# EDGAR Filing Document

**Accession Number:** 0000882443
**File Stem:** 0000940400-25-010185
**Filing Date:** 2025-11
**Character Count:** 116928
**Document Hash:** 8397fdd3b002124726caae1282c842ff
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-25-010185.hdr.sgml**: 20251125

**ACCESSION NUMBER**: 0000940400-25-010185

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251125

**DATE AS OF CHANGE**: 20251125

**PERIOD START**: 20250930

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06520
- **FILM NUMBER:** 251516253

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Stamford

  - **State:** CT

  - **Foreign country:** US

  - **Zip / Postal Code:** 06901

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2025-09-30

- **b. Date as of which information is reported:** 2025-09-30

**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:** $6342696.42

**Total Liabilities:** $567847.27

**Net Assets:** $5774849.15

**Cash Not Reported:** $1530784.10

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -42.43653000 | **1-Year:** 117.93863000 | **5-Year:** -79.27770000 | **10-Year:** -207.98681000 | **30-Year:** 0.00000000

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000248365 | -0.83%               | 3.47%                | 5.90%                |
| Class ID C000248367 | -0.83%               | 3.47%                | 5.90%                |
| Class ID C000248366 | -0.83%               | 3.47%                | 5.90%                |

**Monthly Gains & Losses**

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

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                               | Title                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BARCLAYS PLC                                       | NZD/USD FORWARD                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $497.17       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | JPY/USD FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $20.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | E-MINI RUSS 2000                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |         1 | NC      | $1946.57      | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/TWD FORWARD                   | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-49.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | CHF/USD FORWARD                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $21.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                             | CANOLA (WCE)                      | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |        -3 | NC      | $409.69       | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                             | USD/AUD FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-26.27       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | CHF/USD FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $34.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | SEK/USD FORWARD                   | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.16         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | SGD/USD FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-27.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | CNH/USD FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.32        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED    | JPY/USD FORWARD                   | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | ZAR/USD FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3.89         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/NOK FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2.70        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CAD/USD FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.07         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | VSTOXX                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |        -8 | NC      | $379.46       | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | USD/HUF FORWARD                   | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $13.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/MXN FORWARD                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2.26        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/CHF FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                 | NATURAL GAS                       | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |        -3 | NC      | $-795.94      | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | LIVE CATTLE                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |         1 | NC      | $567.62       | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                             | USD/HUF FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4034.68      | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/CNH FORWARD                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-118.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | EURO STOXX 50                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |         2 | NC      | $1278.07      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| OSAKA EXCHANGE,INC                                 | JAPAN 10Y BOND(OSE)               | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |        -2 | NC      | $16122.92     | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/CAD FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $426.73       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | JPY/USD FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-42.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/CNH FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-44.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | USD/JPY FORWARD                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.36        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/KRW FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1.64        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/MXN FORWARD                   | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2.70        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/SGD FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | CAD/USD FORWARD                   | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-11.04       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/SEK FORWARD                   | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $6.66         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | SEK/USD FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1890.68     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITY EXCHANGE, INC.                           | COPPER                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |         1 | NC      | $9848.20      | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| NATIXIS                                            | USD/SEK FORWARD                   | CUSIP: 000000000<br>LEI: KX1WK48MPD4Y2NCUIZ63 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.56        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA EXCHANGE, INC.                               | KOREA 3YR BND                     | CUSIP: 000000000<br>LEI: 549300TJ3RRV6Q1UEW14 | N/A              | DIR              | CORP              | KR        |        -1 | NC      | $34.92        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | EURO-BUXL 30Y BND                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -1 | NC      | $-3194.13     | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | CAD/USD FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.87        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/AUD FORWARD                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $80.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | INR/USD FORWARD                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-15.38       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/HUF FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $11.78        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/JPY FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.82         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | 3 MONTH SOFR                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-138.82      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/CNH FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.26         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/JPY FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4.85         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | EURO-BTP                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         1 | NC      | $1431.82      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | CNH/USD FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.09         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BORSE AKTIENGESELLSCHAFT                  | USD/AUD FORWARD                   | CUSIP: 000000000<br>LEI: 529900G3SW56SHYNPR95 | N/A              | DFE              | CORP              | US        |         1 | NC      | $371.13       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | CHF/USD FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.77         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | AUD/USD FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $129.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | PLN/USD FORWARD                   | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.49         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | SGD/USD FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.12         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE INC.                             | CAN 10YR BOND                     | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |         9 | NC      | $42.04        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank, National Association                     | USD/KRW FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $123.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/NZD FORWARD                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $361.79       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                 | GASOLINE RBOB                     | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         1 | NC      | $-106.78      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Citibank, National Association                     | USD/NOK FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $49.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/CNH FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.53         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/NZD FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1749.86      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | SEK/USD FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $18.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CAD/USD FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4.10        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | EURO-SCHATZ                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |       -10 | NC      | $307.02       | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/ZAR FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2001.74      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITY EXCHANGE, INC.                           | SILVER                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |         2 | NC      | $64316.40     | 1.11%             |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                   | NOK/USD FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4.45         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | NZD/USD FORWARD                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2739.62     | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE                         | HSCEI                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | HK        |         3 | NC      | $5000.74      | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | PLN/USD FORWARD                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-333.29      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/NOK FORWARD                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $25.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE                         | HANG SENG INDEX                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | HK        |         2 | NC      | $9587.31      | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | SGD/USD FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.57        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | US 10YR ULTRA                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-813.50      | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHE BORSE AKTIENGESELLSCHAFT                  | USD/CHF FORWARD                   | CUSIP: 000000000<br>LEI: 529900G3SW56SHYNPR95 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.09         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | 3 MONTH SOFR                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $111.17       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CHF/USD FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.54        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/KRW FORWARD                   | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $11.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SECURITIES (USA) INC.              | CNH/USD FORWARD                   | CUSIP: 000000000<br>LEI: 549300WO2DKF0Q3YMV43 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-201.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | PLN/USD FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.75        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | JPY/USD FORWARD                   | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-35.27       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/CAD FORWARD                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1302.64     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/TWD FORWARD                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-5.42        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/PLN FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $6.38         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/MXN FORWARD                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $6506.93      | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                 | LOW SU GASOIL G                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         1 | NC      | $-1.10        | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24             | AUST 3YR BOND                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |        -7 | NC      | $-141.37      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                             | USD/INR FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $14.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/EUR FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-118.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | WHEAT (CBT)                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |        -7 | NC      | $9333.83      | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | 3 MONTH SOFR                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-113.82      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/SGD FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/AUD FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-520.98      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | NZD/USD FORWARD                   | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-233.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                 | NATURAL GAS                       | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |        -2 | NC      | $6536.41      | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                             | USD/CNH FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $450.80       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                 | FTSE 100 INDEX                    | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DE               | CORP              | GB        |         3 | NC      | $3770.59      | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/NOK FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-9.37        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/SGD FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.07         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | KRW/USD FORWARD                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-16.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/PLN FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1.09        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| XTX MARKETS TRADING LIMITED                        | ZAR/USD FORWARD                   | CUSIP: 000000000<br>LEI: 213800N2KFBZBWWT8D92 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | INR/USD FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $7.43         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SECURITIES (USA) INC.              | SGD/USD FORWARD                   | CUSIP: 000000000<br>LEI: 549300WO2DKF0Q3YMV43 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-574.33      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/INR FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4236.12      | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/HUF FORWARD                   | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.71         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/CHF FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.24         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/AUD FORWARD                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $932.28       | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | US 5YR NOTE (CBT)                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         2 | NC      | $-876.92      | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                             | HUF/USD FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $36.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/TWD FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.17         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/SGD FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.06         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/CNH FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/CHF FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.20        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/SEK FORWARD                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4.34         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | TWD/USD FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $33.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/JPY FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1.08        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OMX NORDIC EXCHANGE STOCKHOLM                      | OMXS30 IND                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | SE        |         4 | NC      | $389.35       | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | SGD/USD FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/SEK FORWARD                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $6.76         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | MXN/USD FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4.20         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/SGD FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                        | USD/CAD FORWARD                   | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.12         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | JPY/USD FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.60         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| XTX MARKETS TRADING LIMITED                        | USD/SEK FORWARD                   | CUSIP: 000000000<br>LEI: 213800N2KFBZBWWT8D92 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | CORN                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |        -7 | NC      | $-3153.56     | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Citibank, National Association                     | USD/KRW FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.15        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | SGD/USD FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1.50        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/CHF FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $5.61         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/INR FORWARD                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.86        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                        | USD/JPY FORWARD                   | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-577.37      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | CAD/USD FORWARD                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $665.95       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CBOE FUTURES EXCHANGE, LLC                         | CBOE VIX                          | CUSIP: 000000000<br>LEI: 254900O9GJPIWCP8RH13 | N/A              | DE               | CORP              | US        |        -1 | NC      | $1709.42      | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | HUF/USD FORWARD                   | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-13.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | US LONG BOND(CBT)                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-1063.01     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                       | USD/CAD FORWARD                   | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |         1 | NC      | $728.05       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | EURO-BOBL                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -1 | NC      | $-376.11      | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | ZAR/USD FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1.02        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/INR FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $54.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/GBP FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-320.69      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | SOYBEAN OIL                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |        -4 | NC      | $974.09       | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                             | USD/CAD FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $7.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| XTX MARKETS TRADING LIMITED                        | ZAR/USD FORWARD                   | CUSIP: 000000000<br>LEI: 213800N2KFBZBWWT8D92 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED    | JPY/USD FORWARD                   | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.05        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | SEK/USD FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/SGD FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | GBP/USD FORWARD                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1353.96     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/CAD FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $623.82       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE INC.                             | S&P/TSX 60 IX                     | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DE               | CORP              | CA        |         2 | NC      | $11920.01     | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/CAD FORWARD                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1.43        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | HUF/USD FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $39.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | CHF/USD FORWARD                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4.93        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24             | 90-DAY BANK BILL                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |        -6 | NC      | $1406.98      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | CNH/USD FORWARD                   | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-392.19      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | SEK/USD FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.85        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/ZAR FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $916.23       | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | USD/MXN FORWARD                   | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2588.22      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | AUD/USD FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $916.89       | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | USD/CAD FORWARD                   | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $7.36         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/INR FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-17.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/GBP FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1002.49     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | CHF/USD FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.20         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | SEK/USD FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3.45         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | CNH/USD FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.26         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | DJIA MINI E-CBOT                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DE               | CORP              | US        |         1 | NC      | $-171.47      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | 3 MONTH SOFR                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-88.83       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| OSAKA EXCHANGE,INC                                 | TOPIX INDX                        | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               | CORP              | JP        |         2 | NC      | $1030.95      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                             | CHF/USD FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.14        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL STOCK EXCHANGE OF INDIA LIMITED           | IFSC NIFTY 50                     | CUSIP: 000000000<br>LEI: 335800NLY5HYW9I7YE03 | N/A              | DE               | CORP              | IN        |        -3 | NC      | $1915.58      | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/SEK FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $11.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | PLN/USD FORWARD                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $32.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | SOYBEAN                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |        -2 | NC      | $192.17       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | USD/ZAR FORWARD                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.70         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/CHF FORWARD                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $880.26       | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | CAD/USD FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-5.23        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | KRW/USD FORWARD                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $12.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| XTX MARKETS TRADING LIMITED                        | USD/NOK FORWARD                   | CUSIP: 000000000<br>LEI: 213800N2KFBZBWWT8D92 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.99         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BORSE AKTIENGESELLSCHAFT                  | USD/NOK FORWARD                   | CUSIP: 000000000<br>LEI: 529900G3SW56SHYNPR95 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-14.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | CAD/USD FORWARD                   | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2389.50      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | CAD/USD FORWARD                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $12.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/NZD FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $498.88       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MACQUARIE CAPITAL (USA) INC.                       | USD/PLN FORWARD                   | CUSIP: 000000000<br>LEI: 549300670K07JRB5UQ40 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2.74        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/HUF FORWARD                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $38.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | HUF/USD FORWARD                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $15.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/MXN FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4.09        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | CNH/USD FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-221.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CNH/USD FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.33        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/PLN FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $28.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/CHF FORWARD                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/SGD FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $262.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/AUD FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-21.44       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BORSE AKTIENGESELLSCHAFT                  | CNH/USD FORWARD                   | CUSIP: 000000000<br>LEI: 529900G3SW56SHYNPR95 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-19.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                 | LOW SU GASOIL G                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         1 | NC      | $798.90       | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/HUF FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4.25        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | USD/KRW FORWARD                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $461.46       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | EURO-OAT                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -3 | NC      | $-4004.94     | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Citibank, National Association                     | ZAR/USD FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $12.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/PLN FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.10        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | PLN/USD FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2.94        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/SEK FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-21.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | KC HRW WHEAT                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |        -5 | NC      | $8411.81      | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank, National Association                     | USD/TWD FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.30        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/EUR FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-324.05      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | CNH/USD FORWARD                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.32        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | USD/HUF FORWARD                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-14.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | SGD/USD FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $117.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/ZAR FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-28.14       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/CHF FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2.45        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | MXN/USD FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2.56         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/NOK FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.02        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | LEAN HOGS                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |         3 | NC      | $-457.03      | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/JPY FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2.17        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | SOYBEAN MEAL                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |        -7 | NC      | $10573.83     | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/ZAR FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2.40        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/MXN FORWARD                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $14.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/SGD FORWARD                   | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/NOK FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.25         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/SEK FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.11        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/TWD FORWARD                   | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-258.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BORSE AKTIENGESELLSCHAFT                  | CNH/USD FORWARD                   | CUSIP: 000000000<br>LEI: 529900G3SW56SHYNPR95 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.30        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | HUF/USD FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3.12         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BORSE AKTIENGESELLSCHAFT                  | CNH/USD FORWARD                   | CUSIP: 000000000<br>LEI: 529900G3SW56SHYNPR95 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-177.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                 | LONG GILT                         | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |        -3 | NC      | $-1776.88     | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | US 10YR NOTE (CBT)                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-360.38      | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                 | NATURAL GAS                       | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |        -2 | NC      | $3087.18      | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | CNH/USD FORWARD                   | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-517.68      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CBOE FUTURES EXCHANGE, LLC                         | CBOE VIX                          | CUSIP: 000000000<br>LEI: 254900O9GJPIWCP8RH13 | N/A              | DE               | CORP              | US        |        -2 | NC      | $-193.56      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/TWD FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-430.80      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CHF/USD FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.08        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | CHF/USD FORWARD                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1170.82     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BORSE AKTIENGESELLSCHAFT                  | USD/CHF FORWARD                   | CUSIP: 000000000<br>LEI: 529900G3SW56SHYNPR95 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-137.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/SGD FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1004.95     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                                 | NIKKEI 225 (OSE)                  | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               | CORP              | JP        |         1 | NC      | $13323.00     | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                         | NIKKEI 225 (SGX)                  | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | SG        |         1 | NC      | $5376.62      | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                       | USD/NOK FORWARD                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-8.78        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SECURITIES (USA) INC.              | PLN/USD FORWARD                   | CUSIP: 000000000<br>LEI: 549300WO2DKF0Q3YMV43 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.17        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/ZAR FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3181.46      | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/INR FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-41.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITY EXCHANGE, INC.                           | GOLD 100 OZ                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |         2 | NC      | $64376.35     | 1.11%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/NZD FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $42.37        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/SEK FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.03         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/SGD FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.43         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/SGD FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $383.73       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | NZD/USD FORWARD                   | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $609.42       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/AUD FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-897.98      | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | KRW/USD FORWARD                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-6.76        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/AUD FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-488.05      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | MXN/USD FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-48.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | MXN/USD FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2167.57      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/SGD FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $9.23         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | CAD/USD FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2.44        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | CNH/USD FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-6.79        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | INR/USD FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2.56        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | ZAR/USD FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3.24        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/NOK FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $800.43       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/MXN FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $31.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIXED INCOME CLEARING CORPORATION                  | FIXED INCOME CLEARING CORPORATION | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |   4076000 | PA      | $4076000.00   | 70.58%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | EUR/USD FORWARD                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1108.77     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                        | NOK/USD FORWARD                   | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-81.27       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE INC.                             | 3M CORRA                          | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |         1 | NC      | $-0.94        | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/GBP FORWARD                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-442.61      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | USD/ZAR FORWARD                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-46.85       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | HUF/USD FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3.21        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | INR/USD FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $7.71         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/JPY FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-8.35        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                 | NATURAL GAS                       | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |        -2 | NC      | $5067.12      | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES U.S., INC.                             | SUGAR #11 (WORLD)                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |       -12 | NC      | $1617.84      | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                         | FTSE TAIWAN INDEX                 | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | SG        |         6 | NC      | $-3967.40     | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                                 | 3MO EURO EURIBOR                  | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-279.28      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                             | USD/CNH FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-485.92      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | CHF/USD FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/NOK FORWARD                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3.14        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/CAD FORWARD                   | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $6.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                         | FTSE CHINA A50                    | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | SG        |        34 | NC      | $-3587.32     | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/TWD FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1.89        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | MXN/USD FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1.05        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | AUD/USD FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-906.65      | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                        | USD/NOK FORWARD                   | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |         1 | NC      | $24.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/ZAR FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-11.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24             | SPI 200                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | AU        |         5 | NC      | $-4061.18     | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | SEK/USD FORWARD                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $16.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | 3 MONTH SOFR                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-201.32      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                   | CAD/USD FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.09         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                 | LOW SU GASOIL G                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         1 | NC      | $-51.10       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT PARIS SA                                  | CAC40 10 EURO                     | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DE               | CORP              | FR        |         1 | NC      | $316.42       | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | CAD/USD FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $704.83       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | EURO-BUND                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -1 | NC      | $-411.33      | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/SEK FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1464.66     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | NZD/USD FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $785.29       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CNH/USD FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.37         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/NOK FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-11.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/ZAR FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-29.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/CAD FORWARD                   | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | INR/USD FORWARD                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3.81         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | PLN/USD FORWARD                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-10.59       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | USD/CAD FORWARD                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-26.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | PLN/USD FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-52.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | 3 MONTH SOFR                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $148.67       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/MXN FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-18.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/PLN FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $10.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/MXN FORWARD                   | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4637.99      | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | JPY/USD FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/HUF FORWARD                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | HUF/USD FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | SGD/USD FORWARD                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.22        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | 3 MONTH SOFR                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $73.67        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                             | USD/KRW FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $894.67       | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/KRW FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $625.58       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                       | CAD/USD FORWARD                   | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4.78        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/INR FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $446.25       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/HUF FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4.61         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BORSE AKTIENGESELLSCHAFT                  | USD/CNH FORWARD                   | CUSIP: 000000000<br>LEI: 529900G3SW56SHYNPR95 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | CNH/USD FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $6.65         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | SGD/USD FORWARD                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-220.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/SEK FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2.31         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/HUF FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-25.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | JPY/USD FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-176.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | CNH/USD FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $23.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | TWD/USD FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-31.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | HUF/USD FORWARD                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3.02        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/ZAR FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-46.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | MXN/USD FORWARD                   | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-108.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/CNH FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-581.69      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/CNH FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-12.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/INR FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $6.80         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/CAD FORWARD                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.08        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | SHORT EURO-BTP                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         6 | NC      | $-274.14      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                 | GASOLINE RBOB                     | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         1 | NC      | $-556.20      | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| THE STOCK EXCHANGE OF THAILAND                     | SET50                             | CUSIP: 000000000<br>LEI: 254900R211PTUP8K9M82 | N/A              | DE               | CORP              | TH        |        11 | NC      | $-618.16      | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/INR FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | SGD/USD FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.32         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | NOK/USD FORWARD                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $17.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/KRW FORWARD                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-6.13        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | SEK/USD FORWARD                   | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.29        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | TWD/USD FORWARD                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4.68        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | SGD/USD FORWARD                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $318.58       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/SGD FORWARD                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.02        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/KRW FORWARD                   | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-22.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-24

**Name of Applicant:** AMG Funds I

**Signature:** Thomas Disbrow

**Name of Signer:** Thomas Disbrow

**Title:** Principal Financial Officer