# EDGAR Filing Document

**Accession Number:** 0000804239
**File Stem:** 0002048251-26-004548
**Filing Date:** 2026-5
**Character Count:** 551128
**Document Hash:** c12c2a36365bc16f35a28364e4ff84ac
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002048251-26-004548.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0002048251-26-004548

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** SEI INSTITUTIONAL MANAGED TRUST
- **CENTRAL INDEX KEY:** 0000804239

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** PA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04878
- **FILM NUMBER:** 261041950

**BUSINESS ADDRESS:**
- **STREET 1:** 2 OLIVER ST
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109
- **BUSINESS PHONE:** 8003455734

**MAIL ADDRESS:**
- **STREET 1:** SEI INVESTMENTS
- **STREET 2:** 1 FREEDOM VALLEY DRIVE
- **CITY:** OAKS
- **STATE:** PA
- **ZIP:** 19456

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TRUSTFUNDS INSTITUTIONAL MANAGED TRUST
- **DATE OF NAME CHANGE:** 19890509

## Series and Classes Contracts Data

### SIMT MULTI-ASSET ACCUMULATION FUND (Series ID: S000035779)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000109624 | Class F      | SAAAX           |
| C000147403 | Class Y      | SMOYX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** SEI INSTITUTIONAL MANAGED TRUST

- **b. Investment Company Act file number:** 811-04878

- **c. CIK number of Registrant:** 0000804239

- **d. LEI of Registrant:** 9FTE3UO0Y1HGMNV0D371

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

  - **Street Address 1:** 2 OLIVER STREET

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02109

  - **Telephone number:** 8003455734

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

- **a. Name of Series:** SIMT Multi-Asset Accumulation Fund

- **b. EDGAR series identifier (if any):** S000035779

- **c. LEI of Series:** CVCNKSRMQ9EYZG6CF762

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1533841299.66

**Total Liabilities:** $377517790.87

**Net Assets:** $1156323508.79

**Amount of Assets Invested in Other Investment Companies:** $210470111.18

**Cash Not Reported:** $185997422.57

**Currency Risk Metrics (dv01):**

- 

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

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

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000109624 | -5.24%               | 4.74%                | 3.89%                |
| Class ID C000147403 | -5.31%               | 4.69%                | 3.98%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3206154.84              | $-3656528.04                               |
| Month 2  | $-78483.48               | $8202543.30                                |
| Month 3  | $18307602.89             | $2161770.41                                |

### Schedule of Portfolio Investments

| Name                                                 | Title                                                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-16975.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2675.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3171.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $716.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-274.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1546.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $34.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-2888.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1983.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $261.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. GILT STOCK - INFLATION LINKED 1 1/8% 11/22/2037              | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | USGA              | GB        |    2800000 | PA      | $7047242.46   | 0.61%             | 2037-11-22      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $8860.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1328.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2192.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2096.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1057.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1074.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-1624.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $19.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1739.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-31499.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-1.81        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-11559.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2025.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $86678.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $1154.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-8492.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-1378.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $706.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-44.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-2238.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-18316.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3878.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2636.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-70.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-10780.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | UNITED KINGDOM I/L GILT 0.125000% 11/22/2036                      | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | USGA              | GB        |    3000000 | PA      | $5351600.43   | 0.46%             | 2036-11-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $250.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-11788.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $391.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-2134.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $465.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $385.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-2299.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $721.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $34.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $469.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.125000% 10/15/2030                              | CUSIP: 91282CPH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   13900000 | PA      | $13851281.28  | 1.20%             | 2030-10-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $320.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2186.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-2377.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $385.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-132.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EURO-OAT FUTURE   JUN26                              | EURO-OAT FUTURE   JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        162 | NC      | $22154372.62  | 1.92%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $874.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-2639.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-15620.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $901.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-2675.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-2926.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $237.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $632.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-252.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1767.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1175.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-1916.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.875000% 07/15/2034                              | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   11081000 | PA      | $11541906.65  | 1.00%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| REF: TAIEX FUTURES APR26                             | REF: TAIEX FUTURES APR26 BRK: BANK OF AMERICA                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | TW        |         55 | NC      | $10994494.84  | 0.95%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2632.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-15911.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $1231.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-2510.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $59.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1.78         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $-417.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-483.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $-323.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $382.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-4.97        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2966.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $7020.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-10041.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $283.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PHP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $450.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republique Francaise                                 | FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 0.700000% 07/25/2030     | CUSIP: F43750CS9<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | USGA              | FR        |    5542300 | PA      | $8284805.01   | 0.72%             | 2030-07-25      | Fixed         | 0.70%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-0.23        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-1717.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $56335.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: GBP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | GB        |          1 | NC      | $-13889.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-3907.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-35223.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $407.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $724.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2615.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $8.47         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $79.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $83633.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $152.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-2741.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $104.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1232.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES .875% 01/15/2029     | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    4715000 | PA      | $6028441.76   | 0.52%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-2794.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1992.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $43095.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-392.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $78384.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $995.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3955.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-2430.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-5346.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $18383.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $319.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $317.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | FTSE 100 IDX FUT  JUN26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |         80 | NC      | $10759573.79  | 0.93%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $439.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-928.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | HSCEI FUTURES     APR26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | HK        |         -1 | NC      | $-53295.83    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2754.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $690.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $415.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $889.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $86671.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3087.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1831.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-2488.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1843.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1419.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3172.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-274.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-1193.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-30.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | CONSTELLATION SOFTWARE INC - WARRANTS ISSUE 1:1                   | CUSIP: 21037X134<br>LEI: N/A                  | Long             | EC               |  | CA        |        100 | NS      | $0.01         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $78391.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $995.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-19826.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $1311.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1397.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-16136.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | COCOA FUTURE      JUL26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          4 | NC      | $134680.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | GOLD 100 OZ FUTR  JUN26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         27 | NC      | $12632220.00  | 1.09%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $52.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 04/15/2027    | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    7801000 | PA      | $8935460.34   | 0.77%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $52.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-18584.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $908.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.875000% 07/15/2035                              | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    8528000 | PA      | $8595892.40   | 0.74%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF: MSCI INTERNATIONAL SPAIN NET INDEX EUR REAL T | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | XX        |        566 | NC      | $-4688.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $52368.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2252.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2966.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3056.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $706.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-2927.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-4910.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-270.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $605.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $2466.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-2.20        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-59648.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $391.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $-3102.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1983.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $881.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $266.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $-1935.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1045.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3663.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1503.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DAX INDEX FUTURE  JUN26                              | DAX INDEX FUTURE  JUN26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |        -13 | NC      | $-8551705.26  | -0.74%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-60.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-8182.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1397.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BRENT CRUDE FUTR  JUN26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         28 | NC      | $2911160.00   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.875000% 01/15/2036                              | CUSIP: 91282CPU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    5500000 | PA      | $5438917.54   | 0.47%             | 2036-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| US 2YR NOTE (CBT) JUN26                              | US 2YR NOTE (CBT) JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         30 | NC      | $6223359.38   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-21978.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $137.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $314.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $250.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-1497.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-11560.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1679.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $473.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2951.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $70484.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1593.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $6170.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | NY HARB ULSD FUT  MAY26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -12 | NC      | $-2073355.20  | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $324.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-8304.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $427.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1006.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $879.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $4070.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $-143.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1313.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-35084.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $104.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | WTI CRUDE FUTURE  JUN26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        100 | NC      | $9316000.00   | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2121.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $498.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-346.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NMC HEALTH PLC                                       | NMC HEALTH PLC COMMON STOCK                                       | CUSIP: N/A<br>LEI: 2138008YQEVWBE1V2M52       | Long             | EC               |  | GB        |      12179 | NS      | $0.01         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-329.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2043.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-18351.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-0.03        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-47.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-52167.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-1909.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-12437.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $70503.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2205.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $269.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES .25%  07/15/29       | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    5834000 | PA      | $7214011.95   | 0.62%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1471.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $686.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-2134.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2025.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $-4982.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-2136.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.125000% 10/15/2030                              | CUSIP: 91282CPH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |     599000 | PA      | $596900.54    | 0.05%             | 2030-10-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.750000% 01/15/2034                              | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   10471000 | PA      | $11032113.94  | 0.95%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $706.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.875000% 07/15/2034                              | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   14100000 | PA      | $14686479.89  | 1.27%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $237.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $746.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $248.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-3708.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1260.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $-3519.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-1261.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 1.250 04/15/2028     | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    8201000 | PA      | $8926190.19   | 0.77%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $654.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | UK TSY I/L GILT 0.125% 08/10/2031                                 | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | USGA              | GB        |    3200000 | PA      | $5717897.21   | 0.49%             | 2031-08-10      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $294.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $696.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-2361.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1046.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1259.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $394.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-6671.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC.                                        | BROADCOM INC COMMON STOCK                                         | CUSIP: 11135F101<br>LEI: 549300WV6GIDOZJTV909 | Long             | EC               |  | US        |      60000 | NS      | $18570600.00  | 1.61%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $-1258.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $82537.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-12628.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REF: BLOOMBERG COMMODITY INDEX TOTAL RETURN          | REF: BLOOMBERG COMMODITY INDEX TOTAL RETURN BRK: JPMORGAN         | CUSIP: TRS3100A1<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |      44734 | NC      | $385385.74    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $24774.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-9753.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $445.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $131.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $901.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-2344.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $137.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF: MSCI INTERNATIONAL NETHERLANDS NET INDEX EUR  | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | XX        |       7204 | NC      | $-308197.40   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | LME NICKEL FUTURE JUN26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         10 | NC      | $1025159.40   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $76948.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-34523.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $83627.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $565.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1331.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-3793.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $130.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1540.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $99.30        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $314.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | NY HARB ULSD FUT  JUN26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         23 | NC      | $3613709.40   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $142.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1528.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-47.88       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 2-3/8% 01/15/27      | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    2045000 | PA      | $3356106.14   | 0.29%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2252.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-0.23        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $-818.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1025.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $77.83        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-35270.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-392.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-30401.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-698.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-266.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-7231.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EURO-BTP FUTURE   JUN26                              | EURO-BTP FUTURE   JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        125 | NC      | $16747321.12  | 1.45%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $38.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $637.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $76954.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $0.19         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-774.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1363.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-2888.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-940.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $6877.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $696.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-2110.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $107.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-1497.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $676.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-384.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-21350.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $41.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-4901.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-17070.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-31724.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-17691.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2432.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1461.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $6863.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $491.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | WHEAT FUTURE(CBT) JUL26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          7 | NC      | $219275.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $787.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $59.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republique Francaise                                 | FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 0.100000% 03/01/2036     | CUSIP: F43750LF7<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | USGA              | FR        |    4300000 | PA      | $4806261.59   | 0.42%             | 2036-03-01      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-1129.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-28339.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $417.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $5019.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-268.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1056.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-15210.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $911.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-13314.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2354.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $4988.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $37.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $134.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BROWN BROTHERS HARRIMAN SWEEP (ACCRUAL ONLY)                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |   92224843 | PA      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $769.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-0.96        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-8492.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-3113.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | MSCI EMGMKT       JUN26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        421 | NC      | $30619330.00  | 2.65%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-1807.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1011.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $559.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $203.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $261.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $632.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-3707.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | E-MINI RUSS 2000  JUN26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        101 | NC      | $12686610.00  | 1.10%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1422.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-19.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-13462.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $816.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1528.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2845.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-5344.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRK: BANK OF AMERICA                                 | BRK: BANK OF AMERICA REF: WIG 20 INDEX FUTURE SWAP - JUN26        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | PL        |          6 | NC      | $106962.09    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1264.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $257.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | CAC40 10 EURO FUT APR26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | FR        |         -5 | NC      | $-450800.78   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1011.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-10171.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-1008.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRK: JP MORGAN CHASE                                 | BRK: JP MORGAN CHASE MINI BOVESPA FUTURES SWAP - APR26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | BR        |        360 | NC      | $2599608.19   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | LOW SU GASOIL G   JUN26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         43 | NC      | $4738600.00   | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $262.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $979.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2026.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-1588.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $94.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | FTSE TAIWAN INDEX APR26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |         18 | NC      | $1859760.00   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3632.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-9.05        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-11.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-8180.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.875000% 01/15/2036                              | CUSIP: 91282CPU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |     248000 | PA      | $245245.74    | 0.02%             | 2036-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2106.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $28.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $573.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 3-7/8% 04/15/29      | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    1976000 | PA      | $4216698.91   | 0.36%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-3221.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $54553.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-390.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $907.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $24772.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-11544.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-258.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-13313.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $183.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $445.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-773.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-424.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $-1898.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MICROSOFT CORPORATION                                | MICROSOFT CORP COMMON STOCK                                       | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               |  | US        |     124230 | NS      | $45986219.10  | 3.98%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $439.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-17245.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $562.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $-817.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 08/20/2026                                | CUSIP: 912797TX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8493000 | PA      | $8373216.00   | 0.72%             | 2026-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $644.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-1134.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | COTTON NO.2 FUTR  JUL26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          9 | NC      | $324585.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-32710.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $78171.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1115.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $4120.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1422.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-2943.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $22821.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF: MSCI INTERNATIONAL ITALY NET INDEX EUR REAL T | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | XX        |       1837 | NC      | $-2450.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-59848.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $50960.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 3-5/8% 04/15/28      | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    1681000 | PA      | $3553845.82   | 0.31%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-4719.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1426.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2083.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $679.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $184.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $336.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-2.91        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IBEX 35 INDX FUTR APR26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | ES        |          9 | NC      | $1759401.99   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $2852.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-2278.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3344.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $74520.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FWDP 2Y RTP 2.0000 17-DEC-2027                       | FWDP 2Y RTP 2.0000 17-DEC-2027 EXPIRATION: 17-DEC-2027            | CUSIP: SWP8505C5<br>LEI: N/A                  | N/A              | DIR              |  | US        | -471000000 | NC      | $-484489.30   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                              | REF: BLOOMBERG COMMODITY INDEX TOTAL RETURN BRK: GOLDMAN SACHS    | CUSIP: TRS31BRY1<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DE               |  | US        |     150363 | NC      | $7823401.95   | 0.68%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.875000% 07/15/2035                              | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   16000000 | PA      | $16127377.86  | 1.39%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-3056.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-2943.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1664.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-3090.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $378.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1399.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 1.125% 01/15/2033    | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    9736000 | PA      | $10238296.40  | 0.89%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $161.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $4797.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $806.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $6.34         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-31493.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $24959.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 09/10/2026                                | CUSIP: 912797UF2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     166000 | PA      | $163319.69    | 0.01%             | 2026-09-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $77104.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $240.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PHP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $476.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-16035.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2167.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-6502.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-270.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $4797.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SILVER FUTURE     JUL26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          1 | NC      | $377395.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1066.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $198.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $647.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1724.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $1006.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $1154.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $22820.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1627.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $-143.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-466.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-13512.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $626.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | LONG GILT FUTURE  JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        348 | NC      | $40287635.83  | 3.48%             |  |  |  | No            |                  1 | On Loan: No      |
| EURO-BOBL FUTURE  JUN26                              | EURO-BOBL FUTURE  JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        248 | NC      | $32983799.98  | 2.85%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1041.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-0.02        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $1311.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1698.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $24963.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SET50 FUTURES     JUN26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | TH        |         -3 | NC      | $-17490.60    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $144.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-3677.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2442.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-8470.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-354.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-2474.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $-143.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3598.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3159.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-1916.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-8304.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2353.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-8.60        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $407.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | HANG SENG IDX FUT APR26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | HK        |          7 | NC      | $1105105.75   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 04/23/2026                                | CUSIP: 912797SM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3883000 | PA      | $3874387.00   | 0.34%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-12958.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3982.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-17353.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-5315.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-13833.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-4.99        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-3678.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $68.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $652.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-11.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-3858.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-12959.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-2675.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3599.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2167.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2784.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1250.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2717.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $637.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-13560.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | US 5YR NOTE (CBT) JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       1841 | NC      | $199158804.70 | 17.22%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $6878.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-48930.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $65.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $880.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $908.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.625000% 04/15/2030                              | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   13400000 | PA      | $13827613.52  | 1.20%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1232.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-9.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1395.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-30.93       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 1-3/4% 01/15/28      | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    2126000 | PA      | $3347666.82   | 0.29%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $477.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-52052.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2252.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1885.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-288.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $104.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $54738.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-1669.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-8010.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 2.125000% 04/15/2029                              | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    8880000 | PA      | $9585567.62   | 0.83%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/8% 07/15/2027    | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    5997000 | PA      | $7970276.02   | 0.69%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1025.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $730.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $18.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $187.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $4349.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $31.78        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 1.375 07/15/33       | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    9782000 | PA      | $10239746.74  | 0.89%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $28.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $6731.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2203.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $95.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $-164.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOYBEAN FUTURE    MAY26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -7 | NC      | $-409850.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $77128.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-16409.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-8724.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | US 5YR NOTE (CBT) JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        494 | NC      | $53440765.63  | 4.62%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2105.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-3709.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-703.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $951.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $769.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-1358.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1267.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $599.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-12392.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-104.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-1625.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3084.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-22117.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2038.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2206.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2186.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REF : NVIDIA CORP                                    | REF: NVDIA CORP BRK: JPMORGAN                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DE               |  | US        |   24696760 | NC      | $821400.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $343.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $623.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republique Francaise                                 | FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 0.600000% 07/25/2034     | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | USGA              | FR        |    4000000 | PA      | $4865416.03   | 0.42%             | 2034-07-25      | Fixed         | 0.60%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-2309.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2785.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1546.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $292.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-22971.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-690.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-1261.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republique Francaise                                 | FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 0.100000% 07/25/2031     | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | USGA              | FR        |    4400000 | PA      | $5997388.31   | 0.52%             | 2031-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $480.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-6584.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $181.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-8011.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-31635.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1562.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $427.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $72242.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $24325.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-1588.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-19693.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-11469.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1447.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-52533.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1027.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $8.97         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $5019.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-2854.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $504.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $663.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $462.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | S&P500 EMINI FUT  JUN26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        409 | NC      | $134371837.50 | 11.62%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $262.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1816.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $8988.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $-143.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-4996.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $51.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $97.06        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1175.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2517.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-17352.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-4719.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1386.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-1.86        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-11583.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $41.61        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 06/25/2026                                | CUSIP: 912797TE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1768000 | PA      | $1753024.17   | 0.15%             | 2026-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $18473.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2184.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $323.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-6279.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-1669.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-1967.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $-3102.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-2574.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-1717.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-15910.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-393.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2844.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $227.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-174.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $53.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-11361.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-132.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $-417.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $298.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 07/15/2031    | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    7921000 | PA      | $8980257.18   | 0.78%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $292.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1041.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-3367.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $77111.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $465.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $305.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $6171.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-2278.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $82902.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $651.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $247.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $79.81        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-48928.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-1807.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $95.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-18996.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | COTTON NO.2 FUTR  MAY26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          6 | NC      | $210000.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | SIMT MULTI-ASSET ACCUMULATION CFC ACCUMULATION COMMODITY STRATEGY | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               |  | US        |   12522914 | NS      | $123451885.10 | 10.68%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $82543.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | S&P MID 400 EMINI JUN26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         40 | NC      | $13586000.00  | 1.17%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-2774.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $305.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2517.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-49.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $63.17        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $8.46         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SUGAR #11 (WORLD) JUL26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        161 | NC      | $2827417.60   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $333.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $4242.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $106.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-3693.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $394.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $644.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1899.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1604.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-7193.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-2275.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2615.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $692.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2083.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 2.125000% 01/15/2035                              | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   15000000 | PA      | $15720081.80  | 1.36%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $669.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BRENT CRUDE FUTR  JUL26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         88 | NC      | $8462960.00   | 0.73%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1324.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2454.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-2271.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1378.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-568.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $323.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1346.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $777.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $72248.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $159.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | CORN FUTURE       MAY26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         63 | NC      | $1441912.50   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1604.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1.78         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-4606.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-209.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $292.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-901.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOYBEAN MEAL FUTR MAY26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         12 | NC      | $379680.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-1.09        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 04/16/2026                                | CUSIP: 912797QD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4000000 | PA      | $3993956.68   | 0.35%             | 2026-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2335.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $77.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $661.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $247.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-16417.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-18388.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-16975.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $451.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $326.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-1660.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-558.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-13594.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | COFFEE 'C' FUTURE JUL26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         31 | NC      | $3380550.00   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-10701.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $660.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-18925.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Canada                                               | CAN 10YR BOND FUT JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |        -88 | NC      | $-7567539.69  | -0.65%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1260.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: GBP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | GB        |          1 | NC      | $-13888.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-11141.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1047.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-28337.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                | JPN 10Y BOND(OSE) JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         16 | NC      | $13105537.76  | 1.13%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-5.24        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $448.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF:MSCI INTERNATIONAL SOUTH AFRICA NET INDEX ZAR  | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | ZA        |   12575278 | NC      | $22184.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-112.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1202.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-19903.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-4890.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 2-1/2% 01/15/29      | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    2017000 | PA      | $3169359.29   | 0.27%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | OMXS30 IND FUTURE APR26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SE        |         37 | NC      | $1134129.38   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2436.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $902.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $628.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-1.86        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $23059.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1995.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2095.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BROWN BROTHERS HARRIMAN SWEEP (ACCRUAL ONLY)                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |   95085595 | PA      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1419.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $181.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1843.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $23206.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-84.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-18602.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REF: RCXTEF1 INDEX TRS                               | REF: RCXTEF1 INDEX TRS BRK:GOLDMANSACHS                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |    2200044 | NC      | $1654433.20   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $60.72        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $171.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-32694.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-4674.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2089.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | LEAN HOGS FUTURE  JUN26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         36 | NC      | $1512720.00   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1996.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-1499.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $82895.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-558.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-18373.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $201.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1989.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $43088.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $173.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | GASOLINE RBOB FUT JUN26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         24 | NC      | $3080044.80   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | FTSE KLCI FUTURE  APR26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | MY        |         -1 | NC      | $-20863.18    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LME ZINC FUTURE   JUN26                              | LME ZINC FUTURE   JUN26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         24 | NC      | $1945800.00   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $23210.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-17.85       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 1-5/8% 10/15/27      | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    8211000 | PA      | $9154442.85   | 0.79%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $217.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1475.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $427.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3343.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | COCOA FUTURE - IC MAY26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -4 | NC      | $-131184.72   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Canada                                               | CAN 10YR BOND FUT JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |        704 | NC      | $60540317.44  | 5.24%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $911.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $238.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | CATTLE FEEDER FUT AUG26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          4 | NC      | $728850.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| EURO-BUXL 30Y BND JUN26                              | EURO-BUXL 30Y BND JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        151 | NC      | $19183385.18  | 1.66%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $6731.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $677.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $320.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1579.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 04/02/2026                                | CUSIP: 912797SD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9226000 | PA      | $9225070.02   | 0.80%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-12317.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-18656.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3100.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-3766.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $-4985.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-3113.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $173.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $271.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-10040.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2356.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $90978.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3305.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1025.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-2238.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $787.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-18387.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1447.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-35272.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3057.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $647.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF: MSCI INTERNATIONAL HONG KONG NET INDEX HKD RE | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | HK        |        128 | NC      | $-67258.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 07/09/2026                                | CUSIP: 912797RF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1775000 | PA      | $1757400.64   | 0.15%             | 2026-07-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $4497.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-3702.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-2581.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-2308.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1363.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-215.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America                                      | BRK: BANK OF AMERICA REF: TASE TA-35 IDX- 2026-06-17              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DE               |  | IL        |     799393 | NC      | $9114.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-8934.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REF:BROADCOM INC                                     | REF:BROADCOM INC BRK - JPMORGAN                                   | CUSIP: 11135F101<br>LEI: N/A                  | N/A              | DE               |  | US        |   18564900 | NC      | $-5700.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-436.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $6750.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-568.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-225.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-30363.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3.85         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-3677.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-711.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1.47         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-2357.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-3702.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | GASOLINE RBOB FUT MAY26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          2 | NC      | $269127.60    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $777.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-208.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $441.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-31935.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1395.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-35924.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $999.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $28.83        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1034.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | S&P500 EMINI FUT  JUN26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        502 | NC      | $164925825.00 | 14.26%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $8.98         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-2927.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 09/24/2026                                | CUSIP: 912797UH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3866000 | PA      | $3798442.27   | 0.33%             | 2026-09-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $563.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republique Francaise                                 | FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 0.100000% 07/25/2036     | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | USGA              | FR        |    5000000 | PA      | $6300620.09   | 0.54%             | 2036-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0.125%  01/15/2030   | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    6607000 | PA      | $7993249.47   | 0.69%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $46682.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1664.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $187.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3982.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-2289.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $21.57        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/8%  01/15/2027   | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    4999000 | PA      | $6744149.99   | 0.58%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $8366.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-130.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $155.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $425.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-15438.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-266.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $97.35        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $18471.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2037.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES .125 07/15/2030      | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    7132000 | PA      | $8611447.52   | 0.74%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $-452.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $562.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $103.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-45.04       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $577.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 05/07/2026                                | CUSIP: 912797SP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1452000 | PA      | $1446711.09   | 0.13%             | 2026-05-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-1192.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF:MSCI INTERNATIONAL UNITED KINGDOM NET INDEX GB | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | GB        |         37 | NC      | $-11308.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $630.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-2854.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $500.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-1402.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-469.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $276.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1057.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | NATURAL GAS FUTR  JUN26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         20 | NC      | $601200.00    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-418.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $60.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-711.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-1893.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-30179.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $4857.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-35925.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1260.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8%  01/15/32     | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    8926000 | PA      | $9637749.12   | 0.83%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-11539.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-6501.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $579.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1174.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1317.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-17.84       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $85.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-34968.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1399.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $150.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $56.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1569.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1218.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $54.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1297.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1032.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1322.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-1.97        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1558.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-5048.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-53435.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOYBEAN FUTURE    JUL26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        119 | NC      | $7056700.00   | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-60.04       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.625000% 10/15/2029                              | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    9633000 | PA      | $10113786.77  | 0.87%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | MSCI SING IX ETS  APR26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |        -14 | NC      | $-473774.37   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 2.375% 10/15/2028    | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    8629000 | PA      | $9485531.58   | 0.82%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1925.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-14911.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $579.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1057.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $4014.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-1893.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $566.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-19.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EURO-SCHATZ FUT   JUN26                              | EURO-SCHATZ FUT   JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         66 | NC      | $8041825.10   | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $155.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2914.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $204.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $326.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF: MSCI INTERNATIONAL AUSTRALIA NET INDEX AUD RE | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | AU        |     912366 | NC      | $16916.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1162.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $6608.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-704.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $573.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $2852.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-346.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $4818.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-21517.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1457.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1904.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $150.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-11104.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $77135.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1419.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $480.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-3545.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-22883.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2311.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2432.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $363.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 08/06/2026                                | CUSIP: 912797RG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15060000 | PA      | $14869282.57  | 1.29%             | 2026-08-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $990.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $137.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-2774.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $858.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $59.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1025.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $294.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-2741.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1312.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $-1898.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $48890.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $626.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-7042.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $4367.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | ABIOMED INC - CVR CONTINGENT VALUE RIGHT                          | CUSIP: 003CVR016<br>LEI: N/A                  | Long             | EC               |  | US        |        422 | NS      | $0.01         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $63.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-1623.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1884.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-2066.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-3544.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-16410.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1363.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $269.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $574.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-1941.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-2764.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.750000% 01/15/2034                              | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   13200000 | PA      | $13907354.03  | 1.20%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2026.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1798.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-8.61        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1071.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1698.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-19630.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $732.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $79.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $951.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-18.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $63.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-168.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $320.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $16859.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-15420.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2494.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $18.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $70497.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-4067.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $4612.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3681.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-0.96        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1996.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUST 3YR BOND FUT JUN26                              | AUST 3YR BOND FUT JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | Long             |  |  | AU        |         23 | NC      | $1632841.37   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-8266.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SILVER FUTURE     MAY26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          6 | NC      | $2247570.00   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-10367.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-4173.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-208.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $334.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3.86         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | LME COPPER FUTURE JUN26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         35 | NC      | $10791829.59  | 0.93%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-15420.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1.48         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EURO STOXX 50     JUN26                              | EURO STOXX 50     JUN26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |        261 | NC      | $16524887.66  | 1.43%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $112.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-19444.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 01/15/2031    | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    7454000 | PA      | $8755479.94   | 0.76%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1028.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | US 10YR NOTE (CBT)JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       1013 | NC      | $112490484.40 | 9.73%             |  |  |  | No            |                  1 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | UNITED KINGDOM I/L GILT 1.125000% 09/22/2035                      | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | USGA              | GB        |    3300000 | PA      | $4426680.62   | 0.38%             | 2035-09-22      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $660.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $596.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. GILT STOCK - INFLATION LINKED 1 1/4% 11/22/2032              | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | USGA              | GB        |    3100000 | PA      | $7850648.93   | 0.68%             | 2032-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $651.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3878.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $54482.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $355.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $4120.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-2474.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $348.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $4856.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PHP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $476.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $874.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRK: JP MORGAN                                       | BRK: JP MORGAN REF: KOSPI 200 INDEX FUTURE JUN26                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | KR        |         64 | NC      | $15653706.80  | 1.35%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-940.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-4098.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1346.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $16863.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-32696.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $430.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-6202.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $1006.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $927.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-31829.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-4676.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EURO-BOBL FUTURE  JUN26                              | EURO-BOBL FUTURE  JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        950 | NC      | $126349233.80 | 10.93%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $4298.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $679.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1174.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $74.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOYBEAN OIL FUTR  MAY26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         86 | NC      | $3554208.00   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-8661.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $13426.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $253.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-4704.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-258.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $5581.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | S&P/TSX 60 IX FUT JUN26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | CA        |         21 | NC      | $5741650.25   | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3632.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-2.65        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | COFFEE 'C' FUTURE MAY26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -2 | NC      | $-223762.50   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $4070.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $444.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-141491.89   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $171.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-1660.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1528.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-279.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-8385.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3084.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-1320.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $690.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $51.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1899.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-79066.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-282.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRK: BANK OF AMERICA                                 | BRK: BANK OF AMERICA REF: SWISS MARKET INDEX FUTURE JUN26         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | CH        |        -46 | NC      | $-7254209.45  | -0.63%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-1.09        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-6583.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $90985.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-184.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-18603.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $473.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | MSCI EAFE         JUN26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        333 | NC      | $48303315.00  | 4.18%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-3907.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $448.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $562.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-31722.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $112.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-2510.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-152.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1447.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $348.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-4173.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-10722.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-49.74       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-2456.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 07/15/2031    | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   11900000 | PA      | $13491359.74  | 1.17%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2356.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/4% 07/15/2028    | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    5442000 | PA      | $7029733.48   | 0.61%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $391.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FWDP 2Y RTP 3.0000 17-DEC-2027                       | FWDP 2Y RTP 3.0000 17-DEC-2027 EXPIRATION: 17-DEC-2027            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  314000000 | NC      | $977506.28    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| HSCEI CHINA INDEX FUTURE SWAP - APR26                | HSCEI CHINA INDEX FUTURE SWAP - APR26 BRK: JPMORGAN CHASE         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        239 | NC      | $12737704.39  | 1.10%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $73.83        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2121.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $283.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $2465.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $227.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $444.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-22619.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1621.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1259.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-15.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-11357.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $37.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-2848.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-141498.46   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $292.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-4367.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-12529.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $26.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REF: NVDIA CORP                                      | REF: NVDIA CORP BRK: JPMORGAN                                     | CUSIP: TRS890404<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |   48803400 | NC      | $-900600.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-461.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | UKTI   0.750 11/22/33 0.75                                        | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | USGA              | GB        |    3900000 | PA      | $5489784.66   | 0.47%             | 2033-11-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $13427.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $279.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $166.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $-59.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $660.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $731.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-5/8% 07/15/2032    | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    9655000 | PA      | $10196872.71  | 0.88%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $986.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $803.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-99.83       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1925.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $858.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-31830.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-2299.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-2.52        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-329.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-22727.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-2111.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $46674.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1006.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-2.65        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $651.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8%  01/15/32     | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   13000000 | PA      | $14036605.27  | 1.21%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-270.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-13032.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-23081.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-2573.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-10192.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | TOPIX INDX FUTR   JUN26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |         82 | NC      | $18060720.35  | 1.56%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $161.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-690.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $-1935.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $238.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $204.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-602.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $889.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1487.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $63.59        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $-452.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1603.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $327.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1394.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-18.04       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1045.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-234.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1540.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1075.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-282.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOYBEAN MEAL FUTR JUL26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         92 | NC      | $2891560.00   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF:MSCI INTERNATIONAL SINGAPORE NET INDEX SGD REA | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | SG        |     433803 | NC      | $-2432.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-2456.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $979.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $298.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1510.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1032.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 08/27/2026                                | CUSIP: 912797TY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9244000 | PA      | $9107378.86   | 0.79%             | 2026-08-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-8446.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1329.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-2361.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $-7481.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1635.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $159.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $334.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $389.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $4242.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-3793.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-3114.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $266.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-1.80        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $-7476.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-19505.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-472.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-130.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $59.30        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1323.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $6608.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1000.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-1521.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $248.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-11827.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF: MSCI MEXICO NR INDEX IN MXN- 2026-06-17       | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | MX        |       1099 | NC      | $1793.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-5205.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-354.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $363.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1475.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-1357.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2205.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | LIVE CATTLE FUTR  JUN26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         34 | NC      | $3308540.00   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $107.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $28.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-168.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 04/09/2026                                | CUSIP: 912797SL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     299000 | PA      | $298760.10    | 0.03%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | LOW SU GASOIL G   MAY26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          4 | NC      | $495700.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2042.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-13832.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EURO-BUND FUTURE  JUN26                              | EURO-BUND FUTURE  JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        464 | NC      | $67036478.86  | 5.80%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $333.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-4098.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2252.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | LONG GILT FUTURE  JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        355 | NC      | $41098019.31  | 3.55%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $159.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $25.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1628.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2676.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $441.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-2136.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $382.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2632.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-4457.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EURO-BUXL 30Y BND JUN26                              | EURO-BUXL 30Y BND JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         16 | NC      | $2032676.59   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-2.53        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2528.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-112.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-9089.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $317.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $128.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-34973.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $997.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1739.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $311.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-34936.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $38.62        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $65.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1042.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-270.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1394.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $94.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1387.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $8366.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1264.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-16509.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-453.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1046.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | E-MINI RUSS 2000  JUN26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         93 | NC      | $11681730.00  | 1.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $388.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | US LONG BOND(CBT) JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        174 | NC      | $19814250.00  | 1.71%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $182.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-209.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-393.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PHP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1495.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PHP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1495.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BROWN BROTHERS HARRIMAN SWEEP (ACCRUAL ONLY)                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |  101431176 | PA      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $311.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2454.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1313.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1604.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $24327.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1260.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $450.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-384.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1399.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 2.125000% 01/15/2035                              | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   11670000 | PA      | $12230223.64  | 1.06%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | KC HRW WHEAT FUT  JUL26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          3 | NC      | $97312.50     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $816.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $926.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $6518.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $229.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $26.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 1.375 07/15/33       | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   12100000 | PA      | $12666217.09  | 1.10%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $5581.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $6519.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | WTI CRUDE FUTURE  MAY26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          7 | NC      | $709660.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $207.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $378.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $462.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IFSC NIFTY 50 FUT APR26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | IN        |         82 | NC      | $3686966.00   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1298.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3100.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | US LONG BOND(CBT) JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        700 | NC      | $79712500.00  | 6.89%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $706.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $333.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-1941.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 07/02/2026                                | CUSIP: 912797PM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30000000 | PA      | $29723750.70  | 2.57%             | 2026-07-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-1319.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-2758.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $343.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-10545.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-83.88       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-225.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $985.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1047.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-31937.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $52.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1330.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2311.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 3-3/8% 04/15/32      | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |     701000 | PA      | $1417031.40   | 0.12%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $646.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-3676.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | CORN FUTURE       JUL26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        117 | NC      | $2739262.50   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| EURO-BUND FUTURE  JUN26                              | EURO-BUND FUTURE  JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        451 | NC      | $65158301.65  | 5.63%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1447.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1403.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2206.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| USD CALL / CNH PUT                                   | USD CALL / CNH PUT EXPIRATION: 02/23/2027                         | CUSIP: USD85P714<br>LEI: N/A                  | N/A              | DFE              |  | US        |    3500000 | NC      | $222553.87    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $319.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $9.36         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1966.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $-164.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-11935.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $25.97        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1995.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3955.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | S&P/TSX 60 IX FUT JUN26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | CA        |         29 | NC      | $7928945.58   | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-10520.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-35107.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $4611.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-351.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2089.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-1135.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $21.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1450.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $68.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-5/8% 07/15/2032    | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   12400000 | PA      | $13095931.81  | 1.13%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $143.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                            | BRK - JPMORGAN CHASE BANK REF : JAAA UP STOCK                     | CUSIP: 47103U845<br>LEI: 984500653R409CC5AB28 | N/A              | DE               |  | US        |     493778 | NC      | $-128382.28   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3663.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-704.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-11935.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-15.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1902.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-9407.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-2116.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $26803.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-1577.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3457.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $34.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-34638.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1164.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2456.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $4014.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-31634.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | US ULTRA BOND CBT JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        108 | NC      | $12588750.00  | 1.09%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $283.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-2789.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |          1 | NC      | $-3522.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2184.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $70490.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | FTSE/JSE TOP 40   JUN26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | ZA        |          9 | NC      | $561982.77    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $6749.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $78178.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-36624.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.625000% 04/15/2030                              | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    9915000 | PA      | $10231402.10  | 0.88%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1967.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1162.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/2% 01/15/2028    | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    6171000 | PA      | $8072640.18   | 0.70%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1538.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1815.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $907.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-234.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1419.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-1521.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $23061.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NVIDIA CORPORATION                                   | NVIDIA CORP COMMON STOCK                                          | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               |  | US        |     136900 | NS      | $23875360.00  | 2.06%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-1610.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-3858.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-2066.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-2925.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1562.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2196.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $879.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $52359.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-9754.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $430.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-15208.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1528.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-4909.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $956.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-5472.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-1499.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $54.62        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1798.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1027.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1140.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $54743.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-332.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1626.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $201.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1328.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-279.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 06/04/2026                                | CUSIP: 912797SX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30000000 | PA      | $29807264.70  | 2.58%             | 2026-06-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1320.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1967.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1902.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $599.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRK: JP MORGAN CHASE                                 | BRK: JP MORGAN CHASE REF: AEX INDEX FUTURE SWAP -APR26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | XX        |          7 | NC      | $1545081.23   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1506.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-1.97        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SPI 200 FUTURES   JUN26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | AU        |        -62 | NC      | $-9037340.68  | -0.78%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-2289.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $803.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 05/21/2026                                | CUSIP: 912797SV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30000000 | PA      | $29848833.30  | 2.58%             | 2026-05-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-22.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-779.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-34972.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-472.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $277.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-22.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1566.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $271.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $609.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $99.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $68.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-2309.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $391.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1556.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $283.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 1.125% 01/15/2033    | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   12800000 | PA      | $13460373.25  | 1.16%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $596.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $56330.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRK - JP MORGAN                                      | BRK - JP MORGAN REF - BERYTR                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |      83535 | NC      | $6740730.60   | 0.58%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-8469.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-32709.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3332.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-6287.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $-1819.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-5.26        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $36.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-174.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF: MSCI INTERNATIONAL SWEDEN NET INDEX SEK REAL  | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | SE        |         32 | NC      | $-10146.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $47299.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-418.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-6672.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-448.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1472.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-698.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $26801.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $336.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $257.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $638.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $902.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-8266.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1312.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $18381.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REF: MICROSOFT CORP                                  | REF: MICROSOFT CORP BRK: JPMORGAN                                 | CUSIP: 594918104<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |   49618704 | NC      | $3632485.20   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-15617.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1323.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | LME LEAD FUTURE   JUN26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         10 | NC      | $474220.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1989.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $1231.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $3332.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | NATURAL GAS FUTR  MAY26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         12 | NC      | $346080.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1562.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-16036.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-351.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2354.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |          1 | NC      | $-6339.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-10226.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-22150.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $54487.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-2848.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $47305.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $688.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $976.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-79064.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $-59.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-7178.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-34943.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BROWN BROTHERS HARRIMAN SWEEP (ACCRUAL ONLY)                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |   15009127 | PA      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |          1 | NC      | $-1603.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-16509.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $998.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $799.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |          1 | NC      | $-36623.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-1401.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-2.92        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $228.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $56.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-2.19        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |          1 | NC      | $-323.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 07/02/2026                                | CUSIP: 912797PM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3196000 | PA      | $3166570.24   | 0.27%             | 2026-07-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $605.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-4457.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-30586.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | US 10YR NOTE (CBT)JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       1046 | NC      | $116155031.30 | 10.05%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-1917.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | KC HRW WHEAT FUT  MAY26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         18 | NC      | $571950.00    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-1239.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-7245.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $54558.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-16417.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-152.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-18374.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $48882.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-1130.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-22116.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $148.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $639.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: KRW/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | KR        |          1 | NC      | $-22775.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $6.33         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $417.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NVIDIA CORPORATION                                   | NVIDIA CORP COMMON STOCK                                          | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               |  | US        |     285000 | NS      | $49704000.00  | 4.30%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-288.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $329.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $799.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1202.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $477.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-1239.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $198.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-70.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-1008.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $79.85        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | LME PRI ALUM FUTR JUN26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         97 | NC      | $8444189.50   | 0.73%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: TWD/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | TW        |          1 | NC      | $-1965.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUST 10Y BOND FUT JUN26                              | AUST 10Y BOND FUT JUN26 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | Short            |  |  | AU        |       -167 | NC      | $-12324670.23 | -1.07%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | WHEAT FUTURE(CBT) MAY26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          8 | NC      | $246500.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-9340.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-1610.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |          1 | NC      | $-10130.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $805.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF: MSCI INTERNATIONAL SWITZERLAND NET INDEX CHF  | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | CH        |     450759 | NC      | $4619.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $74527.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |          1 | NC      | $-268.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-1910.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $0.20         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $469.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $19.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-49.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-1623.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |          1 | NC      | $-16137.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |          1 | NC      | $-17795.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1843.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $50954.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $-105.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: INR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | IN        |          1 | NC      | $-1378.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $450.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. GILT STOCK - INFLATION LINKED 0.75% 03/22/2034               | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | USGA              | GB        |    3100000 | PA      | $6917294.30   | 0.60%             | 2034-03-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PHP SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $450.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2419.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $2335.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/KRW SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1563.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |          1 | NC      | $427.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |          1 | NC      | $-389.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1480.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $104.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $206.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1398.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | FTSE/MIB IDX FUT  JUN26 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | IT        |         24 | NC      | $6025025.91   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $1457.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $177.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: EUR/USD SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | XX        |          1 | NC      | $-5047.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2026-06-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |          1 | NC      | $347.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SUGAR #11 (WORLD) MAY26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         40 | NC      | $695296.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-31

**Name of Applicant:** SEI INSTITUTIONAL MANAGED TRUST

**Signature:** Glenn Kurdziel

**Name of Signer:** Glenn Kurdziel

**Title:** Controller and Chief Financial Officer