 | 428 |
| USD | 96368 | SGD | 125000 | BCY | BUY | 1.30 | 11/04/2025 | 321 |
| USD | 100874 | SGD | 130000 | BCY | BUY | 1.29 | 11/04/2025 | 985 |
| USD | 103982 | SGD | 135000 | JPM | BUY | 1.30 | 11/04/2025 | 252 |
| USD | 104029 | SGD | 135000 | JPM | BUY | 1.30 | 11/04/2025 | 298 |
| USD | 107947 | SGD | 140000 | BCY | BUY | 1.30 | 11/04/2025 | 375 |
| USD | 108051 | SGD | 140000 | UBS | BUY | 1.30 | 11/04/2025 | 478 |
| USD | 108249 | SGD | 140000 | HUS | BUY | 1.29 | 11/04/2025 | 676 |
| USD | 108789 | SGD | 140000 | JPM | BUY | 1.29 | 11/04/2025 | 1216 |
| USD | 108852 | SGD | 140000 | JPM | BUY | 1.29 | 11/04/2025 | 1280 |
| USD | 118211 | SGD | 152000 | BCY | BUY | 1.29 | 11/04/2025 | 1419 |
| USD | 127578 | SGD | 165000 | JPM | BUY | 1.29 | 11/04/2025 | 796 |
| USD | 128498 | SGD | 165000 | BCY | BUY | 1.28 | 11/04/2025 | 1717 |
| USD | 135292 | SGD | 175000 | JPM | BUY | 1.29 | 11/04/2025 | 827 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Bought**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Appreciation** |
| USD | 143053 | SGD | 185000 | PAR | BUY | 1.29 | 11/04/2025 | $903 |
| USD | 143099 | SGD | 185000 | JPM | BUY | 1.29 | 11/04/2025 | 949 |
| USD | 143104 | SGD | 185000 | BCY | BUY | 1.29 | 11/04/2025 | 954 |
| USD | 143168 | SGD | 185000 | JPM | BUY | 1.29 | 11/04/2025 | 1019 |
| USD | 143279 | SGD | 185000 | JPM | BUY | 1.29 | 11/04/2025 | 1130 |
| USD | 144001 | SGD | 185000 | JPM | BUY | 1.28 | 11/04/2025 | 1852 |
| USD | 144113 | SGD | 185000 | JPM | BUY | 1.28 | 11/04/2025 | 1963 |
| USD | 177260 | SGD | 230000 | BCY | BUY | 1.30 | 11/04/2025 | 534 |
| USD | 177342 | SGD | 230000 | PAR | BUY | 1.30 | 11/04/2025 | 616 |
| USD | 178913 | SGD | 230000 | BCY | BUY | 1.29 | 11/04/2025 | 2187 |
| USD | 181256 | SGD | 235000 | BCY | BUY | 1.30 | 11/04/2025 | 688 |
| USD | 181309 | SGD | 235000 | UBS | BUY | 1.30 | 11/04/2025 | 741 |
| USD | 251958 | SGD | 325000 | JPM | BUY | 1.29 | 11/04/2025 | 2237 |
| USD | 252075 | SGD | 325000 | JPM | BUY | 1.29 | 11/04/2025 | 2354 |
| USD | 258321 | SGD | 335000 | HUS | BUY | 1.30 | 11/04/2025 | 916 |
| USD | 330817 | SGD | 425000 | HUS | BUY | 1.28 | 11/04/2025 | 4258 |
| USD | 453656 | SGD | 585000 | HUS | BUY | 1.29 | 11/04/2025 | 4158 |
| USD | 958099 | SGD | 1226000 | PAR | BUY | 1.28 | 11/04/2025 | 16073 |
| USD | 1344152 | SGD | 1720000 | PAR | BUY | 1.28 | 11/04/2025 | 22549 |
| USD | 7712 | SGD | 10000 | GST | BUY | 1.30 | 11/28/2025 | 14 |
| USD | 7722 | SGD | 10000 | UBS | BUY | 1.29 | 11/28/2025 | 24 |
| USD | 92824 | SGD | 120000 | UBS | BUY | 1.29 | 12/01/2025 | 426 |
| USD | 92875 | SGD | 120000 | PAR | BUY | 1.29 | 12/01/2025 | 478 |
| USD | 123864 | SGD | 160000 | JPM | BUY | 1.29 | 12/01/2025 | 667 |
| USD | 146729 | SGD | 190000 | UBS | BUY | 1.29 | 12/01/2025 | 432 |
| USD | 181889 | SGD | 235000 | SSB | BUY | 1.29 | 12/01/2025 | 943 |
| USD | 1162462 | SGD | 1501000 | UBS | BUY | 1.29 | 12/01/2025 | 6718 |
| USD | 2137505 | SGD | 2760000 | UBS | BUY | 1.29 | 12/01/2025 | 12352 |
| USD | 106817 | ZAR | 1850000 | BCY | BUY | 17.32 | 11/04/2025 | 81 |
| USD | 114700 | ZAR | 1980000 | MSI | BUY | 17.26 | 11/04/2025 | 463 |
| USD | 135824 | ZAR | 2340000 | PAR | BUY | 17.23 | 11/04/2025 | 818 |
| USD | 137711 | ZAR | 2380000 | BCY | BUY | 17.28 | 11/04/2025 | 397 |
| USD | 144253 | ZAR | 2490000 | MSI | BUY | 17.26 | 11/04/2025 | 592 |
| USD | 299567 | ZAR | 5180000 | BOA | BUY | 17.29 | 11/04/2025 | 706 |
| USD | 105255 | ZAR | 1820000 | BCY | BUY | 17.29 | 12/01/2025 | 445 |
| USD | 132850 | ZAR | 2280000 | BCY | BUY | 17.16 | 12/01/2025 | 1548 |
| USD | 3041955 | ZAR | 52610000 | MSI | BUY | 17.29 | 12/01/2025 | 12240 |
| ZAR | 1860000 | USD | 107132 | BCY | SELL | 17.36 | 11/04/2025 | 181 |
| ZAR | 1360000 | USD | 78185 | BCY | SELL | 17.39 | 11/04/2025 | 280 |
| USD | 870 | KRW | 1210000 | JPM | BUY | 1391.58 | 11/04/2025 | 20 |
| KRW | 212940000 | USD | 148680 | PAR | SELL | 1432.19 | 11/04/2025 | 777 |
| KRW | 1210000 | USD | 841 | PAR | SELL | 1438.15 | 11/04/2025 | 8 |
| KRW | 1837045000 | USD | 1278843 | PAR | SELL | 1436.49 | 12/01/2025 | 8595 |
| KRW | 129420000 | USD | 90554 | MSI | SELL | 1429.20 | 12/01/2025 | 146 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Bought**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Appreciation** |
| USD | 9405 | SEK | 88000 | BCY | BUY | 9.36 | 11/04/2025 | $135 |
| USD | 10763 | SEK | 100000 | DBF | BUY | 9.29 | 11/04/2025 | 229 |
| USD | 13808 | SEK | 130000 | BOA | BUY | 9.42 | 11/04/2025 | 113 |
| USD | 14315 | SEK | 133000 | DBF | BUY | 9.29 | 11/04/2025 | 304 |
| USD | 14751 | SEK | 140000 | BOA | BUY | 9.49 | 11/04/2025 | 2 |
| USD | 27759 | SEK | 260000 | MSI | BUY | 9.37 | 11/04/2025 | 369 |
| USD | 77491 | SEK | 730000 | BCY | BUY | 9.42 | 11/04/2025 | 588 |
| USD | 77535 | SEK | 730000 | BCY | BUY | 9.42 | 11/04/2025 | 632 |
| USD | 77551 | SEK | 730000 | BCY | BUY | 9.41 | 11/04/2025 | 649 |
| USD | 79717 | SEK | 750000 | BCY | BUY | 9.41 | 11/04/2025 | 707 |
| USD | 81446 | SEK | 760000 | BCY | BUY | 9.33 | 11/04/2025 | 1383 |
| USD | 81984 | SEK | 770000 | JPM | BUY | 9.39 | 11/04/2025 | 868 |
| USD | 82796 | SEK | 780000 | BCY | BUY | 9.42 | 11/04/2025 | 626 |
| USD | 84616 | SEK | 800000 | BCY | BUY | 9.45 | 11/04/2025 | 339 |
| USD | 88544 | SEK | 830000 | BCY | BUY | 9.37 | 11/04/2025 | 1107 |
| USD | 91661 | SEK | 870000 | BCY | BUY | 9.49 | 11/04/2025 | 10 |
| USD | 94220 | SEK | 880000 | UBS | BUY | 9.34 | 11/04/2025 | 1515 |
| USD | 98928 | SEK | 930000 | BCY | BUY | 9.40 | 11/04/2025 | 955 |
| USD | 99956 | SEK | 930000 | BCY | BUY | 9.30 | 11/04/2025 | 1984 |
| USD | 106339 | SEK | 1000000 | UBS | BUY | 9.40 | 11/04/2025 | 992 |
| USD | 121863 | SEK | 1150000 | BCY | BUY | 9.44 | 11/04/2025 | 715 |
| USD | 123079 | SEK | 1160000 | JPM | BUY | 9.42 | 11/04/2025 | 877 |
| USD | 123786 | SEK | 1150000 | JPM | BUY | 9.29 | 11/04/2025 | 2638 |
| USD | 134463 | SEK | 1270000 | BCY | BUY | 9.44 | 11/04/2025 | 673 |
| USD | 136564 | SEK | 1290000 | BCY | BUY | 9.45 | 11/04/2025 | 667 |
| USD | 146536 | SEK | 1380000 | BCY | BUY | 9.42 | 11/04/2025 | 1158 |
| USD | 187061 | SEK | 1770000 | JPM | BUY | 9.46 | 11/04/2025 | 598 |
| USD | 218526 | SEK | 2050000 | UBS | BUY | 9.38 | 11/04/2025 | 2566 |
| USD | 218564 | SEK | 2050000 | UBS | BUY | 9.38 | 11/04/2025 | 2604 |
| USD | 3791964 | SEK | 35230000 | DBF | BUY | 9.29 | 11/04/2025 | 80613 |
| USD | 3095 | SEK | 29000 | JPM | BUY | 9.37 | 11/28/2025 | 35 |
| USD | 11751 | SEK | 110000 | BOA | BUY | 9.36 | 11/28/2025 | 146 |
| USD | 27533 | SEK | 258000 | JPM | BUY | 9.37 | 11/28/2025 | 314 |
| USD | 136891 | SEK | 1290000 | MSI | BUY | 9.42 | 11/28/2025 | 798 |
| USD | 881002 | SEK | 8240000 | DBF | BUY | 9.35 | 11/28/2025 | 11699 |
| USD | 10678 | SEK | 100000 | GST | BUY | 9.37 | 12/01/2025 | 126 |
| USD | 45914 | SEK | 430000 | GST | BUY | 9.37 | 12/01/2025 | 542 |
| USD | 432174 | SEK | 4040000 | UBS | BUY | 9.35 | 12/01/2025 | 5886 |
| USD | 1024528 | SEK | 9595000 | GST | BUY | 9.37 | 12/01/2025 | 12095 |
| USD | 2860029 | SEK | 26785000 | GST | BUY | 9.37 | 12/01/2025 | 33763 |
| USD | 1071 | SEK | 10000 | MSI | BUY | 9.34 | 12/17/2025 | 15 |
| USD | 2166 | SEK | 20000 | SSB | BUY | 9.23 | 12/17/2025 | 54 |
| USD | 5357 | SEK | 50000 | CBK | BUY | 9.33 | 12/17/2025 | 77 |
| USD | 6404 | SEK | 60000 | HUS | BUY | 9.37 | 12/17/2025 | 67 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Bought**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Appreciation** |
| USD | 8534 | SEK | 80000 | CBK | BUY | 9.37 | 12/17/2025 | $85 |
| USD | 12793 | SEK | 120000 | CBK | BUY | 9.38 | 12/17/2025 | 119 |
| SEK | 1150000 | USD | 120549 | JPM | SELL | 9.54 | 11/04/2025 | 599 |
| SEK | 880000 | USD | 92067 | UBS | SELL | 9.56 | 11/04/2025 | 638 |
| SEK | 750000 | USD | 78803 | UBS | SELL | 9.52 | 11/04/2025 | 207 |
| USD | 44294 | CHF | 35000 | UBS | BUY | 1.27 | 11/04/2025 | 694 |
| USD | 69281 | CHF | 55000 | JPM | BUY | 1.26 | 11/04/2025 | 766 |
| USD | 82679 | CHF | 65000 | UBS | BUY | 1.27 | 11/04/2025 | 1707 |
| USD | 88287 | CHF | 70000 | BCY | BUY | 1.26 | 11/04/2025 | 1087 |
| USD | 88487 | CHF | 70000 | BCY | BUY | 1.26 | 11/04/2025 | 1287 |
| USD | 88574 | CHF | 70000 | UBS | BUY | 1.27 | 11/04/2025 | 1374 |
| USD | 88576 | CHF | 70000 | JPM | BUY | 1.27 | 11/04/2025 | 1375 |
| USD | 88708 | CHF | 70000 | BCY | BUY | 1.27 | 11/04/2025 | 1507 |
| USD | 94385 | CHF | 75000 | BCY | BUY | 1.26 | 11/04/2025 | 956 |
| USD | 95131 | CHF | 75000 | BCY | BUY | 1.27 | 11/04/2025 | 1702 |
| USD | 106627 | CHF | 85000 | UBS | BUY | 1.25 | 11/04/2025 | 741 |
| USD | 106855 | CHF | 85000 | BCY | BUY | 1.26 | 11/04/2025 | 969 |
| USD | 107015 | CHF | 85000 | BCY | BUY | 1.26 | 11/04/2025 | 1129 |
| USD | 107465 | CHF | 85000 | BCY | BUY | 1.26 | 11/04/2025 | 1579 |
| USD | 132128 | CHF | 105000 | JPM | BUY | 1.26 | 11/04/2025 | 1327 |
| USD | 157912 | CHF | 125000 | BCY | BUY | 1.26 | 11/04/2025 | 2197 |
| USD | 37517 | CHF | 30000 | JPM | BUY | 1.25 | 11/28/2025 | 40 |
| USD | 56724 | CHF | 45000 | DBF | BUY | 1.26 | 11/28/2025 | 509 |
| USD | 56925 | CHF | 45000 | BOA | BUY | 1.26 | 11/28/2025 | 710 |
| USD | 76019 | CHF | 60300 | UBS | BUY | 1.26 | 11/28/2025 | 690 |
| USD | 18983 | CHF | 15000 | PAR | BUY | 1.27 | 12/01/2025 | 238 |
| USD | 80996 | CHF | 64000 | PAR | BUY | 1.27 | 12/01/2025 | 1017 |
| USD | 6314 | CHF | 5000 | HUS | BUY | 1.26 | 12/17/2025 | 53 |
| USD | 19121 | CHF | 15000 | PAR | BUY | 1.27 | 12/17/2025 | 340 |
| CHF | 10000 | USD | 12442 | UBS | SELL | 1.24 | 11/04/2025 | 15 |
| USD | 382536 | THB | 12310000 | BCY | BUY | 32.18 | 11/04/2025 | 1834 |
| USD | 414353 | THB | 13280000 | BCY | BUY | 32.05 | 11/04/2025 | 3652 |
| USD | 275830 | THB | 8890000 | HUS | BUY | 32.23 | 12/01/2025 | 311 |
| USD | 352839 | THB | 11372000 | HUS | BUY | 32.23 | 12/01/2025 | 398 |
| THB | 5420000 | USD | 167026 | HUS | SELL | 32.45 | 11/04/2025 | 594 |
| THB | 3880000 | USD | 118437 | JPM | SELL | 32.76 | 11/04/2025 | 1557 |
| THB | 3310000 | USD | 101301 | BCY | SELL | 32.67 | 11/04/2025 | 1065 |
| THB | 2770000 | USD | 84241 | BCY | SELL | 32.88 | 11/04/2025 | 1425 |
| **Total Unrealized Appreciation on Forward Currency Contracts** | **Total Unrealized Appreciation on Forward Currency Contracts** | **Total Unrealized Appreciation on Forward Currency Contracts** | **Total Unrealized Appreciation on Forward Currency Contracts** | **Total Unrealized Appreciation on Forward Currency Contracts** | **Total Unrealized Appreciation on Forward Currency Contracts** |  |  | $1603527 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Futures Contracts**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Contract** |  | **Currency** | **Number**<br> **of**<br> **Contracts** | **Aggregate**<br> **Notional**<br> **Value** | **Expiration**<br> **Date** | **Market**<br> **Value** | **Unrealized**<br> **Appreciation** |
| 10YR Euro-Bund Bonds | BUY | EUR | 17 | $2538813 | 12/2025 | $10122 | $10122 |
| 3 Month Euribor | SELL | EUR | 5 | 1414111 | 03/2026 | 289 | 289 |
| 3 Month SOFR | SELL | USD | 6 | 1443375 | 03/2026 | 988 | 988 |
| 5YR Euro-Bobl Notes | BUY | EUR | 73 | 9964186 | 12/2025 | 1223 | 1223 |
| 5YR U.S. Treasury Notes | SELL | USD | 12 | 1310531 | 12/2025 | 4641 | 4641 |
| Brent Crude Oil | BUY | USD | 3 | 190980 | 07/2026 | 151 | 151 |
| Brent Crude Oil | SELL | USD | 1 | 64770 | 11/2025 | 1900 | 1900 |
| Canola | BUY | CAD | 6 | 54555 | 01/2026 | 611 | 611 |
| Coffee | BUY | USD | 1 | 45400 | 01/2026 | 710 | 710 |
| Coffee | BUY | USD | 1 | 128756 | 07/2026 | 4088 | 4088 |
| Copper | BUY | USD | 3 | 381675 | 12/2025 | 14100 | 14100 |
| Corn | BUY | USD | 6 | 137625 | 07/2026 | 1338 | 1338 |
| Cotton | SELL | USD | 5 | 163850 | 12/2025 | 556 | 556 |
| E-Micro Gold | BUY | USD | 3 | 119895 | 12/2025 | 14245 | 14245 |
| E-Mini Nasdaq 100 Index | BUY | USD | 1 | 52008 | 12/2025 | 2959 | 2959 |
| E-Mini S&P 500 Index | BUY | USD | 1 | 34370 | 12/2025 | 1029 | 1029 |
| E-Mini S&P 500 Index | SELL | USD | 3 | 1031100 | 12/2025 | 150 | 150 |
| Gas Oil | BUY | USD | 3 | 210000 | 12/2025 | 8329 | 8329 |
| Gasoline RBOB | BUY | USD | 4 | 319334 | 11/2025 | 17334 | 17334 |
| Kospi 200 Index | BUY | KRW | 1 | 101974 | 12/2025 | 24408 | 24408 |
| Lean Hogs | SELL | USD | 6 | 195060 | 12/2025 | 5009 | 5009 |
| Live Cattle | BUY | USD | 1 | 86190 | 08/2026 | 1530 | 1530 |
| LME Aluminum | BUY | USD | 3 | 215890 | 11/2025 | 10835 | 10835 |
| LME Aluminum | BUY | USD | 1 | 72055 | 12/2025 | 2712 | 2712 |
| LME Lead | BUY | USD | 1 | 50020 | 11/2025 | 583 | 583 |
| LME Nickel | SELL | USD | 2 | 180746 | 11/2025 | 2460 | 2460 |
| LME Tin | BUY | USD | 2 | 361360 | 11/2025 | 12221 | 12221 |
| LME Tin | BUY | USD | 1 | 180530 | 12/2025 | 1850 | 1850 |
| LME Zinc | BUY | USD | 2 | 156249 | 11/2025 | 6053 | 6053 |
| LME Zinc | BUY | USD | 1 | 77083 | 12/2025 | 1162 | 1162 |
| Micro Copper | BUY | USD | 2 | 25445 | 11/2025 | 2640 | 2640 |
| Micro Euro Stoxx 50 Index | BUY | EUR | 6 | 39259 | 12/2025 | 1875 | 1875 |
| Mini Topix Index | BUY | JPY | 2 | 43283 | 12/2025 | 3046 | 3046 |
| Natural Gas | BUY | USD | 7 | 282170 | 06/2026 | 9648 | 9648 |
| NY Harbor ULSD | BUY | USD | 1 | 92522 | 06/2026 | 432 | 432 |
| NY Harbor ULSD | SELL | USD | 1 | 100741 | 11/2025 | 460 | 460 |
| Platinum | BUY | USD | 2 | 157540 | 01/2026 | 17534 | 17534 |
| Rapeseed | BUY | EUR | 5 | 138648 | 01/2026 | 2639 | 2639 |
| Short-Term Euro-BTP Italian Government Bonds | SELL | EUR | 73 | 9113194 | 12/2025 | 9134 | 9134 |
| Soybean | BUY | USD | 3 | 171263 | 07/2026 | 10650 | 10650 |
| Soybean | BUY | USD | 3 | 100080 | 07/2026 | 10080 | 10080 |
| Soybean Oil | SELL | USD | 1 | 29208 | 12/2025 | 1253 | 1253 |
| Soybean Oil | SELL | USD | 4 | 117768 | 01/2026 | 2932 | 2932 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Assets**

**Futures Contracts (continued)**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Contract** |  | **Currency** | **Number**<br> **of**<br> **Contracts** | **Aggregate**<br> **Notional**<br> **Value** | **Expiration**<br> **Date** | **Market**<br> **Value** | **Unrealized**<br> **Appreciation** |
| Sugar | SELL | USD | 11 | $177778 | 02/2026 | $17125 | $17125 |
| Ultra 10YR U.S. Treasury Notes | SELL | USD | 13 | 1501297 | 12/2025 | 94 | 94 |
| Wheat | BUY | USD | 3 | 85088 | 07/2026 | 975 | 975 |
| Wheat | BUY | USD | 2 | 55875 | 07/2026 | 225 | 225 |
| Wheat | SELL | USD | 6 | 165900 | 12/2025 | 9100 | 9100 |
| Wheat | SELL | USD | 6 | 157350 | 12/2025 | 1988 | 1988 |
| WTI Crude Oil | BUY | USD | 1 | 60980 | 11/2025 | 1908 | 1908 |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | $257324 | $257324 |

---

---

| | |
|:---|:---|
| 1M | Monthly |
| 1Y | Annually |
| 3M | Quarterly |
| 6M | Semi-Annually |
| AS | Danish Public Limited Liability Company |
| BBR | Bank Bill Rate |
| BBSW | Bank Bill Swap Interest Rate |
| BCY | Barclays Bank PLC |
| BNM | Bank Negara Malaysia |
| BOA | Bank of America NA |
| BTP | Italian Government Bond |
| BUBOR | Budapest Interbank Offered Rate |
| CBK | Citibank NA |
| CDI | Overnight Brazilian Interbank Deposit Rate Annualized |
| CME | Chicago Mercantile Exchange |
| CMS | Constant Maturity Swap |
| CORRA | Canadian Overnight Repo Rate Average |
| CPI | Consumer Price Index |
| DBF | Deutsche Bank AG |
| EM | Emerging Markets |
| ETF | Exchange Traded Fund |
| EURIBOR | Euro Interbank Offered Rate |
| FBIL | Financial Benchmarks India Private Limited |
| FRA | Forward Rate Agreement |
| GST | Goldman Sachs International |
| HUS | HSBC Bank USA NA |
| IBR | Banking Reference Indicator |
| ICE | Intercontinental Exchange |
| JIBAR | Johannesburg Interbank Agreed Rate |
| JPM | JPMorgan Chase Bank NA |
| KLIBOR | Kuala Lumpur Interbank Offered Rate |
| KSDA | Korea Securities Dealers Association |
| LCH | London Clearing House |
| LME | London Mercantile Exchange |
| LP | Limited Partnership |
| MIBOR | Mumbai Interbank Offered Rate |
| MSI | Morgan Stanley & Co. International PLC |
| NIBOR | Norwegian Interbank Offered Rate |
| OIS | Overnight Index Swap |

---

The accompanying notes are an integral part of the consolidated financial statements.

---

| | |
|:---|:---|
| PAR | BNP Paribas |
| PLC | Public Limited Company |
| PRIBOR | Prague Interbank Offered Rate |
| RBC | Royal Bank of Canada |
| RBOB | Reformulated Blendstock for Oxygenate Blending |
| REIT | Real Estate Investment Trust |
| SA | French Public Limited Company |
| SAFEX | South African Futures Exchange |
| SCB | Standard Chartered Bank |
| SOFR | Secured Overnight Financing Rate |
| SONIA | Sterling Overnight Index Average |
| SOR | Swap Offer Rate |
| SpA | Italian Public Limited Company |
| SSB | State Street Capital Markets |
| STIBOR | Stockholm Interbank Offered Rate |
| TDS | Toronto Dominion Securities |
| TIIE | Interbank Equilibrium Interest Rate |
| TNA ABIF | Nominal Annual Rate of the Chilean Association of Banks and Financial Institutions |
| TONA | Tokyo Overnight Average Rate |
| UBS | UBS AG |
| ULSD | Ultra-Low Sulfur Diesel |
| WIBOR | Warsaw Interbank Offered Rate |
| WMBA | Wholesale Markets Brokers' Association |
| WTI | West Texas Intermediate |

---

---

| | | | |
|:---|:---|:---|:---|
| AUD | Australian Dollar | INR | Indian Rupee |
| BRL | Brazilian Real | JPY | Japanese Yen |
| CAD | Canadian Dollar | KRW | South Korean Won |
| CHF | Swiss Franc | MXN | Mexican Peso |
| CLP | Chilean Peso | MYR | Malaysian Ringgit |
| CNH | Chinese Yuan Offshore Renminbi | NOK | Norwegian Krone |
| CNY | Chinese Yuan Onshore Renminbi | NZD | New Zealand Dollar |
| COP | Colombian Peso | PEN | Peruvian Nuevo Sol |
| CZK | Czech Koruna | PHP | Philippine Peso |
| DKK | Danish Krone | PLN | Polish Zloty |
| EUR | Euro | SEK | Swedish Krona |
| GBP | Great Britain Pound | SGD | Singapore Dollar |
| HKD | Hong Kong Dollar | THB | Thai Baht |
| HUF | Hungarian Forint | TWD | New Taiwan Dollar |
| IDR | Indonesian Rupiah | USD | United States Dollar |
| ILS | Israeli Shekel | ZAR | South African Rand |

---

The accompanying notes are an integral part of the consolidated financial statements.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Face Amount** | | | | **Proceeds** | **Fair**<br> **Value** |
|  | | **Securities Sold Short (436.97%)** | **Securities Sold Short (436.97%)** | **Securities Sold Short (436.97%)** | **Securities Sold Short (436.97%)** | **Securities Sold Short (436.97%)** |
|  | | **Fixed Income (38.99%)** | **Fixed Income (38.99%)** | **Fixed Income (38.99%)** | **Fixed Income (38.99%)** | **Fixed Income (38.99%)** |
|  | | **Bulgaria (0.39%)** | **Bulgaria (0.39%)** | **Bulgaria (0.39%)** | **Bulgaria (0.39%)** | **Bulgaria (0.39%)** |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 150000 | Bulgaria Government International Bonds REG S | 4.88% | 05/13/2036 | $174893 | $193235 |
|  |  | **Colombia (1.39%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| USD | 200000 | Colombia Government International Bonds | 8.38% | 11/07/2054 | 192556 | 222200 |
| USD | 400000 | Colombia Government International Bonds | 8.75% | 11/14/2053 | 406800 | 462400 |
|  |  | **Total Colombia** |  |  | 599356 | 684600 |
|  |  | **France (1.26%)** |  |  |  |  |
|  |  | Financial |  |  |  |  |
| EUR | 200000 | Banque Federative du Credit Mutuel SA REG S | 4.38% | 01/11/2034 | 213508 | 239670 |
| EUR | 300000 | Societe Generale SA REG S | 5.63% | 06/02/2033 | 343858 | 384595 |
|  |  | **Total France** |  |  | 557366 | 624265 |
|  |  | **Germany (1.53%)** |  |  |  |  |
|  |  | Consumer Cyclical |  |  |  |  |
| USD | 255000 | IHO Verwaltungs GmbH 144A PIK | 7.75% | 11/15/2030 | 254559 | 264559 |
|  |  | Financial |  |  |  |  |
| EUR | 400000 | Deutsche Bank AG REG S \* | 4.50% | 07/12/2035 | 440222 | 492302 |
|  |  | **Total Germany** |  |  | 694781 | 756861 |
|  |  | **Indonesia (0.82%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| USD | 400000 | Indonesia Government International Bonds REG S | 5.25% | 01/08/2047 | 370094 | 406500 |
|  |  | **Luxembourg (0.38%)** |  |  |  |  |
|  |  | Basic Materials |  |  |  |  |
| USD | 200000 | INEOS Finance PLC 144A | 7.50% | 04/15/2029 | 189403 | 186593 |
|  |  | **Mexico (0.64%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| USD | 400000 | Mexico Government International Bonds | 4.50% | 01/31/2050 | 316409 | 316000 |
|  |  | **Oman (0.91%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| USD | 400000 | Oman Government International Bonds REG S | 6.75% | 01/17/2048 | 415429 | 451032 |
|  |  | **Panama (1.38%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| USD | 600000 | Panama Government International Bonds | 4.50% | 04/01/2056 | 392247 | 462701 |
| USD | 200000 | Panama Government International Bonds | 6.88% | 01/31/2036 | 213012 | 217971 |
|  |  | **Total Panama** |  |  | 605259 | 680672 |
|  |  | **Peru (0.47%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| USD | 30000 | Peru Government International Bonds | 5.63% | 11/18/2050 | 28807 | 30060 |
| USD | 200000 | Peru Government International Bonds | 5.88% | 08/08/2054 | 192904 | 203700 |
|  |  | **Total Peru** |  |  | 221711 | 233760 |

---

The accompanying notes are an integral part of the consolidated financial statements.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Face Amount** | | | | **Proceeds** | **Fair**<br> **Value** |
|  | | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** |
|  | | **Fixed Income (continued)** | **Fixed Income (continued)** | **Fixed Income (continued)** | **Fixed Income (continued)** | **Fixed Income (continued)** |
|  | | **Poland (0.14%)** | **Poland (0.14%)** | **Poland (0.14%)** | **Poland (0.14%)** | **Poland (0.14%)** |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 60000 | Republic of Poland Government International Bonds Series 10YR REG S | 3.63% | 01/11/2034 | $63754 | $71468 |
|  |  | **Qatar (0.41%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| USD | 200000 | Qatar Government International Bonds REG S | 5.10% | 04/23/2048 | 188149 | 200944 |
|  |  | **Romania (0.38%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| USD | 56000 | Romania Government International Bonds REG S | 6.13% | 01/22/2044 | 51229 | 54111 |
| USD | 76000 | Romania Government International Bonds REG S | 7.63% | 01/17/2053 | 78228 | 84692 |
| USD | 48000 | Romanian Government International Bonds REG S | 5.75% | 03/24/2035 | 46126 | 47184 |
|  |  | **Total Romania** |  |  | 175583 | 185987 |
|  |  | **Saudi Arabia (2.86%)** |  |  |  |  |
|  |  | Financial |  |  |  |  |
| USD | 425000 | Gaci First Investment Co. REG S | 5.13% | 02/14/2053 | 359028 | 394957 |
|  |  | Foreign Government Obligations |  |  |  |  |
| USD | 200000 | Saudi Government International Bonds REG S | 5.25% | 01/16/2050 | 184305 | 195338 |
| USD | 800000 | Saudi Government International Bonds REG S | 5.75% | 01/16/2054 | 746181 | 824100 |
|  |  | **Total Saudi Arabia** |  |  | 1289514 | 1414395 |
|  |  | **Spain (0.50%)** |  |  |  |  |
|  |  | Financial |  |  |  |  |
| EUR | 200000 | Banco Santander SA REG S | 4.13% | 04/22/2034 | 220114 | 244597 |
|  |  | **United Kingdom \* (0.60%)** |  |  |  |  |
|  |  | Financial |  |  |  |  |
| EUR | 250000 | Barclays PLC REG S | 3.94% | 01/31/2036 | 265544 | 295716 |
|  |  | **United States (24.79%)** |  |  |  |  |
|  |  | Basic Materials |  |  |  |  |
| USD | 100000 | Cleveland-Cliffs, Inc. 144A | 7.00% | 03/15/2032 | 95681 | 102499 |
| USD | 325000 | Cleveland-Cliffs, Inc. 144A | 7.38% | 05/01/2033 | 312171 | 336944 |
| USD | 100000 | Cleveland-Cliffs, Inc. 144A | 7.63% | 01/15/2034 | 103233 | 104120 |
| USD | 400000 | Olympus Water U.S. Holding Corp. 144A | 7.25% | 06/15/2031 | 400678 | 401000 |
|  |  | Communications |  |  |  |  |
| USD | 470000 | Sirius XM Radio LLC 144A | 3.88% | 09/01/2031 | 396910 | 427225 |
| USD | 225000 | Uber Technologies, Inc. | 5.35% | 09/15/2054 | 209717 | 218003 |
|  |  | Consumer Cyclical |  |  |  |  |
| USD | 550000 | Carnival Corp. 144A | 6.13% | 02/15/2033 | 544904 | 570625 |
| USD | 125000 | MGM Resorts International | 6.50% | 04/15/2032 | 123532 | 127110 |
| USD | 185000 | Velocity Vehicle Group LLC 144A | 8.00% | 06/01/2029 | 185092 | 182269 |
| USD | 150000 | Whirlpool Corp. | 6.50% | 06/15/2033 | 147377 | 146576 |
|  |  | Consumer Non-cyclical |  |  |  |  |
| USD | 770000 | CVS Health Corp. | 6.05% | 06/01/2054 | 741974 | 778300 |
| EUR | 200000 | Fiserv Funding ULC | 4.00% | 06/15/2036 | 230827 | 228522 |

---

The accompanying notes are an integral part of the consolidated financial statements.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Face Amount** | | | | **Proceeds** | **Fair**<br> **Value** |
|  | | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** |
|  | | **Fixed Income (continued)** | **Fixed Income (continued)** | **Fixed Income (continued)** | **Fixed Income (continued)** | **Fixed Income (continued)** |
|  | | **United States (continued)** | **United States (continued)** | **United States (continued)** | **United States (continued)** | **United States (continued)** |
|  |  | Consumer Non-cyclical (continued) |  |  |  |  |
| USD | 50000 | HCA, Inc. | 6.20% | 03/01/2055 | $52377 | $52024 |
| USD | 200000 | UnitedHealth Group, Inc. | 5.63% | 07/15/2054 | 202466 | 199246 |
| USD | 105000 | ZipRecruiter, Inc. 144A | 5.00% | 01/15/2030 | 85547 | 82412 |
|  |  | Energy |  |  |  |  |
| USD | 43000 | Helmerich & Payne, Inc. | 4.85% | 12/01/2029 | 41511 | 43104 |
| USD | 68000 | Nabors Industries, Inc. 144A | 9.13% | 01/31/2030 | 63717 | 71570 |
| USD | 225000 | Occidental Petroleum Corp. | 6.05% | 10/01/2054 | 221664 | 219361 |
| USD | 63000 | Venture Global LNG, Inc. 144A | 7.00% | 01/15/2030 | 63088 | 63833 |
| USD | 145000 | Venture Global LNG, Inc. 144A | 8.38% | 06/01/2031 | 149234 | 149117 |
| USD | 86000 | Venture Global LNG, Inc. 144A | 9.88% | 02/01/2032 | 92085 | 91969 |
| USD | 77000 | Vital Energy, Inc. 144A | 7.88% | 04/15/2032 | 64548 | 73016 |
|  |  | Financial |  |  |  |  |
| USD | 250000 | Citigroup, Inc.\* | 5.61% | 03/04/2056 | 253866 | 253866 |
| USD | 810000 | Goldman Sachs Group, Inc.\* | 5.73% | 01/28/2056 | 796981 | 839781 |
| USD | 725000 | Morgan Stanley\* | 5.52% | 11/19/2055 | 732732 | 734254 |
| USD | 250000 | OneMain Finance Corp. | 6.75% | 03/15/2032 | 246892 | 254330 |
|  |  | Technology |  |  |  |  |
| USD | 525000 | Intel Corp. | 5.60% | 02/21/2054 | 504336 | 502875 |
| USD | 100000 | Intel Corp. | 5.70% | 02/10/2053 | 98336 | 96270 |
| USD | 200000 | Pagaya U.S. Holdings Co. LLC 144A | 8.88% | 08/01/2030 | 190640 | 182068 |
|  |  | U.S. Government Securities |  |  |  |  |
| USD | 4600000 | Federal National Mortgage Association TBA - 30YR | 5.00% | 12/25/2025 | 4557594 | 4576480 |
|  |  | Utilities |  |  |  |  |
| USD | 125000 | Constellation Energy Generation LLC | 6.50% | 10/01/2053 | 131974 | 138613 |
|  |  | **Total United States** |  |  | 12041684 | 12247382 |
|  |  | **Uruguay (0.14%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| USD | 75000 | Uruguay Government International Bonds | 4.98% | 04/20/2055 | 70501 | 70238 |
|  |  | **Total Fixed Income** |  |  | 18459544 | 19264245 |
|  |  | **Fixed Income Buy-Sellback Agreements ‡ (397.95%)** |  |  |  |  |
|  |  | **Australia (30.35%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| AUD | 710000 | Australia Government Bonds Series 149 REG S | 2.25% | 05/21/2028 | 454461 | 450422 |
| AUD | 7096000 | Australia Government Bonds Series 152 REG S | 2.75% | 11/21/2028 | 4578015 | 4537205 |
| AUD | 3032000 | Australia Government Bonds Series 154 REG S | 2.75% | 11/21/2029 | 1938531 | 1919380 |
| AUD | 4573000 | Australia Government Bonds Series 155 | 2.50% | 05/21/2030 | 2879935 | 2847529 |
| AUD | 3006000 | Australia Government Bonds Series 157 | 1.50% | 06/21/2031 | 1763099 | 1740680 |
| AUD | 2027000 | Australia Government Bonds Series 158 | 1.25% | 05/21/2032 | 1138575 | 1123654 |
| AUD | 2944000 | Australia Government Bonds Series 167 REG S | 3.75% | 05/21/2034 | 1893484 | 1871290 |
| AUD | 445000 | Queensland Treasury Corp. REG S | 4.50% | 08/22/2035 | 286329 | 283084 |

---

The accompanying notes are an integral part of the consolidated financial statements.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Face Amount** | | | | **Proceeds** | **Fair**<br> **Value** |
|  | | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** |
|  | | **Fixed Income Buy-Sellback Agreements ‡ (continued)** | **Fixed Income Buy-Sellback Agreements ‡ (continued)** | **Fixed Income Buy-Sellback Agreements ‡ (continued)** | **Fixed Income Buy-Sellback Agreements ‡ (continued)** | **Fixed Income Buy-Sellback Agreements ‡ (continued)** |
|  | | **Australia (continued)** | **Australia (continued)** | **Australia (continued)** | **Australia (continued)** | **Australia (continued)** |
|  |  | Foreign Government Obligations (continued) |  |  |  |  |
| AUD | 349000 | Treasury Corp. of Victoria | 4.75% | 09/15/2036 | $226144 | $223251 |
|  |  | **Total Australia** |  |  | 15158573 | 14996495 |
|  |  | **Austria (0.83%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 386000 | Republic of Austria Government Bonds REG S | 3.15% | 10/20/2053 | 410264 | 408582 |
|  |  | **Canada (0.32%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| AUD | 245000 | Export Development Canada | 4.00% | 09/04/2030 | 160814 | 159056 |
|  |  | **France (9.35%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 2044990 | French Republic Government Bonds OAT REG S | 2.75% | 02/25/2029 | 2388347 | 2388347 |
| EUR | 1944000 | French Republic Government Bonds OAT REG S | 3.00% | 05/25/2054 | 1794580 | 1784442 |
| EUR | 463500 | French Republic Government Bonds OAT REG S | 3.25% | 05/25/2055 | 444667 | 444667 |
|  |  | **Total France** |  |  | 4627594 | 4617456 |
|  |  | **Germany (50.84%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 1647605 | Bundesobligation Series 187 REG S | 2.20% | 04/13/2028 | 1931270 | 1912528 |
| EUR | 1239738 | Bundesobligation Series 188 REG S | 2.40% | 10/19/2028 | 1460993 | 1446679 |
| EUR | 6206000 | Bundesrepublik Deutschland Bundesanleihe REG S | 1.70% | 08/15/2032 | 6870581 | 6867529 |
| EUR | 417832 | Bundesrepublik Deutschland Bundesanleihe REG S + | 2.16% | 08/15/2030 | 439634 | 435247 |
| EUR | 3800532 | Bundesrepublik Deutschland Bundesanleihe REG S + | 2.22% | 02/15/2031 | 3905136 | 3905136 |
| EUR | 3500092 | Bundesrepublik Deutschland Bundesanleihe REG S + | 2.27% | 08/15/2031 | 3548310 | 3548310 |
| EUR | 3990000 | Bundesrepublik Deutschland Bundesanleihe REG S + | 2.32% | 02/15/2032 | 4026241 | 3985536 |
| EUR | 1186016 | Bundesrepublik Deutschland Bundesanleihe REG S | 2.50% | 02/15/2035 | 1373983 | 1358970 |
| EUR | 131804 | Bundesrepublik Deutschland Bundesanleihe REG S | 2.50% | 08/15/2054 | 134190 | 132322 |
| EUR | 715000 | Bundesrepublik Deutschland Bundesanleihe REG S | 2.90% | 08/15/2056 | 786390 | 775404 |
| EUR | 565527 | Bundesrepublik Deutschland Bundesanleihe REG S | 4.25% | 07/04/2039 | 761249 | 752437 |
|  |  | **Total Germany** |  |  | 25237977 | 25120098 |
|  |  | **Greece (0.54%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 213000 | Hellenic Republic Government Bonds REG S | 4.38% | 07/18/2038 | 266285 | 266841 |
|  |  | **Italy (96.04%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 1483000 | Italy Buoni Poliennali Del Tesoro Series 15YR REG S | 2.45% | 09/01/2033 | 1656838 | 1642437 |
| EUR | 6687000 | Italy Buoni Poliennali Del Tesoro Series 15YR REG S | 4.15% | 10/01/2039 | 8121404 | 8092915 |
| EUR | 1703000 | Italy Buoni Poliennali Del Tesoro Series 16YR REG S | 3.50% | 03/01/2030 | 2068428 | 2049070 |
| EUR | 2985000 | Italy Buoni Poliennali Del Tesoro Series 17YR REG S | 1.65% | 03/01/2032 | 3243157 | 3214603 |
| EUR | 950000 | Italy Buoni Poliennali Del Tesoro Series 20YR REG S | 4.45% | 09/01/2043 | 1180830 | 1169812 |
| EUR | 2200000 | Italy Buoni Poliennali Del Tesoro Series 30YR REG S | 2.15% | 09/01/2052 | 1752408 | 1740745 |
| EUR | 4314000 | Italy Buoni Poliennali Del Tesoro Series 30YR REG S | 4.30% | 10/01/2054 | 5037193 | 5035170 |
| EUR | 1634000 | Italy Buoni Poliennali Del Tesoro Series 30YR REG S | 4.50% | 10/01/2053 | 1990161 | 1973380 |
| EUR | 2322000 | Italy Buoni Poliennali Del Tesoro Series 31YR REG S | 5.00% | 09/01/2040 | 3090785 | 3067629 |
| EUR | 4440000 | Italy Buoni Poliennali Del Tesoro Series 31YR REG S | 6.00% | 05/01/2031 | 6039328 | 5999282 |

---

The accompanying notes are an integral part of the consolidated financial statements.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Face Amount** | | | | **Proceeds** | **Fair**<br> **Value** |
|  | | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** |
|  | | **Fixed Income Buy-Sellback Agreements ‡ (continued)** | **Fixed Income Buy-Sellback Agreements ‡ (continued)** | **Fixed Income Buy-Sellback Agreements ‡ (continued)** | **Fixed Income Buy-Sellback Agreements ‡ (continued)** | **Fixed Income Buy-Sellback Agreements ‡ (continued)** |
|  | | **Italy (continued)** | **Italy (continued)** | **Italy (continued)** | **Italy (continued)** | **Italy (continued)** |
|  |  | Foreign Government Obligations (continued) |  |  |  |  |
| EUR | 3666000 | Italy Buoni Poliennali Del Tesoro Series 3YR REG S | 2.65% | 06/15/2028 | $4273203 | $4273203 |
| EUR | 7560000 | Italy Buoni Poliennali Del Tesoro Series 7YR REG S | 3.25% | 07/15/2032 | 8970115 | 8892235 |
| EUR | 419976 | Italy Buoni Poliennali Del Tesoro Series CPI REG S « | 0.15% | 05/15/2051 | 301753 | 300285 |
|  |  | **Total Italy** |  |  | 47725603 | 47450766 |
|  |  | **Japan (17.15%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| JPY | 247850000 | Japan Government Five Year Bonds Series 178 | 1.00% | 03/20/2030 | 1597098 | 1597895 |
| JPY | 410950000 | Japan Government Ten Year Bonds Series 354 | 0.10% | 03/20/2029 | 2619895 | 2585169 |
| JPY | 72100000 | Japan Government Ten Year Bonds Series 362 | 0.10% | 03/20/2031 | 446511 | 440214 |
| JPY | 290600000 | Japan Government Ten Year Bonds Series 370 | 0.50% | 03/20/2033 | 1788930 | 1764140 |
| JPY | 280600000 | Japan Government Ten Year Bonds Series 378 | 1.40% | 03/20/2035 | 1810740 | 1789523 |
| JPY | 47250000 | Japan Government Twenty Year Bonds Series 192 | 2.40% | 03/20/2045 | 298636 | 298906 |
|  |  | **Total Japan** |  |  | 8561810 | 8475847 |
|  |  | **Netherlands (1.62%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 101000 | Netherlands Government Bonds REG S | 2.50% | 07/15/2035 | 114701 | 113833 |
| EUR | 1202000 | Netherlands Government Bonds REG S + | 3.28% | 01/15/2052 | 601037 | 594739 |
| EUR | 75000 | Netherlands Government Bonds REG S | 3.75% | 01/15/2042 | 93861 | 93285 |
|  |  | **Total Netherlands** |  |  | 809599 | 801857 |
|  |  | **Spain (20.58%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 2102000 | Spain Government Bonds REG S | 0.10% | 04/30/2031 | 2144779 | 2124839 |
| EUR | 3635000 | Spain Government Bonds REG S | 1.25% | 10/31/2030 | 3991360 | 3954112 |
| EUR | 930000 | Spain Government Bonds REG S | 3.90% | 07/30/2039 | 1134220 | 1122067 |
| EUR | 245000 | Spain Government Bonds REG S | 4.00% | 10/31/2054 | 286119 | 284471 |
| EUR | 2010000 | Spain Government Bonds REG S | 4.90% | 07/30/2040 | 2700573 | 2683437 |
|  |  | **Total Spain** |  |  | 10257051 | 10168926 |
|  |  | **Supranational (24.99%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| EUR | 463000 | European Union Series SURE REG S | 0.30% | 11/04/2050 | 249268 | 244420 |
| EUR | 2159000 | European Union Series UFA REG S | 2.50% | 12/04/2031 | 2500343 | 2473794 |
| EUR | 1347000 | European Union Series UFA REG S + | 2.54% | 07/04/2031 | 1362249 | 1348503 |
| EUR | 2466000 | European Union Series UFA REG S | 3.00% | 12/04/2034 | 2853920 | 2853920 |
| EUR | 3735000 | European Union Series UFA REG S | 3.38% | 12/12/2035 | 4457685 | 4423145 |
| EUR | 524500 | European Union Series UFA REG S | 3.38% | 11/04/2042 | 595302 | 588414 |
| EUR | 395000 | European Union Series UFA REG S | 3.38% | 10/05/2054 | 416358 | 413920 |
|  |  | **Total Supranational** |  |  | 12435125 | 12346116 |
|  |  | **Sweden (18.85%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| SEK | 45355000 | Sweden Government Bonds Series 1060 REG S | 0.75% | 05/12/2028 | 4718298 | 4644750 |

---

The accompanying notes are an integral part of the consolidated financial statements.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Face Amount** | | | | **Proceeds** | **Fair**<br> **Value** |
|  | | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** |
|  | | **Fixed Income Buy-Sellback Agreements ‡ (continued)** | **Fixed Income Buy-Sellback Agreements ‡ (continued)** | **Fixed Income Buy-Sellback Agreements ‡ (continued)** | **Fixed Income Buy-Sellback Agreements ‡ (continued)** | **Fixed Income Buy-Sellback Agreements ‡ (continued)** |
|  | | **Sweden (continued)** | **Sweden (continued)** | **Sweden (continued)** | **Sweden (continued)** | **Sweden (continued)** |
|  |  | Foreign Government Obligations (continued) |  |  |  |  |
| SEK | 45450000 | Sweden Government Bonds Series 1066 REG S | 2.25% | 05/11/2035 | $4731726 | $4670738 |
|  |  | **Total Sweden** |  |  | 9450024 | 9315488 |
|  |  | **United Kingdom (73.85%)** |  |  |  |  |
|  |  | Foreign Government Obligations |  |  |  |  |
| GBP | 927000 | U.K. Gilts REG S | 0.13% | 01/31/2028 | 1138609 | 1129847 |
| GBP | 4113329 | U.K. Gilts REG S | 0.25% | 07/31/2031 | 4453756 | 4415481 |
| GBP | 3724950 | U.K. Gilts REG S | 1.13% | 01/31/2039 | 3221676 | 3193337 |
| GBP | 306500 | U.K. Gilts REG S | 1.50% | 07/22/2047 | 215189 | 213347 |
| GBP | 294000 | U.K. Gilts REG S | 1.75% | 07/22/2057 | 184244 | 182583 |
| GBP | 316500 | U.K. Gilts REG S | 3.75% | 07/22/2052 | 334732 | 331847 |
| GBP | 1893357 | U.K. Gilts REG S | 4.00% | 10/22/2031 | 2506354 | 2485191 |
| GBP | 2114250 | U.K. Gilts REG S | 4.25% | 06/07/2032 | 2840743 | 2815604 |
| GBP | 2133250 | U.K. Gilts REG S | 4.25% | 03/07/2036 | 2772082 | 2747760 |
| GBP | 1220000 | U.K. Gilts REG S | 4.25% | 09/07/2039 | 1535237 | 1521026 |
| GBP | 1099000 | U.K. Gilts REG S | 4.25% | 12/07/2040 | 1364833 | 1351992 |
| GBP | 2992000 | U.K. Gilts REG S | 4.25% | 12/07/2046 | 3538393 | 3507382 |
| GBP | 2763000 | U.K. Gilts REG S | 4.38% | 03/07/2030 | 3700492 | 3700492 |
| GBP | 990000 | U.K. Gilts REG S | 4.63% | 01/31/2034 | 1343085 | 1331593 |
| GBP | 2830000 | U.K. Gilts REG S | 4.75% | 12/07/2030 | 3909209 | 3877915 |
| GBP | 947750 | U.K. Gilts REG S | 4.75% | 12/07/2038 | 1263630 | 1252742 |
| GBP | 1205001 | U.K. Inflation-Linked Gilts Series 3MO REG S « | 0.13% | 08/10/2031 | 1526652 | 1518486 |
| GBP | 365171 | U.K. Inflation-Linked Gilts Series 3MO REG S « | 0.13% | 03/22/2051 | 298014 | 297910 |
| GBP | 608133 | U.K. Inflation-Linked Gilts Series 3MO REG S « | 0.63% | 03/22/2045 | 618096 | 615790 |
|  |  | **Total United Kingdom** |  |  | 36765026 | 36490325 |
|  |  | **United States (52.64%)** |  |  |  |  |
|  |  | U.S. Government Securities |  |  |  |  |
| USD | 1765000 | U.S. Treasury Bonds | 2.25% | 05/15/2041 | 1326822 | 1319931 |
| USD | 1996000 | U.S. Treasury Bonds | 4.75% | 08/15/2055 | 2032435 | 2025039 |
| USD | 2374000 | U.S. Treasury Bonds | 4.88% | 08/15/2045 | 2447075 | 2446077 |
| USD | 2580000 | U.S. Treasury Notes | 3.38% | 09/15/2028 | 2565158 | 2565158 |
| USD | 900000 | U.S. Treasury Notes | 3.50% | 10/31/2027 | 897876 | 898674 |
| USD | 5982000 | U.S. Treasury Notes | 3.63% | 08/31/2030 | 5964892 | 5964892 |
| USD | 1351600 | U.S. Treasury Notes | 4.25% | 05/15/2035 | 1371573 | 1371573 |
| USD | 9292000 | U.S. Treasury Notes | 4.25% | 08/15/2035 | 9419829 | 9416022 |
|  |  | **Total United States** |  |  | 26025660 | 26007366 |
|  |  | **Total Fixed Income Buy-Sellback Agreements** |  |  | 197891405 | 196625219 |

---

The accompanying notes are an integral part of the consolidated financial statements.

---

| | | | |
|:---|:---|:---|:---|
| **Units** |  | **Proceeds** | **Fair**<br> **Value** |
| | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** | **Securities Sold Short (continued)** |
| | **Investment Funds (0.03%)** | **Investment Funds (0.03%)** | **Investment Funds (0.03%)** |
| | **United Kingdom (0.03%)** | **United Kingdom (0.03%)** | **United Kingdom (0.03%)** |
|  | Capital Markets |  |  |
| 824 | Scottish Mortgage Investment Trust PLC | $12011 | $12674 |
|  | **Total Securities Sold Short** | $216362960 | $215902138 |

---

The percentage shown for each investment category reflects the value of investments in that category as a percentage of total net assets.

---

| | |
|:---|:---|
| \* | Variable or Floating Rate Security. Rate disclosed is based on the latest available information as of October 31, 2025. |
| + | Zero-coupon bond. Rate represents annualized yield at period end. |
| ‡ | Security sold under forward sale commitments due within 60 days after October 31, 2025. The sale price of the security and the dates of delivery were fixed<br> at the time the transaction was negotiated. |
| « | Inflation linked securities issued by foreign entities in which the principal amount is indexed for inflation or deflation periodically. |
| 144A | Unregistered securities exempt in an institutional sale from the registration and prospectus delivery requirement of the Securities Act of 1933, as specified in<br> SEC Rule 144A. |
| CPI | Consumer Price Index |
| GmbH | German Company with Limited Liability |
| LLC | Limited Liability Company |
| OAT | French Treasury Bond |
| PIK | Payment-in-Kind security. Security that pays interest in the form of cash or additional debt securities. |
| PLC | Public Limited Company |
| REG S | Unregistered securities exempt in a sale of non-US securities from the registration and prospectus delivery requirement of the Securities Act of 1933, as<br> specified in SEC Regulation S. |
| SA | French Public Limited Company |
| TBA | (To Be Announced) commitment to purchase or sell securities for a fixed unit price at a future date beyond customary settlement time. Although the unit<br> price has been established, the face amount has not been finalized. |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Concentration by Industry for Securities Sold Short**

---

| | | |
|:---|:---|:---|
| **Industry** | **% of Net Assets** | **Fair**<br> **Value** |
| Foreign Government Obligations | 355.45% | $175624029 |
| United States Government and Agency Obligations | 61.90 | 30583846 |
| Financial | 7.37 | 3641766 |
| Consumer Discretionary | 2.85 | 1408985 |
| Health Care | 2.08 | 1029570 |
| Material | 1.48 | 730156 |
| Technology | 1.21 | 599145 |
| Utilities | 0.90 | 443532 |
| Energy | 0.82 | 407051 |
| Basic Materials | 0.81 | 401000 |
| Industrial | 0.46 | 228522 |
| Communications | 0.44 | 218003 |
| Consumer Staples | 0.37 | 182269 |
| Information Technology | 0.37 | 182068 |
| Consumer Cyclical | 0.26 | 127110 |
| Consumer Non-cyclical | 0.17 | 82412 |
| Investment Funds | 0.03 | 12674 |
| Total Securities Sold Short | 436.97% | $215902138 |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Written Options Contracts**

**Foreign Currency Options**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Contract** | **Counterparty/**<br> **Exchange** |  | **Strike Price** | **Contracts** | **Expiration**<br> **Date** | **Notional** | **Premium** | **Fair**<br> **Value** |
| GBP vs USD | HUS | Call | 1.34 | (92000) | 11/13/2025 | (123197) | $(940) | $(46) |
| GBP vs USD | HUS | Put | 1.34 | (92000) | 11/13/2025 | (123197) | (940) | (2367) |
| USD vs BRL | MSI | Call | 5.85 | (389000) | 10/20/2026 | (2275066) | (22704) | (22520) |
| USD vs BRL | MSI | Put | 5.85 | (389000) | 10/20/2026 | (2275067) | (22704) | (23605) |
| USD vs HUF | MSI | Call | 340.75 | (395000) | 10/06/2026 | (134596250) | (17775) | (18251) |
| USD vs HUF | MSI | Put | 340.75 | (395000) | 10/06/2026 | (134596250) | (17775) | (14748) |
| USD vs JPY | DBF | Put | 150.76 | (51000) | 11/13/2025 | (7688760) | (561) | (42) |
| USD vs JPY | DBF | Call | 150.76 | (51000) | 11/13/2025 | (7688760) | (561) | (1066) |
| USD vs NOK | BOA | Call | 9.96 | (121000) | 11/26/2025 | (1205402) | (1100) | (2212) |
| USD vs NOK | BOA | Put | 9.96 | (121000) | 11/26/2025 | (1205402) | (1100) | (337) |
| USD vs ZAR | BOA | Call | 17.92 | (395000) | 09/25/2026 | (7078400) | (19355) | (16033) |
| USD vs ZAR | BOA | Put | 17.92 | (395000) | 09/25/2026 | (7078400) | (19355) | (19247) |
| **Total Foreign Currency Options** | **Total Foreign Currency Options** | **Total Foreign Currency Options** | **Total Foreign Currency Options** | **Total Foreign Currency Options** | **Total Foreign Currency Options** | **Total Foreign Currency Options** | (124870) | (120474) |

---

**Options on Equity Indices**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Contract** | **Counterparty/**<br> **Exchange** |  | **Strike Price** | **Contracts** | **Expiration**<br> **Date** | **Notional** | **Premium** | **Fair**<br> **Value** |
| Euro Stoxx Banks Index | GST | Put | 195.00 | (7400) | 12/19/2025 | (1443000) | $(9698) | $(6981) |
| S&P 500 Index | CBOE | Call | 6900.00 | (2) | 05/15/2026 | (13800) | (72871) | (74632) |
| S&P 500 Index | CBOE | Put | 5900.00 | (5) | 01/16/2026 | (29500) | (14090) | (16450) |
| S&P 500 Index | CBOE | Put | 7000.00 | (1) | 03/20/2026 | (7000) | (28614) | (30125) |
| **Total Options on Equity Indices** | **Total Options on Equity Indices** | **Total Options on Equity Indices** | **Total Options on Equity Indices** | **Total Options on Equity Indices** | **Total Options on Equity Indices** | **Total Options on Equity Indices** | (125273) | (128188) |

---

**Options on Exchange Traded Funds**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Contract** | **Counterparty/**<br> **Exchange** |  | **Strike Price** | **Contracts** | **Expiration**<br> **Date** | **Notional** | **Premium** | **Fair**<br> **Value** |
| Financial Select Sector SPDR Fund | AMX | Put | 47.00 | (705) | 11/21/2025 | (33135) | $(13879) | $(5640) |
| Invesco QQQ Trust | AMX | Put | 640.00 | (22) | 03/31/2026 | (14080) | (76335) | (76335) |
| Invesco QQQ Trust | AMX | Put | 655.00 | (81) | 01/15/2027 | (53055) | (523384) | (508640) |
| iShares Russell 2000 ETF | AMX | Call | 240.00 | (63) | 06/18/2026 | (15120) | (143520) | (148208) |
| SPDR S&P 500 ETF Trust | PSE | Put | 700.00 | (77) | 01/15/2027 | (53900) | (412850) | (395857) |
| VanEck Semiconductor ETF | AMX | Put | 300.00 | (19) | 11/21/2025 | (5700) | (1780) | (1780) |
| **Total Options on Exchange Traded Funds** | **Total Options on Exchange Traded Funds** | **Total Options on Exchange Traded Funds** | **Total Options on Exchange Traded Funds** | **Total Options on Exchange Traded Funds** | **Total Options on Exchange Traded Funds** | **Total Options on Exchange Traded Funds** | (1171748) | (1136460) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Written Options Contracts (continued)**

**Options on Exchange Traded Futures Contracts**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Contract** |  | **Strike Price** | **Contracts** | **Expiration**<br> **Date** | **Notional** | **Premium** | **Fair**<br> **Value** |
| 3 Month SOFR CME | Put | 95.75 | (123) | 12/12/2025 | (11777) | $(16733) | $(769) |
| 3 Month SOFR CME | Put | 96.00 | (123) | 12/12/2025 | (11808) | (42270) | (1538) |
| 3 Month SOFR CME | Put | 96.25 | (63) | 12/12/2025 | (6064) | (4108) | (13781) |
| 3 Month SONIA ICE | Put | 95.50 | (440) | 12/12/2025 | (42020) | (318777) | 0 |
| 3 Month SONIA ICE | Put | 96.05 | (394) | 12/12/2025 | (37844) | (32692) | (3235) |
| 3 Month SONIA ICE | Put | 96.00 | (104) | 12/12/2025 | (9984) | (25049) | (854) |
| 3 Month SONIA ICE | Put | 96.05 | (412) | 03/13/2026 | (39573) | (23377) | (3383) |
| **Total Options on Exchange Traded Futures Contracts** | **Total Options on Exchange Traded Futures Contracts** | **Total Options on Exchange Traded Futures Contracts** | **Total Options on Exchange Traded Futures Contracts** | **Total Options on Exchange Traded Futures Contracts** |  | (463006) | (23560) |

---

**Options on Securities**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Contract** | **Counterparty/**<br> **Exchange** |  | **Strike Price** | **Contracts** | **Expiration**<br> **Date** | **Notional** | **Premium** | **Fair**<br> **Value** |
| Advanced Micro Devices, Inc. | AMX | Call | 330.00 | (13) | 11/21/2025 | (4290) | $(2401) | $(2401) |
| Advanced Micro Devices, Inc. | AMX | Put | 205.00 | (6) | 11/21/2025 | (1230) | (2962) | (1332) |
| Alphabet, Inc. | AMX | Call | 285.00 | (2) | 11/21/2025 | (570) | (596) | (1480) |
| Amazon.com, Inc. | AMX | Put | 215.00 | (28) | 11/21/2025 | (6020) | (1575) | (1575) |
| Charter Communications, Inc. | AMX | Call | 330.00 | (13) | 12/19/2025 | (4290) | (4007) | (897) |
| DoorDash, Inc. | NYSE | Put | 205.00 | (11) | 11/14/2025 | (2255) | (2618) | (1782) |
| Expedia Group, Inc. | AMX | Put | 185.00 | (9) | 11/07/2025 | (1665) | (754) | (1134) |
| Intel Corp. | AMX | Put | 30.00 | (51) | 12/19/2025 | (1530) | (1787) | (1683) |
| Micron Technology, Inc. | AMX | Put | 175.00 | (16) | 11/21/2025 | (2800) | (2215) | (2215) |
| NVIDIA Corp. | AMX | Call | 210.00 | (2) | 11/21/2025 | (420) | (397) | (1322) |
| Shoals Technologies Group, Inc. | CHX | Call | 12.00 | (370) | 11/21/2025 | (4440) | (35695) | (21090) |
| SolarEdge Technologies, Inc. | ISE | Call | 45.00 | (68) | 11/21/2025 | (3060) | (26975) | (8840) |
| Tesla, Inc. | AMX | Put | 380.00 | (12) | 11/14/2025 | (4560) | (2518) | (2196) |
| T-Mobile U.S., Inc. | AMX | Put | 195.00 | (12) | 11/21/2025 | (2340) | (982) | (1164) |
| **Total Options on Securities** | **Total Options on Securities** | **Total Options on Securities** | **Total Options on Securities** | **Total Options on Securities** | **Total Options on Securities** |  | (85482) | (49111) |
| **Total Written Options Contracts** | **Total Written Options Contracts** | **Total Written Options Contracts** | **Total Written Options Contracts** | **Total Written Options Contracts** | **Total Written Options Contracts** |  | $(1970379) | $(1457793) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Written Swaptions Contracts**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Contract** | **Counterparty** | **Currency** | **Exercise**<br> **Rate** | **Notional** | **Expiration**<br> **Date** | **Premium** | **Fair**<br> **Value** |
| 2YR Interest Rate Swap Pay EUR Put | BOA 6M | EUR | 3.25% | (5505534) | 07/28/2027 | $(13347) | $(5749) |
| 2YR Interest Rate Swap Pay EUR Put | CBK 6M | EUR | 3.25% | (5504380) | 07/28/2027 | (13184) | (5747) |
| 2YR Interest Rate Swap Pay EUR Put | BOA 6M | EUR | 3.25% | (5499763) | 07/28/2027 | (13652) | (5743) |
| 2YR Interest Rate Swap Pay USD Put | BCY 1Y | USD | 5.00% | (1247000) | 04/22/2027 | (3436) | (765) |
| 2YR Interest Rate Swap Pay USD Put | PAR 1Y | USD | 5.00% | (1245000) | 04/22/2027 | (4200) | (764) |
| 2YR Interest Rate Swap Pay USD Put | BCY 1Y | USD | 5.00% | (1460000) | 08/30/2027 | (1948) | (1574) |
| 2YR Interest Rate Swap Pay USD Put | BCY 1Y | USD | 5.00% | (972000) | 08/30/2027 | (1119) | (1048) |
| 30YR Interest Rate Swap Pay USD Put | BOA 1Y | USD | 4.55% | (4632000) | 06/10/2026 | (64733) | (45095) |
| 3YR Interest Rate Swap Pay EUR Put | BCY 6M | EUR | 3.00% | (3930051) | 03/02/2026 | (664) | (85) |
|  | **Total Written Swaptions Contracts** | **Total Written Swaptions Contracts** | **Total Written Swaptions Contracts** | **Total Written Swaptions Contracts** | **Total Written Swaptions Contracts** | $(116283) | $(66570) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts**

**Bi-Lateral Credit Default Swaps**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Expiration**<br> **Date** | **Counter-**<br> **party** | **Receive**<br> **(Pay)** | **Reference**<br> **Obligation** | **Buy/**<br> **Sell**<br> **Protection** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | 80000 | 09/30/2027 3M | CBK | 1.00% | Panama Government International Bonds | Sell | $(1581) | $(978) | $603 |
| USD | 725000 | 09/30/2027 3M | DBF | 1.00% | Panama Government International Bonds | Sell | (14423) | (8861) | 5562 |
| USD | 640000 | 01/28/2033 3M | GST | 1.00% | Colombia Government International Bonds | Sell | (24691) | (25531) | (840) |
| USD | 785000 | 01/28/2033 3M | DBF | 1.00% | Colombia Government International Bonds | Sell | (30685) | (31315) | (630) |
| **Total Bi-Lateral Credit Default Swaps** | **Total Bi-Lateral Credit Default Swaps** | **Total Bi-Lateral Credit Default Swaps** | **Total Bi-Lateral Credit Default Swaps** | **Total Bi-Lateral Credit Default Swaps** | **Total Bi-Lateral Credit Default Swaps** |  | $(71380) | $(66685) | $4695 |

---

**Centrally Cleared Credit Default Swaps**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Expiration**<br> **Date** | **Exchange** | **Receive**<br> **(Pay)** | **Reference**<br> **Obligation** | **Buy/**<br> **Sell**<br> **Protection** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | 245000 | 12/20/2030 3M | BCY | 5.00% | CDX NA HY <br>Series 45 <br>Version 1 Index | Buy | $(19775) | $(19310) | $465 |
| EUR | 1322000 | 12/20/2030 3M | BCY | 1.00% | iTraxx Europe <br>Senior <br>Financials Series 44<br> Version 1 Index | Buy | (30003) | (32097) | (2094) |
| EUR | 1580000 | 12/20/2030 3M | ICE | 5.00% | iTraxx Europe <br>Crossover <br>Series 44 <br>Version 1 Index | Buy | (192753) | (199731) | (6978) |
| USD | 5590000 | 12/20/2030 3M | ICE | 1.00% | CDX NA IG <br>Series 45 <br>Version 1 Index | Buy | (119422) | (130223) | (10801) |
| **Total Centrally Cleared Credit Default Swaps** | **Total Centrally Cleared Credit Default Swaps** | **Total Centrally Cleared Credit Default Swaps** | **Total Centrally Cleared Credit Default Swaps** | **Total Centrally Cleared Credit Default Swaps** | **Total Centrally Cleared Credit Default Swaps** |  | $(361953) | $(381361) | $(19408) |

---

**Bi-Lateral Cross Currency Swaps**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Expiration**<br> **Date** | **Counterparty** | **Pay**<br> **Amount** | **Receive**<br> **Amount** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| 03/18/2031 3M | MSI | USD Variable plus 3 Month USD SOFR | NZD 1,776 285 plus 3 Month NZD BKBM minus 0.04% | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0 | $(130) | $&nbsp;&nbsp;&nbsp;&nbsp;(130) |
| 03/18/2031 3M | MSI | USD Variable plus 3 Month USD SOFR | AUD 1,860,058 plus 3 Month AUD BBSW plus 0.05% | 0 | (824) | (824) |
| 03/18/2031 3M | BOA | USD Variable plus 3 Month USD SOFR | NOK 1,802,039 plus 3 Month CAD CORRA minus 0.02% | 0 | (1033) | (1033) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Bi-Lateral Cross Currency Swaps (continued)**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Expiration**<br> **Date** | **Counterparty** | **Pay**<br> **Amount** | **Receive**<br> **Amount** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| 03/18/2031 3M | MSI | USD Variable plus 3 Month USD SOFR | NOK 1,660,492 plus 3 Month NOK NIBOR minus 0.21% | $0 | $(1888) | $(1888) |
| 03/18/2031 3M | BOA | USD Variable plus 3 Month USD SOFR | SEK 1,663,210 plus 3 Month SEK STIBOR minus 0.13% | 0 | (3101) | (3101) |
| **Total Bi-Lateral Cross Currency Swaps** | **Total Bi-Lateral Cross Currency Swaps** | **Total Bi-Lateral Cross Currency Swaps** | **Total Bi-Lateral Cross Currency Swaps** | $0 | $(6976) | $(6976) |

---

**Bi-Lateral Interest Rate Swaps**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Expiration**<br> **Date** | **Counter-**<br> **party** | **Fixed**<br> **Rate** | **Pay/Receive**<br> **Variable Rate** | **Variable**<br> **Rate** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| MYR | 30428 | 03/17/2030 3M | SCB | 3.60% | Receive | 3 Month MYR KLIBOR BNM | $0 | $(309) | $(309) |

---

**Centrally Cleared Interest Rate Swaps**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Expiration**<br> **Date** | **Fixed**<br> **Rate** | **Pay/Receive**<br> **Variable** <br> **Rate** | **Variable**<br> **Rate** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| EUR | 99660473 | 03/25/2026 1M LCH | 1.88% | Pay | 12 Month EUR STR | $2192 | $(2073) | $(4265) |
| EUR | 102755429 | 05/06/2026 1M LCH | 1.84% | Pay | 12 Month EUR STR | 3744 | (2753) | (6497) |
| PLN | 329703 | 12/17/2026 3M LCH | 4.09% | Receive | 12 Month PLN WIBOR WIBO | 0 | (456) | (456) |
| GBP | 520536 | 12/17/2026 1Y LCH | 3.72% | Receive | 12 Month GBP WMBA SONIA Compound | (776) | (720) | 56 |
| HUF | 865598 | 12/17/2026 1Y LCH | 6.27% | Pay | 12 Month HUF BUBOR | 0 | (1776) | (1776) |
| AUD | 1774136 | 12/17/2026 3M LCH | 3.03% | Pay | 3 Month AUD BBR BBSW | (1673) | (8168) | (6495) |
| ZAR | 113029 | 03/18/2027 3M LCH | 6.54% | Pay | 3 Month ZAR JIBAR SAFEX | 53 | (34) | (87) |
| USD | 418928 | 03/18/2027 1Y LCH | 3.19% | Pay | 12 Month USD SOFR | 72 | (693) | (765) |
| HUF | 435743 | 03/18/2027 1Y LCH | 6.23% | Pay | 12 Month HUF BUBOR | 0 | (431) | (431) |
| PLN | 695683 | 03/18/2027 3M LCH | 3.81% | Receive | 12 Month PLN WIBOR WIBO | 0 | (449) | (449) |
| CAD | 930847 | 03/18/2027 1M LCH | 2.31% | Receive | CAD CORRA | 128 | (871) | (999) |
| ILS | 2625045 | 03/18/2027 1Y LCH | 3.77% | Receive | 1 day ILS SHIR | 0 | (3548) | (3548) |
| NZD | 120305 | 06/17/2027 3M LCH | 3.44% | Receive | 6 Month NZD BBR FRA | (36) | (1015) | (979) |
| USD | 810072 | 09/16/2027 1Y LCH | 3.19% | Receive | 12 Month USD SOFR | 72 | (147) | (219) |
| NOK | 312913 | 12/16/2027 3M LCH | 3.78% | Receive | 12 Month NOK NIBOR NIBR | (39) | (95) | (56) |
| AUD | 614948 | 12/16/2027 3M LCH | 3.22% | Pay | 3 Month AUD BBR BBSW | 218 | (1922) | (2140) |
| CLP | 656799 | 12/16/2027 1M CME | 4.66% | Receive | 6 Month CLP TNA ABIF | 0 | (402) | (402) |
| CAD | 926530 | 12/16/2027 1M LCH | 2.56% | Receive | CAD CORRA | (451) | (1719) | (1268) |
| KRW | 168438 | 12/17/2027 3M LCH | 2.30% | Pay | 3 Month KRW CD KSDA | 0 | (1012) | (1012) |
| PLN | 171972 | 12/17/2027 1Y LCH | 3.84% | Pay | 12 Month PLN WIBOR WIBO | 0 | (129) | (129) |
| KRW | 179925 | 12/17/2027 3M LCH | 2.29% | Pay | 3 Month KRW CD KSDA | 0 | (1091) | (1091) |
| KRW | 242763 | 12/17/2027 3M LCH | 2.30% | Pay | 3 Month KRW CD KSDA | 0 | (1451) | (1451) |
| CZK | 886500 | 12/17/2027 1Y LCH | 3.16% | Pay | 12 Month CZK PRIBOR PRBO | 0 | (9461) | (9461) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Centrally Cleared Interest Rate Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Expiration**<br> **Date** | **Fixed**<br> **Rate** | **Pay/Receive**<br> **Variable** <br> **Rate** | **Variable**<br> **Rate** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| NOK | 4064714 | 12/17/2027 1Y LCH | 4.00% | Pay | 12 Month NOK NIBOR NIBR | $3743 | $(6541) | $(10284) |
| EUR | 3863634 | 02/01/2028 1Y LCH | 1.88% | Pay | 12 Month EUR STR | 1161 | (1185) | (2346) |
| KRW | 456473 | 03/17/2028 3M LCH | 2.43% | Pay | 3 Month KRW CD KSDA | 13 | (1109) | (1122) |
| HUF | 866031 | 03/17/2028 1Y LCH | 6.00% | Pay | 12 Month HUF BUBOR | 0 | (1098) | (1098) |
| ILS | 2610358 | 03/17/2028 1Y LCH | 3.60% | Receive | 1 day ILS SHIR | (99) | (5147) | (5048) |
| CNY | 29093 | 03/18/2028 3M LCH | 1.57% | Receive | 3 Month CNY CNREPOFIX | (1) | (42) | (41) |
| ZAR | 1223661 | 03/18/2028 3M LCH | 6.74% | Receive | 3 Month ZAR JIBAR SAFEX | 115 | (4291) | (4406) |
| SGD | 1327624 | 03/18/2028 6M LCH | 1.26% | Pay | 6 Month SGD SOR Telerate | 16 | (2059) | (2075) |
| KRW | 2258540 | 03/18/2028 3M LCH | 2.38% | Pay | 3 Month KRW CD KSDA | 161 | (11192) | (11353) |
| SEK | 3734360 | 03/18/2028 1Y LCH | 1.97% | Pay | 12 Month SEK STIBOR | 912 | (12841) | (13753) |
| EUR | 6118487 | 03/18/2028 1Y LCH | 2.09% | Pay | 12 Month EUR EURIBOR | (831) | (6506) | (5675) |
| BRL | 49345 | 01/02/2029 1M CME | 13.56% | Receive | BRL CDI | 0 | (572) | (572) |
| BRL | 102064 | 01/02/2029 1M CME | 13.35% | Receive | BRL CDI | 0 | (483) | (483) |
| BRL | 102382 | 01/02/2029 1M CME | 13.35% | Receive | BRL CDI | 0 | (490) | (490) |
| EUR | 2339452 | 02/25/2029 1Y LCH | 1.88% | Pay | 12 Month EUR STR | (4289) | (7183) | (2894) |
| USD | 5440728 | 01/15/2030 1M LCH | 2.52% | Pay | U.S. CPI Urban Consumers NSA | 2272 | (21777) | (24049) |
| USD | 5677365 | 02/28/2030 1Y CME | 3.41% | Receive | 12 Month USD SOFR | (10635) | (10785) | (150) |
| USD | 4887718 | 03/03/2030 1M LCH | 2.52% | Pay | U.S. CPI Urban Consumers NSA | (1718) | (14747) | (13029) |
| GBP | 1251344 | 06/16/2030 1Y LCH | 3.66% | Receive | 12 Month GBP WMBA SONIA Compound | 7904 | (1326) | (9230) |
| USD | 1528425 | 06/16/2030 1Y LCH | 3.59% | Receive | 12 Month USD SOFR | 20425 | (9798) | (30223) |
| CAD | 76207 | 12/15/2030 6M LCH | 2.81% | Receive | CAD CORRA | 42 | (312) | (354) |
| HUF | 64187 | 12/17/2030 6M LCH | 6.30% | Receive | 12 Month HUF BUBOR | 0 | (38) | (38) |
| SGD | 77942 | 12/17/2030 6M LCH | 1.45% | Pay | 6 Month SGD SOR Telerate | 0 | (392) | (392) |
| SGD | 78740 | 12/17/2030 6M LCH | 1.42% | Pay | 6 Month SGD SOR Telerate | 0 | (503) | (503) |
| INR | 101645 | 12/17/2030 6M LCH | 5.64% | Pay | 6 Month INR FBIL MIBOR OIS Compound | 56 | (120) | (176) |
| SEK | 1814546 | 12/17/2030 1Y LCH | 2.28% | Pay | 12 Month SEK STIBOR | (740) | (8560) | (7820) |
| NOK | 3014445 | 12/17/2030 6M LCH | 4.03% | Receive | 12 Month NOK NIBOR NIBR | 3820 | (9769) | (13589) |
| EUR | 3149133 | 12/17/2030 1Y LCH | 2.31% | Pay | 12 Month EUR EURIBOR | (9507) | (5045) | 4462 |
| EUR | 3287373 | 12/17/2030 1Y LCH | 2.28% | Pay | 12 Month EUR EURIBOR | (1705) | (9787) | (8082) |
| EUR | 15490738 | 12/17/2030 1Y LCH | 2.22% | Receive | 12 Month EUR STR | (10386) | (73604) | (63218) |
| BRL | 58930 | 01/02/2031 1M CME | 13.47% | Receive | BRL CDI | 0 | (669) | (669) |
| INR | 130657 | 03/15/2031 6M LCH | 5.82% | Pay | 6 Month INR FBIL MIBOR OIS Compound | 0 | (248) | (248) |
| AUD | 382640 | 03/15/2031 3M LCH | 3.84% | Pay | 3 Month AUD BBR BBSW | (176) | (1400) | (1224) |
| ZAR | 138746 | 03/18/2031 3M LCH | 6.99% | Receive | 3 Month ZAR JIBAR SAFEX | 0 | (81) | (81) |
| SGD | 138982 | 03/18/2031 6M LCH | 1.53% | Pay | 6 Month SGD SOR Telerate | (7) | (403) | (396) |
| ZAR | 168955 | 03/18/2031 3M LCH | 7.04% | Receive | 3 Month ZAR JIBAR SAFEX | 0 | (427) | (427) |
| ILS | 180723 | 03/18/2031 1Y LCH | 3.85% | Receive | 1 day ILS SHIR | 3 | (2412) | (2415) |
| ZAR | 184124 | 03/18/2031 3M LCH | 7.16% | Receive | 3 Month ZAR JIBAR SAFEX | 0 | (1423) | (1423) |
| KRW | 287311 | 03/18/2031 3M LCH | 2.56% | Pay | 3 Month KRW CD KSDA | 19 | (3371) | (3390) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Centrally Cleared Interest Rate Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Expiration**<br> **Date** | **Fixed**<br> **Rate** | **Pay/Receive**<br> **Variable** <br> **Rate** | **Variable**<br> **Rate** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| AUD | 574026 | 03/18/2031 6M LCH | 3.81% | Pay | 3 Month AUD BBR BBSW | $(840) | $(4780) | $(3940) |
| CAD | 972716 | 03/18/2031 6M LCH | 2.56% | Receive | CAD CORRA | 1562 | (1217) | (2779) |
| EUR | 1011026 | 02/13/2032 6M LCH | 2.25% | Receive | 12 Month EUR EURIBOR | 0 | (1953) | (1953) |
| EUR | 527167 | 07/02/2034 6M LCH | 2.56% | Receive | 12 Month EUR EURIBOR | (502) | (65) | 437 |
| EUR | 1799311 | 07/04/2034 6M LCH | 3.25% | Receive | 12 Month EUR EURIBOR | (155724) | (125896) | 29828 |
| USD | 5434032 | 01/15/2035 1M LCH | 2.55% | Receive | U.S. CPI Urban Consumers NSA | (8968) | (15421) | (6453) |
| COP | 455814 | 03/20/2035 3M CME | 9.83% | Pay | 3 Month COP IBR OIS Compound | (742) | (7379) | (6637) |
| GBP | 2553518 | 04/15/2035 1M LCH | 3.22% | Receive | U.K. Retail Price Index | 600 | (8514) | (9114) |
| USD | 947867 | 05/15/2035 1Y CME | 3.53% | Pay | 12 Month USD SOFR | (7867) | (7867) | 0 |
| EUR | 2261721 | 06/15/2035 1M LCH | 1.92% | Pay | Eurostat Eurozone HICP ex-Tobacco NSA | (7519) | (5922) | 1597 |
| GBP | 2461012 | 06/15/2035 1M LCH | 3.14% | Receive | U.K. Retail Price Index | 7657 | (14651) | (22308) |
| NZD | 766461 | 06/19/2035 3M LCH | 4.34% | Receive | 6 Month NZD BBR FRA | 11519 | (808) | (12327) |
| EUR | 2765694 | 08/27/2035 6M LCH | 2.69% | Receive | 12 Month EUR EURIBOR | 600 | (17919) | (18519) |
| EUR | 288209 | 09/17/2035 6M LCH | 2.66% | Receive | 12 Month EUR EURIBOR | (341) | (341) | 0 |
| ZAR | 49003 | 09/18/2035 3M LCH | 10.80% | Receive | 3 Month ZAR JIBAR SAFEX | 0 | (2470) | (2470) |
| ZAR | 111060 | 09/18/2035 3M LCH | 10.68% | Receive | 3 Month ZAR JIBAR SAFEX | 0 | (5121) | (5121) |
| EUR | 820508 | 09/30/2035 6M LCH | 2.69% | Receive | 12 Month EUR EURIBOR | 686 | (4377) | (5063) |
| COP | 10638 | 12/17/2035 3M CME | 9.12% | Pay | 3 Month COP IBR OIS Compound | 0 | (414) | (414) |
| COP | 16071 | 12/17/2035 3M CME | 9.33% | Pay | 3 Month COP IBR OIS Compound | 0 | (445) | (445) |
| COP | 35743 | 12/17/2035 3M CME | 9.30% | Pay | 3 Month COP IBR OIS Compound | 0 | (1032) | (1032) |
| COP | 36437 | 12/17/2035 3M CME | 9.00% | Pay | 3 Month COP IBR OIS Compound | 0 | (1704) | (1704) |
| HUF | 44707 | 12/17/2035 1Y LCH | 6.57% | Pay | 12 Month HUF BUBOR | 0 | (131) | (131) |
| CLP | 47581 | 12/17/2035 6M CME | 5.14% | Pay | 6 Month CLP TNA ABIF | 0 | (408) | (408) |
| ILS | 52694 | 12/17/2035 1Y LCH | 4.13% | Receive | 1 day ILS SHIR | 0 | (1475) | (1475) |
| HUF | 72530 | 12/17/2035 1Y LCH | 6.58% | Pay | 12 Month HUF BUBOR | 0 | (130) | (130) |
| HUF | 105669 | 12/17/2035 1Y LCH | 6.60% | Pay | 12 Month HUF BUBOR | (75) | (39) | 36 |
| SGD | 140055 | 12/17/2035 6M LCH | 2.29% | Receive | 6 Month SGD SOR Telerate | 20 | (5530) | (5550) |
| HUF | 150242 | 12/18/2035 6M LCH | 7.07% | Receive | 12 Month HUF BUBOR | 0 | (149) | (149) |
| SGD | 203690 | 12/18/2035 6M LCH | 2.00% | Pay | 6 Month SGD SOR Telerate | 0 | (1553) | (1553) |
| CAD | 726791 | 12/18/2035 6M LCH | 3.47% | Receive | CAD CORRA | 1501 | (5173) | (6674) |
| MXN | 64567 | 03/05/2036 1M CME | 7.63% | Pay | 28 Day MXN TIIE Banxico | 0 | (1681) | (1681) |
| MXN | 346183 | 03/05/2036 1M CME | 7.67% | Pay | 28 Day MXN TIIE Banxico | 0 | (7953) | (7953) |
| MXN | 88870 | 03/12/2036 1M CME | 8.35% | Pay | 28 Day MXN TIIE Banxico | 0 | (789) | (789) |
| HUF | 53223 | 03/18/2036 1Y LCH | 6.56% | Pay | 12 Month HUF BUBOR | 0 | (199) | (199) |
| KRW | 78580 | 03/18/2036 3M LCH | 2.79% | Pay | 3 Month KRW CD KSDA | 0 | (1016) | (1016) |
| KRW | 102218 | 03/18/2036 3M LCH | 2.82% | Pay | 3 Month KRW CD KSDA | 0 | (1054) | (1054) |
| USD | 126157 | 03/18/2036 1Y LCH | 3.53% | Pay | 12 Month USD SOFR | (157) | (1599) | (1442) |
| KRW | 132014 | 03/18/2036 3M LCH | 2.79% | Pay | 3 Month KRW CD KSDA | 0 | (1707) | (1707) |
| ILS | 136055 | 03/18/2036 1Y LCH | 4.15% | Receive | 1 day ILS SHIR | (5) | (3947) | (3942) |
| EUR | 1473612 | 03/18/2036 6M LCH | 2.69% | Receive | 12 Month EUR EURIBOR | (1495) | (1075) | 420 |
| SEK | 643294 | 03/19/2036 1Y LCH | 3.09% | Pay | 12 Month SEK STIBOR | 1109 | (99) | (1208) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Centrally Cleared Interest Rate Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Expiration**<br> **Date** | **Fixed**<br> **Rate** | **Pay/Receive**<br> **Variable** <br> **Rate** | **Variable**<br> **Rate** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| AUD | 1692652 | 03/19/2036 6M LCH | 4.78% | Pay | 3 Month AUD BBR BBSW | $(1344) | $(3772) | $(2428) |
| EUR | 555983 | 02/15/2039 6M LCH | 2.69% | Receive | 12 Month EUR EURIBOR | (15663) | (2486) | 13177 |
| EUR | 478804 | 02/24/2046 6M LCH | 3.03% | Receive | 12 Month EUR EURIBOR | (11644) | (8087) | 3557 |
| EUR | 686405 | 01/15/2053 6M LCH | 2.94% | Receive | 12 Month EUR EURIBOR | (6) | (5328) | (5322) |
| EUR | 696827 | 01/15/2053 6M LCH | 2.94% | Receive | 12 Month EUR EURIBOR | 3388 | (4221) | (7609) |
| EUR | 602008 | 06/12/2054 6M LCH | 2.94% | Receive | 12 Month EUR EURIBOR | 412 | (5316) | (5728) |
| USD | 2193000 | 09/09/2055 1Y LCH | 3.98% | Receive | 12 Month USD SOFR | 0 | (10557) | (10557) |
| EUR | 7651713 | 09/25/2055 6M LCH | 2.91% | Receive | 12 Month EUR EURIBOR | (57600) | (31967) | 25633 |
| EUR | 378626 | 09/17/2075 6M LCH | 2.81% | Receive | 12 Month EUR EURIBOR | (1523) | (31) | 1492 |
| **Total Centrally Cleared Interest Rate Swaps** | **Total Centrally Cleared Interest Rate Swaps** | **Total Centrally Cleared Interest Rate Swaps** | **Total Centrally Cleared Interest Rate Swaps** | **Total Centrally Cleared Interest Rate Swaps** |  | $(238889) | $(613920) | $(375031) |

---

**Total Return Swaps**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| HKD | (769) | 05/15/2033 1M | MSI | 1 day HKD HONIA | Alibaba Group Holding Ltd. | $0 | $(16) | $(16) |
| HKD | 7120 | 05/05/2028 1M | JPM | 1 day HKD HONIA | Laopu Gold Co., Ltd. | 0 | (42) | (42) |
| HKD | 6167 | 05/15/2033 1M | MSI | 1 day HKD HONIA | Xiaomi Corp. | 0 | (779) | (779) |
| HKD | 10504 | 05/20/2033 1M | GST | 1 day HKD HONIA | Xiaomi Corp. | 0 | (870) | (870) |
| HKD | 37151 | 05/05/2028 1M | JPM | 1 day HKD HONIA | Tencent Holdings Ltd. | 0 | (2062) | (2062) |
| HKD | 14476 | 05/05/2028 1M | JPM | 1 day HKD HONIA | Xiaomi Corp. | 0 | (2857) | (2857) |
| HKD | 304597 | 05/15/2033 1M | MSI | 1 day HKD HONIA | HK Real Estate Index | 0 | (4673) | (4673) |
| HKD | 450874 | 05/20/2033 1M | GST | 1 day HKD HONIA | Hong Kong Exchanges & Clearing Ltd. | 0 | (6675) | (6675) |
| HKD | 105948 | 05/05/2028 1M | JPM | 1 day HKD HONIA | Alibaba Group Holding Ltd. | 0 | (9090) | (9090) |
| USD | 1315 | 05/05/2028 1M | JPM | 1 day USD OBFR | Wix.com Ltd. | 0 | (5) | (5) |
| USD | 2450 | 05/15/2033 1M | MSI | 1 day USD OBFR | MediaTek, Inc. | 0 | (24) | (24) |
| USD | 11343 | 05/15/2033 1M | MSI | 1 day USD OBFR | Block, Inc. | 0 | (28) | (28) |
| USD | 2864 | 05/15/2033 1M | MSI | 1 day USD OBFR | TriNet Group, Inc. | 0 | (44) | (44) |
| USD | 12757 | 05/20/2033 1M | GST | 1 day USD OBFR | DT Midstream, Inc. | 0 | (56) | (56) |
| USD | 498 | 05/05/2028 1M | JPM | 1 day USD OBFR | Lens Technology Co., Ltd. | 0 | (65) | (65) |
| USD | 9324 | 05/20/2033 1M | GST | 1 day USD OBFR | Freeport-McMoRan, Inc. | 0 | (75) | (75) |
| USD | 4964 | 05/15/2033 1M | MSI | 1 day USD OBFR | Brookfield Renewable Corp. | 0 | (76) | (76) |
| USD | 16555 | 05/15/2033 1M | MSI | 1 day USD OBFR | ARM Holdings PLC | 0 | (82) | (82) |
| USD | 19499 | 05/20/2033 1M | GST | 1 day USD OBFR | SiTime Corp. | 0 | (93) | (93) |
| USD | 3320 | 05/15/2033 1M | MSI | 1 day USD OBFR | Shoals Technologies Group, Inc. | 0 | (104) | (104) |
| USD | 37716 | 05/15/2033 1M | MSI | 1 day USD OBFR | ConocoPhillips | 0 | (128) | (128) |
| USD | 157870 | 05/20/2033 1M | GST | 1 day USD OBFR | StepStone Group, Inc. | 0 | (130) | (130) |
| USD | 1667 | 05/15/2033 1M | MSI | 1 day USD OBFR | Crown Castle, Inc. | 0 | (133) | (133) |
| USD | 1478780 | 05/15/2033 1M | MSI | 1 day USD OBFR | iShares iBoxx $ High Yield Corporate Bond ETF | 0 | (140) | (140) |
| USD | 8159 | 05/05/2028 1M | JPM | 1 day USD OBFR | United Therapeutics Corp. | 0 | (141) | (141) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | 20008 | 05/20/2033 1M | GST | 1 day USD OBFR | CG oncology, Inc. | $0 | $(147) | $(147) |
| USD | 10727 | 05/15/2033 1M | MSI | 1 day USD OBFR | Visa, Inc. | 0 | (164) | (164) |
| USD | 4585 | 05/05/2028 1M | JPM | 1 day USD OBFR | Luxshare Precision Industry Co., Ltd. | 0 | (166) | (166) |
| USD | 46236 | 05/05/2028 1M | JPM | 1 day USD OBFR | Intuit, Inc. | 0 | (175) | (175) |
| USD | 16619 | 05/05/2028 1M | JPM | 1 day USD OBFR | Kinetik Holdings, Inc. | 0 | (175) | (175) |
| USD | 48914 | 05/15/2033 1M | MSI | 1 day USD OBFR | Sempra | 0 | (186) | (186) |
| USD | 29778 | 05/15/2033 1M | MSI | 1 day USD OBFR | ISC Co., Ltd. | 0 | (203) | (203) |
| USD | 59709 | 05/15/2033 1M | MSI | 1 day USD OBFR | Devon Energy Corp. | 0 | (220) | (220) |
| USD | 6972 | 05/20/2033 1M | GST | 1 day USD OBFR | NiSource, Inc. | 0 | (232) | (232) |
| USD | 11629 | 05/05/2028 1M | JPM | 1 day USD OBFR | Microsoft Corp. | 0 | (237) | (237) |
| USD | 5346 | 05/20/2033 1M | GST | 1 day USD OBFR | Dominion Energy, Inc. | 0 | (240) | (240) |
| USD | 13585 | 05/05/2028 1M | JPM | 1 day USD OBFR | ASPEED Technology, Inc. | 0 | (243) | (243) |
| USD | 22926 | 05/20/2033 1M | GST | 1 day USD OBFR | Disc Medicine, Inc. | 0 | (250) | (250) |
| USD | 63491 | 05/05/2028 1M | JPM | 1 day USD OBFR | Permian Resources Corp. | 0 | (252) | (252) |
| USD | 9892 | 05/20/2033 1M | GST | 1 day USD OBFR | MediaTek, Inc. | 0 | (271) | (271) |
| USD | 5966 | 05/05/2028 1M | JPM | 1 day USD OBFR | Dominion Energy, Inc. | 0 | (273) | (273) |
| USD | 6522 | 05/15/2033 1M | MSI | 1 day USD OBFR | PG&E Corp. | 0 | (282) | (282) |
| USD | 6265 | 05/15/2033 1M | MSI | 1 day USD OBFR | Centuri Holdings, Inc. | 0 | (309) | (309) |
| USD | 6860 | 05/15/2033 1M | MSI | 1 day USD OBFR | CoreWeave, Inc. | 0 | (309) | (309) |
| USD | 344483 | 05/05/2028 1M | JPM | 1 day USD OBFR | Goldman Sachs Group, Inc. | 0 | (318) | (318) |
| USD | 14938 | 05/15/2033 1M | MSI | 1 day USD OBFR | Zhejiang Crystal-Optech Co., Ltd. | 0 | (323) | (323) |
| USD | 37944 | 05/20/2033 1M | GST | 1 day USD OBFR | Shoals Technologies Group, Inc. | 0 | (350) | (350) |
| USD | 48654 | 05/20/2033 1M | GST | 1 day USD OBFR | Block, Inc. | 0 | (356) | (356) |
| USD | 19021 | 05/15/2033 1M | MSI | 1 day USD OBFR | NiSource, Inc. | 0 | (369) | (369) |
| USD | 14841 | 05/20/2033 1M | GST | 1 day USD OBFR | AAON, Inc. | 0 | (378) | (378) |
| USD | 35099 | 05/15/2033 1M | MSI | 1 day USD OBFR | Solaris Energy Infrastructure, Inc. | 0 | (393) | (393) |
| USD | 64541 | 05/20/2033 1M | GST | 1 day USD OBFR | Flex Ltd. | 0 | (395) | (395) |
| USD | 7864 | 05/15/2033 1M | MSI | 1 day USD OBFR | Brookfield Renewable Partners LP | 0 | (412) | (412) |
| USD | 58739 | 05/15/2033 1M | MSI | 1 day USD OBFR | KeyCorp | 0 | (464) | (464) |
| USD | 16240 | 05/20/2033 1M | GST | 1 day USD OBFR | James Hardie Industries PLC | 0 | (479) | (479) |
| USD | 9680 | 05/15/2033 1M | MSI | 1 day USD OBFR | Interpublic Group of Cos., Inc. | 0 | (494) | (494) |
| USD | 68435 | 05/15/2033 1M | MSI | 1 day USD OBFR | Alphabet, Inc. | 0 | (516) | (516) |
| USD | 463423 | 05/15/2033 1M | MSI | 1 day USD OBFR | Eaton Corp. PLC | 0 | (591) | (591) |
| USD | 46382 | 05/15/2033 1M | MSI | 1 day USD OBFR | ONE Gas, Inc. | 0 | (594) | (594) |
| USD | 9418 | 05/05/2028 1M | JPM | 1 day USD OBFR | T-Mobile U.S., Inc. | 0 | (596) | (596) |
| USD | 19639 | 05/15/2033 1M | MSI | 1 day USD OBFR | Matador Resources Co. | 0 | (619) | (619) |
| USD | 27042 | 05/15/2033 1M | MSI | 1 day USD OBFR | NEXTracker, Inc. | 0 | (623) | (623) |
| USD | (14593) | 05/05/2028 1M | JPM | 1 day USD OBFR | Corning, Inc. | 0 | (640) | (640) |
| USD | 63580 | 05/20/2033 1M | GST | 1 day USD OBFR | Vita Coco Co., Inc. | 0 | (657) | (657) |
| USD | 27552 | 05/20/2033 1M | GST | 1 day USD OBFR | CoreWeave, Inc. | 0 | (676) | (676) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | 40245 | 05/20/2033 1M | GST | 1 day USD OBFR | Alibaba Group Holding Ltd. | $0 | $(705) | $(705) |
| USD | 380314 | 05/15/2033 1M | MSI | 1 day USD OBFR | MSXXPHRM Index | 0 | (727) | (727) |
| USD | 29176 | 05/15/2033 1M | MSI | 1 day USD OBFR | Monster Beverage Corp. | 0 | (774) | (774) |
| USD | 43281 | 05/20/2033 1M | GST | 1 day USD OBFR | TriNet Group, Inc. | 0 | (801) | (801) |
| USD | 96707 | 05/20/2033 1M | GST | 1 day USD OBFR | Sempra | 0 | (814) | (814) |
| USD | 12267 | 05/15/2033 1M | MSI | 1 day USD OBFR | DoorDash, Inc. | 0 | (821) | (821) |
| USD | 4472 | 05/20/2033 1M | GST | 1 day USD OBFR | Enphase Energy, Inc. | 0 | (841) | (841) |
| USD | 48120 | 05/20/2033 1M | GST | 1 day USD OBFR | Monolithic Power Systems, Inc. | 0 | (885) | (885) |
| USD | 5637 | 05/05/2028 1M | JPM | 1 day USD OBFR | Westlake Corp. | 0 | (889) | (889) |
| USD | 21100 | 05/20/2033 1M | GST | 1 day USD OBFR | PG&E Corp. | 0 | (911) | (911) |
| USD | 30568 | 05/15/2033 1M | MSI | 1 day USD OBFR | Alnylam Pharmaceuticals, Inc. | 0 | (925) | (925) |
| USD | 26039 | 05/05/2028 1M | JPM | 1 day USD OBFR | Quanta Computer, Inc. | 0 | (950) | (950) |
| USD | 286504 | 05/15/2033 1M | MSI | 1 day USD OBFR | ARES Management Corp. | 0 | (981) | (981) |
| USD | 23903 | 05/20/2033 1M | GST | 1 day USD OBFR | Cheniere Energy, Inc. | 0 | (1007) | (1007) |
| USD | 22574 | 05/05/2028 1M | JPM | 1 day USD OBFR | Mastercard, Inc. | 0 | (1016) | (1016) |
| USD | 275037 | 05/15/2033 1M | MSI | 1 day USD OBFR | Bank of New York Mellon Corp. | 0 | (1067) | (1067) |
| USD | 51135 | 05/05/2028 1M | JPM | 1 day USD OBFR | MediaTek, Inc. | 0 | (1070) | (1070) |
| USD | 45591 | 05/05/2028 1M | JPM | 1 day USD OBFR | WEC Energy Group, Inc. | 0 | (1122) | (1122) |
| USD | 272883 | 05/15/2033 1M | MSI | 1 day USD OBFR | Rocket Cos., Inc. | 0 | (1142) | (1142) |
| USD | 123652 | 05/20/2033 1M | GST | 1 day USD OBFR | ARM Holdings PLC | 0 | (1211) | (1211) |
| USD | 5767 | 05/15/2033 1M | MSI | 1 day USD OBFR | Net Power, Inc. | 0 | (1225) | (1225) |
| USD | 20234 | 05/15/2033 1M | MSI | 1 day USD OBFR | Fidelity National Information Services, Inc. | 0 | (1228) | (1228) |
| USD | 14582 | 05/05/2028 1M | JPM | 1 day USD OBFR | TriNet Group, Inc. | 0 | (1322) | (1322) |
| USD | 14375 | 05/15/2033 1M | MSI | 1 day USD OBFR | Clean Harbors, Inc. | 0 | (1323) | (1323) |
| USD | 21355 | 05/05/2028 1M | JPM | 1 day USD OBFR | ConocoPhillips | 0 | (1361) | (1361) |
| USD | 37415 | 05/05/2028 1M | JPM | 1 day USD OBFR | Spotify Technology SA | 0 | (1373) | (1373) |
| USD | 25752 | 05/15/2033 1M | MSI | 1 day USD OBFR | AAON, Inc. | 0 | (1450) | (1450) |
| USD | 16661 | 05/20/2033 1M | GST | 1 day USD OBFR | Westlake Corp. | 0 | (1454) | (1454) |
| USD | 31403 | 05/15/2033 1M | MSI | 1 day USD OBFR | Consolidated Edison, Inc. | 0 | (1498) | (1498) |
| USD | 19431 | 05/20/2033 1M | GST | 1 day USD OBFR | Fidelity National Information Services, Inc. | 0 | (1550) | (1550) |
| USD | 87567 | 05/15/2033 1M | MSI | 1 day USD OBFR | Wayfair, Inc. | 0 | (1550) | (1550) |
| USD | 43254 | 05/20/2033 1M | GST | 1 day USD OBFR | ONE Gas, Inc. | 0 | (1555) | (1555) |
| USD | 20102 | 05/05/2028 1M | JPM | 1 day USD OBFR | SiTime Corp. | 0 | (1565) | (1565) |
| USD | 36282 | 05/20/2033 1M | GST | 1 day USD OBFR | Genius Sports Ltd. | 0 | (1602) | (1602) |
| USD | 38744 | 05/20/2033 1M | GST | 1 day USD OBFR | DoorDash, Inc. | 0 | (1606) | (1606) |
| USD | 124332 | 05/15/2033 1M | MSI | 1 day USD OBFR | Burlington Stores, Inc. | 0 | (1763) | (1763) |
| USD | 18671 | 05/15/2033 1M | MSI | 1 day USD OBFR | Meta Platforms, Inc. | 0 | (1814) | (1814) |
| USD | 95058 | 05/20/2033 1M | GST | 1 day USD OBFR | Dick's Sporting Goods, Inc. | 0 | (1827) | (1827) |
| USD | 51287 | 05/15/2033 1M | MSI | 1 day USD OBFR | Cheniere Energy, Inc. | 0 | (1891) | (1891) |
| USD | 47858 | 05/15/2033 1M | MSI | 1 day USD OBFR | Chesapeake Utilities Corp. | 0 | (1910) | (1910) |
| USD | 47836 | 05/05/2028 1M | JPM | 1 day USD OBFR | NiSource, Inc. | 0 | (1928) | (1928) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | 30707 | 05/20/2033 1M | GST | 1 day USD OBFR | IDACORP, Inc. | $0 | $(1936) | $(1936) |
| USD | 41176 | 05/05/2028 1M | JPM | 1 day USD OBFR | Bill Holdings, Inc. | 0 | (1945) | (1945) |
| USD | 125650 | 05/20/2033 1M | GST | 1 day USD OBFR | Visa, Inc. | 0 | (1962) | (1962) |
| USD | 23537 | 05/15/2033 1M | MSI | 1 day USD OBFR | Westlake Corp. | 0 | (1999) | (1999) |
| USD | 29982 | 05/15/2033 1M | MSI | 1 day USD OBFR | Netflix, Inc. | 0 | (2010) | (2010) |
| USD | 90752 | 05/20/2033 1M | GST | 1 day USD OBFR | Take-Two Interactive Software, Inc. | 0 | (2048) | (2048) |
| USD | 61235 | 05/05/2028 1M | JPM | 1 day USD OBFR | IDACORP, Inc. | 0 | (2143) | (2143) |
| USD | 76232 | 05/15/2033 1M | MSI | 1 day USD OBFR | Hamilton Insurance Group Ltd. | 0 | (2311) | (2311) |
| USD | 365306 | 05/15/2033 1M | MSI | 1 day USD OBFR | Microsoft Corp. | 0 | (2321) | (2321) |
| USD | 70741 | 05/20/2033 1M | GST | 1 day USD OBFR | Atmos Energy Corp. | 0 | (2396) | (2396) |
| USD | 58633 | 05/05/2028 1M | JPM | 1 day USD OBFR | Live Nation Entertainment, Inc. | 0 | (2410) | (2410) |
| USD | 214567 | 05/15/2033 1M | MSI | 1 day USD OBFR | Mastercard, Inc. | 0 | (2539) | (2539) |
| USD | 109215 | 05/15/2033 1M | MSI | 1 day USD OBFR | Tradeweb Markets, Inc. | 0 | (2560) | (2560) |
| USD | 328323 | 05/20/2033 1M | GST | 1 day USD OBFR | Microsoft Corp. | 0 | (2621) | (2621) |
| USD | 64213 | 05/20/2033 1M | GST | 1 day USD OBFR | Interpublic Group of Cos., Inc. | 0 | (2706) | (2706) |
| USD | 47507 | 05/15/2033 1M | MSI | 1 day USD OBFR | Ally Financial, Inc. | 0 | (2739) | (2739) |
| USD | 127776 | 05/15/2033 1M | MSI | 1 day USD OBFR | SiriusPoint Ltd. | 0 | (2815) | (2815) |
| USD | 661166 | 05/15/2033 1M | MSI | 1 day USD OBFR | Charles Schwab Corp. | 0 | (2929) | (2929) |
| USD | 71319 | 05/20/2033 1M | GST | 1 day USD OBFR | Matador Resources Co. | 0 | (2934) | (2934) |
| USD | 17209 | 05/15/2033 1M | MSI | 1 day USD OBFR | Tigo Energy, Inc. | 0 | (3049) | (3049) |
| USD | 212475 | 05/20/2033 1M | GST | 1 day USD OBFR | KKR & Co., Inc. | 0 | (3149) | (3149) |
| USD | 300877 | 05/20/2033 1M | GST | 1 day USD OBFR | Comerica, Inc. | 0 | (3292) | (3292) |
| USD | 94035 | 05/15/2033 1M | MSI | 1 day USD OBFR | American Financial Group, Inc. | 0 | (3307) | (3307) |
| USD | 153508 | 05/15/2033 1M | MSI | 1 day USD OBFR | Comerica, Inc. | 0 | (3492) | (3492) |
| USD | 68513 | 05/20/2033 1M | GST | 1 day USD OBFR | Maplebear, Inc. | 0 | (3676) | (3676) |
| USD | 51459 | 05/15/2033 1M | MSI | 1 day USD OBFR | James Hardie Industries PLC | 0 | (3718) | (3718) |
| USD | 59304 | 05/05/2028 1M | JPM | 1 day USD OBFR | Ovintiv, Inc. | 0 | (3789) | (3789) |
| USD | 92641 | 05/15/2033 1M | MSI | 1 day USD OBFR | Atmos Energy Corp. | 0 | (3862) | (3862) |
| USD | 24470 | 05/15/2033 1M | MSI | 1 day USD OBFR | Array Technologies, Inc. | 0 | (3876) | (3876) |
| USD | 72300 | 05/15/2033 1M | MSI | 1 day USD OBFR | Evercore, Inc. | 0 | (3962) | (3962) |
| USD | 124352 | 05/15/2033 1M | MSI | 1 day USD OBFR | EQT Corp. | 0 | (4172) | (4172) |
| USD | 232978 | 05/15/2033 1M | MSI | 1 day USD OBFR | Al Rajhi Bank | 0 | (4280) | (4280) |
| USD | 136536 | 05/20/2033 1M | GST | 1 day USD OBFR | Tradeweb Markets, Inc. | 0 | (4376) | (4376) |
| USD | 50390 | 05/20/2033 1M | GST | 1 day USD OBFR | T-Mobile U.S., Inc. | 0 | (4389) | (4389) |
| USD | 178580 | 05/20/2033 1M | GST | 1 day USD OBFR | Rocket Cos., Inc. | 0 | (4900) | (4900) |
| USD | 52959 | 05/05/2028 1M | JPM | 1 day USD OBFR | Meta Platforms, Inc. | 0 | (4981) | (4981) |
| USD | 120824 | 05/20/2033 1M | GST | 1 day USD OBFR | Monster Beverage Corp. | 0 | (5075) | (5075) |
| USD | 235850 | 05/20/2033 1M | GST | 1 day USD OBFR | Netflix, Inc. | 0 | (5365) | (5365) |
| USD | 111289 | 05/15/2033 1M | MSI | 1 day USD OBFR | Dominion Energy, Inc. | 0 | (5412) | (5412) |
| USD | 227110 | 05/20/2033 1M | GST | 1 day USD OBFR | Mastercard, Inc. | 0 | (5458) | (5458) |
| USD | 133370 | 05/05/2028 1M | JPM | 1 day USD OBFR | Expand Energy Corp. | 0 | (5472) | (5472) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | 108334 | 05/15/2033 1M | MSI | 1 day USD OBFR | Dick's Sporting Goods, Inc. | $0 | $(5802) | $(5802) |
| USD | 65600 | 05/15/2033 1M | MSI | 1 day USD OBFR | HA Sustainable Infrastructure Capital, Inc. | 0 | (6079) | (6079) |
| USD | 21384 | 05/15/2033 1M | MSI | 1 day USD OBFR | MP Materials Corp. | 0 | (6369) | (6369) |
| USD | 48188 | 05/15/2033 1M | MSI | 1 day USD OBFR | Wolverine World Wide, Inc. | 0 | (6522) | (6522) |
| USD | 255156 | 05/05/2028 1M | JPM | 1 day USD OBFR | Block, Inc. | 0 | (6529) | (6529) |
| USD | 94187 | 05/15/2033 1M | MSI | 1 day USD OBFR | Celsius Holdings, Inc. | 0 | (6673) | (6673) |
| USD | 239289 | 05/20/2033 1M | GST | 1 day USD OBFR | Antero Resources Corp. | 0 | (7062) | (7062) |
| USD | 106675 | 05/20/2033 1M | GST | 1 day USD OBFR | Yum! Brands, Inc. | 0 | (7164) | (7164) |
| USD | 136499 | 05/20/2033 1M | GST | 1 day USD OBFR | Bill Holdings, Inc. | 0 | (7433) | (7433) |
| USD | 263282 | 05/15/2033 1M | MSI | 1 day USD OBFR | American International Group, Inc. | 0 | (7452) | (7452) |
| USD | 207697 | 05/15/2033 1M | MSI | 1 day USD OBFR | Walmart, Inc. | 0 | (7867) | (7867) |
| USD | 163977 | 05/05/2028 1M | JPM | 1 day USD OBFR | Crown Castle, Inc. | 0 | (8077) | (8077) |
| USD | 133692 | 05/20/2033 1M | GST | 1 day USD OBFR | Crown Castle, Inc. | 0 | (8105) | (8105) |
| USD | 108933 | 05/05/2028 1M | JPM | 1 day USD OBFR | Netflix, Inc. | 0 | (8236) | (8236) |
| USD | 74681 | 05/20/2033 1M | GST | 1 day USD OBFR | Meta Platforms, Inc. | 0 | (8550) | (8550) |
| USD | 190519 | 05/20/2033 1M | GST | 1 day USD OBFR | EQT Corp. | 0 | (9686) | (9686) |
| USD | 153567 | 05/15/2033 1M | MSI | 1 day USD OBFR | StepStone Group, Inc. | 0 | (10438) | (10438) |
| USD | 121024 | 05/05/2028 1M | JPM | 1 day USD OBFR | Chord Energy Corp. | 0 | (10890) | (10890) |
| USD | 122455 | 05/05/2028 1M | JPM | 1 day USD OBFR | Williams Cos., Inc. | 0 | (10997) | (10997) |
| USD | 225876 | 05/20/2033 1M | GST | 1 day USD OBFR | Walmart, Inc. | 0 | (12386) | (12386) |
| USD | 167156 | 05/20/2033 1M | GST | 1 day USD OBFR | Williams Cos., Inc. | 0 | (12701) | (12701) |
| USD | 171398 | 05/20/2033 1M | GST | 1 day USD OBFR | Evercore, Inc. | 0 | (14103) | (14103) |
| USD | 403710 | 05/20/2033 1M | GST | 1 day USD OBFR | Nasdaq, Inc. | 0 | (14901) | (14901) |
| USD | 178429 | 05/15/2033 1M | MSI | 1 day USD OBFR | Excelerate Energy, Inc. | 0 | (15299) | (15299) |
| USD | 129245 | 05/05/2028 1M | JPM | 1 day USD OBFR | Matador Resources Co. | 0 | (15482) | (15482) |
| USD | 206845 | 05/15/2033 1M | MSI | 1 day USD OBFR | Blackrock, Inc. | 0 | (20602) | (20602) |
| USD | 512028 | 05/15/2033 1M | MSI | 1 day USD OBFR | KKR & Co., Inc. | 0 | (25219) | (25219) |
| USD | 505323 | 05/05/2028 1M | JPM | 1 day USD OBFR | KKR & Co., Inc. | 0 | (34015) | (34015) |
| USD | 640502 | 05/15/2033 1M | MSI | 1 day USD OBFR | Boeing Co. | 0 | (38849) | (38849) |
| DKK | 5808 | 05/15/2033 1M | MSI | 1 Month DKK CIBOR | Royal Unibrew AS | 0 | (15) | (15) |
| DKK | 998 | 05/15/2033 1M | MSI | 1 Month DKK CIBOR | NTG Nordic Transport Group AS | 0 | (29) | (29) |
| DKK | 6794 | 05/05/2028 1M | JPM | 1 Month DKK CIBOR | NTG Nordic Transport Group AS | 0 | (125) | (125) |
| DKK | 16727 | 05/20/2033 1M | GST | 1 Month DKK CIBOR | NTG Nordic Transport Group AS | 0 | (551) | (551) |
| DKK | 49591 | 05/20/2033 1M | GST | 1 Month DKK CIBOR | Scandinavian Tobacco Group AS | 0 | (592) | (592) |
| DKK | 82202 | 05/20/2033 1M | GST | 1 Month DKK CIBOR | Royal Unibrew AS | 0 | (3000) | (3000) |
| NOK | 36423 | 05/20/2033 1M | GST | 1 Month NOK NIBOR | Subsea 7 SA | 0 | (155) | (155) |
| NOK | 281795 | 05/15/2033 1M | MSI | 1 Month NOK NIBOR | Storebrand ASA | 0 | (1615) | (1615) |
| NOK | 94131 | 05/05/2028 1M | JPM | 1 Month NOK NIBOR | Var Energi ASA | 0 | (3074) | (3074) |
| CHF | 9105 | 05/15/2033 1M | MSI | 12 Month CHF SARON | Baloise Holding AG | 0 | (115) | (115) |
| CHF | 29345 | 05/05/2028 1M | JPM | 12 Month CHF SARON | Sulzer AG | 0 | (682) | (682) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| CHF | 101511 | 05/15/2033 1M | MSI | 12 Month CHF SARON | UBS Group AG | $0 | $(1762) | $(1762) |
| EUR | 1733 | 05/05/2028 1M | JPM | 12 Month EUR STR | Sampo OYJ | 0 | (1) | (1) |
| EUR | 1718 | 05/15/2033 1M | MSI | 12 Month EUR STR | Beiersdorf AG | 0 | (10) | (10) |
| EUR | 1138 | 05/15/2033 1M | MSI | 12 Month EUR STR | Sampo OYJ | 0 | (14) | (14) |
| EUR | 817 | 05/05/2028 1M | JPM | 12 Month EUR STR | SAP SE | 0 | (30) | (30) |
| EUR | 1089 | 05/15/2033 1M | MSI | 12 Month EUR STR | SAP SE | 0 | (40) | (40) |
| EUR | 3981 | 05/15/2033 1M | MSI | 12 Month EUR STR | Elis SA | 0 | (46) | (46) |
| EUR | 1806 | 05/05/2028 1M | JPM | 12 Month EUR STR | IONOS Group SE | 0 | (46) | (46) |
| EUR | 7565 | 05/15/2033 1M | MSI | 12 Month EUR STR | Sacyr SA | 0 | (50) | (50) |
| EUR | 9011 | 05/05/2028 1M | JPM | 12 Month EUR STR | Bank of Ireland Group PLC | 0 | (63) | (63) |
| EUR | 6145 | 05/05/2028 1M | JPM | 12 Month EUR STR | National Bank of Greece SA | 0 | (86) | (86) |
| EUR | 2053 | 05/05/2028 1M | JPM | 12 Month EUR STR | Vienna Insurance Group AG Wiener Versicherung Gruppe | 0 | (120) | (120) |
| EUR | 4214 | 05/05/2028 1M | JPM | 12 Month EUR STR | Technip Energies NV | 0 | (120) | (120) |
| EUR | 288725 | 05/20/2033 1M | GST | 12 Month EUR STR | Merlin Properties Socimi SA | 0 | (122) | (122) |
| EUR | 2838 | 05/15/2033 1M | MSI | 12 Month EUR STR | IPSOS SA | 0 | (168) | (168) |
| EUR | 11453 | 05/20/2033 1M | GST | 12 Month EUR STR | Saipem SpA | 0 | (180) | (180) |
| EUR | 6891 | 05/15/2033 1M | MSI | 12 Month EUR STR | Acerinox SA | 0 | (279) | (279) |
| EUR | 4083 | 05/15/2033 1M | MSI | 12 Month EUR STR | IONOS Group SE | 0 | (320) | (320) |
| EUR | 11405 | 05/05/2028 1M | JPM | 12 Month EUR STR | DiaSorin SpA | 0 | (340) | (340) |
| EUR | 27799 | 05/20/2033 1M | GST | 12 Month EUR STR | Danone SA | 0 | (355) | (355) |
| EUR | 30741 | 05/20/2033 1M | GST | 12 Month EUR STR | RENK Group AG | 0 | (375) | (375) |
| EUR | 22629 | 05/05/2028 1M | JPM | 12 Month EUR STR | SPIE SA | 0 | (579) | (579) |
| EUR | 11494 | 05/15/2033 1M | MSI | 12 Month EUR STR | Aperam SA | 0 | (616) | (616) |
| EUR | 11917 | 05/15/2033 1M | MSI | 12 Month EUR STR | SPIE SA | 0 | (618) | (618) |
| EUR | 82828 | 05/20/2033 1M | GST | 12 Month EUR STR | Immobiliare Grande Distribuzione SIIQ SpA | 0 | (691) | (691) |
| EUR | 17894 | 05/20/2033 1M | GST | 12 Month EUR STR | National Bank of Greece SA | 0 | (746) | (746) |
| EUR | 302870 | 05/15/2033 1M | MSI | 12 Month EUR STR | EU Defense Stocks Index | 0 | (848) | (848) |
| EUR | 78890 | 05/05/2028 1M | JPM | 12 Month EUR STR | Bilfinger SE | 0 | (1087) | (1087) |
| EUR | 93140 | 05/20/2033 1M | GST | 12 Month EUR STR | Bankinter SA | 0 | (1088) | (1088) |
| EUR | 11014 | 05/15/2033 1M | MSI | 12 Month EUR STR | Outokumpu OYJ | 0 | (1089) | (1089) |
| EUR | 20163 | 05/20/2033 1M | GST | 12 Month EUR STR | Ubisoft Entertainment SA | 0 | (1105) | (1105) |
| EUR | 25983 | 05/05/2028 1M | JPM | 12 Month EUR STR | Vossloh AG | 0 | (1194) | (1194) |
| EUR | 14385 | 05/05/2028 1M | JPM | 12 Month EUR STR | IPSOS SA | 0 | (1266) | (1266) |
| EUR | 32044 | 05/20/2033 1M | GST | 12 Month EUR STR | Beiersdorf AG | 0 | (1437) | (1437) |
| EUR | 52903 | 05/20/2033 1M | GST | 12 Month EUR STR | FUCHS SE | 0 | (1553) | (1553) |
| EUR | 21642 | 05/15/2033 1M | MSI | 12 Month EUR STR | Technip Energies NV | 0 | (1636) | (1636) |
| EUR | 12669 | 05/20/2033 1M | GST | 12 Month EUR STR | Arcadis NV | 0 | (1648) | (1648) |
| EUR | 58931 | 05/20/2033 1M | GST | 12 Month EUR STR | Qiagen NV | 0 | (1769) | (1769) |
| EUR | 40319 | 05/20/2033 1M | GST | 12 Month EUR STR | SAP SE | 0 | (2190) | (2190) |
| EUR | 50313 | 05/15/2033 1M | MSI | 12 Month EUR STR | Talanx AG | 0 | (2263) | (2263) |
| EUR | 260749 | 05/20/2033 1M | GST | 12 Month EUR STR | Talanx AG | 0 | (2933) | (2933) |
| EUR | 71747 | 05/15/2033 1M | MSI | 12 Month EUR STR | Salzgitter AG | 0 | (3108) | (3108) |
| EUR | 73773 | 05/20/2033 1M | GST | 12 Month EUR STR | Brenntag SE | 0 | (3140) | (3140) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| EUR | 44370 | 05/20/2033 1M | GST | 12 Month EUR STR | IPSOS SA | $0 | $(3349) | $(3349) |
| EUR | 180199 | 05/15/2033 1M | MSI | 12 Month EUR STR | National Bank of Greece SA | 0 | (3494) | (3494) |
| EUR | 47763 | 05/05/2028 1M | JPM | 12 Month EUR STR | Brenntag SE | 0 | (3655) | (3655) |
| EUR | 135334 | 05/20/2033 1M | GST | 12 Month EUR STR | Rheinmetall AG | 0 | (3750) | (3750) |
| EUR | 145524 | 05/20/2033 1M | GST | 12 Month EUR STR | Elis SA | 0 | (3841) | (3841) |
| EUR | 96466 | 05/20/2033 1M | GST | 12 Month EUR STR | SPIE SA | 0 | (4091) | (4091) |
| EUR | 62272 | 05/05/2028 1M | JPM | 12 Month EUR STR | Rheinmetall AG | 0 | (4154) | (4154) |
| EUR | 36899 | 05/20/2033 1M | GST | 12 Month EUR STR | UCB SA | 0 | (4450) | (4450) |
| EUR | 69014 | 05/05/2028 1M | JPM | 12 Month EUR STR | Leonardo SpA | 0 | (5178) | (5178) |
| EUR | 115452 | 05/20/2033 1M | GST | 12 Month EUR STR | Technip Energies NV | 0 | (6702) | (6702) |
| EUR | 58244 | 05/20/2033 1M | GST | 12 Month EUR STR | Linea Directa Aseguradora SA Cia de Seguros y Reaseguros | 0 | (7161) | (7161) |
| EUR | 667841 | 05/05/2028 1M | JPM | 12 Month EUR STR | Schneider Electric SE | 0 | (7829) | (7829) |
| EUR | 70902 | 05/05/2028 1M | JPM | 12 Month EUR STR | UCB SA | 0 | (8482) | (8482) |
| EUR | 93916 | 05/20/2033 1M | GST | 12 Month EUR STR | IONOS Group SE | 0 | (9140) | (9140) |
| EUR | 118886 | 05/20/2033 1M | GST | 12 Month EUR STR | United Internet AG | 0 | (9599) | (9599) |
| EUR | 204198 | 05/15/2033 1M | MSI | 12 Month EUR STR | Linea Directa Aseguradora SA Cia de Seguros y Reaseguros | 0 | (12805) | (12805) |
| EUR | 61950 | 05/05/2028 1M | JPM | 12 Month EUR STR | RENK Group AG | 0 | (13278) | (13278) |
| GBP | 75673 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | Hiscox Ltd. | 0 | (65) | (65) |
| GBP | 704864 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | Anglo American PLC | 0 | (72) | (72) |
| GBP | 106354 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | Standard Chartered PLC | 0 | (105) | (105) |
| GBP | 13514 | 05/05/2028 1M | JPM | 12 Month GBP WMBA SONIA Compound | RS Group PLC | 0 | (183) | (183) |
| GBP | 6908 | 05/05/2028 1M | JPM | 12 Month GBP WMBA SONIA Compound | Genus PLC | 0 | (495) | (495) |
| GBP | 76420 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | NewRiver REIT PLC | 0 | (810) | (810) |
| GBP | 26795 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | Bunzl PLC | 0 | (979) | (979) |
| GBP | 18903 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | Valterra Platinum Ltd. | 0 | (1907) | (1907) |
| GBP | 150387 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | Unilever PLC | 0 | (2942) | (2942) |
| GBP | 55417 | 05/20/2033 1M | GST | 12 Month GBP WMBA SONIA Compound | Bunzl PLC | 0 | (2997) | (2997) |
| GBP | 94748 | 05/05/2028 1M | JPM | 12 Month GBP WMBA SONIA Compound | Bunzl PLC | 0 | (5100) | (5100) |
| GBP | 65990 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | Genus PLC | 0 | (5496) | (5496) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| GBP | 533337 | 05/15/2033 1M | MSI | 12 Month GBP WMBA SONIA Compound | ICG PLC | $0 | $(31155) | $(31155) |
| JPY | 6381 | 05/05/2028 1M | JPM | 12 Month JPY TONA | Shiga Bank Ltd. | 0 | (105) | (105) |
| JPY | 37859 | 05/20/2033 1M | GST | 12 Month JPY TONA | Sony Group Corp. | 0 | (811) | (811) |
| JPY | 125562 | 05/20/2033 1M | GST | 12 Month JPY TONA | Shiga Bank Ltd. | 0 | (1112) | (1112) |
| PLN | 39327 | 05/15/2033 1M | MSI | 12 Month PLN WIBOR WIBO | Alior Bank SA | 0 | (1186) | (1186) |
| PLN | 135800 | 05/20/2033 1M | GST | 12 Month PLN WIBOR WIBO | Alior Bank SA | 0 | (1707) | (1707) |
| SEK | 26480 | 05/05/2028 1M | JPM | 12 Month SEK STIBOR | NOBA Bank Group AB | 0 | (136) | (136) |
| SEK | 41831 | 05/20/2033 1M | GST | 12 Month SEK STIBOR | Haypp Group AB | 0 | (161) | (161) |
| SEK | 29463 | 05/20/2033 1M | GST | 12 Month SEK STIBOR | Castellum AB | 0 | (1014) | (1014) |
| SEK | 30483 | 05/15/2033 1M | MSI | 12 Month SEK STIBOR | Camurus AB | 0 | (1902) | (1902) |
| SEK | 170781 | 05/15/2033 1M | MSI | 12 Month SEK STIBOR | Castellum AB | 0 | (5851) | (5851) |
| ZAR | 1261 | 05/15/2033 1M | MSI | 3 Month ZAR JIBAR SAFEX | Impala Platinum Holdings Ltd. | 0 | (206) | (206) |
| ZAR | 53921 | 05/15/2033 1M | MSI | 3 Month ZAR JIBAR SAFEX | Sibanye Stillwater Ltd. | 0 | (6162) | (6162) |
| GBP | (22940) | 05/15/2033 1M | MSI | 3i Group PLC | 12 Month GBP WMBA SONIA Compound | 0 | (564) | (564) |
| GBP | (25377) | 05/20/2033 1M | GST | 3i Group PLC | 12 Month GBP WMBA SONIA Compound | 0 | (640) | (640) |
| CAD | 14546 | 05/20/2033 1M | GST | 6 Month CAD CORRA | Cenovus Energy, Inc. | 0 | (73) | (73) |
| CAD | 15868 | 05/15/2033 1M | MSI | 6 Month CAD CORRA | Pembina Pipeline Corp. | 0 | (297) | (297) |
| CAD | 27445 | 05/15/2033 1M | MSI | 6 Month CAD CORRA | Foran Mining Corp. | 0 | (362) | (362) |
| CAD | 18413 | 05/05/2028 1M | JPM | 6 Month CAD CORRA | Cenovus Energy, Inc. | 0 | (475) | (475) |
| CAD | 12308 | 05/20/2033 1M | GST | 6 Month CAD CORRA | First Quantum Minerals Ltd. | 0 | (751) | (751) |
| CAD | 7492 | 05/15/2033 1M | MSI | 6 Month CAD CORRA | First Quantum Minerals Ltd. | 0 | (877) | (877) |
| CAD | 14566 | 05/20/2033 1M | GST | 6 Month CAD CORRA | NGEx Minerals Ltd. | 0 | (2880) | (2880) |
| CAD | 50940 | 05/15/2033 1M | MSI | 6 Month CAD CORRA | NGEx Minerals Ltd. | 0 | (5571) | (5571) |
| USD | (44107) | 05/15/2033 1M | MSI | Accenture PLC | 1 day USD OBFR | 0 | (2212) | (2212) |
| USD | (114445) | 05/20/2033 1M | GST | Accenture PLC | 1 day USD OBFR | 0 | (4161) | (4161) |
| USD | (14077) | 05/15/2033 1M | MSI | ACM Research, Inc. | 1 day USD OBFR | 0 | (766) | (766) |
| SEK | (26897) | 05/05/2028 1M | JPM | AddTech AB | 12 Month SEK STIBOR | 0 | (1112) | (1112) |
| SEK | (18893) | 05/15/2033 1M | MSI | AddTech AB | 12 Month SEK STIBOR | 0 | (1277) | (1277) |
| SEK | (44011) | 05/20/2033 1M | GST | AddTech AB | 12 Month SEK STIBOR | 0 | (2705) | (2705) |
| USD | (10250) | 05/15/2033 1M | MSI | Adobe, Inc. | 1 day USD OBFR | 0 | (300) | (300) |
| USD | (17375) | 05/20/2033 1M | GST | Advanced Energy Industries, Inc. | 1 day USD OBFR | 0 | (466) | (466) |
| USD | (136063) | 05/20/2033 1M | GST | Advanced Micro Devices, Inc. | 1 day USD OBFR | 0 | (3523) | (3523) |
| USD | (178950) | 05/15/2033 1M | MSI | Advanced Micro Devices, Inc. | 1 day USD OBFR | 0 | (13076) | (13076) |
| JPY | (229) | 05/15/2033 1M | MSI | Advantest Corp. | 12 Month JPY TONA | 0 | (73) | (73) |
| JPY | (2558) | 05/20/2033 1M | GST | Advantest Corp. | 12 Month JPY TONA | 0 | (777) | (777) |
| EUR | (2125) | 05/05/2028 1M | JPM | Aeroports de Paris SA | 12 Month EUR STR | 0 | (81) | (81) |
| EUR | (46018) | 05/15/2033 1M | MSI | Aeroports de Paris SA | 12 Month EUR STR | 0 | (165) | (165) |
| USD | (66231) | 05/15/2033 1M | MSI | Airbnb, Inc. | 1 day USD OBFR | 0 | (1215) | (1215) |
| EUR | (10619) | 05/15/2033 1M | MSI | Airbus SE | 12 Month EUR STR | 0 | (563) | (563) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| EUR | (31098) | 05/20/2033 1M | GST | Airbus SE | 12 Month EUR STR | $0 | $(1532) | $(1532) |
| JPY | (1377) | 05/05/2028 1M | JPM | Aisin Corp. | 12 Month JPY TONA | 0 | (97) | (97) |
| USD | (2228) | 05/20/2033 1M | GST | Akamai Technologies, Inc. | 1 day USD OBFR | 0 | (26) | (26) |
| USD | (296714) | 05/15/2033 1M | MSI | Alerian MLP ETF | 1 day USD OBFR | 0 | (5047) | (5047) |
| HKD | (12359) | 05/20/2033 1M | GST | Alibaba Group Holding Ltd. | 1 day HKD HONIA | 0 | (239) | (239) |
| USD | (13169) | 05/15/2033 1M | MSI | Allegro MicroSystems, Inc. | 1 day USD OBFR | 0 | (474) | (474) |
| PLN | (5165) | 05/05/2028 1M | JPM | Allegro.eu SA | 12 Month PLN WIBOR WIBO | 0 | (106) | (106) |
| PLN | (7331) | 05/20/2033 1M | GST | Allegro.eu SA | 12 Month PLN WIBOR WIBO | 0 | (164) | (164) |
| JPY | (1377) | 05/05/2028 1M | JPM | Alps Alpine Co., Ltd. | 12 Month JPY TONA | 0 | (34) | (34) |
| USD | (38137) | 05/15/2033 1M | MSI | American Express Co. | 1 day USD OBFR | 0 | (477) | (477) |
| USD | (126334) | 05/20/2033 1M | GST | American Express Co. | 1 day USD OBFR | 0 | (955) | (955) |
| USD | (15272) | 05/05/2028 1M | JPM | American Express Co. | 1 day USD OBFR | 0 | (1360) | (1360) |
| USD | (18640) | 05/20/2033 1M | GST | Amphenol Corp. | 1 day USD OBFR | 0 | (1704) | (1704) |
| EUR | (1586) | 05/05/2028 1M | JPM | Anheuser-Busch InBev SA | 12 Month EUR STR | 0 | (83) | (83) |
| JPY | (1373) | 05/05/2028 1M | JPM | Anritsu Corp. | 12 Month JPY TONA | 0 | (246) | (246) |
| USD | (36290) | 05/05/2028 1M | JPM | Applied Materials, Inc. | 1 day USD OBFR | 0 | (540) | (540) |
| USD | (105687) | 05/20/2033 1M | GST | Applied Materials, Inc. | 1 day USD OBFR | 0 | (2239) | (2239) |
| USD | (115838) | 05/15/2033 1M | MSI | Applied Materials, Inc. | 1 day USD OBFR | 0 | (2810) | (2810) |
| USD | (12648) | 05/15/2033 1M | MSI | AppLovin Corp. | 1 day USD OBFR | 0 | (736) | (736) |
| USD | (2352) | 05/05/2028 1M | JPM | ArcBest Corp. | 1 day USD OBFR | 0 | (26) | (26) |
| USD | (3079) | 05/20/2033 1M | GST | ARES Management Corp. | 1 day USD OBFR | 0 | (44) | (44) |
| USD | (29337) | 05/15/2033 1M | MSI | Argan, Inc. | 1 day USD OBFR | 0 | (1590) | (1590) |
| EUR | (816) | 05/15/2033 1M | MSI | Argenx SE | 12 Month EUR STR | 0 | (9) | (9) |
| JPY | (548) | 05/05/2028 1M | JPM | Asahi Intecc Co., Ltd. | 12 Month JPY TONA | 0 | (17) | (17) |
| JPY | (2200) | 05/20/2033 1M | GST | Asics Corp. | 12 Month JPY TONA | 0 | (125) | (125) |
| EUR | (657) | 05/05/2028 1M | JPM | ASM International NV | 12 Month EUR STR | 0 | (4) | (4) |
| EUR | (16586) | 05/20/2033 1M | GST | ASM International NV | 12 Month EUR STR | 0 | (502) | (502) |
| USD | (6620) | 05/15/2033 1M | MSI | Astera Labs, Inc. | 1 day USD OBFR | 0 | (1034) | (1034) |
| EUR | (6764) | 05/05/2028 1M | JPM | Auto1 Group SE | 12 Month EUR STR | 0 | (553) | (553) |
| EUR | (11819) | 05/15/2033 1M | MSI | Auto1 Group SE | 12 Month EUR STR | 0 | (816) | (816) |
| EUR | (38032) | 05/20/2033 1M | GST | Auto1 Group SE | 12 Month EUR STR | 0 | (1094) | (1094) |
| NOK | (27456) | 05/05/2028 1M | JPM | AutoStore Holdings Ltd. | 1 Month NOK NIBOR | 0 | (175) | (175) |
| NOK | (7442) | 05/20/2033 1M | GST | AutoStore Holdings Ltd. | 1 Month NOK NIBOR | 0 | (480) | (480) |
| NOK | (16988) | 05/15/2033 1M | MSI | AutoStore Holdings Ltd. | 1 Month NOK NIBOR | 0 | (680) | (680) |
| USD | (37626) | 05/05/2028 1M | JPM | Avista Corp. | 1 day USD OBFR | 0 | (880) | (880) |
| GBP | (102870) | 05/15/2033 1M | MSI | Aviva PLC | 12 Month GBP WMBA SONIA Compound | 0 | (754) | (754) |
| USD | (1366) | 05/20/2033 1M | GST | Axon Enterprise, Inc. | 1 day USD OBFR | 0 | (98) | (98) |
| CHF | (36891) | 05/05/2028 1M | JPM | Bachem Holding AG | 12 Month CHF SARON | 0 | (1563) | (1563) |
| EUR | (103829) | 05/15/2033 1M | MSI | Bankinter SA | 12 Month EUR STR | 0 | (1657) | (1657) |
| CHF | (54124) | 05/20/2033 1M | GST | Banque Cantonale Vaudoise | 12 Month CHF SARON | 0 | (416) | (416) |
| EUR | (3312) | 05/15/2033 1M | MSI | Basic-Fit NV | 12 Month EUR STR | 0 | (133) | (133) |
| EUR | (5507) | 05/05/2028 1M | JPM | Basic-Fit NV | 12 Month EUR STR | 0 | (170) | (170) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| EUR | (11315) | 05/05/2028 1M | JPM | BE Semiconductor Industries NV | 12 Month EUR STR | $0 | $(106) | $(106) |
| EUR | (61415) | 05/20/2033 1M | GST | BE Semiconductor Industries NV | 12 Month EUR STR | 0 | (1669) | (1669) |
| EUR | (2020) | 05/05/2028 1M | JPM | Bechtle AG | 12 Month EUR STR | 0 | (108) | (108) |
| EUR | (71814) | 05/20/2033 1M | GST | Bechtle AG | 12 Month EUR STR | 0 | (1520) | (1520) |
| SEK | (1103) | 05/05/2028 1M | JPM | Beijer Ref AB | 12 Month SEK STIBOR | 0 | (5) | (5) |
| SEK | (20221) | 05/15/2033 1M | MSI | Beijer Ref AB | 12 Month SEK STIBOR | 0 | (252) | (252) |
| CHF | (2092) | 05/20/2033 1M | GST | Belimo Holding AG | 12 Month CHF SARON | 0 | (83) | (83) |
| CHF | (49729) | 05/05/2028 1M | JPM | Belimo Holding AG | 12 Month CHF SARON | 0 | (2464) | (2464) |
| USD | (61969) | 05/20/2033 1M | GST | BHP Group Ltd. | 1 day USD OBFR | 0 | (273) | (273) |
| EUR | (21980) | 05/15/2033 1M | MSI | BioMerieux | 12 Month EUR STR | 0 | (464) | (464) |
| CAD | (12657) | 05/15/2033 1M | MSI | Birchcliff Energy Ltd. | 6 Month CAD CORRA | 0 | (1466) | (1466) |
| USD | (51598) | 05/05/2028 1M | JPM | Boubyan Bank KSCP | 1 day USD OBFR | 0 | (759) | (759) |
| GBP | (96650) | 05/05/2028 1M | JPM | BP PLC | 12 Month GBP WMBA SONIA Compound | 0 | (3552) | (3552) |
| CAD | (4537) | 05/05/2028 1M | JPM | Brookfield Corp. | 6 Month CAD CORRA | 0 | (92) | (92) |
| CAD | (11520) | 05/15/2033 1M | MSI | Brookfield Corp. | 6 Month CAD CORRA | 0 | (167) | (167) |
| GBP | (2844) | 05/05/2028 1M | JPM | BT Group PLC | 12 Month GBP WMBA SONIA Compound | 0 | (38) | (38) |
| GBP | (56100) | 05/20/2033 1M | GST | Burberry Group PLC | 12 Month GBP WMBA SONIA Compound | 0 | (196) | (196) |
| GBP | (20975) | 05/05/2028 1M | JPM | Burberry Group PLC | 12 Month GBP WMBA SONIA Compound | 0 | (468) | (468) |
| USD | (29338) | 05/20/2033 1M | GST | Cadence Design Systems, Inc. | 1 day USD OBFR | 0 | (805) | (805) |
| USD | (10245) | 05/05/2028 1M | JPM | Calumet, Inc. | 1 day USD OBFR | 0 | (747) | (747) |
| USD | (28733) | 05/20/2033 1M | GST | Calumet, Inc. | 1 day USD OBFR | 0 | (1193) | (1193) |
| EUR | (54288) | 05/05/2028 1M | JPM | Carrefour SA | 12 Month EUR STR | 0 | (760) | (760) |
| USD | 22964 | 05/15/2033 1M | MSI | Cava Group, Inc. | 1 day USD OBFR | 0 | (3622) | (3622) |
| PLN | (2105) | 05/05/2028 1M | JPM | CCC SA | 12 Month PLN WIBOR WIBO | 0 | (138) | (138) |
| PLN | (5571) | 05/20/2033 1M | GST | CD Projekt SA | 12 Month PLN WIBOR WIBO | 0 | (14) | (14) |
| PLN | (8444) | 05/15/2033 1M | MSI | CD Projekt SA | 12 Month PLN WIBOR WIBO | 0 | (95) | (95) |
| USD | (55349) | 05/15/2033 1M | MSI | Celestica, Inc. | 1 day USD OBFR | 0 | (2523) | (2523) |
| USD | (42810) | 05/20/2033 1M | GST | Celestica, Inc. | 1 day USD OBFR | 0 | (7829) | (7829) |
| USD | (2292) | 05/20/2033 1M | GST | Cencora, Inc. | 1 day USD OBFR | 0 | (73) | (73) |
| USD | (14530) | 05/15/2033 1M | MSI | CGI, Inc. | 1 day USD OBFR | 0 | (86) | (86) |
| JPY | (400) | 05/05/2028 1M | JPM | Chiyoda Corp. | 12 Month JPY TONA | 0 | (15) | (15) |
| USD | (150293) | 05/15/2033 1M | MSI | Chubb Ltd. | 1 day USD OBFR | 0 | (5070) | (5070) |
| USD | (173) | 05/20/2033 1M | GST | Ciena Corp. | 1 day USD OBFR | 0 | (17) | (17) |
| USD | (3831) | 05/05/2028 1M | JPM | Ciena Corp. | 1 day USD OBFR | 0 | (917) | (917) |
| USD | (20583) | 05/15/2033 1M | MSI | Ciena Corp. | 1 day USD OBFR | 0 | (2588) | (2588) |
| USD | (16527) | 05/20/2033 1M | GST | Cinemark Holdings, Inc. | 1 day USD OBFR | 0 | (192) | (192) |
| USD | (14041) | 05/20/2033 1M | GST | Cirrus Logic, Inc. | 1 day USD OBFR | 0 | (153) | (153) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | (8407) | 05/05/2028 1M | JPM | Cisco Systems, Inc. | 1 day USD OBFR | $0 | $(512) | $(512) |
| USD | (30733) | 05/20/2033 1M | GST | Cisco Systems, Inc. | 1 day USD OBFR | 0 | (1070) | (1070) |
| USD | (41981) | 05/15/2033 1M | MSI | Civitas Resources, Inc. | 1 day USD OBFR | 0 | (456) | (456) |
| USD | (36065) | 05/20/2033 1M | GST | Civitas Resources, Inc. | 1 day USD OBFR | 0 | (2077) | (2077) |
| JPY | (504) | 05/05/2028 1M | JPM | CKD Corp. | 12 Month JPY TONA | 0 | (20) | (20) |
| USD | (884) | 05/05/2028 1M | JPM | Cloudflare, Inc. | 1 day USD OBFR | 0 | (129) | (129) |
| USD | (7826) | 05/15/2033 1M | MSI | Cloudflare, Inc. | 1 day USD OBFR | 0 | (1293) | (1293) |
| USD | (12569) | 05/20/2033 1M | GST | Cloudflare, Inc. | 1 day USD OBFR | 0 | (2375) | (2375) |
| USD | (162321) | 05/05/2028 1M | JPM | CME Group, Inc. | 1 day USD OBFR | 0 | (425) | (425) |
| USD | (33169) | 05/05/2028 1M | JPM | CMS Energy Corp. | 1 day USD OBFR | 0 | (149) | (149) |
| USD | (2532) | 05/20/2033 1M | GST | Coca-Cola Co. | 1 day USD OBFR | 0 | (17) | (17) |
| USD | (6056) | 05/15/2033 1M | MSI | Cognizant Technology Solutions Corp. | 1 day USD OBFR | 0 | (358) | (358) |
| USD | (1951) | 05/05/2028 1M | JPM | Coherent Corp. | 1 day USD OBFR | 0 | (292) | (292) |
| USD | (5631) | 05/15/2033 1M | MSI | Coherent Corp. | 1 day USD OBFR | 0 | (1099) | (1099) |
| USD | (103299) | 05/20/2033 1M | GST | Coherent Corp. | 1 day USD OBFR | 0 | (7547) | (7547) |
| USD | (837) | 05/20/2033 1M | GST | Comfort Systems USA, Inc. | 1 day USD OBFR | 0 | (129) | (129) |
| USD | (3302) | 05/05/2028 1M | JPM | Comfort Systems USA, Inc. | 1 day USD OBFR | 0 | (561) | (561) |
| USD | (56825) | 05/20/2033 1M | GST | Commercial Bank PSQC | 1 day USD OBFR | 0 | (448) | (448) |
| EUR | (196003) | 05/15/2033 1M | MSI | Commerzbank AG | 12 Month EUR STR | 0 | (6642) | (6642) |
| AUD | (134983) | 05/15/2033 1M | MSI | Commonwealth Bank of Australia | 1 day AUD AONIA | 0 | (3596) | (3596) |
| USD | (24033) | 05/20/2033 1M | GST | Comstock Resources, Inc. | 1 day USD OBFR | 0 | (904) | (904) |
| USD | (24767) | 05/15/2033 1M | MSI | Comstock Resources, Inc. | 1 day USD OBFR | 0 | (1727) | (1727) |
| JPY | (133958) | 05/15/2033 1M | MSI | Concordia Financial Group Ltd. | 12 Month JPY TONA | 0 | (5787) | (5787) |
| USD | (2873) | 05/20/2033 1M | GST | ConocoPhillips | 1 day USD OBFR | 0 | (59) | (59) |
| USD | (18799) | 05/20/2033 1M | GST | Constellation Energy Corp. | 1 day USD OBFR | 0 | (805) | (805) |
| USD | (34954) | 05/05/2028 1M | JPM | Constellation Energy Corp. | 1 day USD OBFR | 0 | (1238) | (1238) |
| USD | (36438) | 05/05/2028 1M | JPM | Costco Wholesale Corp. | 1 day USD OBFR | 0 | (72) | (72) |
| EUR | (21573) | 05/20/2033 1M | GST | Credito Emiliano SpA | 12 Month EUR STR | 0 | (799) | (799) |
| EUR | (84671) | 05/15/2033 1M | MSI | Credito Emiliano SpA | 12 Month EUR STR | 0 | (4614) | (4614) |
| USD | (14152) | 05/05/2028 1M | JPM | Credo Technology Group Holding Ltd. | 1 day USD OBFR | 0 | (3859) | (3859) |
| USD | (24940) | 05/15/2033 1M | MSI | Crowdstrike Holdings, Inc. | 1 day USD OBFR | 0 | (2753) | (2753) |
| USD | (3503) | 05/20/2033 1M | GST | CyberArk Software Ltd. | 1 day USD OBFR | 0 | (142) | (142) |
| JPY | (1390) | 05/05/2028 1M | JPM | Dai-Dan Co., Ltd. | 12 Month JPY TONA | 0 | (101) | (101) |
| JPY | (1280) | 05/05/2028 1M | JPM | Daihen Corp. | 12 Month JPY TONA | 0 | (191) | (191) |
| EUR | (8460) | 05/15/2033 1M | MSI | Daimler Truck Holding AG | 12 Month EUR STR | 0 | (190) | (190) |
| JPY | (38758) | 05/05/2028 1M | JPM | Daiwa Securities Group, Inc. | 12 Month JPY TONA | 0 | (256) | (256) |
| JPY | (137620) | 05/20/2033 1M | GST | Daiwa Securities Group, Inc. | 12 Month JPY TONA | 0 | (5522) | (5522) |
| JPY | (65872) | 05/15/2033 1M | MSI | Daiwa Securities Group, Inc. | 12 Month JPY TONA | 0 | (5608) | (5608) |
| USD | (4720) | 05/20/2033 1M | GST | Darling Ingredients, Inc. | 1 day USD OBFR | 0 | (184) | (184) |
| USD | (14116) | 05/15/2033 1M | MSI | Darling Ingredients, Inc. | 1 day USD OBFR | 0 | (595) | (595) |
| USD | (6609) | 05/15/2033 1M | MSI | Dell Technologies, Inc. | 1 day USD OBFR | 0 | (357) | (357) |
| USD | (16118) | 05/20/2033 1M | GST | Dell Technologies, Inc. | 1 day USD OBFR | 0 | (1541) | (1541) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | (2116) | 05/05/2028 1M | JPM | Denali Therapeutics, Inc. | 1 day USD OBFR | $0 | $(147) | $(147) |
| JPY | (1426) | 05/05/2028 1M | JPM | Dexerials Corp. | 12 Month JPY TONA | 0 | (52) | (52) |
| USD | (5016) | 05/05/2028 1M | JPM | Diebold Nixdorf, Inc. | 1 day USD OBFR | 0 | (71) | (71) |
| PLN | (6976) | 05/05/2028 1M | JPM | Dino Polska SA | 12 Month PLN WIBOR WIBO | 0 | (162) | (162) |
| GBP | (40481) | 05/20/2033 1M | GST | Diversified Energy Co. PLC | 12 Month GBP WMBA SONIA Compound | 0 | (1060) | (1060) |
| CAD | (2048) | 05/05/2028 1M | JPM | Dollarama, Inc. | 6 Month CAD CORRA | 0 | (44) | (44) |
| USD | (1900) | 05/05/2028 1M | JPM | Eaton Corp. PLC | 1 day USD OBFR | 0 | (8) | (8) |
| USD | (1511) | 05/20/2033 1M | GST | Eaton Corp. PLC | 1 day USD OBFR | 0 | (15) | (15) |
| USD | (18621) | 05/15/2033 1M | MSI | Eaton Corp. PLC | 1 day USD OBFR | 0 | (838) | (838) |
| JPY | (1258) | 05/05/2028 1M | JPM | Ebara Corp. | 12 Month JPY TONA | 0 | (101) | (101) |
| USD | 38000 | 05/15/2033 1M | MSI | elf Beauty, Inc. | 1 day USD OBFR | 0 | (4167) | (4167) |
| USD | (2680) | 05/05/2028 1M | JPM | EMCOR Group, Inc. | 1 day USD OBFR | 0 | (23) | (23) |
| CHF | (12407) | 05/05/2028 1M | JPM | Emmi AG | 12 Month CHF SARON | 0 | (165) | (165) |
| USD | (31132) | 05/15/2033 1M | MSI | Energy Select Sector SPDR Fund | 1 day USD OBFR | 0 | (154) | (154) |
| USD | (117826) | 05/20/2033 1M | GST | Energy Transfer LP | 1 day USD OBFR | 0 | (422) | (422) |
| SEK | (855) | 05/15/2033 1M | MSI | Engcon AB | 12 Month SEK STIBOR | 0 | (84) | (84) |
| SEK | (6323) | 05/05/2028 1M | JPM | Engcon AB | 12 Month SEK STIBOR | 0 | (402) | (402) |
| SEK | (12425) | 05/20/2033 1M | GST | Engcon AB | 12 Month SEK STIBOR | 0 | (1230) | (1230) |
| EUR | (132364) | 05/20/2033 1M | GST | Eni SpA | 12 Month EUR STR | 0 | (10096) | (10096) |
| USD | (18565) | 05/05/2028 1M | JPM | Entergy Corp. | 1 day USD OBFR | 0 | (77) | (77) |
| USD | (18575) | 05/15/2033 1M | MSI | Entergy Corp. | 1 day USD OBFR | 0 | (163) | (163) |
| SEK | (23510) | 05/05/2028 1M | JPM | EQT AB | 12 Month SEK STIBOR | 0 | (308) | (308) |
| SEK | (118690) | 05/20/2033 1M | GST | EQT AB | 12 Month SEK STIBOR | 0 | (3752) | (3752) |
| USD | (57085) | 05/15/2033 1M | MSI | Equinor ASA | 1 day USD OBFR | 0 | (1234) | (1234) |
| USD | (83385) | 05/20/2033 1M | GST | Equinor ASA | 1 day USD OBFR | 0 | (2320) | (2320) |
| USD | (2064) | 05/20/2033 1M | GST | Equitable Holdings, Inc. | 1 day USD OBFR | 0 | (60) | (60) |
| EUR | (1) | 05/20/2033 1M | GST | EssilorLuxottica SA | 12 Month EUR STR | 0 | 0 | 0 |
| EUR | (36225) | 05/20/2033 1M | GST | Exosens SAS | 12 Month EUR STR | 0 | (2302) | (2302) |
| USD | (10258) | 05/20/2033 1M | GST | Expedia Group, Inc. | 1 day USD OBFR | 0 | (82) | (82) |
| GBP | (4537) | 05/05/2028 1M | JPM | Experian PLC | 12 Month GBP WMBA SONIA Compound | 0 | (7) | (7) |
| GBP | (8404) | 05/20/2033 1M | GST | Experian PLC | 12 Month GBP WMBA SONIA Compound | 0 | (70) | (70) |
| SEK | (121362) | 05/15/2033 1M | MSI | Fabege AB | 12 Month SEK STIBOR | 0 | (2926) | (2926) |
| SEK | (141044) | 05/20/2033 1M | GST | Fabege AB | 12 Month SEK STIBOR | 0 | (3639) | (3639) |
| USD | (15487) | 05/20/2033 1M | GST | Fabrinet | 1 day USD OBFR | 0 | (1255) | (1255) |
| USD | (9722) | 05/20/2033 1M | GST | Fair Isaac Corp. | 1 day USD OBFR | 0 | (235) | (235) |
| JPY | (18184) | 05/20/2033 1M | GST | Fast Retailing Co., Ltd. | 12 Month JPY TONA | 0 | (1034) | (1034) |
| SEK | (7621) | 05/05/2028 1M | JPM | Fastighets AB Balder | 12 Month SEK STIBOR | 0 | (355) | (355) |
| USD | (23763) | 05/15/2033 1M | MSI | Ferrari NV | 1 day USD OBFR | 0 | (878) | (878) |
| JPY | (1241) | 05/05/2028 1M | JPM | Ferrotec Corp. | 12 Month JPY TONA | 0 | (258) | (258) |
| USD | (14004) | 05/05/2028 1M | JPM | First Solar, Inc. | 1 day USD OBFR | 0 | (2280) | (2280) |
| ZAR | (4244) | 05/20/2033 1M | GST | FirstRand Ltd. | 3 Month ZAR JIBAR SAFEX | 0 | (25) | (25) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | (13690) | 05/05/2028 1M | JPM | Flex Ltd. | 1 day USD OBFR | $0 | $(1252) | $(1252) |
| USD | (16998) | 05/20/2033 1M | GST | FormFactor, Inc. | 1 day USD OBFR | 0 | (4158) | (4158) |
| AUD | (12614) | 05/05/2028 1M | JPM | Fortescue Ltd. | 1 day AUD AONIA | 0 | (1140) | (1140) |
| USD | (2546) | 05/20/2033 1M | GST | Fortinet, Inc. | 1 day USD OBFR | 0 | (47) | (47) |
| JPY | (429) | 05/05/2028 1M | JPM | Freee KK | 12 Month JPY TONA | 0 | (5) | (5) |
| EUR | (100513) | 05/15/2033 1M | MSI | FTSE MIB Index | 12 Month EUR STR | 0 | (158) | (158) |
| JPY | (1352) | 05/05/2028 1M | JPM | Fuji Electric Co., Ltd. | 12 Month JPY TONA | 0 | (112) | (112) |
| JPY | (14065) | 05/20/2033 1M | GST | Fujitsu Ltd. | 12 Month JPY TONA | 0 | (821) | (821) |
| JPY | (1250) | 05/05/2028 1M | JPM | Furukawa Electric Co., Ltd. | 12 Month JPY TONA | 0 | (190) | (190) |
| JPY | (1054) | 05/05/2028 1M | JPM | Furuno Electric Co., Ltd. | 12 Month JPY TONA | 0 | (298) | (298) |
| JPY | (1316) | 05/05/2028 1M | JPM | Furuya Metal Co., Ltd. | 12 Month JPY TONA | 0 | (19) | (19) |
| CHF | (894) | 05/05/2028 1M | JPM | Galderma Group AG | 12 Month CHF SARON | 0 | (42) | (42) |
| CHF | (1925) | 05/20/2033 1M | GST | Galderma Group AG | 12 Month CHF SARON | 0 | (145) | (145) |
| USD | (18454) | 05/15/2033 1M | MSI | GE Vernova, Inc. | 1 day USD OBFR | 0 | (283) | (283) |
| USD | (11325) | 05/05/2028 1M | JPM | Generac Holdings, Inc. | 1 day USD OBFR | 0 | (268) | (268) |
| USD | (16950) | 05/20/2033 1M | GST | General Electric Co. | 1 day USD OBFR | 0 | (351) | (351) |
| USD | (1580) | 05/15/2033 1M | MSI | GLOBALFOUNDRIES, Inc. | 1 day USD OBFR | 0 | (23) | (23) |
| USD | (689) | 05/05/2028 1M | JPM | GLOBALFOUNDRIES, Inc. | 1 day USD OBFR | 0 | (23) | (23) |
| USD | (19006) | 05/20/2033 1M | GST | GLOBALFOUNDRIES, Inc. | 1 day USD OBFR | 0 | (76) | (76) |
| USD | (1385) | 05/05/2028 1M | JPM | Globant SA | 1 day USD OBFR | 0 | (31) | (31) |
| DKK | (3789) | 05/05/2028 1M | JPM | GN Store Nord AS | 1 Month DKK CIBOR | 0 | (31) | (31) |
| DKK | (24091) | 05/15/2033 1M | MSI | GN Store Nord AS | 1 Month DKK CIBOR | 0 | (285) | (285) |
| USD | (1854) | 05/20/2033 1M | GST | GoDaddy, Inc. | 1 day USD OBFR | 0 | (9) | (9) |
| USD | (4558) | 05/15/2033 1M | MSI | GoDaddy, Inc. | 1 day USD OBFR | 0 | (101) | (101) |
| USD | (2381) | 05/20/2033 1M | GST | Grab Holdings Ltd. | 1 day USD OBFR | 0 | (143) | (143) |
| GBP | (1956) | 05/05/2028 1M | JPM | Great Portland Estates PLC | 12 Month GBP WMBA SONIA Compound | 0 | (20) | (20) |
| MXN | (9397) | 05/20/2033 1M | GST | Grupo Carso SAB de CV | 28 day TIIE-Banxico | 0 | (608) | (608) |
| AUD | (448463) | 05/20/2033 1M | GST | GS Australia Banks Index | 1 day AUD AONIA | 0 | (2413) | (2413) |
| JPY | (829) | 05/05/2028 1M | JPM | GS Yuasa Corp. | 12 Month JPY TONA | 0 | (83) | (83) |
| SEK | (14553) | 05/20/2033 1M | GST | H & M Hennes & Mauritz AB | 12 Month SEK STIBOR | 0 | (140) | (140) |
| SEK | (62168) | 05/05/2028 1M | JPM | H & M Hennes & Mauritz AB | 12 Month SEK STIBOR | 0 | (1570) | (1570) |
| GBP | (4171) | 05/15/2033 1M | MSI | Halma PLC | 12 Month GBP WMBA SONIA Compound | 0 | (93) | (93) |
| EUR | (57832) | 05/05/2028 1M | JPM | Hermes International SCA | 12 Month EUR STR | 0 | (1931) | (1931) |
| SEK | (14134) | 05/05/2028 1M | JPM | Hexagon AB | 12 Month SEK STIBOR | 0 | (83) | (83) |
| JPY | (1386) | 05/05/2028 1M | JPM | Hirose Electric Co., Ltd. | 12 Month JPY TONA | 0 | (126) | (126) |
| JPY | (13217) | 05/20/2033 1M | GST | Hitachi Ltd. | 12 Month JPY TONA | 0 | (2053) | (2053) |
| USD | (20659) | 05/05/2028 1M | JPM | Hon Hai Precision Industry Co., Ltd. | 1 day USD OBFR | 0 | (2323) | (2323) |
| JPY | (1401) | 05/05/2028 1M | JPM | Horiba Ltd. | 12 Month JPY TONA | 0 | (114) | (114) |
| JPY | (1369) | 05/05/2028 1M | JPM | Hosiden Corp. | 12 Month JPY TONA | 0 | (28) | (28) |
| USD | (3238) | 05/05/2028 1M | JPM | Howmet Aerospace, Inc. | 1 day USD OBFR | 0 | (263) | (263) |
| USD | (1806) | 05/20/2033 1M | GST | HubSpot, Inc. | 1 day USD OBFR | 0 | (161) | (161) |
| CAD | 5258 | 05/20/2033 1M | GST | Hudbay Minerals, Inc. | 6 Month CAD CORRA | 0 | (132) | (132) |
| EUR | (183016) | 05/05/2028 1M | JPM | Iberdrola SA | 12 Month EUR STR | 0 | (457) | (457) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| EUR | (12567) | 05/15/2033 1M | MSI | Iberdrola SA | 12 Month EUR STR | $0 | $(659) | $(659) |
| EUR | (454919) | 05/20/2033 1M | GST | Iberdrola SA | 12 Month EUR STR | 0 | (13299) | (13299) |
| EUR | (4240) | 05/05/2028 1M | JPM | ICADE | 12 Month EUR STR | 0 | (45) | (45) |
| JPY | (1355) | 05/05/2028 1M | JPM | IHI Corp. | 12 Month JPY TONA | 0 | (108) | (108) |
| GBP | (240) | 05/20/2033 1M | GST | Imperial Brands PLC | 12 Month GBP WMBA SONIA Compound | 0 | (3) | (3) |
| GBP | (2632) | 05/05/2028 1M | JPM | Imperial Brands PLC | 12 Month GBP WMBA SONIA Compound | 0 | (19) | (19) |
| USD | (15298) | 05/05/2028 1M | JPM | Impinj, Inc. | 1 day USD OBFR | 0 | (470) | (470) |
| EUR | (7616) | 05/20/2033 1M | GST | Industria de Diseno Textil SA | 12 Month EUR STR | 0 | (1) | (1) |
| EUR | (5167) | 05/11/2026 1M | CBK | Industria de Diseno Textil SA | 12 Month EUR STR | 0 | (167) | (167) |
| SEK | (6742) | 05/05/2028 1M | JPM | Indutrade AB | 12 Month SEK STIBOR | 0 | (532) | (532) |
| SEK | (21331) | 05/15/2033 1M | MSI | Indutrade AB | 12 Month SEK STIBOR | 0 | (873) | (873) |
| SEK | (56276) | 05/20/2033 1M | GST | Indutrade AB | 12 Month SEK STIBOR | 0 | (3397) | (3397) |
| EUR | (13628) | 05/15/2033 1M | MSI | Infineon Technologies AG | 12 Month EUR STR | 0 | (324) | (324) |
| EUR | (6378) | 05/10/2026 1M | CBK | Infineon Technologies AG | 12 Month EUR STR | 0 | (471) | (471) |
| EUR | (62998) | 05/20/2033 1M | GST | Infineon Technologies AG | 12 Month EUR STR | 0 | (525) | (525) |
| EUR | (39164) | 05/05/2028 1M | JPM | Infineon Technologies AG | 12 Month EUR STR | 0 | (1052) | (1052) |
| GBP | (50) | 05/20/2033 1M | GST | Informa PLC | 12 Month GBP WMBA SONIA Compound | 0 | (2) | (2) |
| GBP | (2769) | 05/05/2028 1M | JPM | Informa PLC | 12 Month GBP WMBA SONIA Compound | 0 | (100) | (100) |
| EUR | (4801) | 05/20/2033 1M | GST | ING Groep NV | 12 Month EUR STR | 0 | (249) | (249) |
| EUR | (166476) | 05/15/2033 1M | MSI | ING Groep NV | 12 Month EUR STR | 0 | (5552) | (5552) |
| EUR | (3199) | 05/05/2028 1M | JPM | InPost SA | 12 Month EUR STR | 0 | (61) | (61) |
| EUR | (6404) | 05/15/2033 1M | MSI | InPost SA | 12 Month EUR STR | 0 | (252) | (252) |
| EUR | (66636) | 05/20/2033 1M | GST | InPost SA | 12 Month EUR STR | 0 | (1883) | (1883) |
| USD | (52185) | 05/20/2033 1M | GST | Intel Corp. | 1 day USD OBFR | 0 | (2241) | (2241) |
| GBP | (38626) | 05/05/2028 1M | JPM | InterContinental Hotels Group PLC | 12 Month GBP WMBA SONIA Compound | 0 | (646) | (646) |
| USD | (37901) | 05/15/2033 1M | MSI | International Business Machines Corp. | 1 day USD OBFR | 0 | (3599) | (3599) |
| USD | (64908) | 05/20/2033 1M | GST | International Business Machines Corp. | 1 day USD OBFR | 0 | (7334) | (7334) |
| CHF | (11883) | 05/05/2028 1M | JPM | Interroll Holding AG | 12 Month CHF SARON | 0 | (584) | (584) |
| EUR | (39765) | 05/20/2033 1M | GST | Intesa Sanpaolo SpA | 12 Month EUR STR | 0 | (948) | (948) |
| EUR | (53590) | 05/15/2033 1M | MSI | Intesa Sanpaolo SpA | 12 Month EUR STR | 0 | (2071) | (2071) |
| USD | (9138) | 05/15/2033 1M | MSI | Intuit, Inc. | 1 day USD OBFR | 0 | (208) | (208) |
| USD | (111632) | 05/20/2033 1M | GST | Intuit, Inc. | 1 day USD OBFR | 0 | (516) | (516) |
| USD | (10545) | 05/20/2033 1M | GST | Intuitive Surgical, Inc. | 1 day USD OBFR | 0 | (1744) | (1744) |
| USD | (57113) | 05/15/2033 1M | MSI | iShares Expanded Tech-Software Sector ETF | 1 day USD OBFR | 0 | (1104) | (1104) |
| USD | (144738) | 05/15/2033 1M | MSI | iShares JP Morgan USD Emerging Markets Bond ETF | 1 day USD OBFR | 0 | (267) | (267) |
| USD | (26751) | 05/15/2033 1M | MSI | iShares Semiconductor ETF | 1 day USD OBFR | 0 | (1759) | (1759) |
| USD | (39844) | 05/20/2033 1M | GST | iShares Semiconductor ETF | 1 day USD OBFR | 0 | (1847) | (1847) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | (43542) | 05/05/2028 1M | JPM | iShares Semiconductor ETF | 1 day USD OBFR | $0 | $(2747) | $(2747) |
| JPY | (1349) | 05/05/2028 1M | JPM | ITOCHU Corp. | 12 Month JPY TONA | 0 | (79) | (79) |
| USD | (36724) | 05/20/2033 1M | GST | Jabil, Inc. | 1 day USD OBFR | 0 | (3037) | (3037) |
| USD | (5760) | 05/05/2028 1M | JPM | Jack Henry & Associates, Inc. | 1 day USD OBFR | 0 | (49) | (49) |
| JPY | (11619) | 05/05/2028 1M | JPM | Japan Exchange Group, Inc. | 12 Month JPY TONA | 0 | (69) | (69) |
| JPY | (88558) | 05/15/2033 1M | MSI | Japan Exchange Group, Inc. | 12 Month JPY TONA | 0 | (2215) | (2215) |
| JPY | (1460) | 05/05/2028 1M | JPM | Japan Steel Works Ltd. | 12 Month JPY TONA | 0 | (8) | (8) |
| JPY | (485) | 05/05/2028 1M | JPM | JTEKT Corp. | 12 Month JPY TONA | 0 | (19) | (19) |
| JPY | (1246) | 05/05/2028 1M | JPM | JVCKenwood Corp. | 12 Month JPY TONA | 0 | (80) | (80) |
| JPY | (1328) | 05/05/2028 1M | JPM | Kaga Electronics Co., Ltd. | 12 Month JPY TONA | 0 | (32) | (32) |
| JPY | (1039) | 05/05/2028 1M | JPM | Kajima Corp. | 12 Month JPY TONA | 0 | (42) | (42) |
| JPY | (1400) | 05/05/2028 1M | JPM | Kandenko Co., Ltd. | 12 Month JPY TONA | 0 | (33) | (33) |
| JPY | (1518) | 05/05/2028 1M | JPM | Kawasaki Heavy Industries Ltd. | 12 Month JPY TONA | 0 | (277) | (277) |
| EUR | (13823) | 05/05/2028 1M | JPM | Kesko OYJ | 12 Month EUR STR | 0 | (199) | (199) |
| USD | (47672) | 05/15/2033 1M | MSI | Kimbell Royalty Partners LP | 1 day USD OBFR | 0 | (1117) | (1117) |
| USD | (13695) | 05/15/2033 1M | MSI | Kinsus Interconnect Technology Corp. | 1 day USD OBFR | 0 | (159) | (159) |
| USD | (17096) | 05/05/2028 1M | JPM | KLA Corp. | 1 day USD OBFR | 0 | (1035) | (1035) |
| USD | (51664) | 05/15/2033 1M | MSI | Kuwait Finance House KSCP | 1 day USD OBFR | 0 | (990) | (990) |
| USD | (526) | 05/15/2033 1M | MSI | Kyndryl Holdings, Inc. | 1 day USD OBFR | 0 | (24) | (24) |
| USD | (12708) | 05/20/2033 1M | GST | Kyndryl Holdings, Inc. | 1 day USD OBFR | 0 | (450) | (450) |
| JPY | (1352) | 05/05/2028 1M | JPM | Kyocera Corp. | 12 Month JPY TONA | 0 | (25) | (25) |
| USD | (57365) | 05/05/2028 1M | JPM | Landbridge Co. LLC | 1 day USD OBFR | 0 | (2100) | (2100) |
| USD | (35551) | 05/20/2033 1M | GST | Landbridge Co. LLC | 1 day USD OBFR | 0 | (2140) | (2140) |
| USD | (21055) | 05/20/2033 1M | GST | Lantheus Holdings, Inc. | 1 day USD OBFR | 0 | (405) | (405) |
| JPY | (1404) | 05/05/2028 1M | JPM | Lasertec Corp. | 12 Month JPY TONA | 0 | (484) | (484) |
| JPY | (4907) | 05/20/2033 1M | GST | Lasertec Corp. | 12 Month JPY TONA | 0 | (1528) | (1528) |
| USD | (6258) | 05/20/2033 1M | GST | Lattice Semiconductor Corp. | 1 day USD OBFR | 0 | (236) | (236) |
| EUR | (2158) | 05/15/2033 1M | MSI | Leonardo SpA | 12 Month EUR STR | 0 | (41) | (41) |
| USD | (1903) | 05/15/2033 1M | MSI | LG Energy Solution Ltd. | 1 day USD OBFR | 0 | (418) | (418) |
| USD | (10363) | 05/20/2033 1M | GST | LG Energy Solution Ltd. | 1 day USD OBFR | 0 | (913) | (913) |
| SEK | (1609) | 05/05/2028 1M | JPM | Lifco AB | 12 Month SEK STIBOR | 0 | (196) | (196) |
| SEK | (25746) | 05/15/2033 1M | MSI | Lifco AB | 12 Month SEK STIBOR | 0 | (2185) | (2185) |
| SEK | (27333) | 05/20/2033 1M | GST | Lifco AB | 12 Month SEK STIBOR | 0 | (2434) | (2434) |
| USD | (2548) | 05/20/2033 1M | GST | Lightspeed Commerce, Inc. | 1 day USD OBFR | 0 | (68) | (68) |
| USD | (40950) | 05/15/2033 1M | MSI | Lightspeed Commerce, Inc. | 1 day USD OBFR | 0 | (1674) | (1674) |
| GBP | (1997) | 05/15/2033 1M | MSI | London Stock Exchange Group PLC | 12 Month GBP WMBA SONIA Compound | 0 | (159) | (159) |
| CHF | (73430) | 05/20/2033 1M | GST | Lonza Group AG | 12 Month CHF SARON | 0 | (151) | (151) |
| PLN | (55530) | 05/20/2033 1M | GST | LPP SA | 12 Month PLN WIBOR WIBO | 0 | (3600) | (3600) |
| EUR | (138832) | 05/15/2033 1M | MSI | LVMH Moet Hennessy Louis Vuitton SE | 12 Month EUR STR | 0 | (354) | (354) |
| EUR | (50377) | 05/05/2028 1M | JPM | LVMH Moet Hennessy Louis Vuitton SE | 12 Month EUR STR | 0 | (5724) | (5724) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | (258783) | 05/15/2033 1M | MSI | M&T Bank Corp. | 1 day USD OBFR | $0 | $(1761) | $(1761) |
| USD | (257349) | 05/20/2033 1M | GST | M&T Bank Corp. | 1 day USD OBFR | 0 | (1907) | (1907) |
| USD | (6265) | 05/15/2033 1M | MSI | Mach Natural Resources LP | 1 day USD OBFR | 0 | (23) | (23) |
| JPY | (1333) | 05/05/2028 1M | JPM | Macnica Holdings, Inc. | 12 Month JPY TONA | 0 | (75) | (75) |
| USD | (14752) | 05/05/2028 1M | JPM | MACOM Technology Solutions Holdings, Inc. | 1 day USD OBFR | 0 | (1839) | (1839) |
| CAD | (33102) | 05/20/2033 1M | GST | Manulife Financial Corp. | 6 Month CAD CORRA | 0 | (504) | (504) |
| CAD | (177932) | 05/15/2033 1M | MSI | Manulife Financial Corp. | 6 Month CAD CORRA | 0 | (868) | (868) |
| USD | (3380) | 05/20/2033 1M | GST | Marriott International, Inc. | 1 day USD OBFR | 0 | (8) | (8) |
| JPY | (1305) | 05/05/2028 1M | JPM | Maruwa Co., Ltd. | 12 Month JPY TONA | 0 | (132) | (132) |
| USD | (2575) | 05/20/2033 1M | GST | Marvell Technology, Inc. | 1 day USD OBFR | 0 | (237) | (237) |
| USD | (2363) | 05/20/2033 1M | GST | McKesson Corp. | 1 day USD OBFR | 0 | (71) | (71) |
| JPY | (1289) | 05/05/2028 1M | JPM | Meidensha Corp. | 12 Month JPY TONA | 0 | (51) | (51) |
| JPY | (1287) | 05/05/2028 1M | JPM | Meiko Electronics Co., Ltd. | 12 Month JPY TONA | 0 | (61) | (61) |
| USD | (58206) | 05/20/2033 1M | GST | Micron Technology, Inc. | 1 day USD OBFR | 0 | (5345) | (5345) |
| JPY | (1452) | 05/05/2028 1M | JPM | Micronics Japan Co., Ltd. | 12 Month JPY TONA | 0 | (460) | (460) |
| JPY | (1438) | 05/05/2028 1M | JPM | Minebea Mitsumi, Inc. | 12 Month JPY TONA | 0 | (60) | (60) |
| JPY | (1338) | 05/05/2028 1M | JPM | Mitsubishi Corp. | 12 Month JPY TONA | 0 | (72) | (72) |
| JPY | (2373) | 05/20/2033 1M | GST | Mitsubishi Heavy Industries Ltd. | 12 Month JPY TONA | 0 | (124) | (124) |
| JPY | (1299) | 05/05/2028 1M | JPM | Mitsubishi Heavy Industries Ltd. | 12 Month JPY TONA | 0 | (140) | (140) |
| JPY | (1270) | 05/05/2028 1M | JPM | Mitsui E&S Co., Ltd. | 12 Month JPY TONA | 0 | (428) | (428) |
| ILS | (9722) | 05/20/2033 1M | GST | Mizrahi Tefahot Bank Ltd. | 1 day ILS SHIR | 0 | (2) | (2) |
| USD | (4955) | 05/20/2033 1M | GST | MKS, Inc. | 1 day USD OBFR | 0 | (75) | (75) |
| EUR | (45852) | 05/05/2028 1M | JPM | Moncler SpA | 12 Month EUR STR | 0 | (1432) | (1432) |
| USD | (38431) | 05/20/2033 1M | GST | Moody's Corp. | 1 day USD OBFR | 0 | (473) | (473) |
| USD | (193318) | 05/15/2033 1M | MSI | Moody's Corp. | 1 day USD OBFR | 0 | (723) | (723) |
| JPY | (1435) | 05/05/2028 1M | JPM | Murata Manufacturing Co., Ltd. | 12 Month JPY TONA | 0 | (225) | (225) |
| JPY | (16053) | 05/20/2033 1M | GST | Murata Manufacturing Co., Ltd. | 12 Month JPY TONA | 0 | (2610) | (2610) |
| USD | (17176) | 05/20/2033 1M | GST | Murphy Oil Corp. | 1 day USD OBFR | 0 | (455) | (455) |
| USD | (59256) | 05/15/2033 1M | MSI | Murphy Oil Corp. | 1 day USD OBFR | 0 | (1703) | (1703) |
| USD | (6267) | 05/15/2033 1M | MSI | MYR Group, Inc. | 1 day USD OBFR | 0 | (46) | (46) |
| JPY | (1355) | 05/05/2028 1M | JPM | Namura Shipbuilding Co., Ltd. | 12 Month JPY TONA | 0 | (542) | (542) |
| USD | (4134) | 05/05/2028 1M | JPM | Napco Security Technologies, Inc. | 1 day USD OBFR | 0 | (60) | (60) |
| ZAR | (10755) | 05/20/2033 1M | GST | Naspers Ltd. | 3 Month ZAR JIBAR SAFEX | 0 | (231) | (231) |
| JPY | (5792) | 05/05/2028 1M | JPM | NEC Corp. | 12 Month JPY TONA | 0 | (570) | (570) |
| USD | 287298 | 05/29/2026 1M | GST | Negative Return on Goldman Sachs FV Weekly Index | Positive Return on Goldman Sachs FV Weekly Index | 0 | (535) | (535) |
| USD | 131988 | 04/30/2026 1M | GST | Negative Return on Goldman Sachs TY Weekly Vol Index | Positive Return on Goldman Sachs TY Weekly Vol Index | 0 | (60) | (60) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | 99271 | 10/30/2026 1M | GST | Negative Return on Goldman Sachs USD rates Volume RV Index | Positive Return on Goldman Sachs USD rates Volume RV Index | $0 | $(82) | $(82) |
| USD | (1006375) | 10/30/2026 1M | MSI | Negative Return on MSZZMOMO Index (a) | Positive Return on MSZZMOMO Index | 0 | (20346) | (20346) |
| USD | 92954 | 06/30/2026 1M | GST | Negative Return on U.S. Dispersion Index | Positive Return on U.S. Dispersion Index | 0 | (216) | (216) |
| USD | 174892 | 10/30/2026 1M | GST | Negative Return on U.S. Dispersion Index | Positive Return on U.S. Dispersion Index | 0 | (708) | (708) |
| USD | 505079 | 06/30/2026 1M | GST | Negative Return on U.S. Dispersion Index (b) | Positive Return on U.S. Dispersion Index | 0 | (1176) | (1176) |
| USD | (1962) | 05/20/2033 1M | GST | New York Times Co. | 1 day USD OBFR | 0 | (32) | (32) |
| GBP | (3334) | 05/20/2033 1M | GST | Next PLC | 12 Month GBP WMBA SONIA Compound | 0 | (311) | (311) |
| USD | (5534) | 05/20/2033 1M | GST | NextNav, Inc. | 1 day USD OBFR | 0 | (233) | (233) |
| JPY | (1400) | 05/05/2028 1M | JPM | NGK Insulators Ltd. | 12 Month JPY TONA | 0 | (43) | (43) |
| JPY | (1552) | 05/05/2028 1M | JPM | NHK Spring Co., Ltd. | 12 Month JPY TONA | 0 | (222) | (222) |
| SEK | (80446) | 05/20/2033 1M | GST | Nibe Industrier AB | 12 Month SEK STIBOR | 0 | (151) | (151) |
| SEK | (53976) | 05/05/2028 1M | JPM | Nibe Industrier AB | 12 Month SEK STIBOR | 0 | (471) | (471) |
| JPY | (23714) | 05/20/2033 1M | GST | Nikon Corp. | 12 Month JPY TONA | 0 | (3) | (3) |
| JPY | (690) | 05/15/2033 1M | MSI | Nikon Corp. | 12 Month JPY TONA | 0 | (17) | (17) |
| JPY | (8969) | 05/20/2033 1M | GST | Nintendo Co., Ltd. | 12 Month JPY TONA | 0 | (147) | (147) |
| JPY | (13382) | 05/05/2028 1M | JPM | Nintendo Co., Ltd. | 12 Month JPY TONA | 0 | (221) | (221) |
| JPY | (8596) | 05/15/2033 1M | MSI | Nintendo Co., Ltd. | 12 Month JPY TONA | 0 | (373) | (373) |
| JPY | (1269) | 05/05/2028 1M | JPM | Nitto Boseki Co., Ltd. | 12 Month JPY TONA | 0 | (168) | (168) |
| USD | (31043) | 05/20/2033 1M | GST | Noble Corp. PLC | 1 day USD OBFR | 0 | (1300) | (1300) |
| USD | (46570) | 05/15/2033 1M | MSI | Noble Corp. PLC | 1 day USD OBFR | 0 | (1711) | (1711) |
| USD | (40747) | 05/15/2033 1M | MSI | Northern Oil & Gas, Inc. | 1 day USD OBFR | 0 | (769) | (769) |
| USD | (176982) | 05/20/2033 1M | GST | Northern Oil & Gas, Inc. | 1 day USD OBFR | 0 | (6896) | (6896) |
| USD | (33537) | 05/15/2033 1M | MSI | Northwest Natural Holding Co. | 1 day USD OBFR | 0 | (474) | (474) |
| USD | (37106) | 05/20/2033 1M | GST | NOV, Inc. | 1 day USD OBFR | 0 | (5351) | (5351) |
| USD | (82919) | 05/15/2033 1M | MSI | NOV, Inc. | 1 day USD OBFR | 0 | (11587) | (11587) |
| USD | (13364) | 05/15/2033 1M | MSI | NRG Energy, Inc. | 1 day USD OBFR | 0 | (41) | (41) |
| USD | (20709) | 05/20/2033 1M | GST | NRG Energy, Inc. | 1 day USD OBFR | 0 | (601) | (601) |
| USD | (20352) | 05/20/2033 1M | GST | nVent Electric PLC | 1 day USD OBFR | 0 | (3089) | (3089) |
| USD | (34425) | 05/15/2033 1M | MSI | nVent Electric PLC | 1 day USD OBFR | 0 | (6643) | (6643) |
| EUR | (19732) | 05/20/2033 1M | GST | Oesterreichische Post AG | 12 Month EUR STR | 0 | (299) | (299) |
| JPY | (1378) | 05/05/2028 1M | JPM | Oki Electric Industry Co., Ltd. | 12 Month JPY TONA | 0 | (119) | (119) |
| USD | (5564) | 05/20/2033 1M | GST | Okta, Inc. | 1 day USD OBFR | 0 | (202) | (202) |
| JPY | (1315) | 05/05/2028 1M | JPM | Organo Corp. | 12 Month JPY TONA | 0 | (177) | (177) |
| EUR | (7572) | 05/05/2028 1M | JPM | Ottobock SE & Co. KGaA | 12 Month EUR STR | 0 | (497) | (497) |
| SGD | (167904) | 05/05/2028 1M | JPM | Oversea-Chinese Banking Corp. Ltd. | 6 Month SGD SOR Telerate | 0 | (1755) | (1755) |
| SGD | (194812) | 05/15/2033 1M | MSI | Oversea-Chinese Banking Corp. Ltd. | 6 Month SGD SOR Telerate | 0 | (2278) | (2278) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | (13824) | 05/05/2028 1M | JPM | Palantir Technologies, Inc. | 1 day USD OBFR | $0 | $(1612) | $(1612) |
| USD | (424) | 05/20/2033 1M | GST | Palo Alto Networks, Inc. | 1 day USD OBFR | 0 | (17) | (17) |
| USD | (3189) | 05/05/2028 1M | JPM | Palo Alto Networks, Inc. | 1 day USD OBFR | 0 | (115) | (115) |
| JPY | (1243) | 05/05/2028 1M | JPM | Panasonic Holdings Corp. | 12 Month JPY TONA | 0 | (36) | (36) |
| CAD | (27392) | 05/15/2033 1M | MSI | Paramount Resources Ltd. | 6 Month CAD CORRA | 0 | (773) | (773) |
| CAD | (31650) | 05/20/2033 1M | GST | Parex Resources, Inc. | 6 Month CAD CORRA | 0 | (412) | (412) |
| USD | (2960) | 05/20/2033 1M | GST | Parker-Hannifin Corp. | 1 day USD OBFR | 0 | (131) | (131) |
| CAD | (9005) | 05/05/2028 1M | JPM | Parkland Corp. | 6 Month CAD CORRA | 0 | (244) | (244) |
| CHF | (83126) | 05/20/2033 1M | GST | Partners Group Holding AG | 12 Month CHF SARON | 0 | (282) | (282) |
| USD | (12224) | 05/05/2028 1M | JPM | Patterson-UTI Energy, Inc. | 1 day USD OBFR | 0 | (968) | (968) |
| USD | (49951) | 05/20/2033 1M | GST | Patterson-UTI Energy, Inc. | 1 day USD OBFR | 0 | (4329) | (4329) |
| USD | (145114) | 05/15/2033 1M | MSI | Patterson-UTI Energy, Inc. | 1 day USD OBFR | 0 | (13323) | (13323) |
| USD | (12090) | 05/05/2028 1M | JPM | PDD Holdings, Inc. | 1 day USD OBFR | 0 | (49) | (49) |
| USD | (1786) | 05/15/2033 1M | MSI | PDD Holdings, Inc. | 1 day USD OBFR | 0 | (102) | (102) |
| USD | (14909) | 05/20/2033 1M | GST | PDF Solutions, Inc. | 1 day USD OBFR | 0 | (443) | (443) |
| USD | (33105) | 05/15/2033 1M | MSI | Peabody Energy Corp. | 1 day USD OBFR | 0 | (18) | (18) |
| USD | (279) | 05/05/2028 1M | JPM | PepsiCo, Inc. | 1 day USD OBFR | 0 | (13) | (13) |
| USD | (6886) | 05/15/2033 1M | MSI | Photronics, Inc. | 1 day USD OBFR | 0 | (117) | (117) |
| USD | (15562) | 05/20/2033 1M | GST | Pinterest, Inc. | 1 day USD OBFR | 0 | (95) | (95) |
| JPY | (1382) | 05/05/2028 1M | JPM | PKSHA Technology, Inc. | 12 Month JPY TONA | 0 | (178) | (178) |
| USD | (6394) | 05/15/2033 1M | MSI | Plains All American Pipeline LP | 1 day USD OBFR | 0 | (456) | (456) |
| USD | (31011) | 05/05/2028 1M | JPM | Plains All American Pipeline LP | 1 day USD OBFR | 0 | (940) | (940) |
| USD | (121997) | 05/15/2033 1M | MSI | Plains GP Holdings LP | 1 day USD OBFR | 0 | (5723) | (5723) |
| USD | (354867) | 05/20/2033 1M | GST | PNC Financial Services Group, Inc. | 1 day USD OBFR | 0 | (4052) | (4052) |
| USD | (489583) | 05/15/2033 1M | MSI | PNC Financial Services Group, Inc. | 1 day USD OBFR | 0 | (6636) | (6636) |
| USD | (48587) | 05/20/2033 1M | GST | Portland General Electric Co. | 1 day USD OBFR | 0 | (701) | (701) |
| USD | (23614) | 05/15/2033 1M | MSI | Portland General Electric Co. | 1 day USD OBFR | 0 | (1008) | (1008) |
| USD | (39576) | 05/05/2028 1M | JPM | Portland General Electric Co. | 1 day USD OBFR | 0 | (1765) | (1765) |
| PLN | (18968) | 05/20/2033 1M | GST | Powszechna Kasa Oszczednosci Bank Polski SA | 12 Month PLN WIBOR WIBO | 0 | (21) | (21) |
| USD | (52747) | 05/15/2033 1M | MSI | Principal Financial Group, Inc. | 1 day USD OBFR | 0 | (2047) | (2047) |
| USD | (14742) | 05/15/2033 1M | MSI | Procter & Gamble Co. | 1 day USD OBFR | 0 | (401) | (401) |
| EUR | (1304) | 05/15/2033 1M | MSI | Prosus NV | 12 Month EUR STR | 0 | (27) | (27) |
| EUR | (1435) | 05/20/2033 1M | GST | Prosus NV | 12 Month EUR STR | 0 | (40) | (40) |
| EUR | (2102) | 05/15/2033 1M | MSI | Publicis Groupe SA | 12 Month EUR STR | 0 | (19) | (19) |
| EUR | (38029) | 05/20/2033 1M | GST | Publicis Groupe SA | 12 Month EUR STR | 0 | (334) | (334) |
| EUR | (9715) | 05/05/2028 1M | JPM | Publicis Groupe SA | 12 Month EUR STR | 0 | (455) | (455) |
| USD | (15461) | 05/15/2033 1M | MSI | Pure Storage, Inc. | 1 day USD OBFR | 0 | (1022) | (1022) |
| USD | (51176) | 05/15/2033 1M | MSI | Qatar National Bank QPSC | 1 day USD OBFR | 0 | (1421) | (1421) |
| USD | (281128) | 05/20/2033 1M | GST | QUALCOMM, Inc. | 1 day USD OBFR | 0 | (23326) | (23326) |
| USD | (2204) | 05/20/2033 1M | GST | Quanta Services, Inc. | 1 day USD OBFR | 0 | (42) | (42) |
| USD | (12077) | 05/15/2033 1M | MSI | Quanta Services, Inc. | 1 day USD OBFR | 0 | (49) | (49) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| JPY | (33844) | 05/15/2033 1M | MSI | Rakuten Bank Ltd. | 12 Month JPY TONA | $0 | $(2151) | $(2151) |
| USD | (13027) | 05/15/2033 1M | MSI | Rambus, Inc. | 1 day USD OBFR | 0 | (753) | (753) |
| USD | (11744) | 05/20/2033 1M | GST | Reddit, Inc. | 1 day USD OBFR | 0 | (375) | (375) |
| USD | (3513) | 05/05/2028 1M | JPM | Regeneron Pharmaceuticals, Inc. | 1 day USD OBFR | 0 | (398) | (398) |
| USD | (66630) | 05/15/2033 1M | MSI | RenaissanceRe Holdings Ltd. | 1 day USD OBFR | 0 | (3753) | (3753) |
| EUR | (24597) | 05/20/2033 1M | GST | Repsol SA | 12 Month EUR STR | 0 | (2821) | (2821) |
| EUR | (26867) | 05/05/2028 1M | JPM | Repsol SA | 12 Month EUR STR | 0 | (3251) | (3251) |
| JPY | (54816) | 05/15/2033 1M | MSI | Resona Holdings, Inc. | 12 Month JPY TONA | 0 | (2595) | (2595) |
| JPY | (104849) | 05/05/2028 1M | JPM | Resona Holdings, Inc. | 12 Month JPY TONA | 0 | (3263) | (3263) |
| JPY | (1317) | 05/05/2028 1M | JPM | Rigaku Holdings Corp. | 12 Month JPY TONA | 0 | (78) | (78) |
| DKK | (106509) | 05/20/2033 1M | GST | Ringkjoebing Landbobank AS | 1 Month DKK CIBOR | 0 | (2134) | (2134) |
| DKK | (70432) | 05/15/2033 1M | MSI | Ringkjoebing Landbobank AS | 1 Month DKK CIBOR | 0 | (2811) | (2811) |
| USD | (49235) | 05/15/2033 1M | MSI | Rio Tinto PLC | 1 day USD OBFR | 0 | (2059) | (2059) |
| USD | (2988) | 05/20/2033 1M | GST | Robinhood Markets, Inc. | 1 day USD OBFR | 0 | (242) | (242) |
| JPY | (1428) | 05/05/2028 1M | JPM | Rohm Co., Ltd. | 12 Month JPY TONA | 0 | (80) | (80) |
| SEK | (51442) | 05/20/2033 1M | GST | Roko AB | 12 Month SEK STIBOR | 0 | (84) | (84) |
| USD | (7702) | 05/20/2033 1M | GST | Roku, Inc. | 1 day USD OBFR | 0 | (788) | (788) |
| USD | (13013) | 05/15/2033 1M | MSI | Roku, Inc. | 1 day USD OBFR | 0 | (997) | (997) |
| GBP | (3968) | 05/05/2028 1M | JPM | Rolls-Royce Holdings PLC | 12 Month GBP WMBA SONIA Compound | 0 | (53) | (53) |
| JPY | (1312) | 05/05/2028 1M | JPM | RS Technologies Co., Ltd. | 12 Month JPY TONA | 0 | (10) | (10) |
| EUR | (12513) | 05/15/2033 1M | MSI | RWE AG | 12 Month EUR STR | 0 | (684) | (684) |
| USD | (3051) | 05/20/2033 1M | GST | Salesforce, Inc. | 1 day USD OBFR | 0 | (74) | (74) |
| USD | (6636) | 05/05/2028 1M | JPM | Salesforce, Inc. | 1 day USD OBFR | 0 | (395) | (395) |
| USD | (2435) | 05/20/2033 1M | GST | Samsara, Inc. | 1 day USD OBFR | 0 | (136) | (136) |
| USD | (7965) | 05/15/2033 1M | MSI | Samsara, Inc. | 1 day USD OBFR | 0 | (551) | (551) |
| JPY | (96840) | 05/15/2033 1M | MSI | San-In Godo Bank Ltd. | 12 Month JPY TONA | 0 | (4581) | (4581) |
| JPY | (679) | 05/05/2028 1M | JPM | Sanken Electric Co., Ltd. | 12 Month JPY TONA | 0 | (6) | (6) |
| JPY | (1295) | 05/05/2028 1M | JPM | Sanki Engineering Co., Ltd. | 12 Month JPY TONA | 0 | (71) | (71) |
| JPY | (1174) | 05/05/2028 1M | JPM | Sanyo Denki Co., Ltd. | 12 Month JPY TONA | 0 | (169) | (169) |
| EUR | (75629) | 05/05/2028 1M | JPM | Sartorius AG | 12 Month EUR STR | 0 | (3519) | (3519) |
| JPY | (2768) | 05/15/2033 1M | MSI | SCREEN Holdings Co., Ltd. | 12 Month JPY TONA | 0 | (119) | (119) |
| JPY | (10920) | 05/20/2033 1M | GST | SCREEN Holdings Co., Ltd. | 12 Month JPY TONA | 0 | (780) | (780) |
| JPY | (1387) | 05/05/2028 1M | JPM | Seiko Group Corp. | 12 Month JPY TONA | 0 | (67) | (67) |
| USD | (101188) | 05/20/2033 1M | GST | Sherwin-Williams Co. | 1 day USD OBFR | 0 | (3328) | (3328) |
| JPY | (1601) | 05/05/2028 1M | JPM | Shibaura Mechatronics Corp. | 12 Month JPY TONA | 0 | (308) | (308) |
| JPY | (937) | 05/05/2028 1M | JPM | Shimizu Corp. | 12 Month JPY TONA | 0 | (7) | (7) |
| JPY | (185126) | 05/15/2033 1M | MSI | Shizuoka Financial Group, Inc. | 12 Month JPY TONA | 0 | (12422) | (12422) |
| EUR | (2257) | 05/20/2033 1M | GST | Siemens Energy AG | 12 Month EUR STR | 0 | (128) | (128) |
| EUR | (51840) | 05/05/2028 1M | JPM | Siemens Energy AG | 12 Month EUR STR | 0 | (5565) | (5565) |
| SGD | (2560) | 05/15/2033 1M | MSI | Singapore Technologies Engineering Ltd. | 6 Month SGD SOR Telerate | 0 | (40) | (40) |
| SGD | (2805) | 05/15/2033 1M | MSI | Singapore Telecommunications Ltd. | 6 Month SGD SOR Telerate | 0 | (26) | (26) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| SEK | (233715) | 05/20/2033 1M | GST | Skandinaviska Enskilda Banken AB | 12 Month SEK STIBOR | $0 | $(654) | $(654) |
| SEK | (307544) | 05/15/2033 1M | MSI | Skandinaviska Enskilda Banken AB | 12 Month SEK STIBOR | 0 | (863) | (863) |
| USD | (11766) | 05/20/2033 1M | GST | SkyWater Technology, Inc. | 1 day USD OBFR | 0 | (1173) | (1173) |
| USD | (13075) | 05/05/2028 1M | JPM | Skyworks Solutions, Inc. | 1 day USD OBFR | 0 | (138) | (138) |
| USD | (12198) | 05/20/2033 1M | GST | Snap, Inc. | 1 day USD OBFR | 0 | (110) | (110) |
| USD | (38961) | 05/20/2033 1M | GST | SoFi Technologies, Inc. | 1 day USD OBFR | 0 | (959) | (959) |
| USD | 13604 | 05/15/2033 1M | MSI | SolarEdge Technologies, Inc. | 1 day USD OBFR | 0 | (1989) | (1989) |
| EUR | (28291) | 05/20/2033 1M | GST | Solaria Energia y Medio Ambiente SA | 12 Month EUR STR | 0 | (693) | (693) |
| USD | (218972) | 05/20/2033 1M | GST | SPDR S&P Oil & Gas Exploration & Production ETF | 1 day USD OBFR | 0 | (2709) | (2709) |
| USD | (682399) | 05/15/2033 1M | MSI | SPDR S&P Oil & Gas Exploration & Production ETF | 1 day USD OBFR | 0 | (4458) | (4458) |
| USD | (9156) | 05/15/2033 1M | MSI | SS&C Technologies Holdings, Inc. | 1 day USD OBFR | 0 | (355) | (355) |
| USD | (25709) | 05/20/2033 1M | GST | SS&C Technologies Holdings, Inc. | 1 day USD OBFR | 0 | (701) | (701) |
| USD | (19166) | 05/05/2028 1M | JPM | Starbucks Corp. | 1 day USD OBFR | 0 | (81) | (81) |
| USD | (82955) | 05/15/2033 1M | MSI | State Street SPDR S&P Regional Banking ETF | 1 day USD OBFR | 0 | (385) | (385) |
| USD | (1193264) | 05/20/2033 1M | GST | State Street SPDR S&P Regional Banking ETF | 1 day USD OBFR | 0 | (2356) | (2356) |
| USD | (1107) | 05/20/2033 1M | GST | Sterling Infrastructure, Inc. | 1 day USD OBFR | 0 | (27) | (27) |
| USD | (5671) | 05/15/2033 1M | MSI | Sterling Infrastructure, Inc. | 1 day USD OBFR | 0 | (753) | (753) |
| EUR | (152432) | 05/15/2033 1M | MSI | STOXX Europe 600 Automobiles & Parts Index | 12 Month EUR STR | 0 | (6885) | (6885) |
| EUR | 461253 | 05/15/2033 1M | GST | STOXX Europe 600 Automobiles & Parts Index | 12 Month EUR STR | 0 | (13584) | (13584) |
| EUR | (891846) | 05/20/2033 1M | GST | STOXX Europe 600 Industrial Goods & Services Index | 12 Month EUR STR | 0 | (2084) | (2084) |
| EUR | (123905) | 05/15/2033 1M | MSI | STOXX Europe 600 Industrial Goods & Services Index | 12 Month EUR STR | 0 | (2116) | (2116) |
| CHF | (68546) | 05/05/2028 1M | JPM | Straumann Holding AG | 12 Month CHF SARON | 0 | (10342) | (10342) |
| JPY | (1352) | 05/05/2028 1M | JPM | Subaru Corp. | 12 Month JPY TONA | 0 | (79) | (79) |
| JPY | (1350) | 05/05/2028 1M | JPM | Sumitomo Corp. | 12 Month JPY TONA | 0 | (26) | (26) |
| USD | (169902) | 05/15/2033 1M | MSI | Sumitomo Mitsui Financial Group, Inc. | 1 day USD OBFR | 0 | (6183) | (6183) |
| JPY | (25318) | 05/05/2028 1M | JPM | Sumitomo Mitsui Trust Group, Inc. | 12 Month JPY TONA | 0 | (529) | (529) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| JPY | (62467) | 05/15/2033 1M | MSI | Sumitomo Mitsui Trust Group, Inc. | 12 Month JPY TONA | $0 | $(4845) | $(4845) |
| JPY | (89167) | 05/20/2033 1M | GST | Sumitomo Mitsui Trust Holdings, Inc. | 12 Month JPY TONA | 0 | (2489) | (2489) |
| JPY | (479) | 05/05/2028 1M | JPM | Sumitomo Riko Co., Ltd. | 12 Month JPY TONA | 0 | (95) | (95) |
| JPY | (1407) | 05/05/2028 1M | JPM | Suzuki Motor Corp. | 12 Month JPY TONA | 0 | (32) | (32) |
| SEK | (29025) | 05/20/2033 1M | GST | Svenska Handelsbanken AB | 12 Month SEK STIBOR | 0 | (199) | (199) |
| SEK | (168256) | 05/15/2033 1M | MSI | Svenska Handelsbanken AB | 12 Month SEK STIBOR | 0 | (2109) | (2109) |
| SEK | (358386) | 05/20/2033 1M | GST | Swedbank AB | 12 Month SEK STIBOR | 0 | (2907) | (2907) |
| SEK | (314962) | 05/05/2028 1M | JPM | Swedbank AB | 12 Month SEK STIBOR | 0 | (3058) | (3058) |
| CHF | (131952) | 05/20/2033 1M | GST | Swiss Re AG | 12 Month CHF SARON | 0 | (777) | (777) |
| DKK | (52075) | 05/15/2033 1M | MSI | Sydbank AS | 1 Month DKK CIBOR | 0 | (24) | (24) |
| USD | (939) | 05/20/2033 1M | GST | Synchrony Financial | 1 day USD OBFR | 0 | (28) | (28) |
| USD | (2570) | 05/05/2028 1M | JPM | Synchrony Financial | 1 day USD OBFR | 0 | (108) | (108) |
| JPY | (1304) | 05/05/2028 1M | JPM | Taiyo Yuden Co., Ltd. | 12 Month JPY TONA | 0 | (298) | (298) |
| USD | (21090) | 05/15/2033 1M | MSI | Talos Energy, Inc. | 1 day USD OBFR | 0 | (826) | (826) |
| USD | (80274) | 05/15/2033 1M | MSI | Target Corp. | 1 day USD OBFR | 0 | (1598) | (1598) |
| CHF | (1199) | 05/15/2033 1M | MSI | Temenos AG | 12 Month CHF SARON | 0 | (223) | (223) |
| CHF | (28980) | 05/20/2033 1M | GST | Temenos AG | 12 Month CHF SARON | 0 | (6091) | (6091) |
| USD | (12238) | 05/15/2033 1M | MSI | Tenaris SA | 1 day USD OBFR | 0 | (1971) | (1971) |
| HKD | (3629) | 05/15/2033 1M | MSI | Tencent Holdings Ltd. | 1 day HKD HONIA | 0 | (20) | (20) |
| USD | (16981) | 05/20/2033 1M | GST | Teradyne, Inc. | 1 day USD OBFR | 0 | (5194) | (5194) |
| USD | (43401) | 05/20/2033 1M | GST | Tesla, Inc. | 1 day USD OBFR | 0 | (886) | (886) |
| USD | (37858) | 05/15/2033 1M | MSI | Tesla, Inc. | 1 day USD OBFR | 0 | (1863) | (1863) |
| USD | (42447) | 05/05/2028 1M | JPM | Tesla, Inc. | 1 day USD OBFR | 0 | (2296) | (2296) |
| USD | (5607) | 05/20/2033 1M | GST | Texas Pacific Land Corp. | 1 day USD OBFR | 0 | (54) | (54) |
| CAD | (9734) | 05/05/2028 1M | JPM | Thomson Reuters Corp. | 6 Month CAD CORRA | 0 | (120) | (120) |
| USD | (1033) | 05/05/2028 1M | JPM | Toast, Inc. | 1 day USD OBFR | 0 | (51) | (51) |
| JPY | (1351) | 05/05/2028 1M | JPM | Tokyo Electron Device Ltd. | 12 Month JPY TONA | 0 | (14) | (14) |
| JPY | (2304) | 05/15/2033 1M | MSI | Tokyo Electron Ltd. | 12 Month JPY TONA | 0 | (414) | (414) |
| JPY | (3549) | 05/15/2033 1M | MSI | Tokyo Seimitsu Co., Ltd. | 12 Month JPY TONA | 0 | (189) | (189) |
| JPY | (27454) | 05/20/2033 1M | GST | Tokyo Seimitsu Co., Ltd. | 12 Month JPY TONA | 0 | (1174) | (1174) |
| JPY | (22971) | 05/20/2033 1M | GST | Tokyo Stock Exchange Tokyo Price Index TOPIX | 12 Month JPY TONA | 0 | (801) | (801) |
| JPY | (30363) | 05/20/2033 1M | GST | Tokyo Stock Exchange TOPIX Banks Index | 12 Month JPY TONA | 0 | (998) | (998) |
| JPY | (94803) | 05/15/2033 1M | MSI | Tokyo Stock Exchange TOPIX Banks Index | 12 Month JPY TONA | 0 | (7016) | (7016) |
| JPY | (108299) | 05/15/2033 1M | MSI | TOPIX Small Index | 12 Month JPY TONA | 0 | (3049) | (3049) |
| CAD | (262580) | 05/15/2033 1M | MSI | Tourmaline Oil Corp. | 6 Month CAD CORRA | 0 | (5530) | (5530) |
| JPY | (1368) | 05/05/2028 1M | JPM | Toyo Tire Corp. | 12 Month JPY TONA | 0 | (28) | (28) |
| JPY | (1362) | 05/05/2028 1M | JPM | Toyota Motor Corp. | 12 Month JPY TONA | 0 | (82) | (82) |
| JPY | (1440) | 05/05/2028 1M | JPM | Toyota Tsusho Corp. | 12 Month JPY TONA | 0 | (102) | (102) |
| USD | (17743) | 05/15/2033 1M | MSI | Trane Technologies PLC | 1 day USD OBFR | 0 | (1100) | (1100) |
| USD | (6832) | 05/15/2033 1M | MSI | Transocean Ltd. | 1 day USD OBFR | 0 | (1094) | (1094) |
| EUR | (58528) | 05/20/2033 1M | GST | Traton SE | 12 Month EUR STR | 0 | (3441) | (3441) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Swap Contracts (continued)**

**Total Return Swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Notional** | **Maturity Date** | **Counter-**<br> **party** | **Receive** | **Pay** | **Upfront**<br> **Premiums**<br> **Paid/**<br> **(Received)** | **Fair**<br> **Value** | **Unrealized** |
| USD | (6160) | 05/05/2028 1M | JPM | TripAdvisor, Inc. | 1 day USD OBFR | $0 | $(23) | $(23) |
| JPY | (1382) | 05/05/2028 1M | JPM | Tsugami Corp. | 12 Month JPY TONA | 0 | (165) | (165) |
| USD | (1499) | 05/20/2033 1M | GST | Uber Technologies, Inc. | 1 day USD OBFR | 0 | (45) | (45) |
| USD | (26182) | 05/15/2033 1M | MSI | Uber Technologies, Inc. | 1 day USD OBFR | 0 | (548) | (548) |
| JPY | (1196) | 05/05/2028 1M | JPM | Union Tool Co. | 12 Month JPY TONA | 0 | (154) | (154) |
| USD | (12925) | 05/05/2028 1M | JPM | Universal Display Corp. | 1 day USD OBFR | 0 | (36) | (36) |
| USD | (8183) | 05/15/2033 1M | MSI | Uranium Energy Corp. | 1 day USD OBFR | 0 | (199) | (199) |
| JPY | (1379) | 05/05/2028 1M | JPM | Ushio, Inc. | 12 Month JPY TONA | 0 | (105) | (105) |
| EUR | (9618) | 05/05/2028 1M | JPM | Valmet OYJ | 12 Month EUR STR | 0 | (189) | (189) |
| EUR | (32267) | 05/20/2033 1M | GST | Valmet OYJ | 12 Month EUR STR | 0 | (613) | (613) |
| USD | (204958) | 05/20/2033 1M | GST | VanEck Oil Services ETF | 1 day USD OBFR | 0 | (21426) | (21426) |
| GBP | (154938) | 05/15/2033 1M | MSI | Vanguard FTSE 250 UCITS ETF | 12 Month GBP WMBA SONIA Compound | 0 | (1158) | (1158) |
| CHF | (18816) | 05/20/2033 1M | GST | VAT Group AG | 12 Month CHF SARON | 0 | (700) | (700) |
| CHF | (37003) | 05/15/2033 1M | MSI | VAT Group AG | 12 Month CHF SARON | 0 | (1448) | (1448) |
| EUR | (5910) | 05/05/2028 1M | JPM | Verbund AG | 12 Month EUR STR | 0 | (285) | (285) |
| EUR | (16432) | 05/15/2033 1M | MSI | Verbund AG | 12 Month EUR STR | 0 | (613) | (613) |
| EUR | (38448) | 05/20/2033 1M | GST | Verbund AG | 12 Month EUR STR | 0 | (1789) | (1789) |
| USD | (200793) | 05/20/2033 1M | GST | Verizon Communications, Inc. | 1 day USD OBFR | 0 | (8543) | (8543) |
| CAD | (43902) | 05/20/2033 1M | GST | Vermilion Energy, Inc. | 6 Month CAD CORRA | 0 | (625) | (625) |
| USD | (15000) | 05/20/2033 1M | GST | Vertiv Holdings Co. | 1 day USD OBFR | 0 | (1007) | (1007) |
| USD | (28728) | 05/15/2033 1M | MSI | Vertiv Holdings Co. | 1 day USD OBFR | 0 | (4251) | (4251) |
| EUR | (75848) | 05/05/2028 1M | JPM | Vinci SA | 12 Month EUR STR | 0 | (249) | (249) |
| USD | (7571) | 05/20/2033 1M | GST | Vistra Corp. | 1 day USD OBFR | 0 | (149) | (149) |
| GBP | (39818) | 05/20/2033 1M | GST | Vistry Group PLC | 12 Month GBP WMBA SONIA Compound | 0 | (962) | (962) |
| SEK | (1247) | 05/05/2028 1M | JPM | Wallenstam AB | 12 Month SEK STIBOR | 0 | (29) | (29) |
| USD | (1120) | 05/20/2033 1M | GST | Walt Disney Co. | 1 day USD OBFR | 0 | (7) | (7) |
| USD | (3508) | 05/05/2028 1M | JPM | Western Digital Corp. | 1 day USD OBFR | 0 | (698) | (698) |
| GBP | (39059) | 05/20/2033 1M | GST | Wise PLC | 12 Month GBP WMBA SONIA Compound | 0 | (327) | (327) |
| AUD | (13565) | 05/20/2033 1M | GST | Woodside Energy Group Ltd. | 1 day AUD AONIA | 0 | (1591) | (1591) |
| AUD | (27422) | 05/05/2028 1M | JPM | Woodside Energy Group Ltd. | 1 day AUD AONIA | 0 | (2000) | (2000) |
| AUD | (132070) | 05/15/2033 1M | MSI | Woodside Energy Group Ltd. | 1 day AUD AONIA | 0 | (14511) | (14511) |
| USD | (3287) | 05/15/2033 1M | MSI | Workday, Inc. | 1 day USD OBFR | 0 | (72) | (72) |
| USD | (6148) | 05/15/2033 1M | MSI | Xcel Energy, Inc. | 1 day USD OBFR | 0 | (102) | (102) |
| USD | (12354) | 05/05/2028 1M | JPM | Xcel Energy, Inc. | 1 day USD OBFR | 0 | (228) | (228) |
| JPY | (1669) | 05/05/2028 1M | JPM | Yaskawa Electric Corp. | 12 Month JPY TONA | 0 | (178) | (178) |
| JPY | (1405) | 05/05/2028 1M | JPM | Yokogawa Electric Corp. | 12 Month JPY TONA | 0 | (35) | (35) |
| USD | (3059) | 05/20/2033 1M | GST | Zscaler, Inc. | 1 day USD OBFR | 0 | (252) | (252) |
| **Other Total Return Swap Contracts** | **Other Total Return Swap Contracts** | **Other Total Return Swap Contracts** | **Other Total Return Swap Contracts** | **Other Total Return Swap Contracts** |  | 0 | (46395) | (46395) |
| **Total Total Return Swaps** | **Total Total Return Swaps** | **Total Total Return Swaps** | **Total Total Return Swaps** | **Total Total Return Swaps** |  | $0 | $(1621335) | $(1621335) |
| **Total Swap Contracts** | **Total Swap Contracts** | **Total Swap Contracts** | **Total Swap Contracts** | **Total Swap Contracts** |  | $(672222) | $(2690586) | $(2018364) |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

**Derivative Liabilities**

**Forward Currency Contracts**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Purchased**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Depreciation** |
| USD | 84561 | AUD | 130000 | BCY | BUY | 1.54 | 11/04/2025 | $(543) |
| USD | 84643 | AUD | 130000 | BCY | BUY | 1.54 | 11/04/2025 | (462) |
| USD | 84711 | AUD | 130000 | BCY | BUY | 1.53 | 11/04/2025 | (394) |
| USD | 87892 | AUD | 135000 | UBS | BUY | 1.54 | 11/04/2025 | (486) |
| USD | 104282 | AUD | 160000 | BCY | BUY | 1.53 | 11/04/2025 | (462) |
| USD | 107475 | AUD | 165000 | BCY | BUY | 1.54 | 11/04/2025 | (542) |
| USD | 120701 | AUD | 185000 | JPM | BUY | 1.53 | 11/04/2025 | (410) |
| USD | 133065 | AUD | 205000 | BCY | BUY | 1.54 | 11/04/2025 | (1138) |
| USD | 133324 | AUD | 205000 | JPM | BUY | 1.54 | 11/04/2025 | (879) |
| USD | 133380 | AUD | 205000 | BCY | BUY | 1.54 | 11/04/2025 | (823) |
| USD | 133398 | AUD | 205000 | JPM | BUY | 1.54 | 11/04/2025 | (805) |
| USD | 136933 | AUD | 210000 | JPM | BUY | 1.53 | 11/04/2025 | (543) |
| USD | 160010 | AUD | 245000 | BCY | BUY | 1.53 | 11/04/2025 | (379) |
| USD | 162303 | AUD | 250000 | BCY | BUY | 1.54 | 11/04/2025 | (1359) |
| USD | 179350 | AUD | 275000 | JPM | BUY | 1.53 | 11/04/2025 | (679) |
| USD | 3252 | AUD | 5000 | GST | BUY | 1.54 | 11/28/2025 | (22) |
| USD | 7801 | AUD | 12000 | BOA | BUY | 1.54 | 11/28/2025 | (57) |
| USD | 11056 | AUD | 17000 | GST | BUY | 1.54 | 11/28/2025 | (76) |
| USD | 54280 | AUD | 83500 | BOA | BUY | 1.54 | 11/28/2025 | (400) |
| USD | 60485 | AUD | 93000 | GST | BUY | 1.54 | 11/28/2025 | (416) |
| USD | 9773 | AUD | 15000 | CBK | BUY | 1.53 | 12/17/2025 | (51) |
| USD | 13035 | AUD | 20000 | CBK | BUY | 1.53 | 12/17/2025 | (65) |
| AUD | 3105000 | USD | 2050356 | BCY | SELL | 1.51 | 11/04/2025 | (17667) |
| AUD | 3105000 | USD | 2047996 | TDS | SELL | 1.52 | 11/04/2025 | (15308) |
| AUD | 763000 | USD | 503351 | TDS | SELL | 1.52 | 11/04/2025 | (3853) |
| AUD | 550000 | USD | 362144 | UBS | SELL | 1.52 | 11/04/2025 | (2086) |
| AUD | 405000 | USD | 265363 | DBF | SELL | 1.53 | 11/04/2025 | (230) |
| AUD | 205000 | USD | 135772 | UBS | SELL | 1.51 | 11/04/2025 | (1569) |
| AUD | 205000 | USD | 135628 | PAR | SELL | 1.51 | 11/04/2025 | (1425) |
| AUD | 185000 | USD | 121800 | PAR | SELL | 1.52 | 11/04/2025 | (690) |
| AUD | 180000 | USD | 118732 | JPM | SELL | 1.52 | 11/04/2025 | (895) |
| AUD | 130000 | USD | 86061 | JPM | SELL | 1.51 | 11/04/2025 | (956) |
| AUD | 55000 | USD | 36033 | BCY | SELL | 1.53 | 11/04/2025 | (27) |
| AUD | 55000 | USD | 36033 | BCY | SELL | 1.53 | 11/04/2025 | (27) |
| AUD | 50000 | USD | 32932 | BCY | SELL | 1.52 | 11/04/2025 | (199) |
| AUD | 45000 | USD | 29786 | DBF | SELL | 1.51 | 11/04/2025 | (326) |
| AUD | 43000 | USD | 28367 | TDS | SELL | 1.52 | 11/04/2025 | (217) |
| AUD | 24000 | USD | 15830 | TDS | SELL | 1.52 | 11/04/2025 | (118) |
| AUD | 23000 | USD | 15188 | BCY | SELL | 1.51 | 11/04/2025 | (131) |
| AUD | 5000 | USD | 3310 | BOA | SELL | 1.51 | 11/04/2025 | (37) |
| AUD | 7015000 | USD | 4629111 | TDS | SELL | 1.52 | 12/01/2025 | (35228) |
| AUD | 55000 | USD | 36037 | UBS | SELL | 1.53 | 12/01/2025 | (19) |
| AUD | 150000 | USD | 99314 | RBC | SELL | 1.51 | 12/17/2025 | (1069) |
| AUD | 5000 | USD | 3334 | SSB | SELL | 1.50 | 12/17/2025 | (59) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Purchased**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Depreciation** |
| USD | 54962 | BRL | 296000 | BOA | BUY | 5.39 | 11/04/2025 | $(4) |
| USD | 111472 | BRL | 617000 | CBK | BUY | 5.53 | 11/04/2025 | (3102) |
| USD | 111683 | BRL | 618000 | CBK | BUY | 5.53 | 11/04/2025 | (3077) |
| USD | 203782 | BRL | 1110000 | CBK | BUY | 5.45 | 11/04/2025 | (2340) |
| USD | 275081 | BRL | 1482000 | BOA | BUY | 5.39 | 11/04/2025 | (120) |
| USD | 519678 | BRL | 2839000 | BOA | BUY | 5.46 | 11/04/2025 | (7513) |
| USD | 565849 | BRL | 3115000 | GST | BUY | 5.50 | 11/04/2025 | (12593) |
| USD | 574870 | BRL | 3150000 | BOA | BUY | 5.48 | 11/04/2025 | (10072) |
| USD | 770799 | BRL | 4160000 | GST | BUY | 5.40 | 11/04/2025 | (1696) |
| USD | 4576 | BRL | 25000 | CBK | BUY | 5.46 | 12/17/2025 | (19) |
| USD | 10105 | BRL | 55000 | BCY | BUY | 5.44 | 12/17/2025 | (4) |
| USD | 21091 | BRL | 115000 | JPM | BUY | 5.45 | 12/17/2025 | (46) |
| USD | 21675 | BRL | 120000 | JPM | BUY | 5.54 | 12/17/2025 | (381) |
| BRL | 2535000 | USD | 471452 | HUS | SELL | 5.38 | 11/04/2025 | (714) |
| BRL | 1654000 | USD | 308180 | BOA | SELL | 5.37 | 11/04/2025 | (1039) |
| BRL | 5355000 | USD | 990305 | UBS | SELL | 5.41 | 12/02/2025 | (2954) |
| BRL | 660000 | USD | 122054 | UBS | SELL | 5.41 | 12/02/2025 | (364) |
| BRL | 80000 | USD | 14794 | UBS | SELL | 5.41 | 12/02/2025 | (44) |
| BRL | 10000 | USD | 1847 | PAR | SELL | 5.41 | 12/17/2025 | (9) |
| BRL | 10000 | USD | 1840 | CBK | SELL | 5.44 | 12/17/2025 | (2) |
| USD | 85383 | CAD | 120000 | BCY | BUY | 1.41 | 11/04/2025 | (265) |
| USD | 85518 | CAD | 120000 | BCY | BUY | 1.40 | 11/04/2025 | (131) |
| USD | 85522 | CAD | 120000 | JPM | BUY | 1.40 | 11/04/2025 | (127) |
| USD | 106795 | CAD | 150000 | BCY | BUY | 1.40 | 11/04/2025 | (265) |
| USD | 121167 | CAD | 170000 | BCY | BUY | 1.40 | 11/04/2025 | (168) |
| USD | 131983 | CAD | 185000 | BCY | BUY | 1.40 | 11/04/2025 | (58) |
| USD | 163567 | CAD | 230000 | JPM | BUY | 1.41 | 11/04/2025 | (592) |
| USD | 163684 | CAD | 230000 | PAR | BUY | 1.41 | 11/04/2025 | (476) |
| USD | 331465 | CAD | 465000 | JPM | BUY | 1.40 | 11/04/2025 | (422) |
| USD | 484619 | CAD | 680000 | CBK | BUY | 1.40 | 11/04/2025 | (721) |
| USD | 7136 | CAD | 10000 | BMO | BUY | 1.40 | 11/28/2025 | (10) |
| USD | 13630 | CAD | 19100 | BMO | BUY | 1.40 | 11/28/2025 | (19) |
| USD | 51379 | CAD | 72000 | BMO | BUY | 1.40 | 11/28/2025 | (73) |
| USD | 72073 | CAD | 101000 | BMO | BUY | 1.40 | 11/28/2025 | (103) |
| USD | 84917 | CAD | 119000 | BMO | BUY | 1.40 | 11/28/2025 | (121) |
| CAD | 4851000 | USD | 3493346 | PAR | SELL | 1.39 | 11/04/2025 | (31013) |
| CAD | 1541000 | USD | 1105270 | RBC | SELL | 1.39 | 11/04/2025 | (5403) |
| CAD | 432000 | USD | 309915 | RBC | SELL | 1.39 | 11/04/2025 | (1581) |
| CAD | 330000 | USD | 236643 | PAR | SELL | 1.39 | 11/04/2025 | (1110) |
| CAD | 325000 | USD | 233646 | GST | SELL | 1.39 | 11/04/2025 | (1682) |
| CAD | 230000 | USD | 165384 | JPM | SELL | 1.39 | 11/04/2025 | (1225) |
| CAD | 190000 | USD | 136603 | BCY | SELL | 1.39 | 11/04/2025 | (993) |
| CAD | 180000 | USD | 129546 | BCY | SELL | 1.39 | 11/04/2025 | (1073) |
| CAD | 168000 | USD | 120982 | PAR | SELL | 1.39 | 11/04/2025 | (1074) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Purchased**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Depreciation** |
| CAD | 162000 | USD | 116487 | BCY | SELL | 1.39 | 11/04/2025 | $(862) |
| CAD | 150000 | USD | 107975 | BCY | SELL | 1.39 | 11/04/2025 | (915) |
| CAD | 140000 | USD | 100778 | BCY | SELL | 1.39 | 11/04/2025 | (854) |
| CAD | 140000 | USD | 100764 | BCY | SELL | 1.39 | 11/04/2025 | (841) |
| CAD | 135000 | USD | 96606 | JPM | SELL | 1.40 | 11/04/2025 | (252) |
| CAD | 130000 | USD | 93806 | JPM | SELL | 1.39 | 11/04/2025 | (1021) |
| CAD | 130000 | USD | 93581 | JPM | SELL | 1.39 | 11/04/2025 | (795) |
| CAD | 120000 | USD | 86827 | JPM | SELL | 1.38 | 11/04/2025 | (1179) |
| CAD | 120000 | USD | 86340 | UBS | SELL | 1.39 | 11/04/2025 | (691) |
| CAD | 120000 | USD | 86170 | BCY | SELL | 1.39 | 11/04/2025 | (522) |
| CAD | 110000 | USD | 79160 | PAR | SELL | 1.39 | 11/04/2025 | (649) |
| CAD | 110000 | USD | 79156 | BCY | SELL | 1.39 | 11/04/2025 | (646) |
| CAD | 110000 | USD | 79141 | JPM | SELL | 1.39 | 11/04/2025 | (630) |
| CAD | 110000 | USD | 79003 | BCY | SELL | 1.39 | 11/04/2025 | (492) |
| CAD | 110000 | USD | 78523 | BCY | SELL | 1.40 | 11/04/2025 | (12) |
| CAD | 82000 | USD | 58807 | MSI | SELL | 1.39 | 11/04/2025 | (281) |
| CAD | 8000 | USD | 5765 | BCY | SELL | 1.39 | 11/04/2025 | (55) |
| CAD | 889000 | USD | 635894 | JPM | SELL | 1.40 | 11/28/2025 | (604) |
| CAD | 515000 | USD | 368530 | HUS | SELL | 1.40 | 11/28/2025 | (505) |
| CAD | 375000 | USD | 270050 | PAR | SELL | 1.39 | 12/01/2025 | (2030) |
| CAD | 35000 | USD | 25385 | MSI | SELL | 1.38 | 12/17/2025 | (349) |
| USD | 2122 | CLP | 2000000 | UBS | BUY | 942.70 | 11/04/2025 | (1) |
| USD | 17777 | CLP | 17150000 | MSI | BUY | 964.75 | 11/04/2025 | (426) |
| USD | 26630 | CLP | 25725000 | HUS | BUY | 966.00 | 11/04/2025 | (674) |
| USD | 38511 | CLP | 37080000 | HUS | BUY | 962.85 | 11/04/2025 | (845) |
| USD | 38525 | CLP | 37080000 | HUS | BUY | 962.50 | 11/04/2025 | (831) |
| USD | 38535 | CLP | 37080000 | MSI | BUY | 962.25 | 11/04/2025 | (821) |
| USD | 38535 | CLP | 37080000 | HUS | BUY | 962.25 | 11/04/2025 | (821) |
| USD | 38541 | CLP | 37080000 | HUS | BUY | 962.10 | 11/04/2025 | (815) |
| USD | 39445 | CLP | 37970000 | CBK | BUY | 962.60 | 11/04/2025 | (856) |
| USD | 44373 | CLP | 42875000 | GST | BUY | 966.25 | 11/04/2025 | (1134) |
| USD | 54896 | CLP | 52741000 | BOA | BUY | 960.75 | 11/04/2025 | (1083) |
| USD | 61419 | CLP | 59269000 | SCB | BUY | 965.00 | 11/04/2025 | (1489) |
| USD | 61498 | CLP | 59269000 | CBK | BUY | 963.75 | 11/04/2025 | (1409) |
| USD | 61533 | CLP | 59269000 | SCB | BUY | 963.20 | 11/04/2025 | (1374) |
| USD | 84433 | CLP | 81140000 | CBK | BUY | 961.00 | 11/04/2025 | (1688) |
| USD | 87823 | CLP | 84670000 | GST | BUY | 964.10 | 11/04/2025 | (2045) |
| USD | 88846 | CLP | 85750000 | HUS | BUY | 965.15 | 11/04/2025 | (2167) |
| USD | 96352 | CLP | 92700000 | GST | BUY | 962.10 | 11/04/2025 | (2039) |
| USD | 96402 | CLP | 92700000 | UBS | BUY | 961.60 | 11/04/2025 | (1989) |
| USD | 114814 | CLP | 110600000 | GST | BUY | 963.30 | 11/04/2025 | (2576) |
| USD | 117380 | CLP | 110654000 | UBS | BUY | 942.70 | 11/04/2025 | (67) |
| USD | 139242 | CLP | 133881000 | HUS | BUY | 961.50 | 11/04/2025 | (2858) |
| USD | 143521 | CLP | 137938000 | GST | BUY | 961.10 | 11/04/2025 | (2884) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Purchased**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Depreciation** |
| USD | 157874 | CLP | 151880000 | GST | BUY | 962.03 | 11/04/2025 | $(3329) |
| USD | 166708 | CLP | 160873000 | HUS | BUY | 965.00 | 11/04/2025 | (4040) |
| USD | 197195 | CLP | 189850000 | HUS | BUY | 962.75 | 11/04/2025 | (4308) |
| USD | 438705 | CLP | 423350000 | HUS | BUY | 965.00 | 11/04/2025 | (10633) |
| USD | 83952 | CLP | 79100000 | UBS | BUY | 942.20 | 12/01/2025 | (19) |
| USD | 78699 | CNH | 562000 | BCY | BUY | 7.14 | 11/04/2025 | (209) |
| USD | 78796 | CNH | 562000 | BCY | BUY | 7.13 | 11/04/2025 | (112) |
| USD | 78798 | CNH | 562000 | BCY | BUY | 7.13 | 11/04/2025 | (110) |
| USD | 86267 | CNH | 615000 | PAR | BUY | 7.13 | 11/04/2025 | (82) |
| USD | 86474 | CNH | 616000 | JPM | BUY | 7.12 | 11/04/2025 | (16) |
| USD | 86485 | CNH | 616000 | BCY | BUY | 7.12 | 11/04/2025 | (5) |
| USD | 93195 | CNH | 666000 | BCY | BUY | 7.15 | 11/04/2025 | (315) |
| USD | 93366 | CNH | 666000 | BCY | BUY | 7.13 | 11/04/2025 | (144) |
| USD | 107460 | CNH | 767000 | BCY | BUY | 7.14 | 11/04/2025 | (230) |
| USD | 107774 | CNH | 768000 | JPM | BUY | 7.13 | 11/04/2025 | (57) |
| USD | 122058 | CNH | 870000 | JPM | BUY | 7.13 | 11/04/2025 | (94) |
| USD | 122513 | CNH | 873000 | JPM | BUY | 7.13 | 11/04/2025 | (61) |
| USD | 214592 | CNH | 1531000 | JPM | BUY | 7.13 | 11/04/2025 | (368) |
| USD | 300685 | CNH | 2143000 | SGF | BUY | 7.13 | 11/04/2025 | (203) |
| USD | 351243 | CNH | 2507000 | SCB | BUY | 7.14 | 11/04/2025 | (752) |
| USD | 352680 | CNH | 2512000 | SCB | BUY | 7.12 | 11/04/2025 | (17) |
| USD | 498703 | CNH | 3556000 | JPM | BUY | 7.13 | 11/04/2025 | (578) |
| USD | 592589 | CNH | 4224000 | DBF | BUY | 7.13 | 11/04/2025 | (482) |
| USD | 609452 | CNH | 4346000 | SGF | BUY | 7.13 | 11/04/2025 | (749) |
| CNH | 21188000 | USD | 2987255 | UBS | SELL | 7.09 | 11/04/2025 | (12352) |
| CNH | 7379000 | USD | 1040351 | UBS | SELL | 7.09 | 11/04/2025 | (4302) |
| CNH | 4932000 | USD | 693987 | HUS | SELL | 7.11 | 11/04/2025 | (1509) |
| CNH | 2567000 | USD | 360658 | JPM | SELL | 7.12 | 11/04/2025 | (238) |
| CNH | 1786000 | USD | 251032 | JPM | SELL | 7.11 | 11/04/2025 | (269) |
| CNH | 1744000 | USD | 245025 | JPM | SELL | 7.12 | 11/04/2025 | (158) |
| CNH | 1158000 | USD | 162620 | HUS | SELL | 7.12 | 11/04/2025 | (31) |
| CNH | 1123000 | USD | 157911 | JPM | SELL | 7.11 | 11/04/2025 | (236) |
| CNH | 801000 | USD | 112544 | SSB | SELL | 7.12 | 11/04/2025 | (80) |
| CNH | 771000 | USD | 108450 | JPM | SELL | 7.11 | 11/04/2025 | (198) |
| CNH | 762000 | USD | 107056 | BCY | SELL | 7.12 | 11/04/2025 | (67) |
| CNH | 760000 | USD | 106742 | JPM | SELL | 7.12 | 11/04/2025 | (34) |
| CNH | 748000 | USD | 105425 | GST | SELL | 7.10 | 11/04/2025 | (402) |
| CNH | 664000 | USD | 93288 | JPM | SELL | 7.12 | 11/04/2025 | (59) |
| CNH | 651000 | USD | 91410 | JPM | SELL | 7.12 | 11/04/2025 | (6) |
| CNH | 11158000 | USD | 1575555 | GST | SELL | 7.08 | 12/01/2025 | (5909) |
| CNH | 5265000 | USD | 743907 | PAR | SELL | 7.08 | 12/01/2025 | (3256) |
| CNH | 3889000 | USD | 549302 | JPM | SELL | 7.08 | 12/01/2025 | (2219) |
| CNH | 1439000 | USD | 203246 | SSB | SELL | 7.08 | 12/01/2025 | (815) |
| CNH | 1257000 | USD | 177122 | HUS | SELL | 7.10 | 12/01/2025 | (295) |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

**Derivative Liabilities**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Purchased**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Depreciation** |
| CNH | 930000 | USD | 131477 | DBF | SELL | 7.07 | 12/01/2025 | $(649) |
| CNH | 856000 | USD | 120926 | CBK | SELL | 7.08 | 12/01/2025 | (509) |
| CNH | 816000 | USD | 115308 | UBS | SELL | 7.08 | 12/01/2025 | (518) |
| CNH | 778000 | USD | 109885 | HUS | SELL | 7.08 | 12/01/2025 | (440) |
| CNH | 774000 | USD | 109370 | SCB | SELL | 7.08 | 12/01/2025 | (488) |
| CNH | 387000 | USD | 54678 | MSI | SELL | 7.08 | 12/01/2025 | (237) |
| CNH | 387000 | USD | 54674 | GST | SELL | 7.08 | 12/01/2025 | (233) |
| USD | 4209 | COP | 16395000 | MSI | BUY | 3895.60 | 11/04/2025 | (38) |
| USD | 11229 | COP | 44025000 | UBS | BUY | 3920.49 | 11/04/2025 | (174) |
| USD | 11257 | COP | 44025000 | PAR | BUY | 3910.99 | 11/04/2025 | (147) |
| USD | 13707 | COP | 53133000 | PAR | BUY | 3876.42 | 11/04/2025 | (56) |
| USD | 15013 | COP | 58700000 | SCB | BUY | 3910.07 | 11/04/2025 | (192) |
| USD | 37474 | COP | 146750000 | CBK | BUY | 3916.04 | 11/04/2025 | (538) |
| USD | 40163 | COP | 157200000 | BOA | BUY | 3914.05 | 11/04/2025 | (556) |
| USD | 42266 | COP | 163950000 | BOA | BUY | 3878.98 | 11/04/2025 | (201) |
| USD | 46311 | COP | 180345000 | MSI | BUY | 3894.23 | 11/04/2025 | (403) |
| USD | 84895 | COP | 336100000 | UBS | BUY | 3958.98 | 11/04/2025 | (2164) |
| USD | 85154 | COP | 336100000 | BCY | BUY | 3946.95 | 11/04/2025 | (1905) |
| USD | 105692 | COP | 409875000 | CBK | BUY | 3878.07 | 11/04/2025 | (476) |
| USD | 114294 | COP | 442775000 | CBK | BUY | 3874.02 | 11/04/2025 | (397) |
| USD | 157244 | COP | 607400000 | HUS | BUY | 3862.79 | 11/04/2025 | (89) |
| USD | 17060 | COP | 66371000 | CBK | BUY | 3890.29 | 12/01/2025 | (65) |
| COP | 1005620000 | USD | 261268 | CBK | SELL | 3848.97 | 11/04/2025 | (785) |
| COP | 300380000 | USD | 78102 | CBK | SELL | 3846.01 | 11/04/2025 | (295) |
| CZK | 9798000 | USD | 476867 | BCY | SELL | 20.55 | 11/04/2025 | (12199) |
| CZK | 5699000 | USD | 277369 | BCY | SELL | 20.55 | 11/04/2025 | (7095) |
| CZK | 4330000 | USD | 206283 | PAR | SELL | 20.99 | 11/04/2025 | (933) |
| CZK | 1890000 | USD | 90641 | JPM | SELL | 20.85 | 11/04/2025 | (1008) |
| CZK | 470000 | USD | 22450 | BCY | SELL | 20.93 | 11/28/2025 | (150) |
| CZK | 9798000 | USD | 470046 | BCY | SELL | 20.84 | 12/01/2025 | (5130) |
| CZK | 4279000 | USD | 205280 | BCY | SELL | 20.84 | 12/01/2025 | (2240) |
| DKK | 496000 | USD | 77348 | GST | SELL | 6.41 | 11/28/2025 | (557) |
| DKK | 380000 | USD | 59258 | GST | SELL | 6.41 | 11/28/2025 | (427) |
| DKK | 360000 | USD | 55850 | GST | SELL | 6.45 | 11/28/2025 | (115) |
| EUR | 176000 | USD | 203672 | CBK | SELL | 0.86 | 11/03/2025 | (533) |
| EUR | 1232000 | USD | 1457071 | DBF | SELL | 0.85 | 11/04/2025 | (35096) |
| EUR | 1003000 | USD | 1179579 | JPM | SELL | 0.85 | 11/04/2025 | (21917) |
| EUR | 878000 | USD | 1022492 | DBF | SELL | 0.86 | 11/04/2025 | (9105) |
| EUR | 492600 | USD | 574352 | DBF | SELL | 0.86 | 11/04/2025 | (5793) |
| EUR | 393000 | USD | 462600 | CBK | SELL | 0.85 | 11/04/2025 | (9000) |
| EUR | 303000 | USD | 351556 | BCY | SELL | 0.86 | 11/04/2025 | (1833) |
| EUR | 234000 | USD | 273510 | GST | SELL | 0.86 | 11/04/2025 | (3427) |
| EUR | 231000 | USD | 269007 | DBF | SELL | 0.86 | 11/04/2025 | (2386) |
| EUR | 202000 | USD | 237362 | BCY | SELL | 0.85 | 11/04/2025 | (4214) |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

**Derivative Liabilities**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Purchased**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Depreciation** |
| EUR | 198000 | USD | 230860 | DBF | SELL | 0.86 | 11/04/2025 | $(2328) |
| EUR | 180000 | USD | 211682 | HUS | SELL | 0.85 | 11/04/2025 | (3926) |
| EUR | 171000 | USD | 198754 | BOA | SELL | 0.86 | 11/04/2025 | (1386) |
| EUR | 153000 | USD | 180054 | PAR | SELL | 0.85 | 11/04/2025 | (3461) |
| EUR | 154000 | USD | 178217 | JPM | SELL | 0.86 | 11/04/2025 | (470) |
| EUR | 151000 | USD | 175430 | JPM | SELL | 0.86 | 11/04/2025 | (1146) |
| EUR | 146000 | USD | 172209 | BCY | SELL | 0.85 | 11/04/2025 | (3696) |
| EUR | 142000 | USD | 164220 | JPM | SELL | 0.86 | 11/04/2025 | (324) |
| EUR | 136000 | USD | 159064 | BCY | SELL | 0.85 | 11/04/2025 | (2093) |
| EUR | 136000 | USD | 158564 | UBS | SELL | 0.86 | 11/04/2025 | (1593) |
| EUR | 133000 | USD | 154490 | BCY | SELL | 0.86 | 11/04/2025 | (981) |
| EUR | 131000 | USD | 154178 | CBK | SELL | 0.85 | 11/04/2025 | (2978) |
| EUR | 122000 | USD | 142392 | JPM | SELL | 0.86 | 11/04/2025 | (1580) |
| EUR | 121000 | USD | 141135 | JPM | SELL | 0.86 | 11/04/2025 | (1477) |
| EUR | 121000 | USD | 141015 | BCY | SELL | 0.86 | 11/04/2025 | (1356) |
| EUR | 121000 | USD | 140321 | JPM | SELL | 0.86 | 11/04/2025 | (663) |
| EUR | 117000 | USD | 137603 | BCY | SELL | 0.85 | 11/04/2025 | (2562) |
| EUR | 117000 | USD | 136019 | JPM | SELL | 0.86 | 11/04/2025 | (978) |
| EUR | 115000 | USD | 133726 | JPM | SELL | 0.86 | 11/04/2025 | (993) |
| EUR | 115000 | USD | 133575 | BCY | SELL | 0.86 | 11/04/2025 | (842) |
| EUR | 115000 | USD | 133536 | BCY | SELL | 0.86 | 11/04/2025 | (803) |
| EUR | 104000 | USD | 121430 | BCY | SELL | 0.86 | 11/04/2025 | (1393) |
| EUR | 96000 | USD | 113538 | DBF | SELL | 0.85 | 11/04/2025 | (2735) |
| EUR | 96000 | USD | 112941 | BOA | SELL | 0.85 | 11/04/2025 | (2137) |
| EUR | 96000 | USD | 111269 | CAG | SELL | 0.86 | 11/04/2025 | (466) |
| EUR | 92000 | USD | 106949 | BCY | SELL | 0.86 | 11/04/2025 | (763) |
| EUR | 91000 | USD | 106152 | UBS | SELL | 0.86 | 11/04/2025 | (1120) |
| EUR | 91000 | USD | 105515 | JPM | SELL | 0.86 | 11/04/2025 | (483) |
| EUR | 88000 | USD | 103468 | JPM | SELL | 0.85 | 11/04/2025 | (1899) |
| EUR | 86000 | USD | 101264 | UBS | SELL | 0.85 | 11/04/2025 | (2002) |
| EUR | 85000 | USD | 99714 | BCY | SELL | 0.85 | 11/04/2025 | (1607) |
| EUR | 85000 | USD | 98825 | BCY | SELL | 0.86 | 11/04/2025 | (718) |
| EUR | 81000 | USD | 94443 | DBF | SELL | 0.86 | 11/04/2025 | (953) |
| EUR | 80000 | USD | 94207 | UBS | SELL | 0.85 | 11/04/2025 | (1871) |
| EUR | 80000 | USD | 94023 | UBS | SELL | 0.85 | 11/04/2025 | (1687) |
| EUR | 74000 | USD | 85622 | PAR | SELL | 0.86 | 11/04/2025 | (211) |
| EUR | 73000 | USD | 85236 | JPM | SELL | 0.86 | 11/04/2025 | (980) |
| EUR | 73000 | USD | 85133 | UBS | SELL | 0.86 | 11/04/2025 | (877) |
| EUR | 73000 | USD | 84664 | BCY | SELL | 0.86 | 11/04/2025 | (407) |
| EUR | 73000 | USD | 84644 | JPM | SELL | 0.86 | 11/04/2025 | (387) |
| EUR | 68000 | USD | 78913 | UBS | SELL | 0.86 | 11/04/2025 | (427) |
| EUR | 67000 | USD | 77938 | BCY | SELL | 0.86 | 11/04/2025 | (606) |
| EUR | 63000 | USD | 73205 | BCY | SELL | 0.86 | 11/04/2025 | (490) |
| EUR | 62000 | USD | 72267 | DBF | SELL | 0.86 | 11/04/2025 | (706) |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

**Derivative Liabilities**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Purchased**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Depreciation** |
| EUR | 60000 | USD | 69716 | MSI | SELL | 0.86 | 11/04/2025 | $(464) |
| EUR | 59000 | USD | 68355 | UBS | SELL | 0.86 | 11/04/2025 | (257) |
| EUR | 56000 | USD | 66230 | DBF | SELL | 0.85 | 11/04/2025 | (1595) |
| EUR | 48000 | USD | 55683 | HUS | SELL | 0.86 | 11/04/2025 | (281) |
| EUR | 45000 | USD | 53221 | DBF | SELL | 0.85 | 11/04/2025 | (1282) |
| EUR | 42000 | USD | 49327 | BOA | SELL | 0.85 | 11/04/2025 | (850) |
| EUR | 38000 | USD | 44229 | JPM | SELL | 0.86 | 11/04/2025 | (370) |
| EUR | 37000 | USD | 43242 | JPM | SELL | 0.86 | 11/04/2025 | (536) |
| EUR | 36000 | USD | 41805 | MSI | SELL | 0.86 | 11/04/2025 | (254) |
| EUR | 35000 | USD | 41372 | HUS | SELL | 0.85 | 11/04/2025 | (975) |
| EUR | 35000 | USD | 40715 | JPM | SELL | 0.86 | 11/04/2025 | (318) |
| EUR | 34000 | USD | 39606 | SCB | SELL | 0.86 | 11/04/2025 | (364) |
| EUR | 33000 | USD | 38333 | BOA | SELL | 0.86 | 11/04/2025 | (245) |
| EUR | 33000 | USD | 38233 | UBS | SELL | 0.86 | 11/04/2025 | (144) |
| EUR | 31000 | USD | 36224 | BCY | SELL | 0.86 | 11/04/2025 | (444) |
| EUR | 24000 | USD | 28205 | MSI | SELL | 0.85 | 11/04/2025 | (504) |
| EUR | 24000 | USD | 27966 | JPM | SELL | 0.86 | 11/04/2025 | (265) |
| EUR | 24000 | USD | 27911 | CBK | SELL | 0.86 | 11/04/2025 | (210) |
| EUR | 22000 | USD | 25635 | JPM | SELL | 0.86 | 11/04/2025 | (243) |
| EUR | 21000 | USD | 24571 | BOA | SELL | 0.85 | 11/04/2025 | (333) |
| EUR | 21000 | USD | 24361 | HUS | SELL | 0.86 | 11/04/2025 | (123) |
| EUR | 19000 | USD | 22471 | DBF | SELL | 0.85 | 11/04/2025 | (541) |
| EUR | 18000 | USD | 21072 | HUS | SELL | 0.85 | 11/04/2025 | (297) |
| EUR | 15000 | USD | 17425 | BOA | SELL | 0.86 | 11/04/2025 | (112) |
| EUR | 14000 | USD | 16492 | CAG | SELL | 0.85 | 11/04/2025 | (333) |
| EUR | 13200 | USD | 15452 | CBK | SELL | 0.85 | 11/04/2025 | (217) |
| EUR | 10000 | USD | 11573 | BCY | SELL | 0.86 | 11/04/2025 | (31) |
| EUR | 9000 | USD | 10524 | BOA | SELL | 0.86 | 11/04/2025 | (136) |
| EUR | 8000 | USD | 9293 | BOA | SELL | 0.86 | 11/04/2025 | (59) |
| EUR | 7000 | USD | 8279 | DBF | SELL | 0.85 | 11/04/2025 | (199) |
| EUR | 5000 | USD | 5804 | HUS | SELL | 0.86 | 11/04/2025 | (33) |
| EUR | 4000 | USD | 4682 | CBK | SELL | 0.85 | 11/04/2025 | (66) |
| EUR | 1482700 | USD | 1724568 | DBF | SELL | 0.86 | 11/28/2025 | (10920) |
| EUR | 228000 | USD | 266326 | JPM | SELL | 0.86 | 11/28/2025 | (2812) |
| EUR | 201000 | USD | 234786 | JPM | SELL | 0.86 | 11/28/2025 | (2478) |
| EUR | 159000 | USD | 184034 | MSI | SELL | 0.86 | 11/28/2025 | (268) |
| EUR | 87000 | USD | 101624 | JPM | SELL | 0.86 | 11/28/2025 | (1073) |
| EUR | 73700 | USD | 85722 | DBF | SELL | 0.86 | 11/28/2025 | (543) |
| EUR | 51000 | USD | 59588 | TDS | SELL | 0.86 | 11/28/2025 | (644) |
| EUR | 51000 | USD | 59319 | DBF | SELL | 0.86 | 11/28/2025 | (376) |
| EUR | 19000 | USD | 22165 | BOA | SELL | 0.86 | 11/28/2025 | (206) |
| EUR | 8000 | USD | 9320 | JPM | SELL | 0.86 | 11/28/2025 | (74) |
| EUR | 4000 | USD | 4662 | TDS | SELL | 0.86 | 11/28/2025 | (39) |
| EUR | 604000 | USD | 705311 | DBF | SELL | 0.86 | 12/01/2025 | (7113) |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

**Derivative Liabilities**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Purchased**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Depreciation** |
| EUR | 196000 | USD | 227351 | MSI | SELL | 0.86 | 12/01/2025 | $(784) |
| EUR | 170000 | USD | 198515 | DBF | SELL | 0.86 | 12/01/2025 | (2002) |
| EUR | 126000 | USD | 146360 | UBS | SELL | 0.86 | 12/01/2025 | (709) |
| EUR | 115000 | USD | 134029 | JPM | SELL | 0.86 | 12/01/2025 | (1094) |
| EUR | 114000 | USD | 132811 | BCY | SELL | 0.86 | 12/01/2025 | (1032) |
| EUR | 102000 | USD | 118438 | JPM | SELL | 0.86 | 12/01/2025 | (531) |
| EUR | 96000 | USD | 112102 | DBF | SELL | 0.86 | 12/01/2025 | (1130) |
| EUR | 85000 | USD | 99257 | DBF | SELL | 0.86 | 12/01/2025 | (1001) |
| EUR | 72000 | USD | 83436 | UBS | SELL | 0.86 | 12/01/2025 | (207) |
| EUR | 48000 | USD | 56051 | DBF | SELL | 0.86 | 12/01/2025 | (565) |
| EUR | 23000 | USD | 26858 | DBF | SELL | 0.86 | 12/01/2025 | (271) |
| EUR | 14000 | USD | 16218 | UBS | SELL | 0.86 | 12/01/2025 | (35) |
| EUR | 322000 | USD | 379276 | DBF | SELL | 0.85 | 12/17/2025 | (6717) |
| EUR | 95000 | USD | 112376 | CBK | SELL | 0.85 | 12/17/2025 | (2460) |
| EUR | 72000 | USD | 84007 | CBK | SELL | 0.86 | 12/17/2025 | (702) |
| EUR | 47000 | USD | 54528 | CBK | SELL | 0.86 | 12/17/2025 | (149) |
| EUR | 24000 | USD | 28390 | SCB | SELL | 0.85 | 12/17/2025 | (621) |
| EUR | 5000 | USD | 5889 | DBF | SELL | 0.85 | 12/17/2025 | (104) |
| GBP | 31000 | USD | 40796 | GST | SELL | 0.76 | 11/03/2025 | (66) |
| GBP | 952000 | USD | 1280862 | GST | SELL | 0.74 | 11/04/2025 | (30077) |
| GBP | 899000 | USD | 1196299 | GST | SELL | 0.75 | 11/04/2025 | (15148) |
| GBP | 675000 | USD | 901403 | GST | SELL | 0.75 | 11/04/2025 | (14554) |
| GBP | 413000 | USD | 549579 | GST | SELL | 0.75 | 11/04/2025 | (6959) |
| GBP | 331000 | USD | 447093 | GST | SELL | 0.74 | 11/04/2025 | (12208) |
| GBP | 327000 | USD | 440012 | UBS | SELL | 0.74 | 11/04/2025 | (10383) |
| GBP | 264000 | USD | 351585 | JPM | SELL | 0.75 | 11/04/2025 | (4728) |
| GBP | 176000 | USD | 236296 | BCY | SELL | 0.74 | 11/04/2025 | (5058) |
| GBP | 132000 | USD | 175839 | JPM | SELL | 0.75 | 11/04/2025 | (2411) |
| GBP | 118000 | USD | 158568 | BCY | SELL | 0.74 | 11/04/2025 | (3534) |
| GBP | 117000 | USD | 157401 | BCY | SELL | 0.74 | 11/04/2025 | (3681) |
| GBP | 114000 | USD | 153984 | GST | SELL | 0.74 | 11/04/2025 | (4205) |
| GBP | 111000 | USD | 147970 | PAR | SELL | 0.75 | 11/04/2025 | (2133) |
| GBP | 107000 | USD | 142111 | BCY | SELL | 0.75 | 11/04/2025 | (1529) |
| GBP | 105000 | USD | 140256 | JPM | SELL | 0.75 | 11/04/2025 | (2302) |
| GBP | 102000 | USD | 135508 | BCY | SELL | 0.75 | 11/04/2025 | (1496) |
| GBP | 102000 | USD | 135360 | BCY | SELL | 0.75 | 11/04/2025 | (1347) |
| GBP | 100000 | USD | 133162 | JPM | SELL | 0.75 | 11/04/2025 | (1777) |
| GBP | 81000 | USD | 107708 | UBS | SELL | 0.75 | 11/04/2025 | (1286) |
| GBP | 81000 | USD | 107675 | UBS | SELL | 0.75 | 11/04/2025 | (1253) |
| GBP | 80000 | USD | 107571 | BCY | SELL | 0.74 | 11/04/2025 | (2463) |
| GBP | 80000 | USD | 107544 | BCY | SELL | 0.74 | 11/04/2025 | (2436) |
| GBP | 80000 | USD | 107023 | JPM | SELL | 0.75 | 11/04/2025 | (1915) |
| GBP | 80000 | USD | 106625 | JPM | SELL | 0.75 | 11/04/2025 | (1517) |
| GBP | 80000 | USD | 106505 | JPM | SELL | 0.75 | 11/04/2025 | (1397) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Purchased**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Depreciation** |
| GBP | 79000 | USD | 105031 | JPM | SELL | 0.75 | 11/04/2025 | $(1237) |
| GBP | 77000 | USD | 102914 | SSB | SELL | 0.75 | 11/04/2025 | (1748) |
| GBP | 70000 | USD | 93598 | JPM | SELL | 0.75 | 11/04/2025 | (1629) |
| GBP | 69000 | USD | 92987 | BCY | SELL | 0.74 | 11/04/2025 | (2331) |
| GBP | 69000 | USD | 91599 | GST | SELL | 0.75 | 11/04/2025 | (943) |
| GBP | 68000 | USD | 90618 | BCY | SELL | 0.75 | 11/04/2025 | (1276) |
| GBP | 66000 | USD | 87826 | GST | SELL | 0.75 | 11/04/2025 | (1112) |
| GBP | 65000 | USD | 87340 | CBK | SELL | 0.74 | 11/04/2025 | (1940) |
| GBP | 64000 | USD | 86318 | BCY | SELL | 0.74 | 11/04/2025 | (2232) |
| GBP | 63000 | USD | 84037 | JPM | SELL | 0.75 | 11/04/2025 | (1265) |
| GBP | 63000 | USD | 84003 | JPM | SELL | 0.75 | 11/04/2025 | (1230) |
| GBP | 63000 | USD | 83859 | BCY | SELL | 0.75 | 11/04/2025 | (1086) |
| GBP | 59000 | USD | 79360 | BCY | SELL | 0.74 | 11/04/2025 | (1843) |
| GBP | 59000 | USD | 78781 | BOA | SELL | 0.75 | 11/04/2025 | (1264) |
| GBP | 59000 | USD | 78376 | JPM | SELL | 0.75 | 11/04/2025 | (859) |
| GBP | 58000 | USD | 77405 | JPM | SELL | 0.75 | 11/04/2025 | (1202) |
| GBP | 53000 | USD | 71452 | MSI | SELL | 0.74 | 11/04/2025 | (1818) |
| GBP | 38000 | USD | 50723 | JPM | SELL | 0.75 | 11/04/2025 | (797) |
| GBP | 28000 | USD | 37821 | GST | SELL | 0.74 | 11/04/2025 | (1033) |
| GBP | 28000 | USD | 37798 | UBS | SELL | 0.74 | 11/04/2025 | (1010) |
| GBP | 27000 | USD | 36501 | BCY | SELL | 0.74 | 11/04/2025 | (1027) |
| GBP | 27000 | USD | 36029 | BCY | SELL | 0.75 | 11/04/2025 | (555) |
| GBP | 21000 | USD | 28197 | GST | SELL | 0.74 | 11/04/2025 | (607) |
| GBP | 11000 | USD | 14777 | GST | SELL | 0.74 | 11/04/2025 | (325) |
| GBP | 10000 | USD | 13403 | BOA | SELL | 0.75 | 11/04/2025 | (264) |
| GBP | 3000 | USD | 3992 | GST | SELL | 0.75 | 11/04/2025 | (51) |
| GBP | 2000 | USD | 2661 | GST | SELL | 0.75 | 11/04/2025 | (34) |
| GBP | 1000 | USD | 1351 | GST | SELL | 0.74 | 11/04/2025 | (37) |
| GBP | 1000 | USD | 1331 | GST | SELL | 0.75 | 11/04/2025 | (17) |
| GBP | 864000 | USD | 1150828 | BCY | SELL | 0.75 | 11/28/2025 | (15593) |
| GBP | 310400 | USD | 413446 | BCY | SELL | 0.75 | 11/28/2025 | (5602) |
| GBP | 84000 | USD | 111886 | BCY | SELL | 0.75 | 11/28/2025 | (1516) |
| GBP | 67000 | USD | 88108 | TDS | SELL | 0.76 | 11/28/2025 | (75) |
| GBP | 30000 | USD | 39959 | BCY | SELL | 0.75 | 11/28/2025 | (541) |
| GBP | 8000 | USD | 10519 | BCY | SELL | 0.76 | 11/28/2025 | (7) |
| GBP | 433000 | USD | 572355 | GST | SELL | 0.76 | 12/01/2025 | (3419) |
| GBP | 100000 | USD | 133039 | BCY | SELL | 0.75 | 12/01/2025 | (1645) |
| GBP | 100000 | USD | 132576 | JPM | SELL | 0.75 | 12/01/2025 | (1182) |
| GBP | 79000 | USD | 105130 | JPM | SELL | 0.75 | 12/01/2025 | (1328) |
| GBP | 79000 | USD | 104818 | BCY | SELL | 0.75 | 12/01/2025 | (1017) |
| GBP | 79000 | USD | 104497 | BCY | SELL | 0.76 | 12/01/2025 | (696) |
| GBP | 68000 | USD | 90553 | UBS | SELL | 0.75 | 12/01/2025 | (1205) |
| GBP | 68000 | USD | 90490 | PAR | SELL | 0.75 | 12/01/2025 | (1143) |
| GBP | 68000 | USD | 90322 | UBS | SELL | 0.75 | 12/01/2025 | (974) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Purchased**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Depreciation** |
| GBP | 63000 | USD | 83298 | BCY | SELL | 0.76 | 12/01/2025 | $(520) |
| GBP | 1000 | USD | 1331 | GST | SELL | 0.75 | 12/01/2025 | (17) |
| GBP | 101000 | USD | 136600 | GST | SELL | 0.74 | 12/17/2025 | (3893) |
| GBP | 54000 | USD | 72449 | CBK | SELL | 0.75 | 12/17/2025 | (1497) |
| GBP | 5000 | USD | 6796 | SSB | SELL | 0.74 | 12/17/2025 | (226) |
| GBP | 1000 | USD | 1348 | MSI | SELL | 0.74 | 12/17/2025 | (34) |
| USD | 181885 | HKD | 1415000 | HUS | BUY | 7.78 | 11/04/2025 | (175) |
| USD | 3217 | HKD | 25000 | JPM | BUY | 7.77 | 12/17/2025 | (2) |
| HKD | 2710000 | USD | 348766 | PAR | SELL | 7.77 | 11/04/2025 | (88) |
| HKD | 320000 | USD | 41222 | HUS | SELL | 7.76 | 12/17/2025 | (23) |
| USD | 85167 | HUF | 28800000 | BCY | BUY | 338.16 | 11/04/2025 | (544) |
| USD | 135624 | HUF | 46000000 | BCY | BUY | 339.17 | 11/04/2025 | (1276) |
| USD | 135685 | HUF | 46100000 | BCY | BUY | 339.76 | 11/04/2025 | (1512) |
| HUF | 150304000 | USD | 451092 | BCY | SELL | 333.20 | 11/04/2025 | (3775) |
| HUF | 102340000 | USD | 307143 | BCY | SELL | 333.20 | 11/04/2025 | (2570) |
| HUF | 100400000 | USD | 300239 | UBS | SELL | 334.40 | 11/04/2025 | (1440) |
| HUF | 35700000 | USD | 107634 | BCY | SELL | 331.68 | 11/04/2025 | (1387) |
| HUF | 29724000 | USD | 90013 | GST | SELL | 330.22 | 11/04/2025 | (1552) |
| HUF | 26200000 | USD | 78044 | PAR | SELL | 335.71 | 11/04/2025 | (70) |
| HUF | 26000000 | USD | 77733 | BCY | SELL | 334.48 | 11/04/2025 | (354) |
| HUF | 18600000 | USD | 55619 | BCY | SELL | 334.42 | 11/04/2025 | (264) |
| HUF | 14910000 | USD | 44566 | BCY | SELL | 334.56 | 11/04/2025 | (193) |
| HUF | 13490000 | USD | 40323 | BCY | SELL | 334.55 | 11/04/2025 | (176) |
| USD | 70995 | INR | 6310000 | MSI | BUY | 88.88 | 11/04/2025 | (86) |
| USD | 143053 | INR | 12720000 | JPM | BUY | 88.92 | 11/04/2025 | (236) |
| USD | 176634 | INR | 15890000 | JPM | BUY | 89.96 | 11/04/2025 | (2365) |
| USD | 250202 | INR | 22260000 | JPM | BUY | 88.97 | 11/04/2025 | (555) |
| INR | 25830000 | USD | 293081 | CBK | SELL | 88.13 | 11/04/2025 | (2109) |
| INR | 17090000 | USD | 193931 | JPM | SELL | 88.12 | 11/04/2025 | (1414) |
| INR | 9290000 | USD | 105786 | JPM | SELL | 87.82 | 11/04/2025 | (1135) |
| INR | 6940000 | USD | 78872 | DBF | SELL | 87.99 | 11/04/2025 | (694) |
| INR | 1395000 | USD | 15807 | PAR | SELL | 88.25 | 11/04/2025 | (93) |
| INR | 1395000 | USD | 15798 | CBK | SELL | 88.30 | 11/04/2025 | (84) |
| INR | 176747000 | USD | 1999796 | PAR | SELL | 88.38 | 12/01/2025 | (11545) |
| INR | 176747000 | USD | 1998632 | CBK | SELL | 88.43 | 12/01/2025 | (10380) |
| INR | 9280000 | USD | 104455 | PAR | SELL | 88.84 | 12/01/2025 | (62) |
| USD | 203732 | IDR | 3401000000 | DBF | BUY | 16694.49 | 11/04/2025 | (778) |
| IDR | 2124000000 | USD | 128029 | DBF | SELL | 16589.25 | 11/04/2025 | (308) |
| IDR | 1277000000 | USD | 76827 | MSI | SELL | 16622.34 | 11/04/2025 | (38) |
| USD | 102694 | ILS | 345000 | CBK | BUY | 3.36 | 11/04/2025 | (3323) |
| USD | 250380 | ILS | 815000 | BOA | BUY | 3.26 | 11/04/2025 | (65) |
| USD | 706113 | ILS | 2365000 | GST | BUY | 3.35 | 11/04/2025 | (20640) |
| USD | 4559 | ILS | 15000 | GST | BUY | 3.29 | 11/28/2025 | (50) |
| USD | 119724 | ILS | 390000 | BCY | BUY | 3.26 | 12/01/2025 | (111) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Purchased**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Depreciation** |
| USD | 628588 | ILS | 2050000 | GST | BUY | 3.26 | 12/01/2025 | $(1316) |
| USD | 35761 | JPY | 5500000 | UBS | BUY | 153.80 | 12/01/2025 | (35) |
| JPY | 168900000 | USD | 1146503 | MSI | SELL | 147.32 | 11/04/2025 | (50142) |
| JPY | 122100000 | USD | 808072 | GST | SELL | 151.10 | 11/04/2025 | (15498) |
| JPY | 122100000 | USD | 807757 | MSI | SELL | 151.16 | 11/04/2025 | (15183) |
| JPY | 110200000 | USD | 748964 | MSI | SELL | 147.14 | 11/04/2025 | (33635) |
| JPY | 45200000 | USD | 297009 | CBK | SELL | 152.18 | 11/04/2025 | (3607) |
| JPY | 44300000 | USD | 291738 | PAR | SELL | 151.85 | 11/04/2025 | (4178) |
| JPY | 28600000 | USD | 190700 | GST | SELL | 149.97 | 11/04/2025 | (5052) |
| JPY | 27500000 | USD | 182643 | MSI | SELL | 150.57 | 11/04/2025 | (4135) |
| JPY | 23604000 | USD | 160422 | MSI | SELL | 147.14 | 11/04/2025 | (7204) |
| JPY | 22300000 | USD | 146223 | BCY | SELL | 152.51 | 11/04/2025 | (1470) |
| JPY | 22100000 | USD | 145665 | BOA | SELL | 151.72 | 11/04/2025 | (2209) |
| JPY | 20200000 | USD | 134564 | BCY | SELL | 150.11 | 11/04/2025 | (3442) |
| JPY | 20000000 | USD | 133576 | BCY | SELL | 149.73 | 11/04/2025 | (3752) |
| JPY | 18100000 | USD | 121348 | JPM | SELL | 149.16 | 11/04/2025 | (3857) |
| JPY | 18000000 | USD | 120512 | BCY | SELL | 149.36 | 11/04/2025 | (3671) |
| JPY | 18200000 | USD | 119855 | BCY | SELL | 151.85 | 11/04/2025 | (1716) |
| JPY | 18100000 | USD | 119221 | JPM | SELL | 151.82 | 11/04/2025 | (1731) |
| JPY | 16000000 | USD | 109086 | JPM | SELL | 146.67 | 11/04/2025 | (5227) |
| JPY | 16200000 | USD | 107455 | BCY | SELL | 150.76 | 11/04/2025 | (2298) |
| JPY | 16200000 | USD | 107035 | BCY | SELL | 151.35 | 11/04/2025 | (1878) |
| JPY | 16200000 | USD | 106831 | BCY | SELL | 151.64 | 11/04/2025 | (1673) |
| JPY | 14900000 | USD | 101631 | JPM | SELL | 146.61 | 11/04/2025 | (4913) |
| JPY | 14900000 | USD | 99752 | BCY | SELL | 149.37 | 11/04/2025 | (3033) |
| JPY | 14900000 | USD | 99745 | BCY | SELL | 149.38 | 11/04/2025 | (3026) |
| JPY | 14000000 | USD | 92660 | BCY | SELL | 151.09 | 11/04/2025 | (1783) |
| JPY | 14100000 | USD | 92518 | JPM | SELL | 152.40 | 11/04/2025 | (992) |
| JPY | 14000000 | USD | 92059 | BCY | SELL | 152.08 | 11/04/2025 | (1182) |
| JPY | 13300000 | USD | 90539 | BCY | SELL | 146.90 | 11/04/2025 | (4206) |
| JPY | 13000000 | USD | 88141 | BCY | SELL | 147.49 | 11/04/2025 | (3756) |
| JPY | 13000000 | USD | 87914 | JPM | SELL | 147.87 | 11/04/2025 | (3529) |
| JPY | 12800000 | USD | 86000 | BCY | SELL | 148.84 | 11/04/2025 | (2913) |
| JPY | 12700000 | USD | 85689 | JPM | SELL | 148.21 | 11/04/2025 | (3251) |
| JPY | 12800000 | USD | 85592 | UBS | SELL | 149.55 | 11/04/2025 | (2505) |
| JPY | 13000000 | USD | 85340 | BCY | SELL | 152.33 | 11/04/2025 | (954) |
| JPY | 12700000 | USD | 84667 | BCY | SELL | 150.00 | 11/04/2025 | (2229) |
| JPY | 12800000 | USD | 83957 | BCY | SELL | 152.46 | 11/04/2025 | (870) |
| JPY | 12500000 | USD | 82768 | BCY | SELL | 151.02 | 11/04/2025 | (1628) |
| JPY | 11900000 | USD | 79832 | JPM | SELL | 149.06 | 11/04/2025 | (2586) |
| JPY | 11700000 | USD | 78749 | JPM | SELL | 148.57 | 11/04/2025 | (2802) |
| JPY | 11700000 | USD | 78384 | BCY | SELL | 149.27 | 11/04/2025 | (2437) |
| JPY | 11700000 | USD | 78263 | JPM | SELL | 149.50 | 11/04/2025 | (2316) |
| JPY | 11600000 | USD | 77839 | BCY | SELL | 149.03 | 11/04/2025 | (2541) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Purchased**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Depreciation** |
| JPY | 11600000 | USD | 77778 | BCY | SELL | 149.14 | 11/04/2025 | $(2480) |
| JPY | 11600000 | USD | 77422 | BCY | SELL | 149.83 | 11/04/2025 | (2124) |
| JPY | 11700000 | USD | 77231 | BCY | SELL | 151.49 | 11/04/2025 | (1284) |
| JPY | 11800000 | USD | 77089 | BCY | SELL | 153.07 | 11/04/2025 | (493) |
| JPY | 11700000 | USD | 76985 | BCY | SELL | 151.98 | 11/04/2025 | (1038) |
| JPY | 11500000 | USD | 76707 | BCY | SELL | 149.92 | 11/04/2025 | (2059) |
| JPY | 2400000 | USD | 15805 | PAR | SELL | 151.85 | 11/04/2025 | (226) |
| JPY | 2000000 | USD | 13265 | BOA | SELL | 150.77 | 11/04/2025 | (282) |
| JPY | 1600000 | USD | 10537 | PAR | SELL | 151.85 | 11/04/2025 | (151) |
| JPY | 6700000 | USD | 43943 | MSI | SELL | 152.47 | 11/28/2025 | (351) |
| JPY | 2200000 | USD | 14439 | JPM | SELL | 152.37 | 11/28/2025 | (125) |
| JPY | 30823000 | USD | 203532 | PAR | SELL | 151.44 | 12/01/2025 | (2925) |
| JPY | 20300000 | USD | 132700 | JPM | SELL | 152.98 | 12/01/2025 | (580) |
| JPY | 16000000 | USD | 104914 | BCY | SELL | 152.51 | 12/01/2025 | (781) |
| JPY | 13800000 | USD | 90693 | JPM | SELL | 152.16 | 12/01/2025 | (878) |
| JPY | 11700000 | USD | 76713 | JPM | SELL | 152.52 | 12/01/2025 | (565) |
| JPY | 11700000 | USD | 76683 | BCY | SELL | 152.58 | 12/01/2025 | (535) |
| JPY | 11700000 | USD | 76467 | JPM | SELL | 153.01 | 12/01/2025 | (320) |
| JPY | 11700000 | USD | 76457 | JPM | SELL | 153.03 | 12/01/2025 | (309) |
| JPY | 4200000 | USD | 27649 | HUS | SELL | 151.90 | 12/01/2025 | (314) |
| JPY | 17200000 | USD | 117765 | SSB | SELL | 146.05 | 12/17/2025 | (5635) |
| JPY | 15700000 | USD | 105421 | MSI | SELL | 148.93 | 12/17/2025 | (3070) |
| JPY | 13700000 | USD | 91476 | CBK | SELL | 149.77 | 12/17/2025 | (2163) |
| JPY | 2500000 | USD | 16949 | CBK | SELL | 147.50 | 12/17/2025 | (651) |
| USD | 22617 | MXN | 420000 | BCY | BUY | 18.57 | 11/04/2025 | (22) |
| USD | 43662 | MXN | 812000 | JPM | BUY | 18.60 | 11/04/2025 | (109) |
| USD | 43690 | MXN | 811000 | JPM | BUY | 18.56 | 11/04/2025 | (26) |
| USD | 58248 | MXN | 1082000 | JPM | BUY | 18.58 | 11/04/2025 | (76) |
| USD | 84557 | MXN | 1570000 | JPM | BUY | 18.57 | 11/04/2025 | (72) |
| USD | 141519 | MXN | 2630000 | BCY | BUY | 18.58 | 11/04/2025 | (248) |
| USD | 145453 | MXN | 2705000 | SSB | BUY | 18.60 | 11/04/2025 | (358) |
| USD | 39315 | MXN | 732000 | GST | BUY | 18.62 | 12/01/2025 | (31) |
| USD | 56130 | MXN | 1046000 | HUS | BUY | 18.64 | 12/01/2025 | (95) |
| USD | 56131 | MXN | 1046000 | JPM | BUY | 18.63 | 12/01/2025 | (93) |
| USD | 56201 | MXN | 1046000 | JPM | BUY | 18.61 | 12/01/2025 | (24) |
| USD | 73043 | MXN | 1360000 | JPM | BUY | 18.62 | 12/01/2025 | (59) |
| USD | 280727 | MXN | 5230000 | CBK | BUY | 18.63 | 12/01/2025 | (394) |
| MXN | 22014000 | USD | 1195744 | HUS | SELL | 18.41 | 11/04/2025 | (9101) |
| MXN | 14676000 | USD | 797375 | DBF | SELL | 18.41 | 11/04/2025 | (6280) |
| MXN | 7986000 | USD | 433779 | HUS | SELL | 18.41 | 11/04/2025 | (3302) |
| MXN | 5324000 | USD | 289263 | DBF | SELL | 18.41 | 11/04/2025 | (2278) |
| MXN | 2830000 | USD | 153802 | PAR | SELL | 18.40 | 11/04/2025 | (1254) |
| MXN | 2760000 | USD | 150308 | JPM | SELL | 18.36 | 11/04/2025 | (1533) |
| MXN | 2660000 | USD | 144694 | CBK | SELL | 18.38 | 11/04/2025 | (1310) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Purchased**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Depreciation** |
| MXN | 2510000 | USD | 136693 | BCY | SELL | 18.36 | 11/04/2025 | $(1394) |
| MXN | 2510000 | USD | 136295 | BOA | SELL | 18.42 | 11/04/2025 | (996) |
| MXN | 2510000 | USD | 135642 | JPM | SELL | 18.50 | 11/04/2025 | (343) |
| MXN | 2490000 | USD | 135078 | BCY | SELL | 18.43 | 11/04/2025 | (857) |
| MXN | 2460000 | USD | 133514 | BCY | SELL | 18.43 | 11/04/2025 | (910) |
| MXN | 1980000 | USD | 107313 | JPM | SELL | 18.45 | 11/04/2025 | (583) |
| MXN | 1990000 | USD | 107281 | JPM | SELL | 18.55 | 11/04/2025 | (12) |
| MXN | 1850000 | USD | 100482 | BCY | SELL | 18.41 | 11/04/2025 | (760) |
| MXN | 1710000 | USD | 92501 | PAR | SELL | 18.49 | 11/04/2025 | (326) |
| MXN | 1590000 | USD | 85810 | BCY | SELL | 18.53 | 11/04/2025 | (103) |
| MXN | 1560000 | USD | 84750 | JPM | SELL | 18.41 | 11/04/2025 | (660) |
| MXN | 1500000 | USD | 81413 | GST | SELL | 18.42 | 11/04/2025 | (557) |
| MXN | 1420000 | USD | 77323 | BOA | SELL | 18.36 | 11/04/2025 | (779) |
| MXN | 950000 | USD | 51457 | RBC | SELL | 18.46 | 11/04/2025 | (248) |
| MXN | 650000 | USD | 35119 | HUS | SELL | 18.51 | 11/04/2025 | (81) |
| MXN | 18630000 | USD | 1006130 | RBC | SELL | 18.52 | 12/01/2025 | (4738) |
| MXN | 14200000 | USD | 766884 | RBC | SELL | 18.52 | 12/01/2025 | (3612) |
| TWD | 9373000 | USD | 306909 | JPM | SELL | 30.54 | 11/04/2025 | (2007) |
| TWD | 3335000 | USD | 108798 | MSI | SELL | 30.65 | 11/04/2025 | (311) |
| TWD | 2110000 | USD | 69431 | MSI | SELL | 30.39 | 11/04/2025 | (793) |
| TWD | 1970000 | USD | 64580 | MSI | SELL | 30.50 | 11/04/2025 | (496) |
| TWD | 1690000 | USD | 55616 | MSI | SELL | 30.39 | 11/04/2025 | (640) |
| TWD | 193000 | USD | 6310 | DBF | SELL | 30.59 | 12/01/2025 | (35) |
| TWD | 9202000 | USD | 307040 | HUS | SELL | 29.97 | 07/07/2026 | (3137) |
| TWD | 171000 | USD | 5706 | HUS | SELL | 29.97 | 07/07/2026 | (58) |
| USD | 82902 | NZD | 145000 | BCY | BUY | 1.75 | 11/04/2025 | (133) |
| USD | 257389 | NZD | 450000 | BOA | BUY | 1.75 | 11/04/2025 | (304) |
| NZD | 5777000 | USD | 3388118 | UBS | SELL | 1.71 | 11/04/2025 | (79919) |
| NZD | 605000 | USD | 353555 | MSI | SELL | 1.71 | 11/04/2025 | (7102) |
| NZD | 347000 | USD | 200948 | BCY | SELL | 1.73 | 11/04/2025 | (2238) |
| NZD | 275000 | USD | 159968 | JPM | SELL | 1.72 | 11/04/2025 | (2489) |
| NZD | 270000 | USD | 155284 | BCY | SELL | 1.74 | 11/04/2025 | (668) |
| NZD | 220000 | USD | 126191 | BOA | SELL | 1.74 | 11/04/2025 | (208) |
| NZD | 200000 | USD | 115455 | BCY | SELL | 1.73 | 11/04/2025 | (925) |
| NZD | 170000 | USD | 99751 | BCY | SELL | 1.70 | 11/04/2025 | (2400) |
| NZD | 160000 | USD | 92253 | BCY | SELL | 1.73 | 11/04/2025 | (629) |
| NZD | 140000 | USD | 80556 | UBS | SELL | 1.74 | 11/04/2025 | (385) |
| NZD | 135000 | USD | 78623 | JPM | SELL | 1.72 | 11/04/2025 | (1315) |
| NZD | 135000 | USD | 77409 | BCY | SELL | 1.74 | 11/04/2025 | (101) |
| NZD | 118000 | USD | 68334 | BCY | SELL | 1.73 | 11/04/2025 | (761) |
| NZD | 58000 | USD | 34016 | UBS | SELL | 1.71 | 11/04/2025 | (802) |
| NZD | 6097000 | USD | 3534772 | BCY | SELL | 1.72 | 12/01/2025 | (39396) |
| NZD | 300000 | USD | 173961 | BCY | SELL | 1.72 | 12/01/2025 | (1972) |
| USD | 169113 | NOK | 1724000 | GST | BUY | 10.19 | 11/04/2025 | (1294) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Purchased**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Depreciation** |
| USD | 300438 | NOK | 3066000 | GST | BUY | 10.21 | 11/04/2025 | $(2618) |
| NOK | 22679000 | USD | 2263825 | GST | SELL | 10.02 | 11/04/2025 | (22142) |
| NOK | 9300000 | USD | 942010 | UBS | SELL | 9.87 | 11/04/2025 | (22760) |
| NOK | 3223000 | USD | 321721 | GST | SELL | 10.02 | 11/04/2025 | (3147) |
| NOK | 1330000 | USD | 133228 | BCY | SELL | 9.98 | 11/04/2025 | (1766) |
| NOK | 1240000 | USD | 123256 | GST | SELL | 10.06 | 11/04/2025 | (690) |
| NOK | 1210000 | USD | 121190 | DBF | SELL | 9.98 | 11/04/2025 | (1589) |
| NOK | 940000 | USD | 94069 | BCY | SELL | 9.99 | 11/04/2025 | (1155) |
| NOK | 930000 | USD | 92169 | BCY | SELL | 10.09 | 11/04/2025 | (244) |
| NOK | 537000 | USD | 53612 | JPM | SELL | 10.02 | 11/04/2025 | (532) |
| NOK | 10000 | USD | 998 | GST | SELL | 10.02 | 11/04/2025 | (10) |
| NOK | 1140000 | USD | 114064 | JPM | SELL | 9.99 | 11/28/2025 | (1382) |
| NOK | 430000 | USD | 43024 | JPM | SELL | 9.99 | 11/28/2025 | (521) |
| NOK | 356000 | USD | 35620 | JPM | SELL | 9.99 | 11/28/2025 | (432) |
| NOK | 8321000 | USD | 834929 | GST | SELL | 9.97 | 12/01/2025 | (12453) |
| NOK | 5084000 | USD | 510436 | GST | SELL | 9.96 | 12/01/2025 | (7916) |
| NOK | 3236000 | USD | 323977 | JPM | SELL | 9.99 | 12/01/2025 | (4119) |
| NOK | 1849000 | USD | 185181 | PAR | SELL | 9.98 | 12/01/2025 | (2420) |
| NOK | 890000 | USD | 88873 | BCY | SELL | 10.01 | 12/01/2025 | (903) |
| NOK | 840000 | USD | 83453 | GST | SELL | 10.07 | 12/01/2025 | (425) |
| NOK | 1000000 | USD | 101581 | SSB | SELL | 9.84 | 12/17/2025 | (2742) |
| NOK | 550000 | USD | 55078 | DBF | SELL | 9.99 | 12/17/2025 | (717) |
| USD | 233387 | PEN | 792000 | CBK | BUY | 3.39 | 11/04/2025 | (1516) |
| USD | 588345 | PHP | 34830000 | JPM | BUY | 59.20 | 11/04/2025 | (3682) |
| PHP | 34830000 | USD | 608592 | GST | SELL | 57.23 | 11/04/2025 | (16565) |
| PLN | 2250000 | USD | 618778 | BCY | SELL | 3.64 | 11/04/2025 | (9022) |
| PLN | 1237000 | USD | 339438 | CBK | SELL | 3.64 | 11/04/2025 | (4207) |
| PLN | 1159000 | USD | 318888 | BCY | SELL | 3.63 | 11/04/2025 | (4796) |
| PLN | 1010000 | USD | 280015 | GST | SELL | 3.61 | 11/04/2025 | (6302) |
| PLN | 585000 | USD | 160658 | DBF | SELL | 3.64 | 11/04/2025 | (2122) |
| PLN | 585000 | USD | 160505 | BCY | SELL | 3.64 | 11/04/2025 | (1968) |
| PLN | 522000 | USD | 143624 | BCY | SELL | 3.63 | 11/04/2025 | (2160) |
| PLN | 480000 | USD | 132002 | BCY | SELL | 3.64 | 11/04/2025 | (1920) |
| PLN | 439000 | USD | 120616 | PAR | SELL | 3.64 | 11/04/2025 | (1646) |
| PLN | 435000 | USD | 119126 | BCY | SELL | 3.65 | 11/04/2025 | (1240) |
| PLN | 413000 | USD | 113547 | PAR | SELL | 3.64 | 11/04/2025 | (1622) |
| PLN | 413000 | USD | 113538 | PAR | SELL | 3.64 | 11/04/2025 | (1614) |
| PLN | 310000 | USD | 85349 | BCY | SELL | 3.63 | 11/04/2025 | (1339) |
| PLN | 255000 | USD | 69906 | BCY | SELL | 3.65 | 11/04/2025 | (801) |
| PLN | 199000 | USD | 54604 | BCY | SELL | 3.64 | 11/28/2025 | (684) |
| PLN | 224000 | USD | 61519 | BCY | SELL | 3.64 | 12/01/2025 | (827) |
| PLN | 181000 | USD | 49334 | BCY | SELL | 3.67 | 12/01/2025 | (293) |
| SGD | 2760000 | USD | 2133086 | UBS | SELL | 1.29 | 11/04/2025 | (12375) |
| SGD | 1501000 | USD | 1160059 | UBS | SELL | 1.29 | 11/04/2025 | (6730) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Purchased**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Depreciation** |
| SGD | 440000 | USD | 341132 | HUS | SELL | 1.29 | 11/04/2025 | $(3048) |
| SGD | 340000 | USD | 262578 | HUS | SELL | 1.29 | 11/04/2025 | (1331) |
| SGD | 325000 | USD | 252299 | JPM | SELL | 1.29 | 11/04/2025 | (2577) |
| SGD | 325000 | USD | 251956 | BCY | SELL | 1.29 | 11/04/2025 | (2234) |
| SGD | 305000 | USD | 235269 | BCY | SELL | 1.30 | 11/04/2025 | (915) |
| SGD | 235000 | USD | 181314 | BCY | SELL | 1.30 | 11/04/2025 | (746) |
| SGD | 235000 | USD | 181240 | JPM | SELL | 1.30 | 11/04/2025 | (672) |
| SGD | 225000 | USD | 174062 | BCY | SELL | 1.29 | 11/04/2025 | (1178) |
| SGD | 205000 | USD | 159592 | BCY | SELL | 1.28 | 11/04/2025 | (2076) |
| SGD | 205000 | USD | 158515 | JPM | SELL | 1.29 | 11/04/2025 | (998) |
| SGD | 200000 | USD | 156327 | JPM | SELL | 1.28 | 11/04/2025 | (2653) |
| SGD | 195000 | USD | 151802 | BCY | SELL | 1.28 | 11/04/2025 | (1969) |
| SGD | 195000 | USD | 150817 | UBS | SELL | 1.29 | 11/04/2025 | (984) |
| SGD | 185000 | USD | 143444 | JPM | SELL | 1.29 | 11/04/2025 | (1295) |
| SGD | 185000 | USD | 142569 | BCY | SELL | 1.30 | 11/04/2025 | (420) |
| SGD | 175000 | USD | 136122 | JPM | SELL | 1.29 | 11/04/2025 | (1656) |
| SGD | 175000 | USD | 136040 | JPM | SELL | 1.29 | 11/04/2025 | (1574) |
| SGD | 175000 | USD | 135297 | BCY | SELL | 1.29 | 11/04/2025 | (832) |
| SGD | 175000 | USD | 135244 | JPM | SELL | 1.29 | 11/04/2025 | (778) |
| SGD | 175000 | USD | 134788 | JPM | SELL | 1.30 | 11/04/2025 | (323) |
| SGD | 140000 | USD | 108639 | JPM | SELL | 1.29 | 11/04/2025 | (1067) |
| SGD | 140000 | USD | 108607 | JPM | SELL | 1.29 | 11/04/2025 | (1035) |
| SGD | 140000 | USD | 107992 | JPM | SELL | 1.30 | 11/04/2025 | (420) |
| SGD | 100000 | USD | 77757 | PAR | SELL | 1.29 | 11/04/2025 | (920) |
| SGD | 100000 | USD | 77715 | UBS | SELL | 1.29 | 11/04/2025 | (877) |
| SGD | 100000 | USD | 77694 | BCY | SELL | 1.29 | 11/04/2025 | (856) |
| SGD | 70000 | USD | 53857 | UBS | SELL | 1.30 | 11/04/2025 | (70) |
| SGD | 270000 | USD | 208137 | UBS | SELL | 1.30 | 12/01/2025 | (241) |
| SGD | 235000 | USD | 181113 | JPM | SELL | 1.30 | 12/01/2025 | (167) |
| SGD | 225000 | USD | 173450 | BCY | SELL | 1.30 | 12/01/2025 | (204) |
| SGD | 180000 | USD | 138849 | BCY | SELL | 1.30 | 12/01/2025 | (252) |
| SGD | 175000 | USD | 135025 | UBS | SELL | 1.30 | 12/01/2025 | (278) |
| SGD | 135000 | USD | 103996 | BCY | SELL | 1.30 | 12/01/2025 | (48) |
| SGD | 105000 | USD | 80943 | JPM | SELL | 1.30 | 12/01/2025 | (94) |
| USD | 68508 | ZAR | 1190000 | MSI | BUY | 17.37 | 11/04/2025 | (149) |
| USD | 233047 | ZAR | 4065000 | BOA | BUY | 17.44 | 11/04/2025 | (1483) |
| USD | 2353175 | ZAR | 40875000 | MSI | BUY | 17.37 | 11/04/2025 | (5112) |
| USD | 1439 | ZAR | 25000 | SSB | BUY | 17.38 | 11/28/2025 | (1) |
| USD | 17840 | ZAR | 310000 | SSB | BUY | 17.38 | 11/28/2025 | (16) |
| USD | 39159 | ZAR | 680000 | GST | BUY | 17.36 | 11/28/2025 | (9) |
| ZAR | 52610000 | USD | 3047647 | MSI | SELL | 17.26 | 11/04/2025 | (12308) |
| ZAR | 2340000 | USD | 135423 | BCY | SELL | 17.28 | 11/04/2025 | (416) |
| ZAR | 1962000 | USD | 113725 | PAR | SELL | 17.25 | 11/04/2025 | (527) |
| ZAR | 1850000 | USD | 107154 | BCY | SELL | 17.26 | 11/04/2025 | (418) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Purchased**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Depreciation** |
| ZAR | 368000 | USD | 21382 | PAR | SELL | 17.21 | 11/04/2025 | $(150) |
| ZAR | 2110000 | USD | 122349 | MSI | SELL | 17.25 | 12/01/2025 | (838) |
| ZAR | 1980000 | USD | 114485 | MSI | SELL | 17.29 | 12/01/2025 | (461) |
| USD | 1277367 | KRW | 1837045000 | PAR | BUY | 1438.15 | 11/04/2025 | (12014) |
| USD | 842 | KRW | 1210000 | PAR | BUY | 1436.49 | 12/01/2025 | (6) |
| KRW | 1624105000 | USD | 1167103 | JPM | SELL | 1391.58 | 11/04/2025 | (27180) |
| KRW | 1210000 | USD | 849 | BOA | SELL | 1425.37 | 12/01/2025 | (1) |
| USD | 61286 | SEK | 585000 | DBF | BUY | 9.55 | 11/04/2025 | (341) |
| USD | 78952 | SEK | 750000 | BCY | BUY | 9.50 | 11/04/2025 | (58) |
| USD | 86141 | SEK | 820000 | BCY | BUY | 9.52 | 11/04/2025 | (243) |
| USD | 101081 | SEK | 960000 | BCY | BUY | 9.50 | 11/04/2025 | (51) |
| USD | 135575 | SEK | 1290000 | JPM | BUY | 9.52 | 11/04/2025 | (322) |
| USD | 136621 | SEK | 1300000 | BCY | BUY | 9.52 | 11/04/2025 | (330) |
| USD | 244808 | SEK | 2340000 | JPM | BUY | 9.56 | 11/04/2025 | (1702) |
| USD | 9492 | SEK | 90000 | CBK | BUY | 9.48 | 12/17/2025 | (14) |
| SEK | 26785000 | USD | 2855544 | GST | SELL | 9.38 | 11/04/2025 | (33842) |
| SEK | 9595000 | USD | 1022921 | GST | SELL | 9.38 | 11/04/2025 | (12123) |
| SEK | 4870000 | USD | 516314 | GST | SELL | 9.43 | 11/04/2025 | (3277) |
| SEK | 3163000 | USD | 337372 | GST | SELL | 9.38 | 11/04/2025 | (4161) |
| SEK | 2700000 | USD | 288719 | TDS | SELL | 9.35 | 11/04/2025 | (4284) |
| SEK | 1810000 | USD | 193537 | GST | SELL | 9.35 | 11/04/2025 | (2860) |
| SEK | 1680000 | USD | 178508 | JPM | SELL | 9.41 | 11/04/2025 | (1526) |
| SEK | 1550000 | USD | 165070 | BCY | SELL | 9.39 | 11/04/2025 | (1784) |
| SEK | 1393000 | USD | 148522 | DBF | SELL | 9.38 | 11/04/2025 | (1775) |
| SEK | 1250000 | USD | 132986 | JPM | SELL | 9.40 | 11/04/2025 | (1303) |
| SEK | 1160000 | USD | 123474 | CBK | SELL | 9.39 | 11/04/2025 | (1273) |
| SEK | 1140000 | USD | 121556 | JPM | SELL | 9.38 | 11/04/2025 | (1461) |
| SEK | 1010000 | USD | 107309 | JPM | SELL | 9.41 | 11/04/2025 | (909) |
| SEK | 880000 | USD | 92869 | BCY | SELL | 9.48 | 11/04/2025 | (164) |
| SEK | 870000 | USD | 92207 | BCY | SELL | 9.44 | 11/04/2025 | (556) |
| SEK | 820000 | USD | 87498 | UBS | SELL | 9.37 | 11/04/2025 | (1114) |
| SEK | 810000 | USD | 86348 | UBS | SELL | 9.38 | 11/04/2025 | (1018) |
| SEK | 810000 | USD | 85412 | JPM | SELL | 9.48 | 11/04/2025 | (81) |
| SEK | 810000 | USD | 85379 | UBS | SELL | 9.49 | 11/04/2025 | (48) |
| SEK | 790000 | USD | 84122 | BCY | SELL | 9.39 | 11/04/2025 | (898) |
| SEK | 740000 | USD | 78557 | BCY | SELL | 9.42 | 11/04/2025 | (601) |
| SEK | 464000 | USD | 49467 | GST | SELL | 9.38 | 11/04/2025 | (586) |
| SEK | 430000 | USD | 45842 | GST | SELL | 9.38 | 11/04/2025 | (543) |
| SEK | 260000 | USD | 27687 | JPM | SELL | 9.39 | 11/04/2025 | (297) |
| SEK | 116000 | USD | 12303 | BCY | SELL | 9.43 | 11/04/2025 | (83) |
| SEK | 100000 | USD | 10763 | DBF | SELL | 9.29 | 11/04/2025 | (229) |
| SEK | 100000 | USD | 10661 | GST | SELL | 9.38 | 11/04/2025 | (126) |
| SEK | 2300000 | USD | 245911 | DBF | SELL | 9.35 | 11/28/2025 | (3266) |
| SEK | 640000 | USD | 68427 | DBF | SELL | 9.35 | 11/28/2025 | (909) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Purchased**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Depreciation** |
| SEK | 167000 | USD | 17855 | DBF | SELL | 9.35 | 11/28/2025 | $(237) |
| SEK | 1270000 | USD | 134846 | HUS | SELL | 9.42 | 12/01/2025 | (840) |
| SEK | 1250000 | USD | 132612 | BCY | SELL | 9.43 | 12/01/2025 | (716) |
| SEK | 990000 | USD | 105655 | BCY | SELL | 9.37 | 12/01/2025 | (1194) |
| SEK | 920000 | USD | 98389 | BCY | SELL | 9.35 | 12/01/2025 | (1314) |
| SEK | 870000 | USD | 92945 | JPM | SELL | 9.36 | 12/01/2025 | (1146) |
| SEK | 856000 | USD | 91326 | BCY | SELL | 9.37 | 12/01/2025 | (1003) |
| SEK | 384000 | USD | 41057 | BCY | SELL | 9.35 | 12/01/2025 | (539) |
| SEK | 970000 | USD | 104157 | PAR | SELL | 9.31 | 12/17/2025 | (1706) |
| USD | 217933 | CHF | 175000 | UBS | BUY | 1.25 | 11/04/2025 | (68) |
| USD | 360740 | CHF | 290000 | UBS | BUY | 1.24 | 11/04/2025 | (519) |
| CHF | 676000 | USD | 857081 | GST | SELL | 1.27 | 11/04/2025 | (14975) |
| CHF | 140000 | USD | 176131 | BCY | SELL | 1.26 | 11/04/2025 | (1731) |
| CHF | 125000 | USD | 157899 | UBS | SELL | 1.26 | 11/04/2025 | (2184) |
| CHF | 105000 | USD | 131747 | BCY | SELL | 1.25 | 11/04/2025 | (947) |
| CHF | 85000 | USD | 107332 | JPM | SELL | 1.26 | 11/04/2025 | (1446) |
| CHF | 75000 | USD | 94343 | BCY | SELL | 1.26 | 11/04/2025 | (914) |
| CHF | 70000 | USD | 88389 | BCY | SELL | 1.26 | 11/04/2025 | (1189) |
| CHF | 65000 | USD | 81841 | BCY | SELL | 1.26 | 11/04/2025 | (870) |
| CHF | 65000 | USD | 81772 | JPM | SELL | 1.26 | 11/04/2025 | (801) |
| CHF | 65000 | USD | 81706 | BCY | SELL | 1.26 | 11/04/2025 | (734) |
| CHF | 65000 | USD | 81635 | JPM | SELL | 1.26 | 11/04/2025 | (663) |
| CHF | 64000 | USD | 80742 | PAR | SELL | 1.26 | 11/04/2025 | (1016) |
| CHF | 35000 | USD | 44375 | GST | SELL | 1.27 | 11/04/2025 | (775) |
| CHF | 30000 | USD | 37823 | BCY | SELL | 1.26 | 11/04/2025 | (452) |
| CHF | 15000 | USD | 18924 | PAR | SELL | 1.26 | 11/04/2025 | (238) |
| CHF | 244000 | USD | 307605 | UBS | SELL | 1.26 | 11/28/2025 | (2794) |
| CHF | 85000 | USD | 107157 | UBS | SELL | 1.26 | 11/28/2025 | (973) |
| CHF | 150000 | USD | 188824 | UBS | SELL | 1.26 | 12/01/2025 | (1374) |
| CHF | 70000 | USD | 88138 | UBS | SELL | 1.26 | 12/01/2025 | (661) |
| CHF | 55000 | USD | 69995 | CBK | SELL | 1.27 | 12/17/2025 | (1132) |
| CHF | 5000 | USD | 6318 | JPM | SELL | 1.26 | 12/17/2025 | (57) |
| USD | 75419 | THB | 2450000 | BCY | BUY | 32.48 | 11/04/2025 | (350) |
| USD | 86144 | THB | 2810000 | BCY | BUY | 32.62 | 11/04/2025 | (759) |
| USD | 91583 | THB | 2990000 | BCY | BUY | 32.65 | 11/04/2025 | (886) |
| USD | 179073 | THB | 5860000 | JPM | BUY | 32.72 | 11/04/2025 | (2154) |
| USD | 242635 | THB | 7865000 | SCB | BUY | 32.41 | 11/04/2025 | (600) |
| USD | 728466 | THB | 23595000 | BCY | BUY | 32.39 | 11/04/2025 | (1239) |
| THB | 19148000 | USD | 602034 | BCY | SELL | 31.81 | 11/04/2025 | (9859) |
| THB | 11372000 | USD | 352347 | HUS | SELL | 32.27 | 11/04/2025 | (654) |
| THB | 8890000 | USD | 275445 | HUS | SELL | 32.28 | 11/04/2025 | (511) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Forward Currency Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br> **Purchased** | **Currency**<br> **Purchased**<br> **Value** | **Currency**<br> **Sold** | **Currency**<br> **Sold**<br> **Value** | **Counterparty** |  | **Contract**<br> **Price** | **Delivery**<br> **Date** | **Unrealized**<br> **Depreciation** |
| THB | 18600000 | USD | 577460 | HUS | SELL | 32.21 | 12/01/2025 | $(1009) |
| **Total Unrealized Depreciation on Forward** <br> **Currency Contracts** | **Total Unrealized Depreciation on Forward** <br> **Currency Contracts** | **Total Unrealized Depreciation on Forward** <br> **Currency Contracts** |  |  |  |  |  | $(1693822) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Futures Contracts**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Contract** |  | **Currency** | **Number**<br> **of**<br> **Contracts** | **Aggregate**<br> **Notional**<br> **Value** | **Expiration**<br> **Date** | **Market**<br> **Value** | **Unrealized**<br> **Depreciation** |
| 10YR Euro-Bund Bonds | SELL | EUR | 19 | $2837497 | 12/2025 | $(3186) | $(3186) |
| 10YR Japanese Government Bonds | SELL | JPY | 4 | 3532245 | 12/2025 | (2164) | (2164) |
| 10YR U.S. Treasury Notes | BUY | USD | 47 | 5295578 | 12/2025 | (1922) | (1922) |
| 30YR Euro-Buxl Bonds | SELL | EUR | 30 | 4020771 | 12/2025 | (11865) | (11865) |
| 3YR Australia Treasury Bonds | BUY | AUD | 3 | 209599 | 12/2025 | (841) | (841) |
| 5YR U.S. Treasury Notes | BUY | USD | 55 | 6006602 | 12/2025 | (1266) | (1266) |
| Cocoa | BUY | USD | 3 | 187500 | 03/2026 | (1929) | (1929) |
| Corn | SELL | USD | 14 | 302050 | 12/2025 | (9825) | (9825) |
| Cotton | BUY | USD | 1 | 34510 | 07/2026 | (395) | (395) |
| E-Mini Nasdaq 100 Index | SELL | USD | 1 | 52008 | 12/2025 | (3446) | (3446) |
| E-Mini S&P 500 Index | SELL | USD | 2 | 68740 | 12/2025 | (2266) | (2266) |
| Euro Stoxx 50 Index | SELL | EUR | 27 | 1766653 | 12/2025 | (17954) | (17954) |
| Euro-BTP Italian Government Bonds | SELL | EUR | 72 | 10091124 | 12/2025 | (10064) | (10064) |
| Euro-Oat | BUY | EUR | 24 | 277 | 11/2025 | (8276) | (8276) |
| Euro-Oat | SELL | EUR | 46 | 6507634 | 12/2025 | (34495) | (34495) |
| Euro-Schatz | BUY | EUR | 100 | 577 | 11/2025 | (2326) | (2326) |
| Euro-Schatz | BUY | EUR | 250 | 30897934 | 12/2025 | (12639) | (12639) |
| Euro-Schatz | SELL | EUR | 17 | 2101060 | 12/2025 | (294) | (294) |
| Gas Oil | BUY | USD | 1 | 64050 | 07/2026 | (150) | (150) |
| Gas Oil | SELL | USD | 1 | 68250 | 01/2026 | (4028) | (4028) |
| Gasoline RBOB | BUY | USD | 1 | 85348 | 06/2026 | (762) | (762) |
| Gasoline RBOB | SELL | USD | 1 | 78170 | 12/2025 | (3533) | (3533) |
| Lean Hogs | BUY | USD | 1 | 39480 | 07/2026 | (826) | (826) |
| Live Cattle | BUY | USD | 1 | 91870 | 12/2025 | (5590) | (5590) |
| Live Cattle | BUY | USD | 2 | 331900 | 01/2026 | (41832) | (41832) |
| LME Aluminum | SELL | USD | 3 | 215890 | 11/2025 | (16924) | (16924) |
| LME Aluminum | SELL | USD | 2 | 144110 | 12/2025 | (3228) | (3228) |
| LME Lead | SELL | USD | 1 | 50020 | 11/2025 | (381) | (381) |
| LME Nickel | BUY | USD | 2 | 180746 | 11/2025 | (1564) | (1564) |
| LME Nickel | BUY | USD | 1 | 90772 | 12/2025 | (117) | (117) |
| LME Tin | SELL | USD | 2 | 361360 | 11/2025 | (12836) | (12836) |
| LME Zinc | SELL | USD | 2 | 156249 | 11/2025 | (7203) | (7203) |
| Micro WTI Crude Oil | BUY | USD | 4 | 24392 | 11/2025 | (134) | (134) |
| Natural Gas | BUY | EUR | 2 | 53450 | 11/2025 | (1220) | (1220) |
| Natural Gas | BUY | EUR | 1 | 26915 | 12/2025 | (1395) | (1395) |
| Natural Gas | SELL | USD | 2 | 82480 | 11/2025 | (7563) | (7563) |
| Natural Gas | SELL | USD | 9 | 393210 | 12/2025 | (22360) | (22360) |
| NY Harbor ULSD | SELL | USD | 1 | 99565 | 12/2025 | (6630) | (6630) |
| Palladium | BUY | USD | 1 | 145510 | 12/2025 | (7628) | (7628) |
| Soybean | SELL | USD | 3 | 96480 | 12/2025 | (13892) | (13892) |
| Soybean | SELL | USD | 4 | 129400 | 01/2026 | (17760) | (17760) |
| Soybean | SELL | USD | 6 | 334575 | 01/2026 | (27300) | (27300) |

---

The accompanying notes are an integral part of the consolidated financial statements.

**Derivative Liabilities**

**Futures Contracts (continued)**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Contract** |  | **Currency** | **Number**<br> **of**<br> **Contracts** | **Aggregate**<br> **Notional**<br> **Value** | **Expiration**<br> **Date** | **Market**<br> **Value** | **Unrealized**<br> **Depreciation** |
| Soybean Oil | BUY | USD | 4 | $120384 | 07/2026 | $(2418) | $(2418) |
| Sugar | BUY | USD | 1 | 20540 | 02/2026 | (2890) | (2890) |
| Sugar | BUY | USD | 4 | 62630 | 06/2026 | (8333) | (8333) |
| TOPIX Index | SELL | JPY | 3 | 649249 | 12/2025 | (18830) | (18830) |
| U.S. Treasury Long Bonds | SELL | USD | 2 | 234625 | 12/2025 | (3432) | (3432) |
| Ultra Long U.S. Treasury Bonds | SELL | USD | 14 | 1697938 | 12/2025 | (4595) | (4595) |
| Volatility Index | SELL | USD | 6 | 129300 | 02/2026 | (2040) | (2040) |
| Wheat | SELL | EUR | 10 | 111380 | 12/2025 | (1355) | (1355) |
| Wheat | SELL | USD | 4 | 106800 | 12/2025 | (2875) | (2875) |
| WTI Crude Oil | BUY | USD | 3 | 180180 | 06/2026 | (5744) | (5744) |
| WTI Crude Oil | SELL | USD | 3 | 181800 | 12/2025 | (5158) | (5158) |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | $(387679) | $(387679) |

---

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

&nbsp;&nbsp;&nbsp;&nbsp;(a) The
following table represents the individual positions within the total return swap as of October 31, 2025:

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

---

| | | | |
|:---|:---|:---|:---|
| **Reference Instrument** | **% of Index** | **Notional Amount** | **Market Value** |
| Port Cash Component US - Index Ticker | 100.6% | (1012691) | $(20474) |
| US Momentum Long | 0.2% | (2205) | (44) |
| US Momentum Short | (0.8)% | 8521 | $172 |
| **Total** |  | (1006375) | $(20346) |

---

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

&nbsp;&nbsp;&nbsp;&nbsp;(b) The
following table represents the individual positions within the total return swap as of October 31, 2025:

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

---

| | | | |
|:---|:---|:---|:---|
| **Reference Instrument** | **% of Index** | **Notional Amount** | **Market Value** |
| SPX 11/21/25 6840 Index | (85.9)% | (433875) | $1010 |
| SPX 12/19/25 6840 Index | (60.1)% | (303642) | 707 |
| SPX 01/16/26 6840 Index | (42.9)% | (216650) | 504 |
| SPX 02/20/26 6840 Index | (26.3)% | (132721) | 309 |
| SPX 03/20/26 6840 Index | (17.4)% | (88131) | 205 |
| SPX 04/17/26 6840 Index | (10.5)% | (52933) | 123 |
| SPX 05/15/26 6850 Index | (6.0)% | (30190) | 70 |
| SPX 01/16/26 C6850 Index | 5.4% | 27431 | (64) |
| SPX 04/17/26 C7000 Index | 5.3% | 26953 | (63) |
| AAPL 12/19/25 270 Index | 5.1% | 25987 | (61) |
| NVDA 12/19/25 200 Index | 4.9% | 24919 | (58) |
| NVDA 11/21/25 202.5 Index | 4.8% | 24304 | (57) |
| SPX 11/21/25 C6750 Index | 4.7% | 23879 | (56) |
| SPX 04/17/26 P6300 Index | 4.7% | 23788 | (55) |
| SPX 11/21/25 C6630 Index | 4.6% | 23240 | (54) |
| SPX 04/17/26 C7050 Index | 4.5% | 22578 | (53) |
| SPX 12/19/25 C6300 Index | 4.4% | 22409 | (52) |
| SPX 12/19/25 C6325 Index | 4.4% | 22382 | (52) |
| SPX 11/21/25 C6450 Index | 4.4% | 22357 | (52) |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

---

| | | | |
|:---|:---|:---|:---|
| **Reference Instrument** | **% of Index** | **Notional Amount** | **Market Value** |
| SPX 11/21/25 P6425 Index | 4.3% | 21890 | $(51) |
| NVDA 01/16/26 200 Index | 4.3% | 21481 | (50) |
| SPX 11/21/25 C6500 Index | 4.2% | 21362 | (50) |
| SPX 01/16/26 C6925 Index | 4.1% | 20911 | (49) |
| SPX 11/21/25 C6700 Index | 4.1% | 20787 | (48) |
| SPX 11/21/25 C6790 Index | 4.1% | 20775 | (48) |
| AAPL 01/16/26 270 Index | 4.1% | 20569 | (48) |
| SPX 01/16/26 C7050 Index | 4.0% | 20175 | (47) |
| SPX 07/17/26 C7500 Index | 4.0% | 20032 | (47) |
| AAPL 11/21/25 270 Index | 3.7% | 18721 | (44) |
| SPX 12/19/25 C6550 Index | 3.7% | 18457 | (43) |
| SPX 11/21/25 C6275 Index | 3.6% | 18350 | (43) |
| SPX 01/16/26 P6250 Index | 3.6% | 18303 | (43) |
| SPX 02/20/26 C6975 Index | 3.6% | 17944 | (42) |
| SPX 12/19/25 C6850 Index | 3.5% | 17898 | (42) |
| SPX 11/21/25 C6740 Index | 3.5% | 17864 | (42) |
| SPX 12/19/25 C6875 Index | 3.4% | 17246 | (40) |
| SPX 12/19/25 C6500 Index | 3.4% | 17132 | (40) |
| SPX 12/19/25 C7010 Index | 3.4% | 17100 | (40) |
| SPX 01/16/26 P6310 Index | 3.4% | 17070 | (40) |
| SPX 04/17/26 C6975 Index | 3.4% | 16925 | (39) |
| SPX 06/18/26 6850 Index | (3.3)% | (16578) | 39 |
| SPX 01/16/26 C7100 Index | 3.3% | 16494 | (38) |
| SPX 04/17/26 P6275 Index | 3.2% | 16374 | (38) |
| SPX 01/16/26 C6825 Index | 3.2% | 16369 | (38) |
| SPX 01/16/26 C6800 Index | 3.2% | 16277 | (38) |
| SPX 01/16/26 P6380 Index | 3.2% | 16038 | (37) |
| MSFT 12/19/25 520 Index | 3.2% | 16027 | (37) |
| SPX 12/19/25 P5550 Index | 3.1% | 15811 | (37) |
| SPX 11/21/25 C6650 Index | 3.1% | 15734 | (37) |
| SPX 12/19/25 P6190 Index | 3.1% | 15551 | (36) |
| Total |  | (438826) | 1018 |
| Other | 186.9% | 943905 | (2194) |
| **Total** |  | 505079 | $(1176) |

---

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

---

| | |
|:---|:---|
| 1M | Monthly |
| 1Y | Annually |
| 3M | Quarterly |
| 6M | Semi-Annually |
| AMX | Armenia Stock Exchange |
| ARM | Adjustable Rate Mortgage |
| AS | Danish Public Limited Liability Company |
| BBR | Bank Bill Rate |
| BBSW | Bank Bill Swap Interest Rate |
| BCY | Barclays Bank PLC |
| BKBM | Bank Bill Benchmark Rate |
| BMO | Bank of Montreal |
| BNM | Bank Negara Malaysia |
| BOA | Bank of America NA |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

---

| | |
|:---|:---|
| BTP | Italian Government Bond |
| BUBOR | Budapest Interbank Offered Rate |
| CAG | Credit Agricole |
| CBK | Citibank NA |
| CBOE | Chicago Board Options Exchange |
| CDI | Overnight Brazilian Interbank Deposit Rate Annualized |
| CHX | Chicago Stock Exchange |
| CME | Chicago Mercantile Exchange |
| CMS | Constant Maturity Swap |
| CORRA | Canadian Overnight Repo Rate Average |
| CPI | Consumer Price Index |
| DBF | Deutsche Bank AG |
| ETF | Exchange Traded Fund |
| EURIBOR | Euro Interbank Offered Rate |
| FBIL | Financial Benchmarks India Private Limited |
| FRA | Forward Rate Agreement |
| GST | Goldman Sachs International |
| HUS | HSBC Bank USA NA |
| HY | High Yield |
| IBR | Banking Reference Indicator |
| ICE | Intercontinental Exchange |
| IG | Investment Grade |
| ING | Ing Bank N.V. |
| ISE | Indonesia Stock Exchange |
| JIBAR | Johannesburg Interbank Agreed Rate |
| JPM | JPMorgan Chase Bank NA |
| KLIBOR | Kuala Lumpur Interbank Offered Rate |
| KSDA | Korea Securities Dealers Association |
| LCH | London Clearing House |
| LLC | Limited Liability Company |
| LME | London Mercantile Exchange |
| LP | Limited Partnership |
| MIBOR | Mumbai Interbank Offered Rate |
| MSI | Morgan Stanley & Co. International PLC |
| NIBOR | Norwegian Interbank Offered Rate |
| NYSE | New York Stock Exchange |
| OIS | Overnight Index Swap |
| PAR | BNP Paribas |
| PLC | Public Limited Company |
| PRIBOR | Prague Interbank Offered Rate |
| PSE | Philippine Stock Exchange |
| RBC | Royal Bank of Canada |
| RBOB | Reformulated Blendstock for Oxygenate Blending |
| REIT | Real Estate Investment Trust |
| SA | French Public Limited Company |
| SAFEX | South African Futures Exchange |
| SCB | Standard Chartered Bank |
| SGF | Societe Generale |
| SOFR | Secured Overnight Financing Rate |
| SONIA | Sterling Overnight Index Average |
| SOR | Swap Offer Rate |
| SpA | Italian Public Limited Company |
| SSB | State Street Capital Markets |
| STIBOR | Stockholm Interbank Offered Rate |
| TDS | Toronto Dominion Securities |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_08.jpg)

---

| | |
|:---|:---|
| TIIE | Interbank Equilibrium Interest Rate |
| TNA ABIF | Nominal Annual Rate of the Chilean Association of Banks and Financial Institutions |
| TONA | Tokyo Overnight Average Rate |
| UBS | UBS AG |
| ULSD | Ultra-Low Sulfur Diesel |
| WIBOR | Warsaw Interbank Offered Rate |
| WMBA | Wholesale Markets Brokers' Association |
| WTI | West Texas Intermediate |

---

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

---

| | | | |
|:---|:---|:---|:---|
| AUD | Australian Dollar | INR | Indian Rupee |
| BRL | Brazilian Real | JPY | Japanese Yen |
| CAD | Canadian Dollar | KRW | South Korean Won |
| CHF | Swiss Franc | MXN | Mexican Peso |
| CLP | Chilean Peso | MYR | Malaysian Ringgit |
| CNH | Chinese Yuan Offshore Renminbi | NOK | Norwegian Krone |
| CNY | Chinese Yuan Onshore Renminbi | NZD | New Zealand Dollar |
| COP | Colombian Peso | PEN | Peruvian Nuevo Sol |
| CZK | Czech Koruna | PHP | Philippine Peso |
| DKK | Danish Krone | PLN | Polish Zloty |
| EUR | Euro | SEK | Swedish Krona |
| GBP | Great Britain Pound | SGD | Singapore Dollar |
| HKD | Hong Kong Dollar | THB | Thai Baht |
| HUF | Hungarian Forint | TWD | New Taiwan Dollar |
| IDR | Indonesian Rupiah | USD | United States Dollar |
| ILS | Israeli Shekel | ZAR | South African Rand |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_09.jpg)

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

---

| | |
|:---|:---|
| **Assets:** | |
| Investments, at value (Identified cost $254,510,605) | $252502999 |
| Cash | 5679459 |
| Foreign currency, at value (Cost $648,068) | 647429 |
| Receivable for investments sold | 21907314 |
| Receivable for investments sold on a delayed delivery basis | 202763688 |
| Due from broker | 53445 |
| Due from broker - forward commitments collateral | 81000 |
| Due from broker - futures collateral | 1379747 |
| Due from broker - OTC derivatives collateral | 3765000 |
| Due from broker - swap collateral | 2180000 |
| Deposit with broker for securities sold short | 4965960 |
| Dividend and interest receivable | 847209 |
| Deferred offering costs | 119007 |
| Receivable for daily variation margin on centrally cleared swap contracts | 93591 |
| Unrealized appreciation on forward currency contracts | 1603527 |
| Unrealized appreciation on futures contracts | 37876 |
| Swap contracts, at value (Premiums paid $37,534) | 2781991 |
| Total Assets | 501409242 |
| **Liabilities:** |  |
| Securities sold short, at value (Identified proceeds $216,362,960) | 215902138 |
| Payable for investments purchased | 22953598 |
| Payable for investments purchased on a delayed delivery basis | 206017071 |
| Broker loan payable | 395573 |
| Due to broker | 152965 |
| Due to broker - OTC derivatives and swap collateral | 117000 |
| Dividend and interest payable for securities sold short | 569821 |
| Due to Adviser | 66529 |
| Accrued investment management fee | 42706 |
| Accrued administration fee | 21100 |
| Accrued pass-through expense | 708288 |
| Accrued trustee fee | 38524 |
| Accrued operating expenses | 266 |
| Payable for daily variation margin on futures contracts | 58466 |
| Unrealized depreciation on forward currency contracts | 1693822 |
| Unrealized depreciation on futures contracts | 42253 |
| Written options contracts, at value (Identified proceeds $1,970,379) | 1457793 |
| Written swaptions contracts, at value (Identified proceeds $116,283) | 66570 |
| Swap contracts, at value (Premiums received $71,380) | 1695305 |
| Total Liabilities | 451999788 |
| **Net Assets** | $49409454 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_10.jpg)

---

| | |
|:---|:---|
| **Net assets consists of:** | |
| Paid-in capital | $50034045 |
| Total distributable earnings (loss) | (624591) |
| Net Assets | $49409454 |

---

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

---

| | | | |
|:---|:---|:---|:---|
| **Class of Shares** | **Shares Outstanding** | **Net Asset Value per Share** | **Net Asset Value** |
| Class I Shares | 5000000.00 | $9.80 | $48993801 |
| Class M Shares | 42500.00 | 9.78 | 415653 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_11.jpg)

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

---

| | |
|:---|:---|
| **Investment Income:** | |
| &nbsp;&nbsp;&nbsp;Dividends (net of withholding tax of $3,187) | $32992 |
| &nbsp;&nbsp;&nbsp;Interest | 2090550 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investment Income | 2123542 |
| **Operating Expenses:** |  |
| &nbsp;&nbsp;&nbsp;Investment management fee | 417451 |
| &nbsp;&nbsp;&nbsp;Dividend and interest expense on securities sold short | 578987 |
| &nbsp;&nbsp;&nbsp;Stock borrowing fees | 61477 |
| &nbsp;&nbsp;&nbsp;Administration fee | 206794 |
| &nbsp;&nbsp;&nbsp;Offering costs | 585355 |
| &nbsp;&nbsp;&nbsp;Organization expense | 1519999 |
| &nbsp;&nbsp;&nbsp;Trustee fee expense | 244890 |
| &nbsp;&nbsp;&nbsp;Distribution fees - Class M | 266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total expenses | 3615219 |
| &nbsp;&nbsp;&nbsp;Performance fee |  |
| &nbsp;&nbsp;&nbsp;Reimbursable pass-through expense | 708288 |
| &nbsp;&nbsp;&nbsp;Less: Expenses reimbursed | (2308890) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total net expenses | 2014617 |
| **Net investment income (loss)** | 108925 |
| **Net realized gain (loss) and change in unrealized appreciation/depreciation** |  |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) on: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | (697171250) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Purchased options contracts | (874539) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Purchased swaptions contracts | (360310) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities sold short | 702157753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign currency transactions | (3197952) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Forward currency contracts | (1008941) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Futures contracts | (1023401) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Swap contracts | 257532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options contracts | (383960) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written swaptions contracts | 245691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase from payments by affiliates | 79249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net realized gain (loss) (net of broker commissions $118,812) | (1280128) |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation/depreciation on: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | (910528) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Purchased options contracts | (669921) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Purchased swaptions contracts | (427157) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities sold short | 460822 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign currency translations | (11621) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Forward currency contracts | (90295) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Futures contracts | (130355) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Swap contracts | 1372413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options contracts | 512586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written swaptions contracts | 49713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net unrealized appreciation/depreciation | 155657 |
| **Total net realized gain (loss) and change in unrealized appreciation/depreciation** | (1124471) |
| **Net increase (decrease) in net assets resulting from operations** | $(1015546) |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_12.jpg)

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

---

| | |
|:---|:---|
| **Net increase (decrease) in net assets resulting from operations:** | |
| Net investment income (loss) | $108925 |
| Net realized gain (loss) | (1280128) |
| Net change in unrealized appreciation/depreciation | 155657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from operations | (1015546) |
| **Net increase (decrease) in net assets resulting from capital transactions:** |  |
| &nbsp;&nbsp;&nbsp;Issuance of Shares | 50425000 |
| &nbsp;&nbsp;&nbsp;Proceeds from distributions reinvested |  |
| &nbsp;&nbsp;&nbsp;Redemption of Shares |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from capital transactions | 50425000 |
| **Total increase (decrease) in net assets** | 49409454 |
| **Net Assets:** |  |
| &nbsp;&nbsp;&nbsp;Beginning of period |  |
| &nbsp;&nbsp;&nbsp;End of period | $49409454 |

---

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Schedule of Capital Share Activity** | **Schedule of Capital Share Activity** | **Schedule of Capital Share Activity** | **Schedule of Capital Share Activity** | **Schedule of Capital Share Activity** |
| **Shares** | **Issued** | **Reinvested** | **Redemptions** | **Total** |
| Class I Shares | 5000000 |  |  | 5000000 |
| Class M Shares | 42500 |  |  | 42500 |
| &nbsp;&nbsp;&nbsp;Total | 5042500 |  |  | 5042500 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Dollars** | **Issued** | **Reinvested** | **Redemptions** | **Total** |
| Class I Shares | $50000000 | $— | $— | $50000000 |
| Class M Shares | 425000 |  |  | 425000 |
| &nbsp;&nbsp;&nbsp;Total | $50425000 | $— | $— | $50425000 |

---

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_13.jpg)

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

---

| | |
|:---|:---|
| **Class I** | **Period Ended**<br> **10/31/2025**(a) |
| **Selected per share data** | |
| &nbsp;&nbsp;&nbsp;Net asset value, beginning of period | $10.00 |
| &nbsp;&nbsp;&nbsp;Net income (loss) from investment operations |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss) | 0.02 (b) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net realized gain (loss) and change in unrealized appreciation /depreciation | (0.22) |
|  | (0.20) |
| Net asset value, end of period | $9.80 |
| Total Return |  |
| &nbsp;&nbsp;&nbsp;Total return before performance fee | (2.01)%(c) |
| &nbsp;&nbsp;&nbsp;Performance fee | 0.00% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total return after performance fee | (2.01)% |
| **Ratios to average net assets** |  |
| &nbsp;&nbsp;&nbsp;Dividend and interest expense on securities sold short and stock borrowing fees | 1.54% |
| &nbsp;&nbsp;&nbsp;Operating Expenses | 6.32% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Expenses | 7.86% |
| &nbsp;&nbsp;&nbsp;Performance fees | 0.00% |
| &nbsp;&nbsp;&nbsp;Reimbursable pass-through expense | 1.43% |
| &nbsp;&nbsp;&nbsp;Expenses reimbursed | (4.81)% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net Expenses | 4.48% |
| &nbsp;&nbsp;&nbsp;Net Investment Income (loss) | 0.63% |
| &nbsp;&nbsp;&nbsp;Portfolio turnover ratio | 4329 %(d) |
| &nbsp;&nbsp;&nbsp;Net Assets | $48993801 |

---

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

&nbsp;&nbsp;&nbsp;&nbsp;(a) For
the period January 02, 2025 (commencement of operations) through October 31, 2025. Expenses and net investment income (loss) ratios have
been annualized, except for organizational expenses and offering costs. Total return, performance fee, and reimbursable pass-through
expense ratios have not been annualized.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Net
investment income (loss) per share has been calculated based upon an average of daily shares outstanding.

&nbsp;&nbsp;&nbsp;&nbsp;(c) Total
return would have been (2.17)% without the effect of the error reimbursement as described in Note 8.

&nbsp;&nbsp;&nbsp;&nbsp;(d) Represents
Fund level portfolio turnover ratio. The period covers January 2, 2025 through October 31, 2025.

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_14.jpg)

---

| | |
|:---|:---|
| **Class M** | **Period Ended**<br> **10/31/2025**(a) |
| **Selected per share data** | |
| &nbsp;&nbsp;&nbsp;Net asset value, beginning of period | $10.00 |
| &nbsp;&nbsp;&nbsp;Net income (loss) from investment operations |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | 0.02 (b) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net realized gain (loss) and change in unrealized appreciation /depreciation | (0.24) |
|  | (0.22) |
| Net asset value, end of period | $9.78 |
| **Total Return** |  |
| &nbsp;&nbsp;&nbsp;Total return before performance fee | (2.20)% |
| &nbsp;&nbsp;&nbsp;Performance fee | 0.00% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total return after performance fee | (2.20)% |
| **Ratios to average net assets** |  |
| &nbsp;&nbsp;&nbsp;Dividend and interest expense on securities sold short and stock borrowing fees | 1.91% |
| &nbsp;&nbsp;&nbsp;Operating Expenses | 2.98% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Expenses | 4.89% |
| &nbsp;&nbsp;&nbsp;Performance fees | 0.00% |
| &nbsp;&nbsp;&nbsp;Reimbursable pass-through expense | 0.00% |
| &nbsp;&nbsp;&nbsp;Expenses reimbursed | (0.93)% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net Expenses | 3.96% |
| &nbsp;&nbsp;&nbsp;Net Investment Income (loss) | 2.30% |
| &nbsp;&nbsp;&nbsp;Portfolio turnover ratio | 4329 %(c) |
| &nbsp;&nbsp;&nbsp;Net Assets | $415653 |

---

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

&nbsp;&nbsp;&nbsp;&nbsp;(a) For
the period October 01, 2025 (commencement of operations) through October 31, 2025. Expenses and net investment income (loss) ratios have
been annualized, except for offering costs. Total return, performance fee, and reimbursable pass-through expense ratios have not been
annualized.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Net
investment income (loss) per share has been calculated based upon an average of daily shares outstanding.

&nbsp;&nbsp;&nbsp;&nbsp;(c) Represents
Fund level portfolio turnover ratio. The period covers January 2, 2025 through October 31, 2025.

The accompanying notes are an integral part of the consolidated financial statements.

![](fp0096548_15.jpg)

1. **Fund Organization and Investment Objective**

The Wellington Global Multi-Strategy Fund (the "Fund") is registered under the Investment Company Act of 1940, as amended ("1940 Act"), as a non-diversified, closed-end management investment company operating as an interval fund under the 1940 Act. The Fund was organized as a Delaware statutory trust on May 29, 2024 and commenced operations on January 2, 2025.

The Fund's investment objective is to seek to generate consistent and positive returns across market cycles. The Fund seeks to achieve its investment objective by taking varying positions in three principal strategies: equity long/short, macro and fixed income, and credit (each a "Principal Strategy"). Each Principal Strategy is comprised of one or more investment sub-strategies (each, an "Underlying Strategy") in which one or more investment professionals ("Trading Teams") contribute to the overall performance of the Fund's portfolio through the management of the Underlying Strategy. An Underlying Strategy may be comprised of a single or multiple accounts (each an "Allocable Account") managed by one or more members of the Trading Team. The Fund may seek to gain exposure to commodities primarily through investments in Wellington Cayman Commodity Fund I, a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the "Subsidiary"). In order to comply with certain issuer diversification limits imposed by the Internal Revenue Code of 1986, as amended (the "Code"), the Fund may invest up to 25% of its total assets in the Subsidiary.

The Fund currently offers three separate classes of shares of beneficial interest ("Shares") designated as Class A ("Class A Shares"), Class I ("Class I Shares") and Class M ("Class M Shares"). Each class of Shares has differing characteristics, particularly in terms of the sales load that each class may be charged. The Fund may offer additional classes of Shares in the future. Shares are being offered daily at the net asset value ("NAV") per Share on that day, plus any applicable sales load.

Wellington Management Company LLP (the "Adviser"), an affiliate of the Fund, serves as investment adviser to the Fund. The Adviser is registered as an investment adviser with the U.S. Securities and Exchange Commission (the "SEC") under the U.S. Investment Advisers Act of 1940, as amended. The Adviser is responsible for the Fund's investment strategy and the day-to-day management of the Fund's assets.

Pursuant to the Declaration of Trust ("Declaration of Trust") and bylaws, the Fund's business and affairs are managed under the direction of the Board of Trustees (the "Board"), which has overall responsibility for monitoring and overseeing the Fund's management and operations, subject to the laws of the State of Delaware.

2. **Summary of Significant Accounting Policies**

These consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America ("US GAAP"). The Fund is an investment company that follows the accounting and reporting guidance of Accounting Standards Codification Topic 946 applicable to investment companies.

The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its consolidated financial statements.

**Use of Estimates in the Preparation of Financial Statements**

The preparation of financial statements in conformity with US GAAP requires the Fund's Board to make estimates and assumptions that affect the reported amounts of assets and liabilities and the accompanying notes at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

**Consolidation of Subsidiary**

The Fund consolidates its investment in the Subsidiary. Accordingly, the consolidated financial statements include the assets and liabilities, as well as operations and cash flows activities of the Subsidiary. All material intercompany balances and transactions have been eliminated in the consolidation.

**Security Valuation**

The Board is responsible for the oversight of the valuation of the Fund's portfolio investments pursuant to the Fund's valuation procedures ("Valuation Procedures"). The Fund's portfolio investments for which market quotations are readily available are valued at market value. Investments for which market quotations are not readily available are valued at fair value as determined in good faith pursuant to Rule 2a-5 under the 1940 Act. As permitted by Rule 2a-5 under the 1940 Act, the Board has designated the Adviser as the Fund's valuation designee ("Valuation Designee") to perform fair value determinations relating to all portfolio investments pursuant to the Valuation Procedures. The Valuation Designee may value Fund portfolio securities for which market quotations are not readily

![](fp0096548_16.jpg)

**Security Valuation (continued)**

available and other Fund assets utilizing inputs from pricing services, quotation reporting systems, valuation agents and other third-party sources. The Fund determines NAV per Share in accordance with the methodology described in the Fund's Valuation Procedures.

The Fund calculates the NAV of each class of its Shares on a daily basis.

**Investment Transactions and Related Investment Income**

Investment transactions that are submitted prior to deadlines required to meet end-of-day Fund valuation procedures are generally accounted for on trade date. Investment trades submitted after those deadlines are accounted for on the next business day. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or as soon thereafter as the information becomes available. Interest income, net of foreign taxes withheld, if any, is recorded on the accrual basis and any premium or discount is amortized or accreted using the effective yield method. Principal of inflation index protected securities is increased or decreased by the rate of change in inflation or deflation, and such increases or decreases, if any, are generally recorded as a component of interest income. In determining the net gain or loss on securities sold, cost is determined on the identified cost basis.

**Foreign Currency Translation**

The accounting records of the Fund are maintained in US dollars. Assets and liabilities denominated in foreign currencies are translated at the rates of exchange in effect on the date of these consolidated financial statements. Investment transactions and investment income are translated at the rates of exchange in effect at the time of the transaction. As a result, the net asset value of the Fund may be affected by changes in the value of currencies in relation to the US dollar. The effects of changes in foreign currency exchange rates, if any, on investments in securities are not segregated from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gains or losses on investments on the Consolidated Statement of Operations. The Fund utilizes spot foreign currency contracts to repatriate balances denominated in a foreign currency. The realized and unrealized gains or losses on these contracts, if any, are included in "Net realized gain (loss) on foreign currency transactions" and "Net change in unrealized appreciation/depreciation on foreign currency translations," respectively, on the Consolidated Statement of Operations.

**Cash and Cash Equivalents**

Cash, including cash denominated in foreign currencies, represents demand deposits held at financial institutions. The Fund may also invest its cash balances in money market investments, U.S. government securities, commercial paper, certificates of deposit, repurchase agreements and other high-quality debt instruments maturing in one year or less, among other instruments. In addition, and in response to adverse market, economic or political conditions, the Fund may invest in high-quality fixed income securities, money market instruments and money market funds or may hold significant positions in cash or cash equivalents for defensive purposes.

**Organizational and Offering Costs**

Organizational costs include, among other things, the cost of organizing as a Delaware statutory trust, including the cost of legal services and other fees pertaining to the Fund's organization. These costs are expensed as incurred by the Fund and will be paid by the Adviser on behalf of the Fund.

The Fund's initial offering costs include, among other things, legal, printing and other expenses pertaining to the offering. The offering costs paid by the Adviser on behalf of the Fund have been recorded as a Payable for offering costs in the Consolidated Statement of Assets and Liabilities and have been accounted for as a deferred charge through the commencement of operations. These initial offering costs will be amortized over 12 months on a straight-line basis. Ongoing offering costs will be expensed as incurred.

All organizational and offering costs of the Fund paid by the Adviser shall be subject to reimbursement under the terms of the Fund's Expense Limitation Agreement discussed in Note 8. The organizational and offering costs paid by the Adviser on behalf of the Fund are recorded as "Due to Adviser" on the Consolidated Statement of Assets and Liabilities.

3. **Fair Value Measurement**

Investments held by the Fund are stated at fair value. US GAAP defines fair value as the price the Fund would receive to sell an asset or transfer a liability in an orderly transaction between market participants. It also establishes a fair value hierarchy (levels 1, 2, and 3) for presenting valuations, based on the transparency of inputs into valuation techniques used to measure fair valuation.

![](fp0096548_16.jpg)

**3. Fair Value Measurement (continued)** 

Inputs may be observable or unobservable, and refer broadly to the assumptions that a market participant would consider significant to value an asset or liability. The determination of "observable" requires judgment. In general, the Board, in consultation with the Adviser, considers observable inputs to be data readily available, regularly updated, reliable, arm's-length, and verifiable. Unobservable inputs may be used when observable inputs are not available. In this situation, the Fund may use one or more valuation techniques (e.g. market or income approach), using the best available information as of the reporting date, along with the Board's own assumptions of market participant behavior.

The use of the market approach generally involves using inputs that are based on available market transactions or market observable comparables. The income approach is generally based on expected cash flows or earnings. Under both approaches, adjustments may be applied to reflect various risks (e.g. liquidity, financial health of the investment issuer, or quality of the information available for fair value measurement).

Assets and liabilities are classified into one of the following levels, based on the lowest level of input that is significant to the fair value measurement:

● Level 1 – Unadjusted quoted prices in active markets or exchanges for identical investments.

● Level 2 – Prices based on significant observable inputs other than an unadjusted quoted price; quoted prices in active markets or exchanges for similar investments; quoted prices for identical investments in markets or exchanges that are inactive; and prices based on market-corroborated inputs (such as interest rates, yield curves, volatilities, prepayment rates, credit risks, and default rates).

● Level 3 – Prices based on significant unobservable inputs such as quotes from broker-dealers which cannot be reasonably verified through an alternative source; investments with significant trading restrictions or where trading has been halted; and securities fair valued by the Board in consultation with the Adviser using a model or inputs for which the Board must exercise judgment. In these situations, it is possible that a different valuation model or alternative inputs could produce materially different fair value measurements.

Investments held by the Fund for which market quotes are readily available are generally valued based on valuations furnished by third-party pricing services authorized by the Board.

Equity securities are typically valued based on their last trade or official close price on the market on which the securities primarily trade or, in the absence of a sale, at their last or most recently reported bid price or, if sold short, at the last reported ask price, and are generally categorized as level 1 in the fair value hierarchy. The Fund may use a systematic fair valuation model, provided by an independent third-party pricing service, to adjust the value of securities where such values may be materially impacted by events occurring before the Fund's pricing, but after the close of the primary market or exchange on which the securities are traded. The value of an equity security under this model is likely to be different from the last quoted market price for the same security. These equity securities are generally categorized as level 2 in the fair value hierarchy.

Fixed income securities, which may include convertible bonds, corporate obligations, foreign government obligations, municipal obligations, and United States government and agency obligations, are primarily valued based on values provided by independent pricing services that determine fair valuations for normal, institutional-sized trading units of such securities using yield data relating to identical investments, or investments with similar characteristics, and other market inputs. Certain fixed income securities are valued on the basis of quotations from broker-dealers. Fixed income securities are generally categorized as level 2 in the fair value hierarchy.

Bank loans are valued using factors such as ratings, tranche type, industry, company performance, spread, individual trading characteristics, institutional-sized trading in similar groups of securities, and other market data. Futures contracts are generally valued at closing settlement prices on the primary exchange on which the contracts are traded. Forward currency contracts are valued using a straight-line interpolation based on a series of forward rates. Exchange traded options are valued based on the last trade price on the primary exchange on which they trade. If an option does not trade, the mid price is utilized to value the option. Options traded over-the-counter are valued by independent pricing services based on pricing models that incorporate various inputs including interest rates, credit spreads and currency exchange rates. Credit default swap contracts are valued based on inputs provided by the counterparty, independent pricing sources, or proprietary models that incorporate credit spreads, cash flows, discount rates, and other inputs. Cross currency swap contracts and interest rate swap contracts are valued based upon contractual terms and current interest rates. Total return swap contracts are valued by calculating the value of the assets and liabilities underlying the swap agreement, net of related financing. Swaptions contracts are valued as the net amount due to or from the Fund in accordance with the terms of the contract based on the closing level of the relevant market rate of interest. Regulated investment companies are valued at the daily net asset value per share. Closed-end funds are valued at the daily net asset value per share, as adjusted for any premiums or discounts, as applicable. Exchange-traded funds ("ETFs") are valued based on their closing sales price on the market on which they primarily trade. Bank loans, closed-end funds (other than those that are exchange traded), forward currency contracts, options traded over-the-counter, swap contracts, swaptions contracts, securities fair valued by the Board in consultation with the Adviser using observable inputs, and securities priced by dealers where quotations can be reasonably verified through an alternative source are generally categorized as level 2 in the fair value hierarchy. Futures contracts, exchange traded options, regulated investment companies, exchange traded closed-end funds, and ETFs are generally categorized as level 1 in the fair value hierarchy. The prices of foreign investments not denominated in US dollars, if any, are translated into US dollars based on exchange rates provided by an independent pricing service.

![](fp0096548_16.jpg)

**3. Fair Value Measurement (continued)** 

In the absence of readily ascertainable market quotes, the value of investments is determined in good faith ("fair valued") by the Board in consultation with the Adviser and in accordance with the provisions of the Declaration of Trust. The values assigned to these investments are based upon available information including, but not limited to, original and subsequent transaction prices and third-party transactions, and may also be adjusted to reflect liquidity and/or transferability restrictions. These inputs may be observable or unobservable and the resulting values may not necessarily represent the amounts which may ultimately be realized upon sale. Due to the inherent uncertainty of the valuations, the estimated fair values may differ from the values of the investments had an active market existed, and the differences could be material. Such valuations are categorized as level 2 or level 3 in the fair value hierarchy depending on the significance of the unobservable inputs used.

The following table summarizes the valuations of the Fund's investments as of October 31, 2025, based on their placement within the fair value hierarchy:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Quoted Prices**<br> **(Level 1)** | **Significant**<br> **Observable**<br> **Inputs**<br> **(Level 2)** | **Significant**<br> **Unobservable**<br> **Inputs**<br> **(Level 3)** | **Total** |
| Common Stock | $345829 | $378243 | $— | $724072 |
| Fixed Income |  | 20379027 |  | 20379027 |
| Fixed Income Sell-Buyback Agreements |  | 197203709 |  | 197203709 |
| Convertible Bonds |  | 760324 |  | 760324 |
| Bank Loans |  | 2154847 |  | 2154847 |
| Short-Term Investments |  | 26775624 |  | 26775624 |
| Purchased Options Contracts | 2082256 | 180320 |  | 2262576 |
| Purchased Swaptions Contracts |  | 2242820 |  | 2242820 |
| Bi-Lateral Credit Default Swaps |  | 35857 |  | 35857 |
| Centrally Cleared Credit Default Swaps\* |  | 52750 |  | 52750 |
| Centrally Cleared Interest Rate Swaps\* |  | 869057 |  | 869057 |
| Total Return Swaps |  | 2746134 |  | 2746134 |
| Forward Currency Contracts |  | 1603527 |  | 1603527 |
| Futures Contracts\* | 257324 |  |  | 257324 |
| Total | $2685409 | $255382239 | $— | $258067648 |
| **Liabilities** |  |  |  |  |
| Securities Sold Short | $— | $215902138 | $— | $215902138 |
| Bi-Lateral Credit Default Swaps |  | 66685 |  | 66685 |
| Centrally Cleared Credit Default Swaps\* |  | 381361 |  | 381361 |

---

**3. Fair Value Measurement (continued)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Liabilities** | **Quoted Prices**<br> **(Level 1)** | **Significant**<br> **Observable**<br> **Inputs**<br> **(Level 2)** | **Significant**<br> **Unobservable**<br> **Inputs**<br> **(Level 3)** | **Total** |
| Bi-Lateral Cross Currency Swaps | $— | $6976 | $— | $6976 |
| Bi-Lateral Interest Rate Swaps |  | 309 |  | 309 |
| Centrally Cleared Interest Rate Swaps\* |  | 613920 |  | 613920 |
| Total Return Swaps |  | 1621335 |  | 1621335 |
| Forward Currency Contracts |  | 1693822 |  | 1693822 |
| Futures Contracts\* | 387679 |  |  | 387679 |
| Written Options Contracts | 1330338 | 127455 |  | 1457793 |
| Written Swaptions Contracts |  | 66570 |  | 66570 |
| Total | $1718017 | $220480571 | $— | $222198588 |

---

\* *Amounts, or a portion thereof, reflect cumulative appreciation/depreciation of futures and centrally cleared swaps, as applicable, as disclosed on the Consolidated Schedule of Investments. The period end variation margin is separately disclosed on the Consolidated Statement of Assets and Liabilities.*

Additional information regarding categorization of investments can be found on the Consolidated Schedule of Investments.

There were no material transfers into or out of level 3 during the period ended October 31, 2025.

4. **Securities and Other Investments**

The Fund may utilize the investments and strategies described below to the extent permitted by the Fund's investment policies described in the Fund's registration statement.

**Bank Loans**

A bank loan is an interest in a loan to a borrower, not provided through public markets, acquired by the Fund from a bank or other lending institution. The Fund may be contractually obligated to receive approval from an agent bank and/or borrower prior to the sale of these investments. Bank loans in which the Fund invests generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks (ii) the prime rate offered by one or more major United States banks or (iii) the certificate of deposit rate.

Bank loans may be subject to mandatory prepayment. Due to these mandatory prepayment conditions or because there may be significant economic incentives for a borrower to prepay, prepayments of bank loans may occur. As a result, the actual remaining maturity of bank loans may be substantially less than the stated maturities shown. Details of bank loans held at period end, if any, are included on the Consolidated Schedule of Investments under the caption "Bank Loans" and included in "Investments, at value" on the Consolidated Statement of Assets and Liabilities.

**Closed-End Funds**

Closed-end funds are investment companies that raise a fixed amount of money and invest that capital in financial assets such as stocks and bonds. Closed-end funds are closed to new capital and no new shares will be issued by the company; however, existing shares may be bought or sold on an exchange or secondary market. The prices of closed-end funds fluctuate with market conditions and may be traded at a discount or premium from their NAV. Details of closed-end funds held at period end, if any, are included on the Consolidated Schedule of Investments under the caption "Closed-End Funds" and included in "Investments, at value" on the Consolidated Statement of Assets and Liabilities.

**Delayed Delivery Transactions**

Delayed delivery transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When a fund purchases a security on a delayed delivery basis, the fund assumes ownership rights and includes any fluctuations in the value of the security, if any, in "Net change in unrealized appreciation/depreciation on investments" on the Consolidated Statement of Operations. Open delayed delivery transactions, if any, are included as "Receivable for investments sold on a delayed-delivery basis" or "Payable for investments purchased on a delayed-delivery basis" on the Consolidated Statement of Assets and Liabilities.

![](fp0096548_16.jpg)

**Delayed Delivery Transactions (continued)**

The Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell delayed delivery securities before they are delivered, which may result in a capital gain or loss. When the Fund sells a security on a delayed delivery basis, it does not participate in future gains and losses with respect to the security. Realized gains or losses on delayed delivery transactions, if any, are included in "Net realized gain (loss) on investments" on the Consolidated Statement of Operations.

**Exchange Traded Funds**

The Fund may invest in exchange traded funds ("ETFs"). An ETF is a type of fund bought and sold on a securities exchange, which trades like common stock, and may be passively or actively managed. The Fund may purchase or sell short an ETF to gain exposure to a portion of the U.S. market, a foreign market, particular industries, or commodities. The value of an ETF fluctuates in relation to changes in the value of the underlying portfolio of investments or commodities, as well as market supply and demand, which may result in a premium or discount between the NAV and the market price of an ETF. A premium is the amount that an ETF is trading above the reported NAV while a discount is the amount that an ETF is trading below the NAV. When held, ETFs are reflected on the Consolidated Schedule of Investments under the caption "Exchange Traded Funds" and included in "Investments, at value" on the Consolidated Statement of Assets and Liabilities.

**Fixed Income Buy-Sellback and Sell-Buyback Agreements**

A buy-sellback agreement is a type of forward commitment in which the Fund acquires ownership of a security and subsequently enters into a sale of the security at a future date and a set price. The purchase price may include purchased interest. Upon entering into a buy-sellback agreement, a receivable is recorded in "Receivable for investments sold on a delayed-delivery basis" on the Consolidated Statement of Assets and Liabilities in the amount due and a liability is established for the security due, as "Securities sold short, at value" on the Consolidated Statement of Assets and Liabilities for any outstanding agreements. The liability is marked to market while the buy-sellback agreement remains outstanding to reflect the current settlement obligation in "Net change in unrealized appreciation/depreciation on investments" and "Net change in unrealized appreciation/depreciation on securities sold short" on the Consolidated Statement of Operations. Subsequent to entering the agreement, the Fund may sell the security it is obligated to return under the buy-sellback agreement, thereby creating short exposure for the Fund. Upon selling the security, a gain or loss is realized based on the difference between the cost paid and the proceeds received in the sale. Realized gains or losses on fixed income buy-sellback agreements, if any, are recorded in "Net realized gain (loss) on investments" and "Net realized gain (loss) on securities sold short" on the Consolidated Statement of Operations. The proceeds received from the sale of the security are available for use by the Fund. The Fund must then purchase the security and return it to the broker-dealer at the agreed upon date or enter into an offsetting closing transaction.

A sell-buyback agreement is a type of forward commitment in which a broker-dealer acquires ownership of a security from the Fund and the Fund agrees to repurchase the obligation at a future date and a set price. The purchase price may include purchased interest. Upon entering into a sell-buyback agreement, the Fund records a realized gain or loss on the difference between the proceeds received from the sale and cost of the security sold in "Net realized gain (loss) on investments" on the Consolidated Statement of Operations. The Fund recognizes the amount to be paid in the agreement as the cost of the security and records this security in "Investments, at value" on the Consolidated Statement of Assets and Liabilities and an offsetting payable is recorded in "Payable for investments purchased on a delayed-delivery basis" on the Consolidated Statement of Assets and Liabilities in the amount due by the Fund. The security is marked to market while the sell-buyback agreement remains outstanding to reflect the current fair value and settlement obligation. At the end of the agreement, the Fund must repurchase the security or enter into an offsetting closing transaction.

**Inflation-Protected Securities**

An inflation-protected security is a fixed income investment whose principal amount is periodically adjusted by the rate of inflation or deflation. Due to the inflation or deflation linked adjustment feature, the interest rate on these securities is generally fixed at issuance at a rate lower than typical bonds or notes. Over the life of an inflation-protected security, however, interest will be paid based on a principal amount which is adjusted for inflation and/or deflation. Increases or decreases in the principal amount of an inflation-protected security, if any, are included in "Investment Income" on the Consolidated Statement of Operations, even though investors do not receive principal until maturity.

![](fp0096548_16.jpg)

**Inflation-Protected Securities (continued)**

Repayment of the original principal upon maturity (as adjusted for inflation) is guaranteed in the case of US Treasury inflation-protected securities. Inflation-protected securities may be issued by or related to sovereign governments, companies, or other entities not affiliated with governments. When held, inflation-protected securities are included in "Investments, at value" on the Consolidated Statement of Assets and Liabilities.

**Securities Sold Short**

A short sale is a transaction in which the Fund sells a security it does not own. When the Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short-sale. The Fund may have to pay a fee to borrow particular securities and is often obligated to pay over any payments received on such borrowed securities. Short sales, if any, are recorded as liabilities and included on the Consolidated Statement of Assets and Liabilities as "Securities sold short, at value." The Fund records an unrealized gain or loss to the extent of the difference between the proceeds initially received and the current value of the outstanding short position, if any, as "Net change in unrealized appreciation/depreciation on securities sold short" on the Consolidated Statement of Operations. The Fund records a realized gain or loss when the short position is closed out, if any, as "Net realized gain (loss) on securities sold short" on the Consolidated Statement of Operations. The Fund is a party to agreements with certain counterparties that may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash, which is held in an interest bearing account, or securities as agreed to by the Fund and the counterparty. Collateral requirements are determined based on the Fund's daily net market position with each counterparty, and may be paid or received by the Fund. At October 31, 2025, the Fund had $4,965,960 of cash pledged as collateral with its prime broker for short sale transactions, which is recorded as "Deposit with broker for securities sold short" on the Consolidated Statement of Assets and Liabilities. The Fund received non-cash collateral for securities sold short consisting of US Treasury Notes with a fair value of $1,567,725, as of October 31, 2025. Details of securities sold short at period end, if any, are included on the Consolidated Schedule of Investments under the caption "Securities Sold Short." Non-cash collateral pledged by the Fund is identified on the Consolidated Schedule of Investments.

5. **Derivative Instruments**

The Fund may transact in a variety of derivative instruments, such as options, futures, forward currency contracts, swaps, and swaptions. These derivative instruments may be utilized for a variety of reasons, including to enhance returns, to hedge certain investment risks, to provide a substitute for purchasing or selling particular securities or other assets or to protect its exposure to certain risks such as commodity, credit, equity, foreign currency, and interest rate risks, as applicable. The value of a derivative instrument depends, at least in part, on the performance of an underlying asset, index, interest rate, or instrument. The Fund transacts with a counterparty when it enters into over-the-counter derivative contracts. The Fund is also exposed to losses if a counterparty fails to perform under the contract (i.e. counterparty risk). The location in these consolidated financial statements, as well as fair value amounts of specific derivative instruments are described in more detail below.

**ISDA Master Agreements**

The Fund is a party to International Swaps and Derivatives Association, Inc. Master Agreements ("ISDA Master Agreements"). The Fund enters into ISDA Master Agreements to partially mitigate counterparty risk between the Fund and certain counterparties that govern transactions in over-the-counter derivatives, which includes forward currency contracts and certain options, swap contracts, and swaptions contracts, as applicable.

Certain ISDA Master Agreements may contain credit-risk contingent features that allow the counterparty to terminate executed trades and/or request additional collateral if the NAV of the Fund declines beyond certain thresholds ("NAV triggers"). As of October 31, 2025, the Fund had not exceeded the provisions of any NAV triggers, nor during the period had any counterparties elected to require additional collateral amounts or require settlement or termination of derivative contracts.

**Collateral**

From time to time, the Fund receives collateral from and delivers collateral to other parties (e.g., counterparties to over-the-counter transactions) under the terms of its agreements with such parties (e.g., ISDA Master Agreements and other trading agreements), by posting initial margin and on a daily mark-to-market basis. The Fund may also deposit or receive securities as collateral with a broker. There generally are no restrictions on the use of such collateral by such other parties and brokers except in certain circumstances where there are regulatory or contractual restrictions on the right of reuse of collateral.

![](fp0096548_16.jpg)

**Collateral (continued)**

The Fund records cash paid to brokers for collateral on certain positions as "Due from broker" on the Consolidated Statement of Assets and Liabilities. The Fund records cash collateral received from brokers for certain positions as an asset and equivalent liability in "Due to broker" on the Consolidated Statement of Assets and Liabilities. The Fund received non-cash collateral for certain derivative positions consisting of US Treasury Notes with a fair value of $36,443, as of October 31, 2025. Non-cash collateral pledged by the Fund is identified on the Consolidated Schedule of Investments.

**Forward Currency Contracts**

A forward currency contract is an agreement between two parties to buy or sell currency at a set price on a future date. The Fund may use forward currency contracts to facilitate transactions in foreign securities, to hedge the US dollar value of portfolio securities denominated in a particular currency, or as part of an investment strategy. Unrealized gains or losses on forward currency contracts, if any, are reflected as "Unrealized appreciation on forward currency contracts" and/or "Unrealized depreciation on forward currency contracts" on the Consolidated Statement of Assets and Liabilities and included in "Net change in unrealized appreciation/depreciation on forward currency contracts" on the Consolidated Statement of Operations. The Fund records realized gains or losses at the time the forward currency contract is closed by entering into a closing transaction or by delivery of the currency and those amounts, if any, are reflected in "Net realized gain (loss) on forward currency contracts" on the Consolidated Statement of Operations. During the period, forward currency contracts were used to manage foreign currency risk. Details of forward currency contracts held at period end, if any, are included on the Consolidated Schedule of Investments under the caption "Forward Currency Contracts."

**Futures Contracts**

A futures contract is an agreement to buy or sell a commodity or financial instrument at a set price on a future date. Futures contracts may be used to manage the risks of fluctuations in interest rates, currency exchange rates, and other market conditions, or as part of an investment strategy.

Upon entering into a futures contract, the Fund is required to pledge to the broker collateral in the form of cash and/or securities equal to the minimum initial margin requirements of the clearinghouse. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such a receipt or payment, known as "variation margin," is recorded by the Fund as part of unrealized gains or losses, and is reflected as "Receivable for daily variation margin on futures contracts" or "Payable for daily variation margin on futures contracts" on the Consolidated Statement of Assets and Liabilities.

Certain futures contracts do not involve the daily settlement of variation margin. Instead, the Fund agrees to settle the contracts at fair value upon expiration with no receipt or payment of variation margin during the contract term. The fair value of such contracts held at period end, if any, is reflected as "Unrealized appreciation on futures contracts" or "Unrealized depreciation on futures contracts" on the Consolidated Statement of Assets and Liabilities.

When the contract is closed, the Fund records realized gains or losses, if any, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed and these amounts are reflected as "Net realized gain (loss) on futures contracts" on the Consolidated Statement of Operations. During the period, futures contracts were used to manage commodity, equity, foreign currency, and interest rate risks. Details of futures contracts held at period end, if any, are included on the Consolidated Schedule of Investments under the caption "Futures Contracts."

**Options Contracts**

The Fund may purchase and sell (write) call and put options, which may be traded on an exchange or over-the-counter. The purchase or sale of an option involves the payment or receipt of a premium by the Fund and the corresponding right or obligation, as the case may be, to either purchase or sell an underlying security, basket of securities, commodity or other instrument ("underlying investment") for a specific price at a certain date or during a certain period. A call option gives the purchaser the option to buy (and the seller the obligation to sell) an underlying investment at the contracted exercise price. A put option gives the purchaser the option to sell (and the writer the obligation to buy) an underlying investment at the contracted exercise price. The Fund may use options for the purpose of managing the impacts of changes in the market value of an underlying investment or as part of its overall investment strategy. During the period, options contracts were used to manage commodity, equity, foreign currency, and interest rate risks.

When the Fund purchases an option, the premium paid, if any, is reflected as 'cost' on the Consolidated Schedule of Investments and the option is subsequently marked to market to reflect its current value. When a purchased call or put option is exercised, the cost of the underlying investment purchased, or proceeds from the underlying investment sold, is adjusted by the amount of premium paid. When a purchased call or put option expires, the Fund realizes a loss to the extent of the premium originally paid. If the Fund enters into a closing sale transaction, the Fund realizes a gain or loss, depending on whether the proceeds from the closing sale transaction are greater than or less than the premium of the option. Realized gains and losses, if any, on purchased options are recorded as "Net realized gain (loss) on purchased options contracts" and unrealized gains and losses, if any, are recorded as "Net change in unrealized appreciation/depreciation on purchased options contracts" on the Consolidated Statement of Operations. Details of purchased options contracts held at period end, if any, are included on the Consolidated Schedule of Investments under the caption "Purchased Options Contracts."

![](fp0096548_16.jpg)

**Options Contracts (continued)**

When the Fund writes an option, an amount equal to the premium received is reflected as a liability on the Consolidated Statement of Assets and Liabilities. The liability is subsequently marked to market to reflect the current value of the option and this amount, if any, is reflected as "Written options contracts, at value" on the Consolidated Statement of Assets and Liabilities. When a written call or put option is exercised, the proceeds of sale or amount paid on purchase of an underlying investment is adjusted by the amount of premium received. When a written option expires, the Fund realizes a gain to the extent of the premium originally received. If the Fund enters into a closing purchase transaction, the Fund realizes a gain or loss depending on whether the cost of the closing purchase is less than or greater than the premium received when the option was written. Realized gains and losses, if any, on written options are recorded as "Net realized gain (loss) on written options contracts" and unrealized gains and losses, if any, are recorded as "Net change in unrealized appreciation/depreciation on written options contracts" on the Consolidated Statement of Operations. Details of written options contracts held at period end, if any, are included on the Consolidated Schedule of Investments under the caption "Written Options Contracts."

**Swap Contracts**

The Fund may use swap contracts as part of its investment strategy or to manage its exposure to interest, commodity, and currency rates as well as adverse movements in the debt and equity markets. Swap agreements are privately negotiated in the over-the-counter market or may be executed in a multilateral or other trade facility platform, such as a registered exchange ("centrally cleared swaps").

Credit default swaps are agreements between the Fund and a counterparty that enables the Fund to buy or sell protection against a credit event related to a particular issuer, basket of issuers, or index. A credit default swap involves the payment of a fixed rate premium by the buyer of protection, which is typically applied to a specified notional amount, in exchange for a contingent payment by the seller of protection equal to the loss in value of an underlying reference obligation triggered by the occurrence of a defined credit event (such as bankruptcy, restructuring, failure to make payments when due, or repudiation/moratorium for sovereign underlying instruments).

The Fund enters into a credit default swap as the buyer or seller of protection. If the Fund is a buyer of protection and no credit event occurs, the Fund will recover nothing and continue to pay the periodic payment until the swap matures. The seller of protection will not make a contingent payment. However, if a credit event occurs, the buyer typically receives full notional value for a reference obligation that may have little or no value. As a seller of credit protection, the Fund, in return for receiving the periodic payment, acts as a "guarantor" by agreeing to make a contingent payment (typically, equal to the transaction notional amount minus the distressed value, if any, of the underlying reference obligation) if a credit event occurs during the term of the swap. The actual contingent payment may be offset and partially reduced by the netting and collateral terms of the ISDA Master Agreement, if any. Periodic payments received or made by the Fund, if any, are recorded in "Net realized gain (loss) on swap contracts" on the Consolidated Statement of Operations as realized gains or losses, respectively. During the period, credit default swaps were used to manage credit risk.

If credit events occur, contingent payments made by the seller of protection may exceed the unrealized appreciation or depreciation of the credit default swaps, depending on changes in their fair value, and are reported on the Consolidated Statement of Assets and Liabilities.

The credit rating, as of October 31, 2025, for each reference obligation where the Fund is the seller of protection, is a representation of the current payment/performance obligation under the swap agreement. Reference obligations with a credit rating of BBB- or higher are considered investment grade. Those that are unrated by a recognized credit rating agency or those with a credit rating of BB+ or lower are considered non-investment grade, and are subject to greater risk of loss of principal and interest than higher-rated securities. An index swap represents a basket of credit securities included within a particular index. As applicable, the swaps described above are shown separately within the table below.

![](fp0096548_16.jpg)

**Swap Contracts (continued)**

---

| | |
|:---|:---|
| **Maximum Potential Amount of Future Payments** | **Maximum Potential Amount of Future Payments** |
| Non-Investment Grade Swaps | $1530000 |
| Investment Grade Swaps | 1910000 |
| Index Swaps | 12674488 |
| Total | $16114488 |

---

Cross currency swaps are agreements between two entities to exchange specified types and amounts of currencies. Along with the initial exchange of a specific amount of one currency for a specific amount of a different currency, a currency swap normally also includes a series of recurring payments based on the cash flow performance of the two currencies. At the time that the two currencies are swapped, the parties agree to make the recurring interest rate payments for a specific period of time. Once the duration outlined in the agreement is complete, the two currencies are returned to the original owners. However, each party retains all returns that were shared in the form of interest payments. Periodic payments received or made by the Fund, if any, are recorded in "Net realized gain (loss) on swap contracts" on the Consolidated Statement of Operations as realized gains or losses, respectively. During the period, cross currency swaps were used to manage foreign currency risk.

Interest rate swaps are agreements to exchange cash flows periodically based upon or calculated by changes in interest rates on a specified notional amount; for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the Fund, if any, are recorded in "Net realized gain (loss) on swap contracts" on the Consolidated Statement of Operations as realized gains or losses, respectively. During the period, interest rate swaps were used to manage interest rate risk.

Total return swaps are agreements to exchange the return generated by one instrument for the return generated by another instrument; for example, the agreement to pay interest in exchange for a market or commodity-linked return based on a specified notional amount. To the extent the total return of the market or commodity-linked index exceeds the offsetting interest obligation, the Fund will receive a payment from the counterparty. To the extent it is less, the Fund will make a payment to the counterparty. Periodic payments received or made by the Fund, if any, are recorded in "Net realized gain (loss) on swap contracts" on the Consolidated Statement of Operations as realized gains or losses, respectively. During the period, total return swaps were used to manage commodity and equity risk.

Upon entering into a centrally cleared swap contract, the Fund is required to pledge to the broker collateral in the form of cash and/or securities equal to the minimum initial margin requirements of the clearinghouse. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such a receipt or payment, known as "variation margin," is recorded by the Fund as part of unrealized gains or losses, and is reflected as "Receivable for daily variation margin on centrally cleared swap contracts" or "Payable for daily variation margin on centrally cleared swap contracts" on the Consolidated Statement of Assets and Liabilities.

Bi-lateral swaps are recorded at their market value and these amounts, if any, are reflected as "Swap contracts, at value" on the Consolidated Statement of Assets and Liabilities. Gains or losses, if any, realized upon early termination of swap agreements are reflected in "Net realized gain (loss) on swap contracts" on the Consolidated Statement of Operations. The change in value of swaps outstanding at period end, if any, is reflected on the Consolidated Statement of Operations as "Net change in unrealized appreciation/depreciation on swap contracts." Details of swap contracts held at period end, if any, are included on the Consolidated Schedule of Investments under the caption "Swap Contracts."

**Swaptions Contracts**

Swaptions contracts entered into by the Fund typically represent an option that gives the purchaser the right, but not the obligation, to enter into swap contracts on a future date. The Fund enters into swaptions contracts to manage exposure to fluctuations in interest rates, hedge the fair value of other investments, or as part of its investment strategy. If a call swaption contract is exercised, the purchaser will enter into a swap contract to receive the fixed rate and pay a floating rate in exchange. Exercising a put swaption contract would entitle the purchaser to pay a fixed rate and receive a floating rate. During the period, swaptions contracts were used to manage credit and interest rate risk.

![](fp0096548_16.jpg)

**Swaptions Contracts (continued)**

Changes in the value of purchased swaptions contracts, if any, are reported as "Net change in unrealized appreciation/depreciation on purchased swaptions contracts" on the Consolidated Statement of Operations. Gain or loss, if any, is recognized when a swaptions contract expires or is closed and is shown as "Net realized gain (loss) on purchased swaptions contracts" on the Consolidated Statement of Operations. Details of purchased swaptions contracts held at period end, if any, are included on the Consolidated Schedule of Investments under the caption "Purchased Swaptions Contracts." Unpaid premiums of $2,632,458 are included on the Consolidated Statement of Assets and Liabilities as delayed-delivery transactions.

When the Fund writes a swaption contract, an amount equal to the premium received is reflected as a liability on the Consolidated Statement of Assets and Liabilities. The liability is subsequently marked to market to reflect the current value of the swaption contract and this amount, if any, is reflected as "Written swaptions contracts, at value" on the Consolidated Statement of Assets and Liabilities. When a written call or put swaption is exercised, the proceeds of sale or amount paid on entering into a swaption contract are adjusted by the amount of premium received. When a written swaption contract expires, the Fund realizes a gain to the extent of the premium originally received. Realized gains and losses on written swaptions contracts, if any, are recorded as "Net realized gain (loss) on written swaptions contracts" and unrealized gains and losses, if any, are recorded as "Net change in unrealized appreciation/depreciation on written swaptions contracts" on the Consolidated Statement of Operations. Details of written swaptions contracts held at period end, if any, are included on the Consolidated Schedule of Investments under the caption "Written Swaptions Contracts." Premiums receivable of $116,283 are included on the Consolidated Statement of Assets and Liabilities as delayed-delivery transactions.

**Fair Value of Additional Derivative Instrument Information**

US GAAP requires disclosure about the Fund's derivatives and greater transparency of how and why an entity uses derivative instruments, how derivative instruments are accounted for and how they affect an entity's financial position and results of operations. US GAAP also requires qualitative disclosures about an entity's associated risk exposure, quantitative disclosures about fair value amounts and the gains and losses related to derivative instruments, and disclosure of any credit–risk contingent features in derivative agreements. The primary risk exposure categories and related gains or losses, if any, have been summarized below.

The following table presents the gross value of the Fund's derivative contracts by primary risk exposure category as of October 31, 2025. The values in the table exclude the effects of cash and/or securities received or posted as collateral, also referenced above, and therefore are not representative of the Fund's net exposure. The fair value of these derivative instruments is reflected in "Investments, at value", "Unrealized appreciation or depreciation", or "Receivable or payable for daily variation margin" on the Consolidated Statement of Assets and Liabilities. The following table also presents the Fund's gain (loss) related to derivative activities for the period ended October 31, 2025, by their primary underlying risk exposure. The realized and unrealized gain (loss), if any, should be considered in the context that derivative contracts may have been executed to hedge investments and accordingly, gain (loss) on derivative contracts may offset gain (loss) attributable to investments which is not reflected in the values in the table. These gains or losses are reflected in "Net realized gain (loss)" and "Net change in unrealized appreciation/depreciation", if any, on the Consolidated Statement of Operations.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Primary Risk Exposure** | **Gross Assets** | **Gross Liabilities** | **Net Realized** <br> **Gain (Loss)** | **Net Change in** <br> **Unrealized** <br> **Appreciation/**<br> **Depreciation** | **Average Notional** <br> **Value (millions)<sup>1</sup>** |
| **Commodity Contracts<sup>2</sup>** | | | | | |
| &nbsp;&nbsp;&nbsp;Futures Contracts | $197366 | $245778 | $(272203) | $(48412) | 11.5 |
| &nbsp;&nbsp;&nbsp;Options Contracts | 25350 |  | (70214) | (1484) | 0.0<br><sup>3</sup> |
| **Credit Contracts<sup>2</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Swaptions Contracts | 37346 |  | (64310) | (173) | 2.9 |
| &nbsp;&nbsp;&nbsp;Swap Contracts | 88607 | 448046 | 13661 | (25643) | 19.3 |
| **Currency Contracts<sup>2</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Forward Currency Contracts | 1603527 | 1693822 | (1008941) | (90295) | 326.6 |
| &nbsp;&nbsp;&nbsp;Futures Contracts |  |  | (4170) |  | —<sup>4</sup> |

---

![](fp0096548_16.jpg)

**Fair Value of Additional Derivative Instrument Information (continued)**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Primary Risk Exposure** | **Gross Assets** | **Gross Liabilities** | **Net Realized** <br> **Gain (Loss)** | **Net Change in** <br> **Unrealized** <br> **Appreciation/**<br> **Depreciation** | **Average Notional** <br> **Value (millions)<sup>1</sup>** |
| **Currency Contracts<sup>2</sup>** | | | | | |
| &nbsp;&nbsp;&nbsp;Options Contracts | $126693 | $120474 | $(474886) | $(27726) | 1.9 |
| &nbsp;&nbsp;&nbsp;Swap Contracts |  | 6976 | 11469 | (6976) | 7.6 |
| **Equity Contracts<sup>2</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Futures Contracts | 33467 | 44536 | (1167606) | (11069) | 6.0 |
| &nbsp;&nbsp;&nbsp;Options Contracts | 1914360 | 1313759 | (581281) | (153691) | 14.8 |
| &nbsp;&nbsp;&nbsp;Swap Contracts | 2746134 | 1621335 | 417151 | 1124799 | 127.0 |
| **Interest Rate Contracts<sup>2</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Futures Contracts | 26491 | 97365 | 420578 | (70874) | 156.0 |
| &nbsp;&nbsp;&nbsp;Options Contracts | 196173 | 23560 | (132118) | 25566 | 96.7 |
| &nbsp;&nbsp;&nbsp;Swaptions Contracts | 2205474 | 66570 | (50309) | (377271) | 20.1 |
| &nbsp;&nbsp;&nbsp;Swap Contracts | 869057 | 614229 | (184749) | 280233 | 855.8 |
| **Total** | $**10070045** | $**6296450** | $(3147928) | $**616984** |  |

---

---

| | |
|:---|:---|
| 1 | *Notional amounts were converted to U.S. dollars based on the applicable month end exchange rate for the local currency of the derivative.* |

---

---

| | |
|:---|:---|
| 2 | *Amounts, or a portion thereof, reflect cumulative appreciation/depreciation of futures and centrally cleared swaps, as applicable, as disclosed on the Consolidated Schedule of Investments. The period end variation margin is separately disclosed on the Consolidated Statement of Assets and Liabilities.* |

---

---

| | |
|:---|:---|
| 3 | *Amount rounds to zero when presented in millions.* |

---

4 *The Fund invested in an immaterial volume of future contracts during the period and no positions were held as of October 31, 2025.*

**Offsetting of Financial and Derivative Assets and Liabilities**

The Fund is a party to ISDA Master Agreements and Credit Support Annexes, Master Securities Forward Transaction Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, "Master Agreements"). These Master Agreements generally govern the terms of certain transactions and mitigate the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization to improve legal certainty.

The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. The Master Agreements define whether the Fund is contractually able to settle daily payments on a net basis. Certain Master Agreements may allow for net settlements on an individual agreement basis, with the same legal entity, or with affiliated legal entities. Additionally, there may be circumstances, such as laws of a particular jurisdiction or settlement of amounts due in different currencies, that may prohibit or restrict the right of offset as defined in the Master Agreements. There is no guarantee that the terms of the Master Agreements will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset.

The Fund attempts to limit counterparty risk by only entering into Master Agreements with counterparties which are believed to have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. For transactions executed with a Derivatives Clearing Organization ("DCO"), Futures Clearing Merchant ("FCM"), or Options Clearing Corporation ("OCC") in a multilateral or other trading facility platform, counterparty risk is reduced by shifting exposure from the counterparty to the DCO, FCM, or OCC. These organizations have authority to provide an orderly liquidation in the event of a default.

The following tables present the Fund's net exposure to derivative instruments by type of financial instrument as of October 31, 2025. Transactions executed with DCOs, FCMs, or OCCs, if any, are excluded from the tables.

![](fp0096548_16.jpg)

**Offsetting of Financial and Derivative Assets and Liabilities (continued)**

---

| | | | |
|:---|:---|:---|:---|
| **Offsetting of Derivative Assets** | | | |
| **Financial Instrument** | **Gross Amount**<br> **of Recognized**<br> **Assets** | **Gross Amount**<br> **Offset in the**<br> **Consolidated**<br> **Statement of Assets**<br> **and Liabilities** | **Net Amount of**<br> **Assets Presented**<br> **in the Consolidated** <br> **Statement of**<br> **Assets and Liabilities** |
| &nbsp;&nbsp;&nbsp;Swap Contracts | $2781991 | $— | $2781991 |
| &nbsp;&nbsp;&nbsp;Purchased Options Contracts | 188737 |  | 188737 |
| &nbsp;&nbsp;&nbsp;Purchased Swaptions Contracts | 2242820 |  | 2242820 |
| &nbsp;&nbsp;&nbsp;Forward Currency Contracts | 1603527 |  | 1603527 |
| Total | $6817075 | $— | $6817075 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Offsetting of Derivative Liabilities** | | | |
| **Financial Instrument** | **Gross Amount**<br> **of Recognized**<br> **Liabilities** | **Gross Amount**<br> **Offset in the**<br> **Consolidated**<br> **Statement of Assets**<br> **and Liabilities** | **Net Amount of**<br> **Liabilities Presented**<br> **in the Consolidated** <br> **Statement of**<br> **Assets and Liabilities** |
| &nbsp;&nbsp;&nbsp;Forward Currency Contracts | $1693822 | $— | $1693822 |
| &nbsp;&nbsp;&nbsp;Swap Contracts | 1695305 |  | 1695305 |
| &nbsp;&nbsp;&nbsp;Written Options Contracts | 127455 |  | 127455 |
| &nbsp;&nbsp;&nbsp;Written Swaptions Contracts | 66570 |  | 66570 |
| Total | $3583152 | $— | $3583152 |

---

The following table presents the Fund's derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement, or similar agreement, and net of the related collateral received or pledged as of October 31, 2025. Transactions executed with DCOs, FCMs, or OCCs, if any, are excluded from this table.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Gross Amount of**<br> **Assets in the**<br> **Consolidated**<br> **Statement of**<br> **Assets and**<br> **Liabilities** | **Gross Amount of**<br> **Liabilities in the**<br> **Consolidated**<br> **Statement of**<br> **Assets and**<br> **Liabilities** | **Net**<br> **Position - Asset**<br> **(Liability)** | **Collateral**<br> **Received**<br> **(Pledged)<sup>1</sup>** | **Net Amount Due**<br> **from (to)**<br> **Counterparty<sup>2</sup>** |
| &nbsp;&nbsp;&nbsp;Bank of America NA | $1416091 | $132951 | $1283140 | $— | $1283140 |
| &nbsp;&nbsp;&nbsp;Bank of Montreal |  | 326 | (326) |  | (326) |
| &nbsp;&nbsp;&nbsp;Barclays Bank PLC | 673939 | 348671 | 325268 |  | 325268 |
| &nbsp;&nbsp;&nbsp;BNP Paribas | 148459 | 95459 | 53000 | 53000 |  |
| &nbsp;&nbsp;&nbsp;Citibank NA | 264624 | 75673 | 188951 | 31000 | 157951 |
| &nbsp;&nbsp;&nbsp;CreditAgricole |  | 799 | (799) |  | (799) |
| &nbsp;&nbsp;&nbsp;Deutsche Bank AG | 235638 | 157990 | 77648 | 20000 | 57648 |
| &nbsp;&nbsp;&nbsp;Goldman Sachs International | 1700194 | 975797 | 724397 |  | 724397 |
| &nbsp;&nbsp;&nbsp;HSBC Bank USA NA | 75966 | 63302 | 12664 | 8000 | 4664 |
| &nbsp;&nbsp;&nbsp;JP Morgan Chase Bank NA | 735446 | 520100 | 215346 |  | 215346 |
| &nbsp;&nbsp;&nbsp;Morgan Stanley & Co. International PLC | 1323051 | 919836 | 403215 |  | 403215 |
| &nbsp;&nbsp;&nbsp;Royal Bank of Canada | 44228 | 16651 | 27577 | 27577 |  |
| &nbsp;&nbsp;&nbsp;Societe Generale |  | 952 | (952) |  | (952) |
| &nbsp;&nbsp;&nbsp;Standard Chartered Bank | 9155 | 6206 | 2949 |  | 2949 |

---

![](fp0096548_16.jpg)

**Offsetting of Financial and Derivative Assets and Liabilities (continued)**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Gross Amount of**<br> **Assets in the**<br> **Consolidated**<br> **Statement of**<br> **Assets and**<br> **Liabilities** | **Gross Amount of**<br> **Liabilities in the**<br> **Consolidated**<br> **Statement of**<br> **Assets and**<br> **Liabilities** | **Net**<br> **Position - Asset**<br> **(Liability)** | **Collateral**<br> **Received**<br> **(Pledged)<sup>1</sup>** | **Net Amount Due**<br> **from (to)**<br> **Counterparty<sup>2</sup>** |
| &nbsp;&nbsp;&nbsp;State Street Capital Markets | $8407 | $11680 | $(3273) | $— | $(3273) |
| &nbsp;&nbsp;&nbsp;Toronto Dominion Securities | 44793 | 59766 | (14973) | (14973) |  |
| &nbsp;&nbsp;&nbsp;UBS Securities LLC | 137084 | 196993 | (59909) | (53365) | (6544) |
| Total | $6817075 | $3583152 | $3233923 | $71239 | $3162684 |

---

---

| | |
|:---|:---|
| 1 | *The actual collateral (including non-cash collateral) received/pledged may be more than the amount reported due to overcollateralization.* |

---

---

| | |
|:---|:---|
| 2 | *Investments which are subject to certain Master Agreements but are not considered derivatives may be excluded from these amounts.* |

---

6. **Purchases and Sales of Investments**

Purchases and sales of securities (excluding short-term investments) during the period ended October 31, 2025, were $2,559,876,321 and $2,554,466,728, respectively.

7. **Federal income Taxes**

The Fund intends to meet the requirements of the Code, applicable to regulated investment companies ("RICs"), and to distribute substantially all of its net investment income and any net realized capital gains to its shareholders annually and to meet certain diversification and income requirements with respect to investment companies.

The Fund is subject to examination by U.S. federal, state, local, and certain non-U.S. jurisdictions for prior periods as provided by the applicable jurisdiction's statute of limitations. The years subject to potential examination by the U.S. federal government are taxable years ending from October 31, 2025 forward.

As of October 31, 2025, the fund had no uncertain tax positions that would require financial statement recognition, derecognition or disclosure. The fund's federal tax returns are subject to review by the Internal Revenue Service for a period of three years.

Dividends are paid from net investment income, if any. Capital gain distributions are paid from taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts, including adjustments relating to foreign currency gains/losses, swaps, organizational/offering costs and the Cayman subsidiary, are reclassified within the components of net assets based on their federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions, which exceed earnings and profits for tax purposes, are reported as a tax return of capital.

There were no distributions paid during the fiscal period ended October 31, 2025.

As of October 31, 2025, the components of distributable earnings (loss) on a tax basis were as follows:

![](fp0096548_16.jpg)

**7. Federal income Taxes (continued)**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Fund** | **Undistributed** <br> **Ordinary Income** <br> **(including** <br> **short-term** <br> **capital gain)**  | **Undistributed** <br> **Capital Gain** | **Capital Loss**<br> **Carryover** | **Unrealized** <br> **Appreciation/** <br> **(Depreciation)** | **Organization and** <br> **Offering Costs** <br> **Other Timing** <br> **Differences**  | **Total** <br> **Undistributed** |
| Wellington Global Multi-Strategy Fund | $5260523 |  | $(4591744) | $(1203667) | $(89703) | $(624591) |

---

Net capital losses recognized by the Fund may be carried forward indefinitely and retain their character as short-term and/or long-term losses. Capital losses incurred that will be carried forward are as follows:

---

| | | | |
|:---|:---|:---|:---|
| **Fund** | **Short-Term** <br> **Losses**  | **Long-Term** <br> **Losses**  | **Net Capital** <br> **Losses**  |
| Wellington Global Multi-Strategy Fund | $4148123 | $443621 | $4591744 |

---

As of October 31, 2025 the tax cost of investments and the breakdown of unrealized appreciation/(depreciation) for the Fund are shown below. The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable to the tax treatment of certain securities (forwards, futures, options and swaps), straddles, wash sales and the Cayman subsidiary.

---

| | | |
|:---|:---|:---|
| **Fund** | **Tax Cost of** <br> **Investments**  | **Net Unrealized** <br> **Appreciation/**<br> **(Depreciation)** |
| Wellington Global Multi-Strategy Fund | $39506969 | $(1203667) |

---

8. **Transactions with Affiliates and Service Providers**

**Investment Management Fee**

Pursuant to the investment advisory agreement (the "Investment Management Agreement") between the Fund and the Adviser, and in consideration of the advisory services provided by the Adviser to the Fund, the Adviser is entitled to an investment management fee ("Investment Management Fee") payable monthly in arrears and accrued daily based upon the Fund's average daily net assets at an annual rate of 1.00% prior to any accrual of the Performance Fee (as defined below) and charge in respect of any Reimbursable Pass-Through Expense (as defined below). The Investment Management Fee is paid before giving effect to any repurchase of Shares in the Fund effective as of that date and will decrease the net profits or increase the net losses of the Fund.

**Expense Limitation Agreement**

The Adviser and the Fund have entered into an Expense Limitation Agreement ("ELA") under which the Adviser has agreed to contractually, on a monthly basis, reimburse the Fund's "Specified Expenses" in respect of each class of the Fund (each, a "Class") where "Specified Expenses" means all other expenses incurred in the business of the Fund and allocated to a Class, including the Fund's annual operating expenses, with the exception of: (i) the Investment Management Fee and Performance Fee; (ii) the Reimbursable Pass-Through Expense; (iii) the shareholder servicing fee of up to 0.25% per year; (iv) the distribution fee that will accrue at an annual rate equal to 0.75% of the average daily net assets attributable to Class M Shares; (v) certain costs associated with the acquisition, ongoing investment and disposition of the Fund's investments and unconsummated investments, including legal costs, professional fees, travel costs and brokerage costs; (vi) acquired fund fees and expenses; (vii) dividend and interest payments (including any dividend payments, interest expenses, commitment fees, or other expenses related to any leverage incurred by the Fund); (viii) taxes and costs to reclaim foreign taxes; and (ix) extraordinary expenses (as determined in the sole discretion of the Adviser) to the extent that such expenses exceed 0.60% of the average daily net assets of such Class (the "Expense Cap").

![](fp0096548_16.jpg)

**Expense Limitation Agreement (continued)**

If, while the Adviser is the investment adviser to the Fund, the Fund's estimated annualized Specified Expenses in respect of a Class for a given month are less than the Expense Limitation, the Adviser shall be entitled to reimbursement by the Fund of the other expenses borne by the Adviser on behalf of the Fund (the "Reimbursement Amount") during any of the previous thirty-six (36) months, but only to the extent that the Fund's estimated annualized Specified Expenses in respect of a Class are less than, for such month, the lesser of the Expense Limitation or any other relevant expense limit then in effect with respect to the Class, and provided that such amount paid to the Adviser will in no event exceed the total Reimbursement Amount and will not include any amounts previously reimbursed. The Adviser may recapture a Specified Expense in any year within the thirty-six (36) month period after the Adviser bears the expense. The Expense Limitation Agreement will remain in effect through January 1, 2027, unless and until the Board approves its modification or termination. Thereafter, the Expense Limitation Agreement may be annually renewed with the written agreement of the Adviser and the Fund. The Fund's obligation to make reimbursement payments shall survive the termination of the Expense Limitation Agreement.

**Performance Fee**

Pursuant to the Investment Management Agreement, the Adviser is entitled to a performance fee ("Performance Fee") after the end of each fiscal year of the Fund. The Performance Fee paid to the Adviser will be paid out of the Fund's assets. The Performance Fee is determined as of the end of the fiscal year in an amount equal to 20% of the amount by which the Fund's net profits (including unrealized net gains and losses on investments and any net profits attributable to investments in initial public offerings) for all Measurement Periods (as defined below) during such fiscal year exceed the balance of the loss carryforward account (as described below). The Fund also pays the Adviser the Performance Fee in the event a Measurement Period is triggered in connection with a share repurchase offer by the Fund. "Measurement Period" means each twelve-month period ending on the Fund's fiscal year-end (or such other period ending on the Fund's fiscal year-end in the event the Fund's fiscal year is changed), provided that whenever the Fund conducts a share repurchase offer, the period of time from the last Measurement Period end through the effective date of the repurchase offer also constitutes a Measurement Period for purposes of calculating the Performance Fee (if any) on shares being tendered for repurchase. For purposes of determining the Fund's net asset value, the Performance Fee is calculated and accrued daily. The Performance Fee will be payable for a Measurement Period only if there is no balance in the Fund's loss carryforward account. The loss carryforward account is an account that will have an initial balance of zero upon commencement of the Fund's operations and, thereafter, will be credited as of the end of each Measurement Period with the amount of any net loss of the Fund for that Measurement Period and will be debited with the amount of any net profits of the Fund for that Measurement Period, as applicable (provided, however, that the debiting of net profits may only reduce a balance in the loss carryforward account and may not reduce the balance of the loss carryforward account below zero).

No Performance Fee was incurred for the period ended October 31, 2025.

During the period ended October 31, 2025, the Adviser reimbursed the Fund $79,249 for trading errors recorded as "Net increase from payments by affiliates" on the Consolidated Statement of Operations.

**Reimbursable Pass-Through Expense**

Pursuant to the Investment Management Agreement, the Fund will reimburse the Adviser out of the Fund's net assets for certain additional compensation-related expenses of the Adviser. The Reimbursable Pass-Through Expense reflects the sum of the cost payable to Trading Team personnel responsible for managing the Allocable Accounts (collectively, "Pass-Through Persons") (such costs, the "Reimbursable Pass-Through Expense"). The Reimbursable Pass-Through Expense shall be invoiced by the Adviser to the Fund and payable by the Fund to the Adviser as an expense reimbursement.

The Reimbursable Pass-Through Expense shall be calculated by aggregating the proportionate share of expenses of the Adviser attributable to the total amounts paid to Pass-Through Persons with respect to each Allocable Account (each such amount, a "Strategy-Specific Pass-Through Expense"). The Strategy-Specific Pass-Through Expense is determined as of the end of the Fund's fiscal year and range from 10% to 20%. The Strategy-Specific Pass-Through Expense is calculated based on the amount by which the net profits of the Allocable Account (including unrealized net gains and losses on investments and any net profits attributable to investments in initial public offerings) for the twelve-month period ending on the Fund's fiscal year-end exceed the balance of the Allocable Account's loss carryforwards. In connection with a share repurchase offer by the Fund, the accrued Reimbursable Pass-Through Expense, which is calculated and accrued daily, is included in the calculation of the Fund's NAV but will not be paid to the Adviser until the end of the fiscal year.

For purposes of calculating a Strategy-Specific Pass-Through Expense for an Allocable Account, "net profits" means the net of realized and unrealized gains and losses on the Allocable Account's investments (including profits and losses attributable to investments in initial public offerings), interest, dividends, taxes, fees and other expenses allocated to such Allocable Account, excluding Fund-level operating expenses. For purposes of calculating a Strategy-Specific Pass-Through Expense for an Allocable Account, "Measurement Period" means each twelve-month period ending on the Fund's fiscal year-end (or such other period ending on the Fund's fiscal year-end in the event the Fund's fiscal year is changed). For purposes of determining the Fund's net asset value, an estimate of the Reimbursable Pass-Through Expense is calculated and accrued daily as an expense of the Fund (as if each day is the end of the Fund's fiscal year).

![](fp0096548_16.jpg)

**Reimbursable Pass-Through Expense (continued)**

The Strategy-Specific Pass-Through Expense for an Allocable Account will be payable for a Measurement Period only if there is no balance in the Allocable Account's loss carryforwards. Similar to the Fund's loss carryforward account, each Allocable Account's loss carryforward account is an account that will have an initial balance of zero upon commencement of the Allocable Account's operations and, thereafter, will be credited as of the end of each Measurement Period with the amount of any net loss of the Allocable Account for that Measurement Period and will be debited with the amount of any net profits of the Allocable Account for that Measurement Period, as applicable (provided, however, that the debiting of net profits may only reduce a balance in the loss carryforward account and may not reduce the balance of the loss carryforward account below zero).

The Investment Management Agreement provides that the Reimbursable Pass-Through Expense determined as of the end of any fiscal year shall not exceed 3.50% of Fund average assets (the "Pass-Through Expense Cap").

**Distribution and/or Shareholder Service Fees**

The Fund has adopted a "Distribution and Shareholder Services Plan" with respect to its Class A and Class M Shares under which the Fund may compensate financial industry professionals for distribution-related expenses, if applicable, and providing ongoing services in respect of clients with whom they have distributed Shares of the Fund. Such services may include electronic processing of client orders, electronic fund transfers between clients and the Fund, account reconciliations with the Fund's transfer agent, facilitation of electronic delivery to clients of Fund documentation, monitoring client accounts for back-up withholding and any other special tax reporting obligations, maintenance of books and records with respect to the foregoing, and such other information and liaison services as the Fund or the Adviser may reasonably request. Under the Distribution and Shareholder Services Plan, the Fund, with respect to Class A and Class M, may incur expenses on an annual basis equal to 0.25% and 0.75%, respectively, of its average daily net assets. With respect to Class A Shares, the entire fee is characterized as a "shareholder service fee". With respect to Class M Shares, the entire fee is characterized as a "distribution fee".

Class I Shares are not subject to a distribution or shareholder service fee.

**Administrator, Custodian and Transfer Agent**

Wellington Fund Services, LLC ("WFS") serves as the administrator of the Fund pursuant to a Supervision and Administration Agreement (the "Administration Agreement"). The Fund has retained State Street Bank and Trust Company to provide it with custodian and transfer agent services. Pursuant to the Administration Agreement, WFS provides or causes to be performed all supervisory and administrative and other services reasonably necessary for the operation of the Fund. During the period, ended October 31, 2025 the Fund paid WFS 0.50% of the Fund's average daily net assets for these services.

**Affiliated Shareholders**

At October 31, 2025, 100% of the Class I Shares outstanding were held by one participant affiliated with the Adviser which represents 99.16% of the Fund.

9. **Capital Shares**

The Fund's Declaration of Trust authorizes the issuance of an unlimited number of Shares of beneficial interest, par value $0.001 per share. The Fund accepts initial and additional purchases of Shares on each business day. There is currently no market for the Shares and the Fund does not expect that a market for Shares will develop in the foreseeable future. Shareholders of the Fund are not able to have their Shares redeemed or otherwise sell their Shares on a daily basis because the Fund is an unlisted closed-end fund. To provide some liquidity to Shareholders, pursuant to Rule 23c-3 under the 1940 Act, the Fund is structured as an "interval fund" and intends to conduct quarterly repurchase offers for between 5% and 25% of the Fund's outstanding shares at NAV, unless such offer is suspended or postponed in accordance with the Fund's regulatory requirements. The offer to purchase Shares is a fundamental policy that may not be changed without the vote of the holders of a majority of the Fund's outstanding voting securities (as defined in the 1940 Act). The Board will establish the deadline by which the Fund must receive repurchase requests in response to each repurchase offer. Quarterly repurchases will occur in the months of March, June, September, and December. The Fund made its initial repurchase offer in the second quarter of 2025. Written notification of each quarterly repurchase offer will be sent to Shareholders at least 21 calendar days before the repurchase request deadline.

![](fp0096548_16.jpg)

10. **Commitments and Contingencies**

In the normal course of business, the Fund may enter into contractual arrangements that contain a variety of representations and warranties and which at times provide for indemnification of counterparties. The Fund's maximum exposure under these types of arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund believes the possibility that it will have to make material payments under these arrangements is unlikely.

From time to time, the Adviser for the Fund and the Board may be subject to proceedings, including civil litigation and regulatory matters arising out of the ordinary course of their business.

11. **Significant Risks and Uncertainties**

In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists. See below for a summary of certain risks associated with investment in the Fund. Please see "Types of Investments and Related Risks" in the Fund's prospectus for a more detailed description of the risks of investing in the Fund.

**Risks Associated with Market Conditions and Investment Opportunities**

**Market Risks**

The profitability of a significant portion of the Fund's investment program depends to a great extent upon correctly assessing the future course of price movements of specific securities and other investments. There can be no assurance that the Adviser or its portfolio managers on the Underlying Strategies will be able to predict accurately these price movements. As a result, there is always some, and occasionally a significant, degree of market risk.

The market price of securities owned by the Fund may go up or down, sometimes rapidly or unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries or issuers represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, adverse changes to credit markets or adverse investor sentiment generally. The value of a security may also decline due to factors that affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. During a general downturn in the securities markets, multiple asset classes may decline in value simultaneously even if the performance of those asset classes is not otherwise historically correlated. Investments may also be negatively impacted by market disruptions and by attempts by other market participants to manipulate the prices of particular investments. Equity securities generally have greater price volatility than fixed income securities. Credit ratings downgrades may also negatively affect securities held by the Fund. Even when markets perform well, there is no assurance that the investments held by the Fund will increase in value along with the broader market.

In addition, market risk includes the risk that geopolitical and other events will disrupt the economy on a national or global level. For instance, war, terrorism, social unrest, recessions, supply chain disruptions, market manipulation, government defaults, government shutdowns, political changes, diplomatic developments, or the imposition of sanctions and other similar measures, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics) and natural/environmental disasters can all negatively impact the securities markets, which could cause the Fund to lose value. These events could reduce consumer demand or economic output, result in market closures, changes in interest rates, inflation/deflation, travel restrictions or quarantines, and significantly adversely impact the economy.

**Government Regulation**

The Fund may invest in securities and financial instruments listed on both U.S. and non-U.S. exchanges. The global financial markets have recently undergone, and are still undergoing, pervasive and fundamental disruptions and instability. Such instability has led to extensive and unprecedented governmental intervention. Regulators in many jurisdictions have implemented or proposed a number of wide-ranging emergency regulatory measures, including restrictions on the short selling of certain securities in many jurisdictions. Such intervention has in certain cases been implemented on an emergency basis without much or any notice, with the consequence that some market participants' ability to continue to implement certain strategies or manage the risk of their outstanding positions has been suddenly and/or substantially eliminated. Given the complexities of the global financial markets and the limited time frame within which governments have been able to take action, these interventions have sometimes been unclear in scope and application, resulting in confusion and uncertainty which in itself has been materially detrimental to the efficient functioning of such markets as well as previously successful investment strategies.

![](fp0096548_16.jpg)

**Government Regulation (continued)**

It is impossible to predict with certainty what additional interim or permanent governmental restrictions may be imposed on the markets and/or the effect of such restrictions on the Adviser's ability to implement the Fund's investment objective. However, there will be increased regulation of the global financial markets, and such increased regulation could be materially detrimental to the performance of the Fund's portfolio. In addition, the global financial markets may undergo further fundamental disruptions in the future, which could result in renewed governmental interventions which may be materially detrimental to the performance of the Adviser and/or the Fund.

**Availability of Suitable Investments**

While the Adviser believes that many attractive investments of the types in which the Fund expects to invest are currently available, there can be no assurance that such investments will continue to be available or that available investments will continue to meet the Fund's investment criteria. Furthermore, the Fund may be unable to find a sufficient number of attractive investment opportunities to meet its investment objectives. Past performance is not necessarily indicative of future performance.

**Competition**

The markets for certain securities in the Fund's investment program are or may become highly competitive. In such cases, the Fund may be competing for investment opportunities with a significant number of financial institutions as well as various institutional investors. Some of these competitors may be larger and have greater financial, human and other resources than the Fund and may in certain circumstances have a competitive advantage over the Fund. As a result of this competition, there may be fewer attractively priced investment opportunities than in the past, which could have an adverse impact on the ability of the Fund to meet its investment goals. There can be no assurance that the returns on the Fund's investments will be commensurate with the risk of investment in the Fund.

**No Assurance of Investment Return**

The Fund's task of identifying and evaluating investment opportunities, managing such investments and realizing a significant return for investors is difficult. Many organizations operated by persons of competence and integrity have been unable to make, manage and realize a profit on such investments successfully. The Adviser believes that its investment strategy and investment approach moderate this risk through a careful selection of securities and other financial instruments. However, there is no assurance that the Fund will be able to invest its capital on attractive terms or generate returns for its investors. Investors in the Fund could experience losses on their investment.

**Risks Associated with the Fund's Investments and Investment Activities**

**Non-Diversification**

The assets of certain of the Underlying Strategies may at times be concentrated in a single sector and within that sector may be concentrated in a relatively few number of securities and/or sectors at times. The Fund may take substantial positions in the same security or group of securities at the same time. Focusing investments in a small number of issuers increases risk, such as greater susceptibility to risks associated with a single economic, political or regulatory occurrence, as compared with a more diversified portfolio. Some of those issuers also may present substantial credit or other risks. Accordingly, the investment portfolio of the Fund may be subject to more rapid change in value than would be the case if the Underlying Strategies' portfolios were required to maintain a wide diversification among companies, sectors, securities, countries and industry groups.

**Multiple Underlying Strategies**

The Fund's assets will be allocated among various Underlying Strategies, each of which operates independently from the others. Accordingly, it is possible that one or more of the Underlying Strategies may, at any time, take positions that may be opposite of positions taken by other Underlying Strategies. It is also possible that the Underlying Strategies may, on occasion, have substantial positions in the same security or group of securities at the same time. The possible lack of diversification caused by these factors may subject the Fund's investments to more rapid change in value than would be the case if the Fund's investments were required to be more widely diversified.

**Liquidity and Valuation**

The Fund may invest in securities which are subject to legal or other restrictions on transfer or for which no liquid market exists. The sale of restricted and illiquid securities often requires more time and results in higher brokerage charges or dealer discounts and other selling expenses than does the sale of securities eligible for trading on national securities exchanges or in the OTC markets. Restricted securities may sell at a price lower than similar securities that are not subject to restrictions on resale. Because the markets for such securities are still evolving, liquidity in these securities is limited and liquidity with respect to lower-rated and unrated subordinated classes may be even more limited. The Fund may be unable to liquidate all or a portion of its position in such securities. In addition, the market prices, if any, for such securities tend to be more volatile and the Fund may not be able to realize what it perceives to be their fair value in the event of a sale. The high yield securities markets have suffered periods of extreme illiquidity for certain types of instruments in the past.

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**Liquidity and Valuation (continued)**

For these reasons, among others, calculating the fair market value of the Fund's holdings may be difficult and involve uncertainties and judgment. For example, because the Fund may trade in global markets with varying closing times and holiday schedules, the valuation of individual investments held by the Fund may be based on closing prices of markets that have been closed for different periods of time. Investments held by the Fund may trade with bid-ask spreads that may be significant and certain investments may, from time to time, be valued at the mean between such spreads. Certain of the Fund's assets and liabilities may not have readily observable market prices and the valuation of such assets may rely on quoted prices in inactive markets or models that have observable inputs. Certain other categories of assets may lack any readily available market information and, accordingly, the valuation of such assets may rely substantially on models and significant unobservable inputs including assumptions from market participants. When recent market quotations or other independent pricing information is not readily available, or does not (in the judgment of the Adviser) fairly represent the value of such investment, the Adviser will determine the value of an investment using other fair value methods determined in good faith.

Fair value pricing involves judgments that are inherently subjective and uncertain, and in some cases involves reliance on information provided by private issuers or other sources whose reporting standards vary. Information used to determine fair valuations may be available on an irregular or less frequent basis. As a result, the presence of fair-valued investments may increase the volatility of the Fund's net asset value at times, while dampening it at other times, and this effect may be more pronounced to the extent fair values assigned to those investments represent a meaningful portion of the Fund's overall portfolio value. While the Adviser will use its best efforts to value investments fairly, certain investments may be difficult to value and may be subject to varying interpretations of value. There can be no assurance that any fair values assigned to investments will reflect actual market value or will be realized upon the sale of such investments. If these valuations should prove to be incorrect, investors could be adversely affected, including (without limitation) when the Management Fee, Performance Fee and Reimbursable Pass-Through Expense are calculated.

**Portfolio Turnover**

The Fund's annual portfolio turnover rate may vary greatly from year to year, as well as within a given year. However, portfolio turnover rate is not considered a limiting factor in the execution of investment decisions for the Fund. The investment strategy of the Fund is expected to involve the taking of frequent trading positions, as well as investment positions. As a result, portfolio turnover and transaction-related expenses of the Fund may significantly exceed those of other investment entities of comparable size. High portfolio turnover may result in the realization of net short-term capital gains by the Fund which, when distributed to Shareholders, will be taxable as ordinary income. In addition, a higher portfolio turnover rate results in correspondingly greater brokerage commissions and other transactional and custodial expenses that are borne by the Fund.

**Leverage**

The Fund generally expects to utilize leverage in pursuit of its investment objective. This results in the Fund controlling substantially more assets than it has equity.

Leverage can increase returns to investors if the Fund earns a greater return on leveraged investments than the Fund's cost of such leverage. On the other hand, leverage will further diminish returns (or increase losses on capital) to the extent overall returns are less than the Fund's cost of funds. As a general matter, the presence of leverage can accelerate losses. The use of leverage exposes the Fund and shareholders to a high degree of additional risk, including, but not limited to: (i) greater losses from investments than would otherwise have been the case had the Fund not used leverage to make the investments; (ii) margin calls, interim margin requirements, interest payments or other loan costs may force premature liquidations of investment positions at a loss or otherwise on unattractive terms; (iii) to the extent that Fund revenues are required to meet principal payments, shareholders may be allocated income (and therefore tax liability) in excess of cash distributed; and (iv) losses on investments where the investment fails to earn a return that equals or exceeds the Fund's cost of leverage related to such investment. In addition, the Fund may need to refinance its outstanding debt as it matures. There is a risk that the Fund may not be able to refinance existing debt or that the terms of any refinancing may not be as favorable as the terms of any then existing loan agreements. If prevailing interest rates or other factors at the time of refinancing result in higher interest rates upon refinancing, then the interest expense relating to that refinanced indebtedness would increase. These risks could adversely affect the Fund's financial condition, cash flows and the return on its investments.

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**Leverage (continued)**

Leverage, including borrowing, may cause the Fund to be more volatile than if the Fund had not been leveraged. This is because leverage tends to exaggerate the effect of any increase or decrease in the value of the Fund's portfolio securities. In the event of a sudden, precipitous drop in value of the Fund's assets, the Fund might not be able to liquidate assets quickly enough to repay its borrowings, further magnifying the losses incurred by the Fund.

To the extent that options, futures, options on futures, swaps, swaptions and other "synthetic" or derivative financial instruments are used, it should be noted that they inherently contain much greater leverage than a non-margined purchase of the underlying security, commodity or instrument. This is due to the fact that generally only a very small portion (and in some cases none) of the value of the underlying security, commodity or instrument is required to be paid in order to make such investments. In addition, many of these products are subject to variation or other interim margin requirements, which may force premature liquidation of investment positions at an inopportune time and adversely impact the performance of the Fund.

Access to competitively priced borrowing capacity is important to the Fund's strategy. There can be no assurance that the cost of borrowing will remain such that the Fund can execute its strategy. Further, there can be no assurance that the Fund will have access to leverage necessary to execute its strategy. Significant price increases or limited access to borrowing as a result of, among other things, fewer lenders willing to provide margin capacity to counterparties, could negatively impact the Fund's ability to achieve its investment objective.

**Credit Risk**

The Fund could lose money if the issuer or guarantor of a fixed income security (including a security purchased with securities lending collateral), or the counterparty to a derivatives contract, repurchase agreement or a loan of portfolio securities, or the issuer or guarantor of collateral, is unable or unwilling, or is perceived (whether by market participants, rating agencies, pricing services or otherwise) as unable or unwilling, to make timely principal and/or interest payments, or to otherwise honor its obligations. The risk that such issuer, guarantor or counterparty is less willing or able to do so is heightened in market environments where interest rates are rising. Rising or high interest rates may deteriorate the credit quality of an issuer, guarantor or counterparty, particularly if an issuer or counterparty faces challenges rolling or refinancing its obligations. The downgrade of the credit of a security or of the issuer of a security held by the Fund may decrease its value. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings. However, credit ratings are only the opinions of the agencies issuing them and are not absolute guarantees of the quality of the securities.

Measures such as average credit quality may not accurately reflect the true credit risk of the Fund. This is especially the case if the Fund invests in securities with widely varying credit ratings. Therefore, the Fund may in fact be subject to greater credit risk than an average credit rating would suggest. This risk is greater to the extent the Fund uses leverage or derivatives or has concentrated exposure to a counterparty.

**Short Sales**

The Fund's investment program may include short selling. A short sale creates the risk of a theoretically unlimited loss, in that the price of the underlying security could theoretically increase without limit, thus increasing the cost to the Fund of buying those securities to cover the short position. There can be no assurance that the securities necessary to cover a short position will be available for purchase at the time the Fund desires to close out such short position. Purchasing securities to close out the short position can itself cause the price of the securities to rise further, thereby exacerbating the loss. In addition, reporting requirements and limitations on the short selling of securities could interfere with the ability of the Fund to execute certain aspects of its investment strategies, including its ability to express negative views in relation to certain securities, companies or sectors, and any such limitations may adversely affect the performance of the Fund. The Fund's use of short sales is subject to the provisions of the SEC rule regarding a registered investment company's use of derivatives.

**Futures Contracts**

The Fund may invest in futures contracts. The low margin or premiums normally required in such trading may provide a large amount of leverage, and a relatively small change in the price of a security can produce disproportionately larger profit or loss.

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**Futures Contracts (continued)**

There are several risks associated with the use of futures contracts and futures options as hedging techniques. A purchase or sale of a futures contract may result in losses in excess of the amount invested in the futures contract. There can be no guarantee that there will be a correlation between price movements in the hedging vehicle and in the Fund securities being hedged. In addition, there are significant differences between the securities and futures markets that could result in an imperfect correlation between the markets, causing a given hedge not to achieve its objectives. The degree of imperfection of correlation depends on circumstances such as variations in speculative market demand for futures and futures options on securities, including technical influences in futures trading and futures options, and differences between the financial instruments being hedged and the instruments underlying the standard contracts available for trading in such respects as interest rate levels, maturities, and creditworthiness of issuers. A decision as to whether, when and how to hedge involves the exercise of skill and judgment, and even a well-conceived hedge may be unsuccessful to some degree because of market behavior or unexpected interest rate trends.

Futures contracts on U.S. Government securities historically have reacted to an increase or decrease in interest rates in a manner similar to that in which the underlying U.S. Government securities reacted. To the extent, however, that the Fund enters into such futures contracts, the value of such futures will not vary in direct proportion to the value of the Fund's holdings of U.S. Government securities. Thus, the anticipated spread between the price of the futures contract and the hedged security may be distorted due to differences in the nature of the markets. The spread also may be distorted by differences in initial and variation margin requirements, the liquidity of such markets and the participation of speculators in such markets.

Additionally, the price of index futures may not correlate perfectly with movement in the relevant index due to certain market distortions. First, all participants in the futures market are subject to margin deposit and maintenance requirements. Rather than meeting additional margin deposit requirements, investors may close futures contracts through offsetting transactions which could distort the normal relationship between the index and futures markets. Second, the deposit requirements in the futures market are less onerous than margin requirements in the securities market, and as a result, the futures market may attract more speculators than does the securities market. Increased participation by speculators in the futures market may also cause temporary price distortions. In addition, trading hours for foreign stock index futures may not correspond perfectly to hours of trading on the foreign exchange to which a particular foreign stock index futures contract relates. This may result in a disparity between the price of index futures and the value of the relevant index due to the lack of continuous arbitrage between the index futures price and the value of the underlying index.

Futures exchanges may limit the amount of fluctuation permitted in certain futures contract prices during a single trading day. The daily limit establishes the maximum amount that the price of a futures contract may vary either up or down from the previous day's settlement price at the end of the current trading session. Once the daily limit has been reached in a futures contract subject to the limit, no more trades may be made on that day at a price beyond that limit. The daily limit governs only price movements during a particular trading day and therefore does not limit potential losses because the limit may work to prevent the liquidation of unfavorable positions.

There can be no assurance that a liquid market will exist at a time when the Fund seeks to close out a futures or a futures option position, and the Fund would remain obligated to meet margin requirements until the position is closed. In addition, many of the contracts discussed above are relatively new instruments without a significant trading history. As a result, there can be no assurance that an active secondary market will develop or continue to exist.

There are several additional risks associated with transactions in commodity futures contracts, including, but not limited to, storage, reinvestment and other economic factors.

The Fund's use of futures is subject to the provisions of the SEC rule regarding a registered investment company's use of derivatives.

**Commodities**

The value of commodities and commodity-related instruments may be affected by changes in overall market movements, foreign currency exchange rates, commodity index volatility, changes in interest rates, or supply and demand factors affecting a particular industry or commodity market, such as drought, floods, weather, livestock disease, pandemics and public health emergencies, embargoes, taxation, war, terrorism, cyber hacking, economic and political developments, environmental proceedings, tariffs, changes in storage costs, availability of transportation systems, and international economic, political and regulatory developments. An unexpected surplus of a commodity caused by one of the aforementioned factors, for example, may cause a significant decrease in the value of the commodity (and a decrease in the value of any investments directly correlated to the commodity). Conversely, an unexpected shortage of a commodity caused by one of the aforementioned factors may cause a significant increase in the value of the commodity (and a decrease in the value of any investments inversely correlated to that commodity). The commodity markets are subject to temporary distortions and other disruptions due to, among other factors, lack of liquidity, the participation of speculators, and government regulation and other actions.

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**Derivatives Instruments Generally**

The Fund may invest in derivative instruments.

Derivatives can be volatile and involve various degrees of risk, depending upon the characteristics of the particular derivative and the portfolio as a whole. Derivatives may permit the Fund to increase or decrease the level of risk, or change the character of the risk, to which its portfolio is exposed in much the same way as the Fund can increase or decrease the level of risk, or change the character of the risk, of its portfolio by making investments in specific securities. Derivative instruments contain much greater leverage than do non-margined purchases of the underlying instrument in as much as only a very small portion of the value of the underlying instrument is required to be deposited as collateral in order to effect such investments. If the counterparty to such a swap defaults, the Fund would lose any collateral deposits made with the counterparty in addition to the net amount of payments that it is contractually entitled to receive under the swap.

The Fund's use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of risks, such as liquidity risk (which may be heightened for highly-customized derivatives), interest rate risk, market risk, leverage risk, counterparty (including credit) risk, operational risk, legal risk and management risk, as well as risks arising from changes in applicable requirements, risks arising from margin requirements and risks arising from mispricing or valuation complexity. They also involve the risk that changes in the value of a derivative instrument may not correlate perfectly with the underlying asset, rate or index. Operational and legal risks include risks related to documentation issues, system failures, inadequate controls, human error and the risk that a party's obligations would be legally unenforceable.

By investing in a derivative instrument, the Fund could lose more than the initial amount invested, and derivatives may increase the volatility of the Fund, especially in unusual or extreme market conditions. The Fund may be required to hold additional cash or sell other investments in order to obtain cash to close out a position, and changes in the value of a derivative may also create margin delivery or settlement payment obligations for the Fund. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Fund will engage in these transactions to reduce exposure to other risks when that would be beneficial or that, if used, such strategies will be successful. In addition, the Fund's use of derivatives may increase or accelerate the amount of taxes payable by shareholders.

Non-centrally cleared over-the-counter ("OTC") derivatives are also subject to the increased risk that a counterparty to the transaction will not fulfill its contractual obligations to the other party, as many of the protections afforded to centrally-cleared derivative transactions might not be available for non-centrally cleared OTC derivatives. The primary credit risk on derivatives that are exchange-traded or traded through a central clearing counterparty resides with the Fund's clearing broker or the clearinghouse. Participation in the markets for derivative instruments involves investment risks and transaction costs to which the Fund may not be subject absent the use of these strategies. The skills needed to successfully execute derivative strategies may be different from those needed for other types of transactions. If the Fund incorrectly forecasts the value and/or creditworthiness of securities, currencies, interest rates, counterparties or other economic factors involved in a derivative transaction, the Fund might have been in a better position if the Fund had not entered into such derivative transaction. In evaluating the risks and contractual obligations associated with particular derivative instruments, it is important to consider that certain derivative transactions may be modified or terminated only by mutual consent of the Fund and its counterparty. Therefore, it may not be possible for the Fund to modify, terminate, or offset the Fund's obligations or the Fund's exposure to the risks associated with a derivative transaction prior to its scheduled termination or maturity date, which may create a possibility of increased volatility and/or decreased liquidity to the Fund. In such case, the Fund may lose money. Because the markets for certain derivative instruments (including markets located in foreign countries) are relatively new and still developing, appropriate derivative transactions may not be available in all circumstances for risk management or other purposes. Upon the expiration of a particular contract, the Fund may wish to retain its position in the derivative instrument by entering into a similar contract, but may be unable to do so if the counterparty to the original contract is unwilling to enter into the new contract and no other suitable counterparty can be found. When such markets are unavailable, the Fund will be subject to increased liquidity and investment risk.

When a derivative is used as a hedge against a position that the Fund holds, any loss generated by the derivative generally should be substantially offset by gains on the hedged investment, and vice versa. Although hedging can reduce or eliminate losses, it can also reduce or eliminate gains. Hedges are sometimes subject to imperfect matching between the derivative and the underlying instrument, and there can be no assurance that hedging transactions will be effective.

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**Derivatives Instruments Generally (continued)**

The regulation of the derivatives markets has increased over the past several years. The SEC rule related to the use of derivatives, short sales, reverse repurchase agreements and certain other transactions by registered investment companies requires the Fund to trade derivatives and other transactions that create future payment or delivery obligations (except reverse repurchase agreements and similar financing transactions) subject to value-at-risk ("VaR") leverage limits and derivatives risk management program and reporting requirements. Generally, these requirements apply unless the Fund satisfies a "limited derivatives users" exception that is included in the final rule. Under the rule, when a Fund trades reverse repurchase agreements or similar financing transactions, including certain tender option bonds, it needs to aggregate the amount of indebtedness associated with the reverse repurchase agreements or similar financing transactions with the aggregate amount of any other senior securities representing indebtedness when calculating the Fund's asset coverage ratio or treat all such transactions as derivatives transactions. Reverse repurchase agreements or similar financing transactions aggregated with other indebtedness do not need to be included in the calculation of whether the Fund satisfies the limited derivatives users exception, but for funds subject to the VaR testing requirement, reverse repurchase agreements and similar financing transactions must be included for purposes of such testing whether treated as derivatives transactions or not. The SEC also provided guidance in connection with the rule regarding the use of securities lending collateral that may limit the Fund's securities lending activities. In addition, under the rule, the Fund is permitted to invest in a security on a when-issued or forward-settling basis, or with a non-standard settlement cycle, and the transaction will be deemed not to involve a senior security (as defined under Section 18(g) of the 1940 Act), provided that, (i) the Fund intends to physically settle the transaction and (ii) the transaction will settle within 35 days of its trade date (the "Delayed-Settlement Securities Provision"). The Fund may otherwise engage in when-issued, forward-settling and non-standard settlement cycle securities transactions that do not meet the conditions of the Delayed-Settlement Securities Provision so long as the Fund treats any such transaction as a "derivatives transaction" for purposes of compliance with the rule. Furthermore, under the rule, the Fund is permitted to enter into an unfunded commitment agreement, and such unfunded commitment agreement will not be subject to the asset coverage requirements under the 1940 Act, if the Fund reasonably believes, at the time it enters into such agreement, that it will have sufficient cash and cash equivalents to meet its obligations with respect to all such agreements as they come due. These requirements may limit the ability of the Fund to use derivatives, reverse repurchase agreements and similar financing transactions, when-issued, delayed delivery and forward commitment transactions, and unfunded commitment agreements as part of its investment strategies. These requirements may increase the cost of the Fund's investments and cost of doing business, which could adversely affect investors.

The Adviser has registered as a commodity pool operator ("CPO") under the Commodity Exchange Act ("CEA"). The Adviser expects to rely on CFTC Rule 4.12(c)(3) with respect to its operation of the Fund. CFTC Rule 4.12(c)(3) allows for "substituted compliance" with respect to certain CFTC recordkeeping, reporting and disclosure requirements on the basis of the Fund's compliance with SEC rules and regulations applicable to the Fund and the Adviser. As a result, the Adviser will not be subject to certain aspects of the CFTC's rules ordinarily applicable to commodity pool operators, including the specific disclosure requirements under CFTC rules in connection with its management of the Fund. The Adviser will incur higher expenses for the Fund compared with exempt advisers.

**Credit Derivatives**

As part of its investment strategy, the Fund may enter into credit derivative transactions.

Credit derivative transactions are an established feature of the financial markets and both the number of participants and range of products available have significantly increased over the years. Credit derivative transactions dependent upon credit events are priced incorporating many variables including the pricing and volatility of the common stock of the reference entity, potential loss upon default by the reference entity on any of its obligations, and the shape of the U.S. Treasury Market curve, among other factors. As such, there are many factors upon which market participants may have divergent views. Additionally, credit derivatives may require the posting of collateral. A bankruptcy of the collateral holder may result in losses to the extent posted collateral exceeds the obligations of the pledging party under the credit derivative transaction.

Transactions in certain derivatives are subject to trading and clearing on a U.S. national exchange and clearinghouse and to regulatory oversight, while other derivatives are subject to risks of trading in the OTC markets or on non-U.S. exchanges. Certain credit index derivatives are currently required to be traded on a Swap Execution Facility ("SEF") and cleared through a registered clearinghouse. For swaps that are cleared through a clearinghouse, the Fund will face the clearinghouse as legal counterparty and will be subject to clearinghouse performance and credit risk. Clearinghouse collateral requirements may differ from and be greater than the collateral terms negotiated with derivatives counterparties in the OTC market, and U.S. regulators have discretion to set collateral requirements for trades that are not cleared through a clearinghouse. OTC derivative dealers will be required to post margin to the clearinghouse through which they clear their customers' trades instead of using such margin in their operations, as they historically were allowed to do. This will further increase the dealers' costs, which costs are expected to be passed through to other market participants in the form of higher fees and less favorable dealer marks. In addition, the Fund's assets are also subject to the risk of the failure of any of the exchanges on which its positions trade or of its clearinghouses or counterparties.

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**Credit Derivatives (continued)**

There are a number of uncertainties in the tax laws relating to credit default swaps. There can be no assurance that the characterization adopted by the Fund with respect to a particular credit default swap will be respected by the IRS or a court, and any recharacterization by the IRS, if successful, could adversely affect the shareholders' investments in the Fund.

The Fund's use of credit derivatives is subject to the provisions of the SEC rule regarding a registered investment company's use of derivatives.

**Swap Contracts**

The Fund may enter into swap agreements.

Depending on their structure, swap agreements may increase or decrease the Fund's exposure to long-term or short-term interest rates, foreign currency values, mortgage securities, corporate borrowing rates, or other factors such as security prices, baskets of securities, or inflation rates. Swap agreements can take many different forms and are known by a variety of names. The Fund is not limited to any particular form of swap agreement if the Adviser determines that other forms are consistent with the Fund's investment objective and policies.

Swap agreements will tend to shift the Fund's investment exposure from one type of investment to another. For example, if the Fund agrees to exchange payments in dollars for payments in foreign currency, the swap agreement would tend to decrease the Fund's exposure to U.S. interest rates and increase its exposure to foreign currency and interest rates. Depending on how they are used, swap agreements may increase or decrease the overall volatility of the Fund's portfolio. The most significant factor in the performance of swap agreements is the change in the specific interest rate, currency, individual equity values or other factors that determine the amounts of payments due to and from the Fund. If a swap agreement calls for payments by the Fund, then the Fund must be prepared to make such payments when due. In addition, if the counterparty's creditworthiness declined, the value of a swap agreement would be likely to decline, potentially resulting in losses by the Fund.

Whether the Fund's use of swap agreements, if any, will be successful in furthering its investment objective will depend on the Adviser's ability to correctly predict whether certain types of investments are likely to produce greater returns than other investments. The Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. This risk may be mitigated by the delivery of variation margin to the Fund when it is "in-the-money" under a swap.

Certain standardized swaps are subject to mandatory exchange trading and central clearing. While exchange trading and central clearing are intended to reduce counterparty credit risk and increase liquidity, they do not make the Fund's use of swap transactions risk-free, as the Fund will face the clearinghouse as legal counterparty and will be subject to clearinghouse performance and credit risk.

The Fund's use of swaps is subject to the provisions of the SEC rule regarding a registered investment company's use of derivatives.

**Convertible Securities**

The Fund may invest in convertible securities.

The value of a convertible security is influenced by changes in interest rates, with investment value declining as interest rates increase and increasing as interest rates decline. The credit standing of the issuer and other factors also may have an effect on the convertible security's investment value. Convertible securities generally offer lower interest or dividend yields than non-convertible fixed-income securities of similar credit quality because of the potential for capital appreciation. In addition, the value of a convertible security is influenced by the interest rate environment, company credit risk, and by the value of the underlying common stock. As the market price of the underlying common stock declines below the conversion price, the price of the convertible security tends to be increasingly influenced by the credit quality, maturity and yield of the convertible security. Holders of convertible securities have a claim on the issuer's assets prior to the common stockholders, but may be subordinated to holders of similar but non-convertible securities of the same issuer.

**Options**

The investment program of the Fund may include the use of options. The Fund may purchase and sell ("write") options on equities on national and international securities exchanges and in the domestic and international OTC market. The seller ("writer") of a put option which is covered (e.g., the writer has a short position in the underlying security) assumes the risk of an increase in the market price of the underlying security above the sales price (in establishing the short position) of the underlying security, plus the premium received and gives up the opportunity for gain on the underlying security below the exercise price of the option. The seller of an uncovered put option assumes the risk of a decline in the market price of the underlying security below the exercise price of the option. The buyer of a put option assumes the risk of losing its entire investment in the put option. If the buyer of the put holds the underlying security, the loss on the put will be offset in whole or in part by any gain on the underlying security.

The writer of a call option which is covered (e.g., the writer holds the underlying security) assumes the risk of a decline in the market price of the underlying security below the value of the underlying security less the premium received and gives up the opportunity for gain on the underlying security above the exercise price of the option. The seller of an uncovered call option assumes the risk of a theoretically unlimited increase in the market price of the underlying security above the exercise price of the option. The buyer of a call option assumes the risk of losing its entire investment in the call option. If the buyer of the call sells short the underlying security, the loss on the call will be offset, in whole or in part, by any gain on the short sale of the underlying security.

Options may be cash settled, settled by physical delivery or by entering into a closing purchase or closing sale transaction. In entering into a closing purchase transaction, the Fund may be subject to the risk of loss to the extent that the premium paid for entering into such closing purchase transaction exceeds the premium received when the option was written.

The Fund may also purchase and sell call and put options on stock indices and ETFs listed on national securities exchanges or traded in the OTC market for the purpose of realizing its investment objective or for the purpose of hedging its portfolio. A stock index or ETF fluctuates with changes in the market values of the stocks included in the index or ETF. The effectiveness of purchasing or writing stock index or ETF options for hedging purposes will depend upon the extent to which price movements in the Fund's portfolio correlate with price movements of the stock indices or ETFs selected. Because the value of an index or ETF option depends upon movements in the level of the index or ETF rather than the price of a particular stock, whether the Fund will realize gains or losses from the purchase or writing of options on indices or ETFs depends upon movements in the level of stock prices in the stock market generally or, in the case of certain indices or ETFs, in an industry or market segment, rather than movements in the price of particular stocks. Accordingly, successful use by the Fund of options on stock indices or ETFs will be subject to the ability of the Adviser to correctly predict movements in the direction of the stock market generally or of particular industries or market segments. This requires different skills and techniques than predicting changes in the price of individual stocks. The Fund's use of options is subject to the provisions of the SEC rule regarding a registered investment company's use of derivatives.

**Swaptions Contracts**

Entering into a swaptions contract involves, to varying degrees, elements of credit, market and interest rate risk in excess of the amounts reported on the Consolidated Statement of Assets and Liabilities, associated with both options contracts and swap contracts. To reduce risk from potential counterparty default, the Fund enters into swaptions with counterparties whose creditworthiness has been approved by the Adviser. The Fund bears the market risk arising from any change in index values or interest rates.

**Forward Trading**

The Fund may engage in forward trading. Forward contracts and options thereon are not traded on exchanges and are not standardized; rather, banks and dealers act as principals in these markets, negotiating each transaction on an individual basis. Forward and "cash" trading is substantially unregulated; there is no limitation on daily price movements and speculative position limits are not applicable. The principals who deal in the forward markets are not required to continue to make markets in the currencies or commodities they trade, and these markets can experience periods of illiquidity, sometimes of significant duration. There have been periods during which certain participants in these markets have refused to quote prices for certain currencies or commodities or have quoted prices with an unusually wide spread between the price at which they were prepared to buy and that at which they were prepared to sell. Market illiquidity or disruption could result in substantial losses to the Fund.

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**Forward Trading (continued)**

The Fund's use of forward trading is subject to the provisions of the SEC rule regarding a registered investment company's use of derivatives.

**Smaller Capitalization Stocks**

At any given time, the Fund may have significant investments in smaller-sized companies of a less seasoned nature whose securities are traded in the over-the-counter market. These "secondary" securities often involve significantly greater risks than the securities of larger, better-known companies. In addition to being subject to the general market risk that common stock prices may decline over short or extended periods, the Fund may invest in securities of companies that are not well-known to the investing public, may not have significant institutional ownership and may have cyclical, static or only moderate growth prospects. The stocks of such companies may be more volatile in price and have lower trading volumes than the larger capitalization stocks included in the S&P 500 Index. Accordingly, investors should have a long-term investment horizon.

**Mid Capitalization Stocks**

The value of securities of medium size, less well-known issuers can be more volatile than that of relatively larger issuers and can react differently to issuer, political, market, and economic developments than the market as a whole and other types of stocks. Mid capitalization companies may have limited product lines, markets and financial resources. Securities of mid capitalization companies are usually less stable in price and less liquid than those of larger, more established companies. Additionally, mid capitalization stocks may fall out of favor relative to small or large capitalization stocks.

**Large Capitalization Stocks**

Large capitalization stocks may fall out of favor relative to small or mid capitalization stocks.

**Communications and Technology Companies**

Communications and technology stocks historically have experienced unusually wide price swings, both up and down. The potential for wide variation in performance reflects the special risks common to companies in the rapidly changing communications and technology industries. Earnings disappointments and intense competition for market share can result in sharp price declines. Profitability of communications and technology companies can be negatively impacted by aggressive pricing from competitors, research and development costs, and the availability and prices of components. Communications and technology companies may be subject to extensive government regulation and scrutiny, and the costs of complying with governmental regulations or the enactment of new regulatory requirements may negatively affect the business of such companies. The communications and technology industries are highly susceptible to short product cycles; falling prices and profits; innovation and competition from new market entrants; a heavy reliance on patent protection and other intellectual property rights; failure to obtain, or delays in obtaining, financing or regulatory approval (including licensing and franchise rights); product compatibility; actual or perceived security vulnerabilities in their products and services and related litigation and remediation efforts; and unexpected changes in consumer preferences. Communications and technology companies may also be more susceptible than companies in other sectors to hacking attempts and potential theft of proprietary or consumer information, or disruptions in service, which could have a material adverse effect on their businesses.

**Banks and Financial Services Companies**

Different areas of the overall financial services industry tend to be highly correlated and particularly vulnerable to certain factors, such as the availability and cost of borrowing and raising additional capital, the rate of corporate and consumer debt defaults, the availability of money or asset valuations, credit rating downgrades, price competition, regulatory developments, and credit, borrower, asset, or counterparty concentration. Banks and other financial services companies are often subject to extensive governmental regulation and intervention, and the potential for additional regulation could reduce profit margins and adversely affect the scope of their activities, increase the amount of capital they must maintain, and limit the amounts and types of loans and other financial commitments they can make. In addition, companies in the financial sector may also be adversely affected by decreases in the availability of money or asset valuations, credit rating downgrades, increased competition, and adverse conditions in other related markets. Financial services companies may also be hurt when interest rates rise sharply, although not all companies are affected equally, and may also be vulnerable to rapidly rising inflation. Many financial services companies can possess growth characteristics, but the industry is not generally perceived to be dynamic or aggressive. The financial services industry is also a target for cyberattacks, and may experience technology malfunctions and disruptions, each of which can cause significant losses to such companies.

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**Health Sciences Companies**

Developments that could adversely affect health care and other health sciences companies include: intense competition; changes in legislation or government regulations, including uncertainty regarding health care reform and how it will be implemented; reductions in government funding or price controls imposed by a government; lengthy approval times or government non-approvals of products and services; dependency on patent protection; product liability or other litigation; increases or decreases in the cost of or demand for medical products and services; an increased emphasis on outpatient services; pricing pressure (including price discounting); and the obsolescence of popular products. The overall level of risk is increased to the extent that the Fund has significant exposure to smaller or unseasoned health care companies, which may not have established products or sufficiently experienced management, and may be thinly capitalized, or if the Fund invests a significant portion of its assets in companies involved in the same or related business lines, such as pharmaceuticals, hospital management, and managed care. In addition, a number of health care and other health sciences companies have recently merged or otherwise experienced consolidation. The effects of this trend toward consolidation are unknown and may be far reaching.

**Non-U.S. Securities** 

The Fund may invest a portion of its assets in non-U.S. securities. Investing in securities of non-U.S. governments and companies that are generally denominated in non-U.S. currencies and utilization of options on non-U.S. securities involves certain considerations comprising both risks and opportunities not typically associated with investing in securities of the United States Government or United States companies. The securities markets of many non-U.S. countries are relatively small, with a limited number of companies representing a small number of industries. Additionally, issuers of non-U.S. securities usually are not subject to the same degree of regulation as U.S. issuers. Reporting, accounting and auditing standards of non-U.S. countries differ, in some cases significantly, from U.S. standards. Global economies and financial markets are becoming increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. Also, nationalization, expropriation or confiscatory taxation, currency blockage, market disruptions, political changes, security suspensions, diplomatic developments or the imposition of sanctions or other similar measures could adversely affect the Fund's investments in a foreign country. In the event of nationalization, expropriation or other confiscation, the Fund could lose its entire investment in non-U.S. securities. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is difficult to ascertain. The imposition of sanctions and other similar measures could, among other things, result in a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country, downgrades in the credit ratings of the sanctioned country's securities or those of companies located in or economically tied to the sanctioned country, currency devaluation or volatility, and increased market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could directly or indirectly limit or prevent the Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and adversely impact the Fund's liquidity and performance. Adverse conditions in a certain region can adversely affect securities of other countries whose economies appear to be unrelated. To the extent that the Fund invests a significant portion of its assets in a specific geographic region or in securities denominated in a particular non-U.S. currency, the Fund will generally have more exposure to regional economic risks, including weather emergencies and natural disasters, associated with non-U.S. investments. Non-U.S. securities also may be less liquid and more difficult to value than securities of U.S. issuers.

**Emerging Markets Securities**

Non-U.S. investment risk may be particularly high to the extent the Fund invests in emerging market securities. The Fund considers emerging market countries to be countries represented in the MSCI Emerging Markets Index (the "Index"). Emerging market securities may present market, credit, currency, liquidity, volatility, legal, political, technical and other risks different from, and potentially greater than, the risks of investing in securities and instruments economically tied to developed non-U.S. countries. Future economic or political crises in emerging markets could lead to price controls, forced mergers, expropriation or confiscatory taxation, seizure, nationalization, or creation of government monopolies. The currencies of emerging market countries may experience significant declines against the U.S. Dollar ("USD"), and devaluation may occur subsequent to investment in these currencies by the Fund. Inflation and rapid fluctuations in inflation rates have had, and may continue to have, negative effects on the economies and securities markets of certain emerging market countries.

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**Emerging Markets Securities (continued)**

To the extent the Fund invests in emerging market securities that are economically tied to a particular region, country or group of countries, the Fund may be more sensitive to adverse political or social events affecting that region, country or group of countries. Economic, business, political, or social instability may affect emerging market securities differently, and often more severely, than developed market securities. To the extent the Fund focuses its investments in multiple asset classes of emerging market securities, it may have a limited ability to mitigate losses in an environment that is adverse to emerging market securities in general. Emerging market securities may also be more volatile, less liquid (particularly during market closures due to local holidays or other reasons) and more difficult to value than securities economically tied to developed non-U.S. countries. The systems and procedures for trading and settlement of securities in emerging markets are less developed and less transparent and transactions may take longer to settle. Emerging market countries typically have less established legal, accounting and financial reporting systems than those in more developed markets, which may reduce the scope or quality of financial information available to investors. Governments in emerging market countries are often less stable and more likely to take extra-legal action with respect to companies, industries, assets, or foreign ownership than those in more developed markets. Moreover, it can be more difficult for investors to bring litigation or enforce judgments against issuers in emerging markets or for U.S. regulators to bring enforcement actions against such issuers. The Fund will also be subject to emerging markets risk if it invests in derivatives or other securities or instruments whose value or return are related to the value or returns of emerging markets securities. Rising interest rates, combined with widening credit spreads, could negatively impact the value of emerging market debt and increase funding costs for non-U.S. issuers. In such a scenario, non-U.S. issuers might not be able to service their debt obligations, the market for emerging market debt could suffer from reduced liquidity, and the Fund could lose money. The economy of some emerging markets may be particularly exposed to or affected by a certain industry or sector, and therefore issuers and/or securities of such emerging markets may be more affected by the performance of such industries or sectors.

**Sovereign and Other Governmental Debt Investments**

The Fund may invest its assets in sovereign and other governmental debt instruments, which involve special risks. The governmental authority that controls the repayment of the sovereign and other governmental debt may be unwilling or unable to repay the principal and/or interest when due in accordance with the terms of such securities due to: (i) the extent of its foreign reserves; (ii) the availability of sufficient foreign exchange on the date a payment is due; (iii) the relative size of the debt service burden to the economy as a whole; or (iv) the government debtor's policy towards the International Monetary Fund and the political constraints to which a government debtor may be subject. In addition, sovereign and other governmental debt instruments may be subject to credit spread risks resulting from exposures to changes in a sovereign and other governmental issuer's probability of default, expected recovery rate and actual default. In recent years, some sovereign and other governmental issuers have encountered difficulties in servicing their external debt obligations, which led to defaults on certain obligations and the restructuring of certain indebtedness. If an issuer of sovereign and other governmental debt defaults on payments of principal and/or interest, the Fund may have limited legal recourse against the issuer and/or guarantor. In certain cases, remedies must be pursued in the courts of the defaulting party itself, and the Fund's ability to obtain recourse may be limited.

**Foreign Currency and Exchange Risks**

The Fund's Shares are denominated in U.S. dollars and will be issued in U.S. dollars, and the books of the Fund will be maintained, and investments in and distributions from the Fund will generally be made, in U.S. dollars. A portion of the Fund's investments (and the income and gains received by the Fund in respect of such investments) may be denominated in, or otherwise exposed to, currencies other than the U.S. dollar. Accordingly, changes in foreign currency exchange rates and exchange controls may materially adversely affect the value of the investments and the other assets of the Fund. In addition, the Fund will incur costs, which may be significant, in connection with the conversion of various currencies.

In general, to the extent that the Fund invests directly in non-U.S. currencies or in securities that trade in, and receive revenues in, non-U.S. currencies, or in derivatives or other instruments that provide exposure to non-U.S. currencies, it will be subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedging positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in non-U.S. countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, rates of inflation, balance of payments and governmental surpluses or deficits, intervention (or the failure to intervene) by U.S. or non-U.S. governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad. As a result, the Fund's investments in non-U.S. currencies and/or foreign currency-denominated securities may reduce the returns of the Fund. Currency risk may be particularly high to the extent that the Fund invests in non-U.S. currencies or engages in foreign currency transactions that are economically tied to emerging market countries. These currency transactions may present market, credit, currency, liquidity, legal, political and other risks different from, or greater than, the risks of investing in developed non-U.S. currencies or engaging in foreign currency transactions that are economically tied to developed foreign countries.

The Adviser generally intends to hedge the foreign currency exposure of the Fund; however, the Fund will necessarily be subject to foreign exchange risks. The Fund may seek to hedge these risks by investing in non-U.S. currencies, foreign currency futures contracts and options thereon, forward foreign currency exchange contracts or similar instruments, or any combination thereof, but there can be no assurance that such strategies will be implemented, or if implemented, will be effective. In addition, prospective investors whose assets and liabilities are predominantly in other currencies should take into account the potential risk of loss arising from fluctuations in value between U.S. dollars and such other currencies.

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**Counterparty and Settlement Risk**

To the extent the Fund invests in certain non-centrally cleared swaps, derivative or other synthetic instruments, repurchase agreements, reverse repurchase agreements, other over-the-counter transactions or non-U.S. securities or engages in securities lending, the Fund may take a credit risk with regard to parties with which it trades and may also bear the risk of settlement default. These risks may differ materially from those entailed in exchange-traded transactions, which generally are backed by clearing organization guarantees, daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. Transactions entered directly between two counterparties generally do not benefit from such protections and expose the parties to the risk of counterparty default. Any such default by a trading counterparty could result in losses to the Fund due to the delay of settlement of a transaction, loss of market gains or, in certain circumstances, loss of a portion or the full amount of the notional value of the transaction. These risks are increased to the extent the Fund has concentrated exposure to a counterparty.

**Exchange Traded Funds (ETFs)**

Investments in ETFs entail certain risks; in particular, investments in index ETFs involve the risk that the ETF's performance may not track the performance of the index the ETF is designed to track. Unlike the index, an ETF incurs administrative expenses and transaction costs in trading securities. In addition, the timing and magnitude of cash inflows and outflows from and to investors buying and redeeming shares in the ETF could create cash balances that cause the ETF's performance to deviate from the index (which remains "fully invested" at all times). Performance of an ETF and the index it is designed to track also may diverge because the composition of the index and the securities held by the ETF may occasionally differ. In addition, investments in ETFs involve the risk that the market prices of ETF shares will fluctuate, sometimes rapidly and materially, in response to changes in the ETF's NAV, the value of ETF holdings and supply and demand for ETF shares. Although the creation/redemption feature of ETFs generally makes it more likely that ETF shares will trade close to NAV, market volatility, lack of an active trading market for ETF shares, disruptions at market participants and any disruptions in the ordinary functioning of the creation/redemption process may result in ETF shares trading significantly above (at a "premium") or below (at a "discount") NAV. Additionally, to the extent an ETF holds securities traded in markets that close at a different time from the ETF's listing exchange, liquidity in such securities may be reduced after the applicable closing times, and during the time when the ETF's listing exchange is open but after the applicable market closing, fixing or settlement times, bid/ask spreads and the resulting premium or discount to the ETF's shares' NAV may widen. Significant losses may result when transacting in ETF shares in these and other circumstances. Neither the Adviser nor the Fund can predict whether ETF shares will trade above, below or at NAV. An ETF's investment results are based on the ETF's daily NAV. Investors transacting in ETF shares in the secondary market, where market prices may differ from NAV, may experience investment results that differ from results based on the ETF's daily NAV.

**Real Estate Risk**

Investments in real estate investment trusts ("REITs") or real estate-linked derivative instruments are subject to risks similar to those associated with direct ownership of real estate, including losses from casualty or condemnation, and changes in local and general economic conditions, supply and demand, including reduced demand for commercial and office space as well as increased maintenance or tenant improvement costs to convert properties for other uses, default risk of tenants and borrowers, the financial condition of tenants, buyers and sellers, and the inability to re-lease space on attractive terms or to obtain mortgage financing on a timely basis or at all, interest rates, zoning laws, regulatory limitations on rents, property taxes and operating expenses. An investment in a REIT or a real estate-linked derivative instrument that is linked to the value of a REIT is subject to additional risks, such as poor performance by the manager of the REIT, adverse changes to the tax laws or failure by the REIT to qualify for tax-free pass-through of income under the Internal Revenue Code of 1986, as amended (the "Code"). In addition, some REITs have limited diversification because they invest in a limited number of properties, a narrow geographic area, or a single type of property. Also, the organizational documents of a REIT may contain provisions that make changes in control of the REIT difficult and time-consuming. Finally, private REITs are not traded on a national securities exchange. As such, these products are generally illiquid. This reduces the ability of a Fund to redeem its investment early. Private REITs are also generally harder to value and may bear higher fees than public REITs.

**Mortgage-Related and Other Asset-Backed Securities Risk**

Mortgage-related and other asset-backed securities often involve risks that are different from or possibly more acute than risks associated with other types of debt instruments. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, if the Fund holds mortgage-related securities, it may exhibit additional volatility since individual mortgage holders are less likely to exercise prepayment options, thereby putting additional downward pressure on the value of these securities and potentially causing the Fund to lose money. This is known as extension risk. Mortgage-backed securities can be highly sensitive to rising interest rates, such that even small movements can cause the Fund to lose value.

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**Mortgage-Related and Other Asset-Backed Securities Risk (continued)**

Mortgage-backed securities, and in particular those not backed by a government guarantee, are subject to credit risk. In addition, adjustable and fixed rate mortgage-related securities are subject to prepayment risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce the returns of a Fund because the Fund may have to reinvest that money at the lower prevailing interest rates. In addition, the creditworthiness, servicing practices, and financial viability of the servicers of the underlying mortgage pools present significant risks. For instance, a servicer may be required to make advances in respect of delinquent loans underlying the mortgage-related securities; however, servicers experiencing financial difficulties may not be able to perform these obligations. Additionally, both mortgage-related securities and asset-backed securities are subject to risks associated with fraud or negligence by, or defalcation of, their servicers. These securities are also subject to the risks of the underlying loans. In some circumstances, a servicer's or originator's mishandling of documentation related to the underlying collateral may affect the rights of security holders in and to the underlying collateral. In addition, the underlying loans may have been extended pursuant to inappropriate underwriting guidelines, to no underwriting guidelines at all, or to fraudulent origination practices. The owner of a mortgage-backed security's ability to recover against the sponsor, servicer or originator is uncertain and is often limited.

The Fund's investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets. Payment of principal and interest on asset-backed securities may be largely dependent upon the cash flows generated by the assets backing the securities, and asset-backed securities may not have the benefit of any security interest in the related assets.

The Fund may invest in any tranche of mortgage-related or other asset-backed securities, including junior and/or equity tranches (to the extent consistent with other of the Fund's guidelines), which generally carry higher levels of the foregoing risks.

**Equity Securities Generally**

The Fund may invest in equity securities without regard to market capitalization or liquidity. The values of equity securities, such as common stocks and preferred securities, may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. They may also decline due to factors that affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities generally have greater price volatility than most fixed income securities. These risks are generally magnified in the case of equity investments in distressed companies.

**Depositary Receipts**

The Fund may hold investments in sponsored and unsponsored American depositary receipts ("ADRs"), European depositary receipts ("EDRs"), global depositary receipts ("GDRs") and other similar global instruments. Unsponsored ADR, EDR and GDR programs are organized independently and without the cooperation of the issuer of the underlying securities. As a result, available information concerning the issuer may not be as current as for sponsored ADRs, EDRs and GDRs, and the prices of unsponsored ADRs, EDRs and GDRs may be more volatile than if such instruments were sponsored by the issuer. Investments in ADRs, EDRs and GDRs present the additional investment considerations of non-U.S. securities.

**Debt Securities Generally**

The Fund may invest in fixed income securities and other debt securities. Certain of these securities may be unrated by a recognized credit-rating agency or below investment grade, which are subject to greater risk of loss of principal and interest than higher-rated debt securities. The Fund may invest in debt securities which rank junior to other outstanding securities and obligations of the issuer, all or a significant portion of which may be secured by substantially all of that issuer's assets. The Fund may invest in debt securities which are not protected by financial covenants or limitations on additional indebtedness. The Fund will therefore be subject to credit and liquidity risks, including the risk that the issuer of a debt security will be unable to pay interest or principal at the time called for by the instrument. In addition, the market for credit spreads is often inefficient and illiquid, making it difficult to accurately calculate discounting spreads for valuing financial instruments. Investment in a debt instrument will normally involve the assumption of interest rate risk.

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**Interest Rate Risk**

Interest rate risk is the risk that fixed income securities and other instruments in the Fund's portfolio will fluctuate in value because of a change in interest rates. Interest rate changes can be sudden and unpredictable, and the Fund may lose money as a result of movements in interest rates. The Fund may not be able to hedge against changes in interest rates or may choose not to do so for cost or other reasons. In addition, any hedges may not work as intended.

Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. The values of equity and other non-fixed income securities may also decline due to fluctuations in interest rates. Inflation-indexed bonds, including Treasury Inflation-Protected Securities ("TIPS"), decline in value when real interest rates rise. In certain interest rate environments, such as when real interest rates are rising faster than nominal interest rates, inflation-indexed bonds may experience greater losses than other fixed income securities with similar durations.

Dividend-paying equity securities, particularly those whose market price is closely related to their yield, may be more sensitive to changes in interest rates. During periods of rising interest rates, the values of such securities may decline and may result in losses to the Fund.

Variable and floating rate securities generally are less sensitive to interest rate changes but may decline in value if their interest rates do not rise as much, or as quickly, as interest rates in general. Conversely, floating rate securities will not generally increase in value if interest rates decline. Inverse floating rate securities may decrease in value if interest rates increase. Inverse floating rate securities may also exhibit greater price volatility than a fixed rate obligation with similar credit quality. When the Fund holds variable or floating rate securities, a decrease (or, in the case of inverse floating rate securities, an increase) in market interest rates will adversely affect the income received from such securities and the NAV of the Fund's Shares.

A wide variety of factors can cause interest rates or yields of U.S. Treasury securities (or yields of other types of bonds) to rise, including, but not limited to, central bank monetary policies, changing inflation or real growth rates, general economic conditions, increasing bond issuances or reduced market demand for low yielding investments. Risks associated with changes in interest rates are heightened under certain market conditions, such as during times when the U.S. Federal Reserve (the "Federal Reserve") raises interest rates or when such rates remain elevated following a period of historically low levels. Additionally, the U.S. and other governments have increased, and are likely to continue increasing, their debt issuances, which may also heighten these risks. There is the risk that the income generated by investments may not keep pace with inflation. Actions by governments and central banking authorities can result in increases or decreases in interest rates. Periods of higher inflation could cause such authorities to raise interest rates, which may adversely affect the Fund and its investments. In addition, changes in monetary policy may exacerbate the risks associated with changing interest rates. Further, in market environments where interest rates are rising, issuers may be less willing or able to make principal and interest payments on fixed income investments when due.

Rising interest rates may result in a decline in value of the Fund's fixed income investments and in periods of volatility. Further, while U.S. bond markets have steadily grown over the past three decades, dealer "market making" ability has remained relatively stagnant. As a result, dealer inventories of certain types of bonds and similar instruments, which provide a core indication of the ability of financial intermediaries to "make markets," are at or near historic lows in relation to market size. Because market makers provide stability to a market through their intermediary services, the significant reduction in dealer inventories could potentially lead to decreased liquidity and increased volatility in the fixed income markets. Such issues may be exacerbated during periods of economic uncertainty. All of these factors, collectively and/or individually, could cause the Fund to lose value.

**High Yield, Low-Rated or Unrated Securities**

Investing in high yield fixed income securities may involve greater credit risk and considerations not typically associated with investing in US Government bonds and other higher quality fixed income securities. These securities are non-investment grade securities, often referred to as 'junk' bonds. Economic downturns may disrupt the high yield market and impair the ability of issuers to repay principal and interest. Also, an increase in interest rates would likely have an adverse impact on the value of such obligations. Moreover, high yield securities may be less liquid to the extent that there is no established secondary market.

**Bank Debt, Participations and Assignments**

The Fund may invest in bank debt, which includes interests in loans to companies or their affiliates undertaken to finance a capital restructuring or in connection with recapitalizations, acquisitions, leveraged buyouts, refinancings or other financially leveraged transactions and may include loans which are designed to provide temporary or bridge financing to a borrower pending the sale of identified assets, the arrangement of longer-term loans or the issuance and sale of debt obligations. The Fund may also invest in collateralized loan obligations, including interests on whole commercial, consumer and other loans and lease contracts. These loans, which may bear fixed or floating rates, have generally been arranged through private negotiations between a corporate borrower and one or more financial institutions ("Lenders"), including banks. The Fund's investment may be in the form of participations in loans ("Participations") or of assignments of all or a portion of loans from third parties ("Assignments").

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**Bank Debt, Participations and Assignments (continued)**

In certain cases, the rights and obligations acquired by the Fund through the purchase of an Assignment may differ from, and be more limited than, those held by the assigning selling institution. Assignments are sold strictly without recourse to the selling institutions, and the selling institutions will generally make no representations or warranties to the Fund about the underlying loan, the borrowers, the documentation of the loans or any collateral securing the loans.

The Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the Lender selling the Participation and only upon receipt by the Lender of the payments from the borrower. In connection with purchasing Participations, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan, nor any rights of set-off against the borrower, and the Fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participations. Thus, the Fund assumes the credit risk of both the borrower and the Lender that is selling the Participations. In addition, in connection with purchasing Participations, the Fund generally will have no role in terms of negotiating or effecting amendments, waivers and consents with respect to the loans underlying the Participations. In the event of the insolvency of the Lender, the Fund may be treated as a general creditor of the Lender and may not benefit from any set-off between the Lender and the borrower.

Investments in participations and assignments involve additional risks, including the risk of nonpayment of principal and interest by the borrower, the risk that any loan collateral may become impaired and that the Fund may obtain less than the full value for the loan interests sold because they may be illiquid. Purchasers of loans depend primarily upon the creditworthiness of the borrower for payment of interest and repayment of principal. If scheduled interest or principal payments are not made, the value of the instrument may be adversely affected.

Investments in loans through direct assignment of a financial institution's interests with respect to a loan may involve additional risks. For example, if a loan is foreclosed, the Fund could become part owner of any collateral, and would bear the costs and liabilities associated with owning and disposing of the collateral. In addition, it is conceivable that under emerging legal theories of lender liability, the Fund could be held liable as a co-lender.

A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. Unless, under the terms of the loan or other indebtedness, the Fund has direct recourse against the borrower, the Fund may have to rely on the agent to apply appropriate credit remedies against a borrower. If assets held by the agent for the benefit of the Fund were determined to be subject to the claims of the agent's general creditors, the Fund might incur certain costs and delays in realizing payment on the loan or loan participation and could suffer a loss of principal or interest.

Interests in loans are also subject to additional liquidity risks. Loans are generally subject to legal or contractual restrictions on resale. Loans are not currently listed on any securities exchange or automatic quotation system, but are traded by banks and other institutional investors engaged in loan syndication. As a result, no active market may exist for some loans, and to the extent a secondary market exists for other loans, such market may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement periods. Consequently, the Fund may have difficulty disposing of Assignments or Participations in response to a specific economic event such as deterioration in the creditworthiness of the borrower, which can result in a loss. In such market situations, it may be more difficult for the Fund to assign a value to Assignments or Participations when valuing the Fund's securities and calculating its assets.

**Use of Collateral**

Collateral for private credit investments may include a wide range of assets. To the extent the Fund invests in loans based partly upon the adequacy of the borrower's collateral, an incorrect valuation of such collateral may result in unforeseen losses. The inherent uncertainty of the value of collateral may result in values that differ significantly from the values that can ultimately be obtained for such collateral. Even if collateral is initially valued correctly, changes in market conditions, regulations or other circumstances, or changes directly related to such collateral, may materially adversely affect the value thereof. In addition, there can be no assurance that such collateral could be readily liquidated. In the event of bankruptcy of a borrower, the Fund could experience delays or limitations with respect to its ability to realize the benefits of the collateral securing an investment.

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**Use of Collateral (continued)**

Under certain circumstances, collateral securing an investment may be released without the consent of the lender. Moreover, the lender's security interest (with respect to investments in secured debt) may be unperfected for a variety of reasons, including the failure to make required filings by lenders and, as a result, the Fund may not have priority over other creditors as anticipated. First priority lien investments made by the lender may, in certain cases, provide a first priority lien over some, but not all, of the assets of the relevant borrower. The Fund may also invest in second-lien debt, high-yield securities, marketable and non-marketable common and preferred equity securities and other unsecured instruments each of which involves a higher degree of risk than senior first-lien secured debt, including the re-use and subsequent loss of collateral by the borrower. Furthermore, the Fund's right to payment and its security interest, if any, may be subordinated to the payment rights and security interests of senior lenders (with respect to some or all of the assets of an issuer in which the Fund invests). Certain of these investments may have an interest-only payment schedule, with the principal amount remaining outstanding and at risk until the maturity of the investment. In such cases, the ability of the issuer to repay the principal in respect of the Fund's investment may be dependent upon a liquidity event or the long-term success of the company, the occurrence of which is uncertain.

The terms of any derivative hedging arrangements entered into by the Fund may provide that related collateral given to, or received by, the Fund may be pledged, lent, re-hypothecated or otherwise re-used by the collateral taker for its own purposes. If collateral received by the Fund is reinvested or otherwise re-used, the Fund is exposed to the risk of loss on that investment. Should such a loss occur, the value of the collateral will be reduced and the Fund will have less protection if the counterparty defaults. Similarly, if the counterparty reinvests or otherwise re-uses collateral received from the Fund and suffers a loss as a result, it may not be in a position to return that collateral to the Fund should the relevant transaction complete, be unwound or otherwise terminate and the Fund is exposed to the risk of loss of the amount of collateral provided to the counterparty.

**Loans**

Loan interests generally are subject to restrictions on transfer, and the Fund may be unable to sell loan interests at a time when it may otherwise be desirable to do so or may be able to sell them only at prices that are less than what the Fund regards as their fair market value. Accordingly, loan interests may at times be illiquid. Loan interests may be difficult to value and may have extended settlement periods, which expose the Fund to the risk that the receipt of principal and interest payments may be delayed until the loan interest settles.

Interests in secured loans have the benefit of collateral and, typically, of restrictive covenants limiting the ability of the borrower to further encumber its assets. There is a risk that the value of any collateral securing a loan in which the Fund has an interest may decline and that the collateral may not be sufficient to cover the amount owed on the loan. In most loan agreements there is no formal requirement to pledge additional collateral. In the event the borrower defaults, the access to the collateral may be limited or delayed by bankruptcy or other insolvency laws. In addition, if a secured loan is foreclosed, the Fund would likely bear the costs and liabilities associated with owning and disposing of the collateral. The collateral may be difficult to sell and the Fund would bear the risk that the collateral may decline in value.

The Fund may acquire a loan interest by obtaining an assignment of all or a portion of the interests in a particular loan that are held by an original lender or a prior assignee. As an assignee, the Fund normally will succeed to all rights and obligations of its assignor with respect to the portion of the loan that is being assigned. However, the rights and obligations acquired by the purchaser of a loan assignment may differ from, and be more limited than, those held by the original lenders or the assignor.

In general, the secondary trading market for loans is not well developed. No active trading market may exist for certain senior secured loans, which may make it difficult to value them. Illiquidity and adverse market conditions may mean that the Fund may not be able to sell loans quickly or at a fair price. To the extent that a secondary market does exist for certain loans, the market for them may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement periods.

**Other Lending Risks**

The value of investments in loans may be detrimentally affected to the extent a borrower defaults on its obligations, there is insufficient collateral and/or there are extensive legal and other costs incurred in collecting on a defaulted loan. The Adviser may attempt to minimize this risk by maintaining low loan-to-liquidation values with a loan and the collateral underlying the loan. However, there can be no assurance that the value assigned by the Adviser to collateral underlying a loan can be realized upon liquidation, nor can there be any assurance that collateral will retain its value. In addition, some loans may be supported, in whole or in part, by personal guarantees made by the borrower or a relative, or guarantees made by a corporation affiliated with the borrower. The amount realizable with respect to a loan may be detrimentally affected if a guarantor fails to meet its obligations under the guarantee. Moreover, the value of collateral supporting loans may fluctuate. In addition, active lending/origination by the Fund may subject it to additional regulation, as well as possible adverse tax consequences to investors therein. There is no assurance that the Adviser will be able to sufficiently minimize such risk. Finally, there may be a monetary, as well as a time cost involved in collecting on defaulted loans and, if applicable, taking possession of and subsequently liquidating various types of collateral.

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**Assignments**

The purchaser of an assignment of an interest in a loan typically succeeds to all the rights and obligations of the assigning selling institution and becomes a lender under the loan agreement with respect to that loan. Assignments are, however, arranged through private negotiations between assignees and assignors and in certain cases the rights and obligations acquired by the purchaser of an assignment may differ from, and be more limited than, those held by the assigning selling institution.

Assignments are sold strictly without recourse to the selling institutions and the selling institutions will generally make no representations or warranties about the underlying loan, the borrowers, the documentation of the loans or any collateral securing the loans. In addition, the Fund will be bound by the provisions of the underlying loan agreements, if any, that require the preservation of the confidentiality of information provided by the borrower. Because of certain factors including confidentiality provisions, the unique and customized nature of the loan agreement and the private syndication of the loan, loans are not purchased or sold as easily as are publicly traded securities.

**Prepayment**

Prepayments on loans may be caused by a variety of factors which are often difficult to predict. Consequently, there exists a risk that loans purchased at a price greater than par may experience a capital loss as a result of such a prepayment. When credit market conditions become more attractive to obligors, the rate of prepayment of the Fund's assets would be expected to increase as obligors refinance to take advantage of such improved conditions, which may negatively impact the Fund.

**Maturity**

The Fund may invest in loans for which most or all of the principal is due at maturity. The ability of the obligor(s) under such loan to make such a large payment upon maturity typically depends upon its ability to refinance the loan prior to maturity. The ability of an obligor to consummate a refinancing will be affected by many factors, including the availability of financing at acceptable rates to such obligor, the financial condition of such obligor, the marketability of the collateral (if any) securing such loan, the operating history of the obligor and related businesses, tax laws and prevailing general economic conditions. Additionally, middle market obligors generally have more limited access to capital and higher funding costs, may be in a weaker financial position, may need more capital to expand or compete, and may be unable to obtain financing from public capital markets or from more traditional sources, such as commercial banks. Consequently, such obligor may not have the ability to repay the loan at maturity and, unless it is able to refinance such loan, it could default in payment at maturity, which could result in losses to the Fund.

Significant numbers of obligors are expected to need to refinance their debt over the next few years, and significant numbers of collateralized loan obligation transactions (historically an important source of funding for loans) have reached or are close to reaching the end of their reinvestment periods or the final maturities of their own debt. As a result, there could be significant pressure on the ability of obligors to refinance their debt over the next few years unless a significant volume of new collateralized loan obligation transactions or other sources of funding develop. If such sources of funding do not develop, significant defaults could occur, and there could be downward pressure on the prices and markets for debt instruments, including assets held by the Fund.

**Collateralized Loan Obligations**

The Fund may invest in collateralized loan obligations ("CLOs") and other similarly structured investments. In the case of most CLOs, the structured finance securities are issued in multiple tranches, offering investors various maturity and credit risk characteristics, often categorized as senior, mezzanine and subordinated/equity according to their degree of risk. If there are defaults or the relevant collateral otherwise underperforms, scheduled payments to senior tranches of such securities take precedence over those of mezzanine tranches, and scheduled payments to mezzanine tranches have a priority in right of payment to subordinated/equity tranches. The riskiest portion is the "equity" tranche which bears the bulk of defaults from the collateral and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Because it is partially protected from defaults, a senior tranche from a CLO trust typically has higher ratings and lower yields than its underlying collateral and may be rated investment grade. Despite the protection from the equity and mezzanine tranches, more senior tranches of CLOs can experience losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of more subordinate tranches, market anticipation of defaults, as well as aversion to CLO securities as a class.

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**Collateralized Loan Obligations (continued)**

In light of the above, CLOs may therefore present risks similar to those of other types of debt obligations and, in fact, such risks may be of greater significance in the case of CLOs depending upon the Fund's ranking in the capital structure. In certain cases, losses may equal the total amount of the Fund's principal investment. Investments in structured vehicles involve risks, including credit risk and market risk. Changes in interest rates and credit quality may cause significant price fluctuations.

In addition to the general risks associated with investing in debt securities and asset-backed securities, CLO securities carry additional risks, including: (1) the possibility that distributions from collateral assets will not be adequate to make interest or other payments; (2) the quality of the collateral may decline in value or default; (3) the Fund may invest in tranches of a CLO that are subordinate to other classes; and (4) the complex structure of a particular security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. Additionally, changes in the collateral held by a CLO may cause payments on the instruments held by the Fund to be reduced, either temporarily or permanently. CLOs also may be subject to prepayment risk. Further, the performance of a CLO may be adversely affected by a variety of factors, including the security's priority in the capital structure of the issuer thereof, the availability of any credit enhancement, the level and timing of payments and recoveries on and the characteristics of the underlying receivables, loans or other assets that are being securitized, remoteness of those assets from the originator or transferor, the adequacy of and ability to realize upon any related collateral and the capability of the servicer of the securitized assets. There are also the risks that the trustee of a CLO does not properly carry out its duties to the CLO, potentially resulting in loss to the CLO. In addition, the complex structure of the security may produce unexpected investment results, especially during times of market stress or volatility.

**Fixed Income Buy-Sellback and Sell-Buyback Agreements**

Buy-sellback agreements involve certain risks in the event of default by the other party. In the event of the bankruptcy or other default of a seller of a buy-sellback agreement, the Fund could experience both delays in liquidating the underlying securities at the agreed upon prices and losses, including (i) possible decline in the value of the underlying security during the period while it seeks to enforce its rights thereto; (ii) possible lack of access to income on the underlying security during this period; and (iii) expenses of enforcing its rights.

Sell-buyback agreements involve the risk that the market value of the underlying securities in the Fund may decline below the price of the securities the Fund is obligated to repurchase under the agreement. In addition, should the counterparty default, a risk exists that the value of the security the Fund has sold increases and the proceeds from the original sale and any additional collateral posted by the buyer does not offset the security's increased value. In the event the other party involved in a sell-buyback agreement files for bankruptcy or becomes insolvent, the Fund's use of the proceeds of the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund's obligation to repurchase the securities.

**TBA Commitments**

TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date. Entering into TBAs also involves counterparty risk, which may be higher for this type of security due to the longer settlement period.

**Investing through Special Purpose Entities**

The Fund may acquire or hold interests in one or more entities formed in various U.S. and non-U.S. jurisdictions in order to administer certain tax filings or for other regulatory purposes (each such entity, a "Special Purpose Entity"). Investing through Special Purpose Entities, and in particular non-U.S. Special Purpose Entities, involves additional risks and special considerations beyond those typically associated with making investments directly. Such risks may include: (i) nationalization, expropriation of assets or confiscatory taxation; (ii) greater controls on foreign investment and limitations on repatriation of invested capital and on the ability to exchange local currencies for USD; and (iii) increased likelihood of governmental involvement and control. The cost of establishing and maintaining any such Special Purpose Entity, which may be substantial, will typically be borne by the Fund.

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**Other Investment Companies**

The Fund may invest in the securities of other investment companies to the extent that such investments are consistent with the Fund's investment objective and permissible under the 1940 Act. Under one provision of the 1940 Act, the Fund may not acquire the securities of other investment companies if, as a result, (i) more than 10% of the Fund's total assets would be invested in securities of other investment companies, (ii) such purchase would result in more than 3% of the total outstanding voting securities of any one investment company being held by the Fund or (iii) more than 5% of the Fund's total assets would be invested in any one investment company. In some instances, the Fund may invest in an investment company in excess of these limits. For example, the Fund may invest in other registered investment companies, such as mutual funds, closed-end funds and ETFs, and in business development companies in excess of the statutory limits imposed by the 1940 Act in reliance on Rule 12d1-4 under the 1940 Act. These investments would be subject to the applicable conditions of Rule 12d1-4, which in part would affect or otherwise impose certain limits on the investments and operations of the underlying fund. Accordingly, if the Fund serves as an "underlying fund" to another investment company, the Fund's ability to invest in other investment companies, private funds and other investment vehicles may be limited and, under these circumstances, the Fund's investments in other investment companies, private funds and other investment vehicles will be consistent with applicable law and/or exemptive relief obtained from the SEC. The Fund, as a holder of the securities of other investment companies, will bear its pro rata portion of the other investment companies' expenses, including advisory fees. These expenses will be in addition to the direct expenses incurred by the Fund.

**Risks Associated with the Fund and the Adviser**

**Non-Diversified Status**

The Fund is a "non-diversified" investment company for purposes of the 1940 Act, which means that it is not subject to percentage limitations under the 1940 Act on the percentage of its assets that may be invested in the securities of any one issuer. The Fund's NAV may therefore be subject to greater volatility than that of an investment company that is subject to such a limitation on diversification. In addition, while the Fund is a "non-diversified" fund for purposes of the 1940 Act, the Fund intends to maintain its qualification to be treated as a RIC under the Code. To qualify as a RIC under the Code, the Fund must, among other things, diversify its holdings so that, at the end of each quarter of each taxable year, (A) at least 50% of the market value of the Fund's assets is represented by cash, cash items, U.S. government securities, securities of other regulated investment companies and other securities, with such other securities of any one issuer limited for the purposes of this calculation to an amount not greater than 5% of the value of the Fund's total assets and 10% of the outstanding voting securities of such issuer and (B) not more than 25% of the market value of the Fund's total assets is invested in the securities (other than U.S. government securities and the securities of other regulated investment companies) of (1) any one issuer, (2) any two or more issuers that the Fund controls and that are determined to be engaged in the same business or similar or related trades or businesses, or (3) any one or more "qualified publicly traded partnerships."

**Systems and Operational**

The Fund depends on the Adviser to develop and implement appropriate systems for the Fund's activities. The Fund relies heavily and on a daily basis on financial, accounting and other data processing systems to execute, clear and settle transactions across numerous and diverse markets and to evaluate certain securities, to monitor its portfolio and capital, and to generate risk management and other reports that are critical to oversight of the Fund's activities. Certain of the Fund's and the Adviser's activities will be dependent upon systems operated by third parties, including prime brokers, the Administrator, market counterparties and other service providers, and the Adviser may not be in a position to verify the risks or reliability of such third-party systems. Failures in the systems employed by the Adviser, prime brokers, Administrator, counterparties, exchanges and similar clearance and settlement facilities and other parties could result in mistakes made in the confirmation or settlement of transactions, or in transactions not being properly booked, evaluated or accounted for. Disruptions in the Fund's operations may cause the Fund to suffer, among other things, financial loss, the disruption of its business, liability to third parties, regulatory intervention or reputational damage. Any of the foregoing failures or disruptions could have a material adverse effect on the Fund and investors' investments therein.

Additionally, exchanges and securities markets may close early, close late or issue trading halts on specific securities or generally, which may result in, among other things, the Fund being unable to buy or sell certain securities or financial instruments at an advantageous time or accurately price its portfolio investments. In addition, the Fund may rely on various third-party sources to calculate its NAV. As a result, they are subject to certain operational risks associated with reliance on service providers and service providers' data sources. Errors or systems failures and other technological issues may adversely impact or delay the Fund's calculation of its NAV, and such NAV calculation issues may continue over extended periods. The Fund may be unable to recover any losses associated with such failures.

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**Fundamental Analysis**

Investment decisions will be based on fundamental analysis. In fundamental analysis, securities are selected based upon research and analysis of a variety of factors. Data on which fundamental analysis relies may be inaccurate or may be generally available to other market participants. Fundamental market information is subject to interpretation. To the extent that the Adviser misinterprets the meaning of certain data, the Fund may incur losses.

**Investment and Due Diligence Process**

Before making investments, the Adviser will conduct due diligence that it deems reasonable and appropriate based on the facts and circumstances applicable to each investment. When conducting due diligence, the Adviser may be required to evaluate important and complex business, financial, tax, accounting and legal issues. When conducting due diligence and making an assessment regarding an investment, the Adviser will rely on the resources reasonably available to it, which in some circumstances whether or not known to the Adviser at the time, may not be sufficient, accurate, complete or reliable. Due diligence may not reveal or highlight matters that could have a material adverse effect on the value of an investment.

**Shares Not Listed; No Market for Shares**

The Fund has been organized as a closed-end management investment company. Closed-end funds differ from open-end management investment companies (commonly known as mutual funds) because investors in a closed-end fund do not have the right to redeem their shares on a daily basis. Unlike most closed-end funds, which typically list their shares on a securities exchange, the Fund does not currently intend to list the Shares for trading on any securities exchange, and the Fund does not expect any secondary market to develop for the Shares in the foreseeable future. Therefore, an investment in the Fund, unlike an investment in a typical closed-end fund, is not a liquid investment

**Closed-End Interval Fund; Liquidity**

The Fund is a non-diversified, closed-end management investment company structured as an "interval fund" and designed primarily for long-term investors. The Fund is not intended to be a typical traded investment. There is no secondary market for the Fund's Shares and the Fund expects that no secondary market will develop. An investor should not invest in the Fund if the investor needs a liquid investment. Closed-end funds differ from open-end management investment companies, commonly known as mutual funds, in that investors in a closed-end fund do not have the right to redeem their shares on a daily basis at a price based on NAV. Although the Fund, as a fundamental policy, will make quarterly offers to repurchase between 5% and 25% of its outstanding Shares at NAV, the number of Shares tendered in connection with a repurchase offer may exceed the number of Shares the Fund has offered to repurchase, in which case not all of your Shares tendered in that offer will be repurchased. Hence, you may not be able to sell your Shares when and/or in the amount that you desire.

**Competition for Investment Opportunities**

The Fund competes for investments with other closed-end funds and investment funds, as well as traditional financial services companies such as commercial banks and other sources of funding. Moreover, alternative investment vehicles, such as hedge funds, have begun to invest in areas in which they have not traditionally invested. As a result of these new entrants, competition for investment opportunities may intensify. Many of the Fund's competitors are substantially larger and may have considerably greater financial, technical and marketing resources than the Fund. For example, some competitors may have a lower cost of capital and access to funding sources that are not available to the Fund. In addition, some of the Fund's competitors may have higher risk tolerances or different risk assessments than it has. These characteristics could allow the Fund's competitors to consider a wider variety of investments, establish more relationships and pay more competitive prices for investments than it is able to do. The Fund may lose investment opportunities if it does not match its competitors' pricing. If the Fund is forced to match its competitors' pricing, it may not be able to achieve acceptable returns on its investments or may bear substantial risk of capital loss. A significant increase in the number and/or the size of the Fund's competitors could force it to accept less attractive investment terms. Furthermore, many of the Fund's competitors have greater experience operating under, or are not subject to, the regulatory restrictions that the 1940 Act imposes on it as a closed-end fund.

The Adviser and/or its affiliates and portfolio manager may determine that an investment is appropriate both for the Fund and for one or more other funds or accounts. In such event, depending on the availability of such investment and other appropriate factors, the Adviser may determine that the Fund should invest on a side-by-side basis with one or more other funds. The Fund may make all such investments subject to compliance with applicable laws and regulations and interpretations thereof by the SEC and its staff. In certain circumstances, negotiated co-investments may be made only if an exemptive order has been received from the SEC permitting such investment.

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**Investment Performance of the Fund and Other Investment Vehicles May Vary Significantly**

The Adviser has established, and may continue to establish, additional companies, partnerships or other entities, pooled investment vehicles for multiple investors, funds, separate accounts, or other entities that may have, in whole or in part, investment objectives and strategies that may be similar to or overlap with those of the Fund (collectively, "Other Investment Vehicles"). The Fund may at times compete with the Other Investment Vehicles for certain investments. The returns and investor liquidity terms of each of the Other Investment Vehicles will likely differ materially from those of the Fund.

The results of the investment activities of the Fund may differ significantly from the results achieved by the Adviser for its own benefit and from the results achieved by Other Investment Vehicles based on the investment strategies employed by such investors.

Subject to applicable law, including the 1940 Act, Other Investment Vehicles may invest alongside the Fund. In allocating any investment opportunities, the Adviser will take into account numerous factors, including factors specific only to such Other Investment Vehicles, in accordance with applicable policies and procedures. Any such investments made alongside the Fund may or may not be in proportion to the relevant commitments of the investing parties and, subject to applicable law, may involve different terms and fee structures than those of the Fund. As a result, investment returns may vary materially among the Fund and Other Investment Vehicles that invest alongside the Fund. In certain circumstances, negotiated co-investments may be made only if the Fund has received an exemptive order from the SEC permitting such investment. The Fund and the Adviser intend to seek such an exemptive order, which may or may not be granted. This could reduce the amount of transactions in which the Fund can participate and make it more difficult for the Fund to implement its investment objectives.

12. **New accounting pronouncement**

In this reporting period, the Fund adopted Financial Accounting Standards Board Accounting Standards Update 2023-07, Segment Reporting (Topic 280) – Improvements to Reportable Segment Disclosures (ASU 2023-07). Adoption of the new standard impacted financial statement disclosure only and did not affect the Fund's financial position or the results of its operations. The Board of Trustees of the Adviser acts as the Fund's chief operating decision maker (the CODM), assessing performance and making decisions about resource allocation. The Fund represents a single operating segment, as the CODM monitors and assesses the operating results of the Fund as a whole, and the Fund's long-term strategic asset allocation is managed in accordance with the terms of its prospectus, based on a defined investment strategy which is executed by the portfolio management team. Segment assets are reflected in the Consolidated Statement of Assets and Liabilities as "Total assets", which consists primarily of total investments at value. The financial information, including the measurement of profit and loss and significant expenses, provided to and reviewed by the CODM is consistent with that presented within the Consolidated Statement of Operations, which includes "Net increase (decrease) in net assets resulting from operations", Consolidated Statement of Changes in Net Assets, which includes "Net increase (decrease) in net assets from capital transactions", and Consolidated Financial Highlights, which includes total return and income and expense ratios.

13. **Subsequent Events**

Events or transactions occurring after period end through the date of issuance of the financial statements have been evaluated by the Adviser in the preparation of the financial statements and only the following item was noted requiring additional disclosure or adjustment.

Effective November 1, 2025, the administration fee payable to WFS has been reduced to 0.15% of the Fund's average daily net assets.

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of Wellington Global Multi-Strategy Fund

***Opinion on the Financial Statements***

We have audited the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, of Wellington Global Multi-Strategy Fund and its subsidiary (the "Fund") as of October 31, 2025, and the related consolidated statements of operations and changes in net assets for the period January 2, 2025 (commencement of operations) through October 31, 2025, including the related notes, and the consolidated financial highlights for each of the periods indicated therein (collectively referred to as the "consolidated financial statements"). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Fund as of October 31, 2025, and the results of its operations and changes in its net assets for the period January 2, 2025 (commencement of operations) through October 31, 2025 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

***Basis for Opinion***

These consolidated financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's consolidated financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audit of these consolidated financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud.

Our audit included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. Our procedures included confirmation of securities owned as of October 31, 2025 by correspondence with the custodian, agent banks and brokers; when replies were not received from agent banks or brokers, we performed other auditing procedures. We believe that our audit provides a reasonable basis for our opinion.

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Boston, Massachusetts

December 23, 2025

We have served as the Fund's auditor since 2024.

*PricewaterhouseCoopers LLP, 101 Seaport Boulevard, Suite 500, Boston, MA 02210*

T: (617) 530 5000, <u>www.pwc.com/us</u> 

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**Federal Tax Information (Unaudited)**

Shareholder Notification of Federal Tax Information

The following information is provided solely to satisfy the requirements set forth by the Code. Shareholders will be provided information regarding their distribution by early 2026.

The Fund designates the percentage of dividends declared from net investment income as (1) for corporation, dividends qualifying for the 70% dividends received, and (2) for individuals, as qualified dividend income under the Jobs and Growth Tax Relief Reconciliation Act of 2003 as follows:

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| | | |
|:---|:---|:---|
| **Fund** | **Dividends** <br> **Received** <br> **Deduction for** <br> **Corporations**  | **Qualified** <br> **Dividend Income** <br> **for Individuals**  |
| Wellington Global Multi-Strategy Fund | 0% | 0% |

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Pursuant to Section 852(b)(3) of the Code, the Fund hereby designates the following amounts as long-term capital gains distributed during the year ending October 31, 2025, or if subsequently determined to be different, the net capital gain of such year:

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| | |
|:---|:---|
| **Fund** | **Distributions of** <br> **Long-Term** <br> **Capital Gains**  |
| Wellington Global Multi-Strategy Fund |  |

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These amounts may include earnings and profits distributed to shareholders on the redemption of shares as part of the dividend paid deduction.

Additional Information Document

**Wellington Global Multi-Strategy Fund**

**Fund Management (Unaudited)**

***Trustees***

Information regarding the members of the Board is set forth below. The Trustees have been divided into two groups—Interested Trustees and Independent Trustees. As set forth in the Fund's Declaration of Trust, each Trustee's term of office shall continue until his or her death, resignation, removal, bankruptcy, adjudicated incompetence or other incapacity to perform the duties of the office of a Trustee.

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Name, address<sup>(1)</sup> and age** | **Position(s) Held with the Fund** | **Term of Office and Length of Time Served** | **Principal Occupation(s) During Past 5 Years** | **Number of Portfolios in Fund Complex Overseen by Trustee<sup>(3)</sup>** | **Other Directorships Held by Trustee** |
| **Interested Trustee**<sup>(2)</sup> | **Interested Trustee**<sup>(2)</sup> | **Interested Trustee**<sup>(2)</sup> | **Interested Trustee**<sup>(2)</sup> | **Interested Trustee**<sup>(2)</sup> | **Interested Trustee**<sup>(2)</sup> |
| Molly K. Shannon <br> (1966) | Trustee and Board Chairperson | Since Inception | Senior Managing Director, Partner and Head of Focus Initiatives at Wellington Management; President and Board member, Wellington Funds Distributors, Inc.; Manager of Wellington Management Canada LLC | 2 | Wellington Management International Limited |
| **Independent Trustees** | **Independent Trustees** | **Independent Trustees** | **Independent Trustees** | **Independent Trustees** | **Independent Trustees** |
| Andra Bolotin <br> (1962) | Trustee | Since Inception | Executive Vice President and Chief Financial Officer, Great-West Lifeco US (2016-2024); Executive Vice President and Chief Financial Officer, Putnam Investments (2017-2023); Executive Vice President and Chief Financial Officer, Empower (2015-2023) | 2 | Massachusetts Regional Red Cross; Plimoth Patuxet Museum - Museum Council; PanAgora Asset Management; IGM Financial; Envestnet |
| F. William McNabb III <br> (1957) | Trustee | Since Inception | N/A | 2 | United Health Group; Axiom; Altruist; IBM; Vanilla; CECP: The CEO Force for Good; Philadelphia Zoo |
| Thomas Pappas <br> (1961) | Trustee | Since Inception | N/A | 2 | MassINC; Cummings Foundation; Omidyar-Tufts Active Citizen Trust; Move the World Foundation |

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<sup>(1)</sup> The address of each Trustee is care of the Secretary of the Fund at 280 Congress Street, Boston, MA 02210.

<sup>(2)</sup> "Interested person," as defined in the 1940 Act, of the Fund. Molly K. Shannon is an interested person of the Fund due to her affiliation with the Adviser.

<sup>(3)</sup> The term "Fund Complex" means two or more registered investment companies that share the same investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies or hold themselves out to investors as related companies for the purpose of investment and investor services.

**Wellington Global Multi-Strategy Fund**

**Fund Management (Unaudited) (continued)**

***Officers***

The following table sets forth each officer's name, year of birth, position with the Fund and date first appointed to that position, and principal occupation(s) during the past five years. Each officer serves until his or her successor is chosen and qualified or until his or her resignation or removal by the Board of Trustees.

---

| | | | |
|:---|:---|:---|:---|
| **Name, address<sup>(1)</sup> and age** | **Position(s) Held with the Fund** | **Term of Office and Length of Time Served** | **Principal Occupation(s) During Past 5 Years** |
| Carmine A. Taglione<br> (1982) | President and Principal Executive Officer | Since Inception | Managing Director, President of Wellington Alternative Investments LLC and Wellington Funds (US) LLC at Wellington Management; Chief Operating Officer of U.S. Wealth Management at Wellington Management |
| Matthew J. Bowser<br> (1982) | Treasurer and Principal Financial Officer | Since Inception | Managing Director and Director, Fund Control & Operations at Wellington Management |
| Kyle T. Sullivan<br> (1988) | Secretary and Chief Legal Officer | 2025 | Vice President & Counsel, Wellington Management (2025-Present); Associate, Investment Management Practice Group, Morgan Lewis & Bockius LLP (2018-2025) |
| Ruby Salter Henry<br> (1987) | Chief Compliance Officer | 2025 | Managing Director and Senior Compliance Officer at Wellington Management |

---

&nbsp;&nbsp;&nbsp;&nbsp;(1) The address of each officer is care
of the Secretary of the Fund at 280 Congress Street, Boston, MA 02210.

Further information about the Fund's Board Members and Officers is available in the Fund's Statement of Additional Information, which can be obtained without charge by calling 1-888-287-0403 and visiting the Fund's website at www.wellington.com/en-us/intermediary/funds/global-multi-strategy-fund.

**Wellington Global Multi-Strategy Fund** 

**Privacy Policy**

The Wellington Global Multi-Strategy Fund (the "Fund") considers customer privacy to be a fundamental aspect of its relationships with shareholders and is committed to maintaining the confidentiality, integrity and security of its current, prospective and former shareholders' non-public personal information. The Fund has developed policies that are designed to protect this confidentiality, while allowing shareholders to be served.

**Obtaining Non-Public Personal Information**

In the course of providing shareholders with products and services, the Fund and certain service providers to the Fund, such as the Fund's investment adviser, administrator and distributor, may obtain non-public personal information about shareholders, which may come from sources such as: account applications and other forms; from other written, electronic or verbal correspondence; from shareholder transactions; from a shareholder's brokerage or financial advisory firm; financial professional or consultant; and/or from information captured on applicable websites.

**Information Collected from Websites**

The Fund or its service providers and partners may collect information from shareholders via websites they maintain. The information collected via websites maintained by the Fund or its service providers includes client non-public personal information.

**Sharing Information with Third Parties**

As a matter of policy, the Fund does not disclose any non-public personal information provided by shareholders or gathered by the Fund to non-affiliated third parties, except as required or permitted by law, disclosed in the Fund's offering documents or necessary for such third parties to perform their agreements with respect to the Fund. As is common in the industry, non-affiliated third parties may from time to time be used to provide certain services, such as: preparing and mailing prospectuses, reports, account statements and other information; conducting research on shareholder satisfaction; and gathering shareholder proxies. The Fund or its affiliates may also retain non-affiliated third parties to market Fund shares or products that use Fund shares and enter into joint marketing arrangements with them and other companies. These third parties may have access to a shareholder's personal and account information but are permitted to use this information solely to provide the specific service or as otherwise permitted by law. In most cases, the shareholders will be clients of a third party, but the Fund may also provide a shareholder's personal and account information to the shareholder's respective brokerage or financial advisory firm and/or financial professional or consultant.

The Fund reserves the right to disclose or report personal or account information to non-affiliated third parties where the Fund believes in good faith that disclosure is required under law, to cooperate with regulators or law enforcement authorities, or to protect its rights or property. In addition, the Fund may disclose information about a shareholder or a shareholder's accounts to a non-affiliated third party at the shareholder's request or with the consent of the shareholder.

**Wellington Global Multi-Strategy Fund**

**Privacy Policy (continued)**

**Sharing Information with Affiliates**

The Fund may share shareholder information with its affiliates, including in connection with servicing shareholders' accounts, and subject to applicable law, may provide shareholders with information about products and services that the Fund or its investment adviser, administrator or their affiliates ("Service Affiliates") believe may be of interest to such shareholders. The information that the Fund may disclose may include, for example, a shareholder's participation in the Fund or in other investment programs sponsored by a Service Affiliate, a shareholder's ownership of certain types of accounts (such as IRAs), information about the Fund's experiences or transactions with a shareholder, information captured on applicable websites, or other data about a shareholder's accounts, subject to applicable law. The Fund's Service Affiliates, in turn, are not permitted to disclose shareholder information with non-affiliated entities, except as required or permitted by law.

**Procedures to Safeguard Private Information**

The Fund takes seriously the obligation to safeguard customer information, including shareholder non-public personal information. Access to systems and databases containing customer information is restricted to personnel of the investment adviser and its affiliates who need such access to perform their duties. Physical, electronic and procedural safeguards are in place to guard customer information, including a shareholder's non-public personal information.

**Changes to the Privacy Policy**

From time to time, the Fund may update or revise the Privacy Policy. If there are changes to the terms of this privacy policy, documents containing the revised policy on the relevant website will be updated. A full copy of the Fund's Privacy Policy is available upon request from the Fund. Should you have any questions regarding the Policy, please contact your investment professional or the Fund at 1-888-287-3403.

September 2025

**Wellington Global Multi-Strategy Fund**

**Proxy Voting Policy**

**PROXY VOTING INFORMATION**

A description of the policies and procedures that the Fund uses to determine how to vote proxies related to portfolio securities and information regarding how the Fund voted proxies during the most recent 12-month period ended June 30, is available upon request without charge by calling 1-888-287-3403, on the Fund's website at www.wellington.com/en-us/intermediary/funds/global-multi-strategy-fund and on the SEC's website at www.sec.gov.

**Wellington Global Multi-Strategy Fund**

**Quarterly Portfolio Disclosure**

**QUARTERLY PORTFOLIO HOLDINGS**

The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT which is available on the SEC's website at www.sec.gov and on the Fund's website at www.wellington.com/en-us/intermediary/funds/global-multi-strategy-fund.

**Corporate Information**

**Trustees**

Molly K. Shannon, Chair

Andra Bolotin

F. William NcNabb III

Thomas Papas

**Investment Adviser**

Wellington Management Company LLC

280 Congress Street

Boston, MA 02110

**Administrator**

Wellington Fund Services

280 Congress Street

Boston, MA 02110

**Transfer Agent**

State Street Bank and Trust Company

1776 Heritage Way

Quincy, MA 02171

**Legal Counsel**

Dechert LLP

One International Place, 40<sup>th</sup> Floor

100 Oliver Street

Boston, MA 02110

**Independent Registered Public Accounting Firm**

PricewaterhouseCoopers LLP

101 Seaport Boulevard

Boston, MA 02110

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not Applicable

**Item 2. Code of Ethics.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The Fund has adopted a code of ethics
(as such term is defined in Item 2 of Form N-CSR) that applies to its principal executive officer and principal financial officer. During
the year ended October 31, 2025, there were no substantive amendments to, or waivers granted from, the code of ethics. A copy of the
code of ethics is filed as an exhibit hereto pursuant to Item 19(a)(1) of Form N-CSR.

**Item 3. Audit Committee Financial Experts.**

(a)(1) The Board of Trustees of the Fund (the "Board") has determined that the Fund has one "audit committee financial expert" serving on the audit committee of the Board (the "Audit Committee"), as such term is defined for purposes of Item 3 of Form N-CSR.

(a)(2) Andra Bolotin is the audit committee financial expert. Ms. Bolotin is independent as such term is defined in Item 3(a)(2) of Form N-CSR.

**Item 4. Principal Accountant Fees and Services.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Audit Fees. The aggregate fees billed
to the Fund for the period January 2, 2025 (commencement of operations) through October 31, 2025 for professional services rendered by
PricewaterhouseCoopers LLP, the Fund's independent registered public accounting firm ("PwC"), for the audit of the
Fund's annual financial statements and services that are normally provided by PwC in connection with statutory and regulatory filings
or engagements was $160,000.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Audit-Related Fees. The aggregate
fees billed to the Fund for the period January 2, 2025 (commencement of operations) through October 31, 2025 for assurance and related
services by PwC that were reasonably related to the performance of the audit of the Fund's financial statements and not reported
in Item 4(a) above were $0.

For the period January 2, 2025 (commencement of operations) through October 31, 2025, aggregate Audit-Related Fees billed by PwC that were required to be approved by the Fund's Audit Committee for audit-related services rendered to the Fund's investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Fund (the "Affiliated Service Providers") that relate directly to the operations and financial reporting of the Fund were $984,654.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Tax Fees. The aggregate fees billed
to the Fund for the period January 2, 2025 (commencement of operations) through October 31, 2025 for professional services rendered by
PwC for tax compliance, tax advice and tax planning were $108,000. These fees were billed for tax compliance and tax advice services.

For the period January 2, 2025 (commencement of operations) through October 31, 2025, the aggregate Tax Fees billed by PwC that were required to be approved by the Fund's Audit Committee for tax compliance, tax advice and tax planning services rendered to Affiliated Service Providers that relate directly to the operations and financial reporting of the Fund were $0.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) All Other Fees.

For the period January 2, 2025 (commencement of operations) through October 31, 2025, the aggregate fees billed by PwC to the Fund for all services other than services reported under Audit Fees, Audit-Related Fees, and Tax Fees were $0.

For the period January 2, 2025 (commencement of operations) through October 31, 2025, the aggregate fees in this category billed by PwC that were required to be approved by the Fund's Audit Committee for services rendered to Affiliated Service Providers that relate directly to the operations and financial reporting of the Fund were $0.

---

| | |
|:---|:---|
| (e)(1) | Audit Committee Pre-Approval Policies and Procedures. The Audit Committee has adopted, and the Board has approved, a Policy on Pre-Approval of Audit and Non-Audit Services (the "Policy"), which is intended to comply with Rule 2-01 of Regulation S-X and sets forth guidelines and procedures to be followed by the Fund when retaining an auditor to perform audit, audit-related, tax and other services for the Fund. The Policy permits such services to be pre-approved by the Audit Committee pursuant to either a general pre-approval or specific pre-approval. Unless a type of service provided by the auditor has received general pre-approval, it requires specific pre-approval by the Audit Committee. Any proposed services exceeding pre-approved cost levels require specific pre-approval by the Audit Committee. |

---

(e)(2) None.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) The aggregate non-audit fees billed
by the independent registered public accounting firm for services rendered to the Fund, and to Affiliated Service Providers for the period January 2, 2025 (commencement of operations) through October 31, 2025 were $984,654.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) The registrant's principal
accountant notified the registrant's Audit Committee of all non-audit services that were rendered by the principal accountant to
the Affiliated Service Providers, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of
Regulation S-X, allowing the registrant's Audit Committee to consider whether such services were compatible with maintaining the
principal accountant's independence. No such services were provided for the period January 2, 2025 (commencement of operations)
through October 31, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j) Not applicable.

**Item 5. Audit Committee of Listed Registrants.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Not applicable. The Fund is not a listed issuer as defined in Rule 10A-3 under the Securities Exchange Act of 1934, as amended (the "Exchange Act").

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable. The Fund is not a listed issuer as defined in Rule 10A-3 under the Exchange Act.

**Item 6. Investments.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The Schedule of Investments is included
within the Report filed under Item 1(a) of this Form.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

**Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

**Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.**

Not applicable.

**Item 9. Proxy Disclosures for Open-End Management Investment Companies.**

Not applicable.

**Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.**

Not applicable.

**Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.**

Not applicable.

**Item 12.** **Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.**

Attached to this Form N-CSR as exhibit 19(a)(6) is a copy of the proxy voting policies and procedures of the Fund and its investment adviser.

**Item 13.** **Portfolio Managers of Closed-End Management Investment Companies.**

---

| | |
|:---|:---|
| (a)(1) | The Fund's portfolio manager is Roberto J. Isch. Mr. Isch joined Wellington Management Company LLP ("Wellington Management" or the "Adviser") in 2012. He has served as a portfolio manager of investment vehicles managed by Wellington Management since 2018 and has served as the Fund's portfolio manager since its inception in January 2025. |

---

---

| | |
|:---|:---|
| (a)(2) | The portfolio manager is primarily responsible for the day-to-day management of the Fund and also provides investment advisory or sub-advisory services to other registered investment companies, other pooled investment vehicles and other accounts, as indicated below. The following table identifies, as of October 31, 2025: (i) the number of other registered investment companies, other pooled investment vehicles and other accounts (collectively, "Other Investment Vehicles") managed by the portfolio manager; (ii) the total assets of such Other Investment Vehicles; and (iii) the number and total assets of such Other Investment Vehicles that are subject to an advisory fee based on performance. |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| |<br>**Number of**<br>**Accounts** | **Assets of**<br>**Accounts**<br>**(in millions)** | **Number of**<br>**Accounts Subject to**<br>**a Performance Fee** | **Assets Subject to**<br>**a Performance Fee**<br>**(in millions)** |
| Roberto J. Isch |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Registered Investment Companies | 4 | $650 | 0 | $0 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other Pooled Investment Vehicles | 28 | $4697 | 21 | $2303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other Accounts | 6 | $1655 | 0 | $0 |

---

**Conflicts of Interest**

Conflicts of interest may arise in connection with the portfolio manager's management of the investments of the Fund and the investments of the Other Investment Vehicles.

The Other Investment Vehicles that the portfolio manager manages have or may have investment objectives similar to those of the Fund and, accordingly, invest or may invest in, whether principally or secondarily, asset classes similar to those targeted by the Fund. To the extent that the Other Investment Vehicles have investment objectives similar to those of the Fund, the scope of opportunities otherwise available to the Fund may be adversely affected and/or reduced. However, the portfolio manager intends to allocate investment opportunities among the Other Investment Vehicles and the Fund in a fair and equitable manner over time in accordance with the Adviser's investment allocation policy, consistent with the Fund's and each Other Investment Vehicle's investment objective and strategies and legal and regulatory requirements.

The portfolio manager also may take an investment action on behalf of or give investment advice to one of the Other Investment Vehicles that differs from an investment action taken on behalf of the Fund. For example, the portfolio manager may buy securities on behalf of one of the Other Investment Vehicles while selling simultaneously the same securities on behalf of the Fund. Alternatively, the portfolio manager may take a short position in a security on behalf of one of the Other Investment Vehicles while maintaining a long position in that same security on behalf of the Fund, in each case consistent with the investment objectives of the Other Investment Vehicle and the Fund. Investment professionals who are members of the Trading Teams (as that term is defined in the Fund's registration statement on Form N-2) to whom the portfolio manager allocates portions of the Fund's assets generally are subject to the same conflicts of interest and are also subject to the Adviser's investment allocation policy.

---

| | |
|:---|:---|
| (a)(3) | Wellington Management's compensation structure is designed to attract and retain high-caliber investment professionals necessary to deliver high quality investment management services to its clients. Wellington Management's compensation of Mr. Isch includes a base salary and incentive components. Because Mr. Isch is a partner ("Partner") of Wellington Management Group LLP, the ultimate holding company of Wellington Management, his base salary is generally a fixed amount that is determined by the managing partners of Wellington Management Group LLP. Base salaries for Wellington Management's employees are reviewed annually and may be adjusted based on the recommendation of an investment professional's manager, using guidelines established by Wellington Management's Compensation Committee, which has final oversight responsibility for base salaries of employees of the firm. Mr. Isch is also eligible to receive an incentive payment based on the revenues earned by Wellington Management from the Fund and other accounts managed by Mr. Isch. This incentive payment relating to the Fund is based on the gross pre-tax performance over one-, three- and five-year periods, with an emphasis on five-year results. |

---

Wellington Management applies similar incentive compensation structures to other accounts managed by Mr. Isch, including accounts with performance fees.

(a)(4) As of October 31, 2025, Roberto J. Isch did not beneficially own any securities issued by the Registrant.

**Item 14.** **Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.**

Not Applicable due to no such purchases during the period covered by this report.

**Item 15.** **Submission of Matters to a Vote of Security Holders.**

There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund's Board during the period covered by this Form N-CSR filing.

**Item 16.** **Controls and Procedures.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The Fund's principal executive
and principal financial officers have concluded, based on their evaluation of the Fund's disclosure controls and procedures as
of a date within 90 days of the filing date of this Report, that the Fund's disclosure controls and procedures (as defined in Rule
30a-3(c) under the 1940 Act (17 CFR 270.30a-3(c)) are effective.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) There were no changes in the Fund's
internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during
the period covered by this Report that have materially affected, or are reasonably likely to materially affect, the Fund's internal
control over financial reporting.

**Item 17.** **Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.**

Not applicable.

**Item 18. Recovery of Erroneously Awarded Compensation.**

Not applicable.

**Item 19.** **Exhibits.**

[(a)(1)](fp0096548-1_ex99code.htm) [The Fund's Code of Ethics is attached hereto in response to Item 2](fp0096548-1_ex99code.htm).

(a)(2) Not applicable.

[(a)(3)](fp0096548-1_ex99cert.htm) [The certifications required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) are attached hereto](fp0096548-1_ex99cert.htm).

(a)(4) Not applicable.

(a)(5) Not applicable.

[(a)(6)](fp0096548-1_ex9919a6.htm) [Proxy voting policies and procedures of the Fund's investment adviser are attached hereto in response to Item 12](fp0096548-1_ex9919a6.htm).

[(b)](fp0096548-1_ex99906cert.htm) [The certifications by the registrant's principal executive officer and principal financial officer as required by Rule 30a-2(b) of the Investment Company Act of 1940, as amended, and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.](fp0096548-1_ex99906cert.htm)

**SIGNATURES**

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

---

| | |
|:---|:---|
| Wellington Global Multi-Strategy Fund | Wellington Global Multi-Strategy Fund |
| (Registrant) | (Registrant) |
| By: | /s/ Carm Taglione |
|  | Carm Taglione |
|  | President and Principal Executive Officer |
| Date: | January 8, 2026 |

---

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

---

| | |
|:---|:---|
| By: | /s/ Carm Taglione |
|  | Carm Taglione |
|  | President and Principal Executive Officer |
| Date: | January 8, 2026 |
| By: | /s/ Matthew Bowser |
|  | Matthew Bowser |
|  | Treasurer and Principal Financial Officer |
| Date: | January 8, 2026 |

---

**EXHIBIT INDEX**

---

| | |
|:---|:---|
| Exhibit No. | Description of Exhibit |
| [19(a)(1)](fp0096548-1_ex99code.htm) | [Code of Ethics for Principal Executive and Principal Financial Officers](fp0096548-1_ex99code.htm) |
| [19(a)(3)](fp0096548-1_ex99cert.htm) | [Section 302 N-CSR Certification of Principal Executive Officer](fp0096548-1_ex99cert.htm) |
| [19(a)(3)](fp0096548-1_ex99cert.htm) | [Section 302 N-CSR Certification of Principal Financial Officer](fp0096548-1_ex99cert.htm) |
| [19(a)(6)](fp0096548-1_ex9919a6.htm) | [Proxy Voting Policies and Procedures of the Fund's investment advise](fp0096548-1_ex9919a6.htm)r |
| [19(b)](fp0096548-1_ex99906cert.htm) | [Section 906 N-CSR Certification of Principal Executive Officer and Principal Financial Officer](fp0096548-1_ex99906cert.htm) |

---

## Ex-99.Code

**Exhibit 19(a)(1)**

**Code of Ethics for Principal Executive and Principal Financial Officers**

In accordance with the requirements of Section 406 of the Sarbanes-Oxley Act of 2002, as amended ("SOX"), and the rules promulgated thereunder by the U.S. Securities and Exchange Commission ("SEC"), the Fund is required to file reports pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, and must disclose whether it has adopted a code of ethics that is applicable to certain specified senior officers (the "Senior Financial Officers' Code of Ethics") that addresses certain matters specified in the Act and related SEC Rules (a "SOX Code").

Senior Financial Officers' Code of Ethics

STATEMENT OF POLICY

In accordance with the requirements of Section 406 of the Sarbanes-Oxley Act of 2002, as amended ("SOX"), the Fund seeks to promote:

&nbsp;&nbsp;&nbsp;&nbsp;· honest and ethical conduct by the senior financial officers, including the ethical handling of actual
or apparent conflicts of interest between personal and professional relationships;

&nbsp;&nbsp;&nbsp;&nbsp;· full, fair, accurate, timely and understandable disclosure in reports and documents that the Fund files
with, or submits to, the Securities and Exchange Commission ("SEC") and in other public communications made by the Fund;

&nbsp;&nbsp;&nbsp;&nbsp;· compliance with applicable laws and governmental rules and regulations;

&nbsp;&nbsp;&nbsp;&nbsp;· the prompt internal reporting of violations of this Code to appropriate person or persons; and

&nbsp;&nbsp;&nbsp;&nbsp;· accountability for adherence to this Code

RESPONSIBILITY AND OVERSIGHT

The Code applies to the Fund's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions (collectively, the "Senior Financial Officers").

The chief compliance officer of the Fund (the "CCO") is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation.

The audit committee of the Board (the "Audit Committee") is responsible for granting waivers1, provided that any approvals, interpretations or waivers sought by the Fund's principal executive officers or trustees will be considered by the Board.

CONDUCT GUIDELINES AND PROCEDURES

Senior Financial Officers must:

&nbsp;&nbsp;&nbsp;&nbsp;1. act with honesty and integrity and avoid violations of this Code, including the avoidance of actual or
apparent conflicts of interest with the Fund in personal and professional relationships;

&nbsp;&nbsp;&nbsp;&nbsp;2. disclose to the CCO (or their designee) any actual or apparent conflicts of interest the Senior Financial
Officer may have with the Fund that reasonably could be expected to give rise to any violations of this Code;

&nbsp;&nbsp;&nbsp;&nbsp;3. seek to ensure full, fair, accurate, timely and understandable disclosure in the Trust's periodic
reports and other public communications;

<sup>1</sup> Instruction 2 to Item 5.05 of Form 8-K defines "waiver" as "the approval by the registrant of a material departure from a provision of the code of ethics" and "implicit waiver," which must also be disclosed, as "the registrant's failure to take action within a reasonable period of time regarding a material departure from a provision of the code of ethics that has been made known to an executive officer" of the registrant.

&nbsp;&nbsp;&nbsp;&nbsp;4. comply with the federal securities laws and other laws and rules applicable to the Fund, such as the Internal
Revenue Code;

&nbsp;&nbsp;&nbsp;&nbsp;5. promote ethical behavior and compliance with the standards set out by this Code and restrictions imposed
by applicable laws, rules and regulations;

&nbsp;&nbsp;&nbsp;&nbsp;6. notify the CCO promptly if they know or learn of any violation of this Code;

&nbsp;&nbsp;&nbsp;&nbsp;7. affirm in writing that they have received, read, and understand this Code; and

&nbsp;&nbsp;&nbsp;&nbsp;8. annually thereafter, affirm in writing that they have complied with the requirements of this Code.

VIOLATIONS OF THE CODE

The Fund will follow these procedures in investigating and enforcing this Code:

&nbsp;&nbsp;&nbsp;&nbsp;· the CCO will take any action they consider appropriate to investigate any actual or potential violations
reported to him or her;

&nbsp;&nbsp;&nbsp;&nbsp;· if, after such investigation, the CCO believes that no violation has occurred, the CCO shall meet with
the person reporting the violation for the purposes of informing such person of the reason for not taking action;

&nbsp;&nbsp;&nbsp;&nbsp;· any matter that the CCO concludes is a violation will be reported to the Audit Committee;

&nbsp;&nbsp;&nbsp;&nbsp;· if the Audit Committee concurs that a violation has occurred, it will inform and make a recommendation
to the full Board, which will consider appropriate action, which may include disciplinary action, up to and including removal as a Senior
Financial Officer.

The Audit Committee and the CCO, in rendering decisions and interpretations and in conducting investigations of potential violations under this Code, may, at their discretion, consult with such other persons as they may determine to be appropriate, including a senior legal officer of the Fund or its investment adviser, counsel to the Fund, independent auditors or other consultants, subject to any requirement to seek pre-approval from the Audit Committee for the retention of independent auditors to perform permissible non-audit services.

WAIVERS

A Senior Financial Officer may request a waiver of any of the provisions of this Code by submitting a written request for such waiver to the Audit Committee setting forth the basis for such request and explaining how the waiver would be consistent with the standards of conduct described herein. The Audit Committee shall review such request and make a determination thereon in writing, which shall be binding, and shall inform the CCO of the granting of any waiver.

In determining whether to waive any provisions of this Code, the Audit Committee shall consider whether the proposed waiver is consistent with honest and ethical conduct.

1. Other Policies and Procedures

This Code shall be the sole "code of ethics" adopted by the Fund for purposes of Section 406 of SOX, and the rules and forms applicable to it thereunder. Insofar as other policies or procedures of the Fund, the Fund's investment adviser, investment sub-adviser, principal underwriter, or other Fund Service Providers govern or purport to govern the behavior or activities of the Senior Financial Officers who are subject to this Code, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this Code. The codes of ethics of the Fund and its investment adviser and other Fund Service Providers under Rule 17j-1 under the Investment Company Act is a separate requirement applying to the Senior Financial Officers and others and is not part of this Code.

2. Amendments

Any material amendments to this Code must be approved or ratified by a majority vote of the Board, including a majority of Trustees who are not "interested persons" of the Fund, as defined under the Investment Company Act.

3. Confidentiality

All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law, regulation or this Code, such matters shall not be disclosed to anyone other than the Board and its counsel, the investment adviser and its counsel, the other Fund Service Provider of which such Senior Financial Officer is an employee or independent auditors or other consultants referred to above.

4. Internal Use

This Code is intended solely for the internal use by the Fund and does not constitute an admission, by or on behalf of any person, as to any fact, circumstance or legal conclusion.

## Ex-99.Cert

**Exhibit 19(a)(3)**

**Section 302 N-CSR Certification of Principal Executive Officer**

WELLINGTON GLOBAL MULTI-STRATEGY FUND<br> FOR THE PERIOD ENDED October 31, 2025<br> FORM N-CSR CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT

I, Carm Taglione, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;1. I have reviewed this report on Form N-CSR of Wellington Global Multi-Strategy Fund;

&nbsp;&nbsp;&nbsp;&nbsp;2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to
state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;

&nbsp;&nbsp;&nbsp;&nbsp;3. Based on my knowledge, the financial statements and other financial information included in this report,
fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the
financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this
report;

&nbsp;&nbsp;&nbsp;&nbsp;4. The registrant's other certifying officer and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to
be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries,
is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the
preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented
in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to
the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial reporting
that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting; and

&nbsp;&nbsp;&nbsp;&nbsp;5. The registrant's other certifying officer and I have disclosed to the registrant's auditors
and the audit committee of the registrant's Board of Trustees (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All significant deficiencies and material weaknesses in the design or operation of internal control over
financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and
report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Any fraud, whether or not material, that involves management or other employees who have a significant
role in the registrant's internal control over financial reporting.

---

| | | | |
|:---|:---|:---|:---|
| Date: | January 8, 2026 | By: | /s/ Carm Taglione |
|  |  |  | Carm Taglione |
|  |  | Title: | President and Principal Executive Officer<br>|

---

**Exhibit 19(a)(3)**

**Section 302 N-CSR Certification of Principal Executive Officer**

WELLINGTON GLOBAL MULTI-STRATEGY FUND<br> FOR THE PERIOD ENDED October 31, 2025<br> FORM N-CSR CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT

I, Matthew Bowser, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;1. I have reviewed this report on Form N-CSR of Wellington Global Multi-Strategy Fund;

&nbsp;&nbsp;&nbsp;&nbsp;2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to
state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;

&nbsp;&nbsp;&nbsp;&nbsp;3. Based on my knowledge, the financial statements and other financial information included in this report,
fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the
financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this
report;

&nbsp;&nbsp;&nbsp;&nbsp;4. The registrant's other certifying officer and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to
be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries,
is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the
preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented
in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to
the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial reporting
that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting; and

&nbsp;&nbsp;&nbsp;&nbsp;5. The registrant's other certifying officer and I have disclosed to the registrant's auditors
and the audit committee of the registrant's Board of Trustees (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All significant deficiencies and material weaknesses in the design or operation of internal control over
financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and
report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Any fraud, whether or not material, that involves management or other employees who have a significant
role in the registrant's internal control over financial reporting.

---

| | | | |
|:---|:---|:---|:---|
| Date: | January 8, 2026 | By: | /s/ Matthew Bowser |
|  |  |  | Matthew Bowser |
|  |  | Title: | Treasurer and Principal Financial Officer<br>|

---

## Exhibit 99.19

**Exhibit 19(a)(6)**

**Global Proxy Voting Policy and Procedures**

INTRODUCTION

Wellington Management has adopted and implemented policies and procedures it believes are reasonably designed to ensure that proxies are voted in the best interests of clients for which it exercises proxy-voting discretion. The purpose of this document is to outline Wellington Management's approach to executing proxy voting. Wellington Management's Proxy Voting Guidelines (the "Guidelines"), which are contained in a separate document, set forth broad guidelines and positions on common issues that Wellington Management uses for voting proxies. The Guidelines set out our general expectations on how we vote rather than rigid rules that we apply without consideration of the particular facts and circumstances.

STATEMENT OF POLICY

Wellington Management: 1) Votes client proxies for clients that have affirmatively delegated proxy voting authority, in writing, unless we have arranged in advance with a particular client to limit the circumstances in which the client would exercise voting authority, or we determine that it is in the best interest of one or more clients to refrain from voting a given proxy. 2) Seeks to vote proxies in the best financial interests of the clients for which we are voting. 3) Identifies and resolves all material proxy-related conflicts of interest between the firm and our clients in the best interests of the client.

RESPONSIBILITY AND OVERSIGHT

The Proxy Voting Team monitors regulatory requirements with respect to proxy voting and works with the firm's Legal and Compliance Group and the Investment Stewardship Committee to develop practices that implement those requirements. The Proxy Voting Team also acts as a resource for portfolio managers and investment research analysts on proxy matters as needed. Day-to-day administration of the proxy voting process is the responsibility of the Proxy Voting Team. The Investment Stewardship Committee a senior, cross-functional group of experienced professionals, is responsible for oversight of the implementation of the Global Proxy Policy and Procedures, review and approval of the Guidelines, and identification and resolution of conflicts of interest. The Investment Stewardship Committee reviews the Guidelines as well as the Global Proxy Policy and Procedures annually.

PROCEDURES

Use of Third-Party Voting Agent

Wellington Management uses the services of a third-party voting agent for research and to manage the administrative aspects of proxy voting. We view third-party research as an input to our process. Wellington Management complements the research provided by its primary voting agent with research from other firms. Our primary voting agent processes proxies for client accounts and maintains records of proxies voted. For certain routine issues, as detailed below, votes may be instructed according to standing instructions given to our primary voting agent, which are based on the Guidelines. We manually review instances where our primary voting agent discloses a material conflict of interest of its own, potentially impacting its research outputs. We perform oversight of our primary voting agent, which involves regular service calls and an annual due diligence exercise, as well as regular touchpoints in the normal course of business.

Receipt of Proxy

If a client requests that Wellington Management vote proxies on its behalf, the client must instruct its custodian bank to deliver all relevant voting materials to Wellington Management or its designated voting agent in a timely manner.

Reconciliation

Proxies for public equity securities received by electronic means are matched to the securities eligible to be voted, and a reminder is sent to custodians/trustees that have not forwarded the proxies due. This reconciliation is performed at the ballot level. Although proxies received for private equity securities, as well as those received in non-electronic format for any securities, are voted as received, Wellington Management is not able to reconcile these ballots and does not notify custodians of non-receipt; Wellington Management is only able to reconcile ballots where clients have consented to providing holdings information with its provider for this purpose.

Proxy Voting Process

Our approach to voting is investment-led and serves as an influential component of our engagement and escalation strategy. The Investment Stewardship Committee, a cross-functional group of experienced professionals, oversees Wellington Management's activities with regards to proxy voting practices. Routine issues that can be addressed by the proxy voting guidance below are voted by means of standing instructions communicated to our primary voting agent. Some votes warrant analysis of specific facts and circumstances and therefore are reviewed individually. We examine such vote sources including internal research notes, third-party voting research and company engagement. While manual votes are often resolved by investment research teams, each portfolio manager is empowered to make a final decision for their relevant client portfolio(s), absent a material conflict of interest. Proactive portfolio manager input is sought under certain circumstances, which may include consideration of position size and proposal subject matter and nature. Where portfolio manager input is proactively sought, deliberation across the firm may occur. This collaboration does not prioritize consensus across the firm above all other interests but rather seeks to inform portfolio managers' decisions by allowing them to consider multiple perspectives. Portfolio managers may occasionally arrive at different voting conclusions for their clients, resulting in different decisions for the same vote. Voting procedures and the deliberation that occurs before a vote decision are aligned with our role as active owners and fiduciaries for our clients.

Material Conflict of Interest Identification and Resolution Processes

Further detail on our management of conflicts of interest can be found in our Stewardship Conflicts of Interest Policy, available on our website.

OTHER CONSIDERATIONS

In certain instances, Wellington Management may be unable to vote or may determine not to vote a proxy on behalf of one or more clients. While not exhaustive, the following are potential instances in which a proxy vote might not be entered.

Securities Lending Clients

may elect to participate in securities lending Such lending may impact their ability to have their shares voted. Under certain circumstances, and where practical considerations allow, Wellington Management may determine that the anticipated value of voting could outweigh the benefit to the client resulting from use of securities for lending and recommend that a client attempt to have its custodian recall the security to permit voting of related proxies. We do not borrow shares for the sole purpose of exercising voting rights.

Share Blocking and Re-Registration

Certain countries impose trading restrictions or requirements regarding re-registration of securities held in omnibus accounts in order for shareholders to vote a proxy. The potential impact of such requirements is evaluated when determining whether to vote such proxies.

Lack of Adequate Information, Untimely Receipt of Proxy Materials, or Excessive Costs

Wellington Management may abstain from voting a proxy when the proxy statement or other available information is inadequate to allow for an informed vote; the proxy materials are not delivered in a timely fashion; or, in Wellington Management's judgment, the costs of voting exceed the expected benefits to clients (included but not limited to instances such as when powers of attorney or consularization or the disclosure of client confidential information are required).

ADDITIONAL INFORMATION

Wellington Management maintains records related to proxies pursuant to Rule 204-2 of the Investment Advisers Act of 1940 (the "Advisers Act"), the Employee Retirement Income Security Act of 1974, as amended ("ERISA"), and other applicable laws. In addition, Wellington Management discloses voting decisions through its website, including the rationale for votes against management. Wellington Management provides clients with a copy of its Global Proxy Policy and Procedures, as well as the Voting Guidelines, upon written request. In addition, Wellington Management will provide specific client information relating to proxy voting to a client upon written request.

## Exhibit 99.906

**Exhibit 19(b)**

**Section 906 N-CSR Certification of Principal Executive Officer and Principal Financial Officer**

WELLINGTON GLOBAL MULTI-STRATEGY FUND

FOR THE PERIOD ENDED October 31, 2025

FORM N-CSR CERTIFICATION

CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350, AS ADOPTED PURSUANT TO SECTION 906 OF <br> THE SARBANES-OXLEY ACT OF 2002

In connection with the Certified Shareholder Report of Wellington Global Multi-Strategy Fund (the "Trust") on Form N-CSR for the period ended October 31, 2025, as filed with the Securities and Exchange Commission on the date hereof, each of the undersigned hereby certifies that, to his knowledge:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. The Form N-CSR fully complies with the requirements of Section 13(a) or Section 15(d), as applicable,
of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition
and results of operations of the Trust.

---

| | | |
|:---|:---|:---|
| /s/ Carm Taglione | Date: | January 8, 2026 |
| Carm Taglione |  |  |
| President and Principal Executive Officer |  |  |
| /s/ Matthew Bowser | Date: | January 8, 2026 |
| Matthew Bowser |  |  |
| Treasurer and Principal Financial Officer<br>|  |  |

---

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002 has been provided to the registrant and will be retained by the registrant and furnished to the Securities and Exchange Commission or its staff upon request.