# EDGAR Filing Document

**Accession Number:** 0001364924
**File Stem:** 0000035402-26-002681
**Filing Date:** 2026-4
**Character Count:** 391933
**Document Hash:** 0f88edfefe92dd8995ca315e14a3661f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-26-002681.hdr.sgml**: 20260424

**ACCESSION NUMBER**: 0000035402-26-002681

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260424

**DATE AS OF CHANGE**: 20260424

**PERIOD START**: 20260531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Rutland Square Trust II
- **CENTRAL INDEX KEY:** 0001364924

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0228

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21991
- **FILM NUMBER:** 26895584

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

## Series and Classes Contracts Data

### Strategic Advisers Alternatives Fund (Series ID: S000076543)

| Class ID   | Class Name                           | Ticker Symbol   |
|:---|:---|:---|
| C000236518 | Strategic Advisers Alternatives Fund | FSLTX           |

## Nport-Ex

**Consolidated Quarterly Holdings Report**

**for**

**Strategic Advisers® Alternatives Fund**

*Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public*

**February 28, 2026**

SAA-NPRT3-0426

1.9905804.103 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Alternative Funds - 72.8%** | &nbsp;&nbsp;**Alternative Funds - 72.8%** | &nbsp;&nbsp;**Alternative Funds - 72.8%** |
|  | Shares | Value ($)<br>|
| Absolute Convertible Arbitrage Fund Investor Shares  | 12639503 | 147755785 |
| AGF U.S. Market Neutral Anti-Beta Fund  | 1944444 | 27377772 |
| American Beacon AHL Managed Futures Strategy Fund R5 Class  | 4107311 | 43208907 |
| BlackRock Global Equity Market Neutral Fund A Shares  | 19359252 | 283032270 |
| BlackRock Systematic Multi-Strategy Fund Investor A Shares  | 10775646 | 116269218 |
| Federated Hermes MDT Market Neutral Fund A Shares  | 8773026 | 189497367 |
| Fidelity SAI Alternative Risk Premia Commodity Strategy Fund (e) | 4187107 | 38981966 |
| Fidelity SAI Alternative Risk Premia Currency Strategy Fund (e) | 563 | 5362 |
| Fidelity SAI Convertible Arbitrage Fund (e) | 44190705 | 488749197 |
| First Trust Merger Arbitrage Fund Class I  | 4996158 | 52909308 |
| Fulcrum Diversified Absolute Return Fund Super Institutional Class  | 5439078 | 58198135 |
| John Hancock Diversified Macro Fund Class A  | 567 | 5063 |
| Miller Market Neutral Income Fund Class I  | 2697842 | 30026978 |
| Stone Ridge Diversified Alternatives Fund Class I  | 21228382 | 209948702 |
| The Merger Fund Class A  | 8744962 | 151550194 |
| <br> **TOTAL ALTERNATIVE FUNDS**<br> (Cost $1,764,373,939) |  | **1837516224** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 0.2%** | &nbsp;&nbsp;**Asset-Backed Securities - 0.2%** | &nbsp;&nbsp;**Asset-Backed Securities - 0.2%** | &nbsp;&nbsp;**Asset-Backed Securities - 0.2%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAILIWICK OF JERSEY - 0.0%  |  |  |  |
| Unity-Peace Park CLO Ltd Series 2026-1A Class A1R, CME Term SOFR 3 month Index + 1.06%, 4.7231% 4/20/2035 (g)(h)(i) |  | 300000 | 300209 |
| BERMUDA - 0.0%  |  |  |  |
| SYMP Series 2025-32A Class AR, CME Term SOFR 3 month Index + 1.15%, 4.821% 10/23/2035 (g)(h)(i) |  | 250000 | 250216 |
| CANADA - 0.0%  |  |  |  |
| Evergreen Cr Card Tr Series 2025-1A Class A, U.S. SOFR Index + 0.59%, 4.262% 10/15/2029 (g)(h)(i) |  | 500000 | 501912 |
| GRAND CAYMAN (UK OVERSEAS TER) - 0.2%  |  |  |  |
| Agl Clo 14 Ltd Series 2025-14A Class AR, CME Term SOFR 3 month Index + 1.13%, 4.7997% 12/2/2034 (g)(h)(i) |  | 300000 | 300314 |
| Benefit Street Partners Clo Xxii Ltd Series 2025-22A Class ARR, CME Term SOFR 3 month Index + 1.15%, 4.8176% 4/20/2035 (g)(h)(i) |  | 250000 | 250312 |
| Kkr Clo 16 Ltd Series 2025-16 Class A1R3, CME Term SOFR 3 month Index + 1.14%, 4.8076% 10/20/2034 (g)(h)(i) |  | 250000 | 250235 |
| Kkr Clo Trust Series 2025-33A Class AR, CME Term SOFR 3 month Index + 1.08%, 4.7476% 7/20/2034 (g)(h)(i) |  | 250000 | 250113 |
| Lcm 31 Ltd Series 2024-31A Class AR, CME Term SOFR 3 month Index + 1.28%, 4.9476% 7/20/2034 (g)(h)(i) |  | 300000 | 300184 |
| Madison Park Funding Xlix Ltd Series 2025-49A Class AR, CME Term SOFR 3 month Index + 1.05%, 4.7176% 10/19/2034 (g)(h)(i) |  | 300000 | 300048 |
| Marble Point Clo Xxii Ltd Series 2025-2A Class AR, CME Term SOFR 3 month Index + 1.22%, 4.888% 7/25/2034 (g)(h)(i) |  | 250000 | 250071 |
| Marble Point Clo Xxiv Ltd Series 2026-1A Class A1R, CME Term SOFR 3 month Index + 1.09%, 4.7531% 4/20/2035 (g)(h)(i) |  | 300000 | 300098 |
| MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL7 Class A, CME Term SOFR 1 month Index + 1.1945%, 4.8605% 10/16/2036 (g)(h)(i) |  | 102583 | 102607 |
| Ofsi Bsl Xi Ltd Series 2024-10A Class AR, CME Term SOFR 3 month Index + 1.27%, 4.9376% 4/20/2034 (g)(h)(i) |  | 500000 | 500473 |
| Sound Point CLO XXVIII Ltd Series 2024-3A Class A1R, CME Term SOFR 3 month Index + 1.28%, 4.948% 1/25/2032 (g)(h)(i) |  | 597311 | 598175 |
| Symphony Clo Xxix Ltd Series 2025-29A Class AR, CME Term SOFR 3 month Index + 1.15%, 4.8222% 10/15/2035 (g)(h)(i) |  | 250000 | 250209 |
| Wellfleet Clo Ltd Series 2025-2A Class A1R, CME Term SOFR 3 month Index + 1.15%, 4.8222% 7/15/2034 (g)(h)(i) |  | 250000 | 250006 |
| TOTAL GRAND CAYMAN (UK OVERSEAS TER) |  |  | 3902845 |
| IRELAND - 0.0%  |  |  |  |
| Cumulus Static Clo Series 2024-1A Class A, 3 month EURIBOR + 1.2%, 3.184% 11/15/2033 (g)(h)(i) | EUR | 198400 | 234886 |
| LUXEMBOURG - 0.0%  |  |  |  |
| Fact SA Series 2024-1 Class A, 1 month EURIBOR + 0.65%, 2.571% 9/22/2031 (f)(g)(h) | EUR | 313527 | 371167 |
| UNITED STATES - 0.0%  |  |  |  |
| Enterprise Fleet Financing LLC Series 2022-3 Class A2, 4.38% 7/20/2029 (i) |  | 3931 | 3932 |
| GM Financial Automobile Leasing Trust Series 2025-1 Class A2A, 4.54% 5/20/2027 (h) |  | 462344 | 463175 |
| Toyota Lease Owner Trust Series 2025-A Class A2A, 4.58% 7/20/2027 (i) |  | 162502 | 162827 |
| TOTAL UNITED STATES |  |  | 629934 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $6,153,700) |  |  | <br> **6191169** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.1%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.0%  |  |  |  |
| Mortgage House Rmbs Osmium Series 2024-2 Class A1L, 1 month Australian Financial Market Rate + 1.3%, 5.0973% 3/15/2056 (g)(h) | AUD | 213870 | 152765 |
| Orde Trust Series 2025-1 Class A1L, 1 month Australian Financial Market Rate + 1.15%, 4.94% 6/11/2056 (g)(h) | AUD | 738226 | 526951 |
| TOTAL AUSTRALIA |  |  | 679716 |
| UNITED KINGDOM - 0.0%  |  |  |  |
| Polaris Series 2026-1A Class A, SONIA Overnight Deposit Rates SWAP + 0.73%, 4.46% 6/27/2070 (g)(i) | GBP | 200000 | 269557 |
| UNITED STATES - 0.1%  |  |  |  |
| Fannie Mae Guaranteed REMIC Series 2024-10 Class AF, U.S. 30-Day Avg. SOFR Index + 0.9%, 4.9247% 12/25/2050 (g)(h) |  | 54571 | 55073 |
| Fannie Mae Guaranteed REMIC Series 2024-54 Class FC, U.S. 30-Day Avg. SOFR Index + 0.97%, 4.6372% 8/25/2054 (g)(h) |  | 187259 | 188568 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class FA, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7672% 6/25/2054 (g)(h) |  | 186558 | 187715 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5383 Class AF, U.S. 30-Day Avg. SOFR Index + 1%, 4.8003% 8/15/2048 (g)(h) |  | 54268 | 54415 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5442 Class FB, U.S. 30-Day Avg. SOFR Index + 0.97%, 4.6372% 8/25/2054 (g)(h) |  | 255751 | 257807 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5480 Class FG, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 12/25/2054 (g)(h) |  | 187789 | 188936 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class UF, U.S. 30-Day Avg. SOFR Index + 0.9%, 4.5672% 11/25/2054 (g)(h) |  | 199809 | 200903 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5567 Class FB, U.S. 30-Day Avg. SOFR Index + 1%, 4.6672% 8/25/2055 (g)(h) |  | 252833 | 254791 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H05 Class FC, CME Term SOFR 1 month Index + 0.8645%, 4.5469% 2/20/2067 (g)(h) |  | 563094 | 564819 |
| Ginnie Mae Mortgage pass-thru certificates Series 2023-H20 Class FL, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7615% 5/20/2073 (g)(h) |  | 154915 | 156844 |
| Ginnie Mae Mortgage pass-thru certificates Series 2024-H12 Class FC, U.S. 30-Day Avg. SOFR Index + 0.9%, 4.5615% 7/20/2074 (g)(h) |  | 384763 | 390433 |
| TOTAL UNITED STATES |  |  | 2500304 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $3,378,221) |  |  | <br> **3449577** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Fixed-Income Funds - 10.9%** | &nbsp;&nbsp;**Fixed-Income Funds - 10.9%** | &nbsp;&nbsp;**Fixed-Income Funds - 10.9%** |
|  | Shares | Value ($)<br>|
| Eaton Vance Global Macro Absolute Return Advantage Fund Class A <br>(Cost $217,108,754)<br>| 22423769 | **274242698** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BRAZIL - 0.0%  |  |  |  |
| Brazilian Federative Republic Treasury Bills 0% 4/1/2026 (k)<br> (Cost $37,271) | BRL | 200000 | **38520** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 0.4%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 0.4%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 0.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Royal Bank of Canada U.S. SOFR Averages Index + 0.46%, 4.1295% 8/3/2026 (g)(h) | 700000 | 700720 |
| FINLAND - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Financial Services - 0.1% |  |  |
| Kuntarahoitus Oyj U.S. SOFR Averages Index + 1%, 4.6677% 2/2/2029 (g)(h)(i) | 800000 | 815480 |
| FRANCE - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Banque Federative du Credit Mutuel SA U.S. SOFR Index + 0.99%, 4.6562% 10/16/2028 (g)(h)(i) | 200000 | 201102 |
| GERMANY - 0.0%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Automobiles - 0.0% |  |  |
| BMW US Capital LLC U.S. SOFR Averages Index + 0.8%, 4.4711% 8/13/2026 (g)(h)(i) | 700000 | 701925 |
| ITALY - 0.0%  |  |  |
| Utilities - 0.0% |  |  |
| Electric Utilities - 0.0% |  |  |
| Enel Finance International NV 1.625% 7/12/2026 (i)(j) | 300000 | 297234 |
| JAPAN - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| NTT Finance Corp 1.162% 4/3/2026 (i) | 200000 | 199541 |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Sumitomo Mitsui Financial Group Inc U.S. SOFR Index + 1.3%, 4.9644% 7/13/2026 (g)(h) | 500000 | 501961 |
| TOTAL JAPAN |  | 701502 |
| NETHERLANDS - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Cooperatieve Rabobank UA/NY U.S. SOFR Averages Index + 0.62%, 4.3701% 8/28/2026 (g)(h) | 700000 | 701309 |
| SWEDEN - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Swedbank AB 5.337% 9/20/2027 (f) | 600000 | 613231 |
| UNITED KINGDOM - 0.0%  |  |  |
| Consumer Staples - 0.0% |  |  |
| Tobacco - 0.0% |  |  |
| BAT International Finance PLC 1.668% 3/25/2026  | 300000 | 299537 |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| Nationwide Building Society U.S. SOFR Index + 1.29%, 4.9622% 2/16/2028 (g)(h)(i) | 500000 | 503465 |
| TOTAL UNITED KINGDOM |  | 803002 |
| UNITED STATES - 0.3%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| Cox Communications Inc 3.35% 9/15/2026 (i) | 500000 | 497570 |
| Consumer Discretionary - 0.0% |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Royal Caribbean Cruises Ltd 5.5% 8/31/2026 (i) | 300000 | 300036 |
| Consumer Staples - 0.0% |  |  |
| Beverages - 0.0% |  |  |
| Molson Coors Beverage Co 3% 7/15/2026  | 200000 | 199158 |
| Financials - 0.2% |  |  |
| Banks - 0.0% |  |  |
| Morgan Stanley Private Bank NA U.S. SOFR Index + 0.77%, 4.4373% 7/6/2028 (g)(h) | 250000 | 250590 |
| Capital Markets - 0.1% |  |  |
| Goldman Sachs Group Inc/The 1.431% 3/9/2027 (h) | 800000 | 799511 |
| Consumer Finance - 0.0% |  |  |
| Ford Motor Credit Co LLC 4.271% 1/9/2027  | 400000 | 399923 |
| Ford Motor Credit Co LLC 5.8% 3/5/2027  | 300000 | 304072 |
|  |  | 703995 |
| Financial Services - 0.1% |  |  |
| Global Payments Inc 1.2% 3/1/2026  | 800000 | 800001 |
| Insurance - 0.0% |  |  |
| Jackson National Life Global Funding 4.9% 1/13/2027 (i) | 150000 | 151092 |
| Protective Life Global Funding U.S. SOFR Index + 0.5%, 4.1665% 7/22/2026 (g)(h)(i) | 200000 | 200167 |
|  |  | 351259 |
| TOTAL FINANCIALS |  | 2905356 |
| Health Care - 0.0% |  |  |
| Health Care Providers & Services - 0.0% |  |  |
| HCA Inc 5.25% 6/15/2026  | 200000 | 200132 |
| Utilities - 0.1% |  |  |
| Electric Utilities - 0.1% |  |  |
| Eversource Energy 4.75% 5/15/2026  | 400000 | 400549 |
| Southern California Edison Co 4.4% 9/6/2026  | 500000 | 500782 |
| TOTAL UTILITIES |  | 901331 |
| TOTAL UNITED STATES |  | 5003583 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $10,495,058) |  | <br> **10539088** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Repurchase Agreements - 2.0%** | &nbsp;&nbsp;**Repurchase Agreements - 2.0%** | &nbsp;&nbsp;**Repurchase Agreements - 2.0%** |
|  | Maturity<br> Amount ($)<br>| Value ($)<br>|
| BNP Paribas SA 3.68%, dated 3/2/2026 due 3/3/2026 (b) | 26002658 | 26000000 |
| Repurchase Agreements\*  | 25107802 | 25100000 |
| <br> **TOTAL REPURCHASE AGREEMENTS**<br> (Cost $51,100,000) |  | **51100000** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 1.5%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 1.5%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 1.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 1.5%  |  |  |
| Ginnie Mae II Pool 5.5% 3/1/2056 (c) | 11000000 | 11141635 |
| Ginnie Mae II Pool 5.5% 4/1/2056 (c) | 11900000 | 12040672 |
| Uniform Mortgage Backed Securities 5% 3/1/2041 (c) | 2900000 | 2944066 |
| Uniform Mortgage Backed Securities 5% 4/1/2041 (c) | 1300000 | 1318992 |
| Uniform Mortgage Backed Securities 5.5% 3/1/2056 (c) | 2800000 | 2845063 |
| Uniform Mortgage Backed Securities 5.5% 4/1/2056 (c) | 2800000 | 2842875 |
| Uniform Mortgage Backed Securities 6% 3/1/2056 (c) | 3100000 | 3179801 |
| Uniform Mortgage Backed Securities 6% 4/1/2056 (c) | 1700000 | 1743563 |
| TOTAL UNITED STATES |  | 38056667 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $37,985,637) |  | <br> **38056667** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 0.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.2%** |
|  | Yield (%) (n) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 3/10/2026  | 3.64 to 3.81 | 334000 | 333731 |
| US Treasury Bills 0% 3/3/2026  | 3.77 | 72000 | 71993 |
| US Treasury Bills 0% 4/14/2026 (o) | 3.56 to 3.65 | 363000 | 361425 |
| US Treasury Bills 0% 4/2/2026  | 3.65 | 300000 | 299064 |
| US Treasury Bills 0% 4/28/2026  | 3.59 to 3.65 | 300000 | 298277 |
| US Treasury Bills 0% 4/30/2026  | 3.65 | 100000 | 99405 |
| US Treasury Bills 0% 4/7/2026  | 3.64 to 3.65 | 200000 | 199274 |
| US Treasury Bills 0% 4/9/2026  | 3.55 to 3.64 | 400000 | 398471 |
| US Treasury Bills 0% 5/14/2026  | 3.63 | 400000 | 397088 |
| US Treasury Bills 0% 5/21/2026  | 3.63 to 3.64 | 100000 | 99203 |
| US Treasury Bills 0% 5/28/2026  | 3.61 to 3.62 | 200000 | 198268 |
| US Treasury Bills 0% 6/16/2026  | 3.62 to 3.63 | 500000 | 494739 |
| US Treasury Bills 0% 6/2/2026  | 3.64 | 200000 | 198168 |
| US Treasury Bills 0% 6/23/2026  | 3.63 | 100000 | 98875 |
| US Treasury Bills 0% 6/9/2026  | 3.63 to 3.64 | 700000 | 693102 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $4,240,655) |  |  | **4241083** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 10.6%** | &nbsp;&nbsp;**Money Market Funds - 10.6%** | &nbsp;&nbsp;**Money Market Funds - 10.6%** | &nbsp;&nbsp;**Money Market Funds - 10.6%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (p) | 3.70 | 587078 | 587195 |
| Fidelity Investments Money Market Government Portfolio - Institutional Class (d)(e) | 3.59 | 98197047 | 98197047 |
| State Street Institutional U.S. Government Money Market Fund Premier Class (d) | 3.63 | 168582587 | 168582587 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $267,366,829) |  |  | **267366829** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Purchased Options - 0.1%** | **Purchased Options - 0.1%** | **Purchased Options - 0.1%** | **Purchased Options - 0.1%** | **Purchased Options - 0.1%** | **Purchased Options - 0.1%** | **Purchased Options - 0.1%** |
|  | Counterparty | Number<br> of Contracts | Notional Amount ($) | Exercise<br> Price ($) | Expiration<br> Date | Value ($) |
| Put Options |  |  |  |  |  |  |
| S&P 500 Index | Chicago Board Options Exchange | 31 | 21324528 | 6500 | 5/2026 | 305040 |
| S&P 500 Index | Chicago Board Options Exchange | 34 | 23388192 | 6650 | 4/2026 | 307020 |
| S&P 500 Index | Chicago Board Options Exchange | 58 | 39897504 | 4450 | 12/2026 | 287100 |
| S&P 500 Index | Chicago Board Options Exchange | 29 | 19948752 | 6550 | 3/2026 | 99180 |
| S&P 500 Index | Chicago Board Options Exchange | 50 | 34394400 | 4600 | 1/2027 | 303250 |
| S&P 500 Index | Chicago Board Options Exchange | 57 | 39209616 | 4300 | 2/2027 | 308655 |
|  |  |  |  |  |  | **1610245** |
| **TOTAL PURCHASED OPTIONS**<br> (Cost $1,936,882) |  |  |  |  |  | **1610245** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 98.8%**<br> (Cost $2,364,176,946)<br>| <br>**2494352100** |
| **NET OTHER ASSETS (LIABILITIES) - 1.2%** (l)(m)  | **31079402** |
| **NET ASSETS - 100.0%** | **2525431502** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 5.5% 3/1/2056 | (9300000) | (9419747) |
| Uniform Mortgage Backed Securities 5% 3/1/2041 | (1100000) | (1116714) |
| Uniform Mortgage Backed Securities 5.5% 3/1/2056 | (2800000) | (2845063) |
| Uniform Mortgage Backed Securities 6% 3/1/2056 | (3100000) | (3179801) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (16561325) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $16,538,215) |  | <br> **(16561325)** |

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Commodity Contracts |  |  |  |  |
| CBOT Wheat Contracts (United States) | 5 | 5/2026 | 145125 | (464) |
| CBOT Soybean Contracts (United States) | 24 | 5/2026 | 1404900 | 36440 |
| CBOT Soybean Meal Contracts (United States) | 36 | 5/2026 | 1153800 | 18960 |
| CBOT Soybean Oil Contracts (United States) | 41 | 5/2026 | 1521510 | 148602 |
| CBOT Wheat Contracts (United States) | 1 | 5/2026 | 29575 | 896 |
| CEC Copper Contracts (United States) | 32 | 5/2026 | 4847600 | 117289 |
| CEC Copper Contracts (United States) | 1 | 7/2026 | 152950 | 498 |
| CEC Gold Bullion Contracts (United States) | 3 | 6/2026 | 1586280 | 60284 |
| CEC Gold Bullion Contracts (United States) | 3 | 4/2026 | 1574370 | 158415 |
| CEC Gold Bullion Contracts (United States) | 38 | 4/2026 | 19942020 | 411877 |
| CME Cattle Feeder Contracts (United States) | 5 | 5/2026 | 868000 | 10725 |
| CME Cattle Feeder Contracts (United States) | 7 | 3/2026 | 1243988 | 129021 |
| CME Cattle Feeder Contracts (United States) | 4 | 8/2026 | 694650 | (23510) |
| CME Cattle Feeder Contracts (United States) | 10 | 4/2026 | 1756000 | (7024) |
| CME Lean Hogs Contracts (United States) | 5 | 6/2026 | 219100 | (283) |
| CME Live Cattle Contracts (United States) | 44 | 4/2026 | 4087160 | 62954 |
| CME Live Cattle Contracts (United States) | 19 | 6/2026 | 1741540 | 68284 |
| CME Live Cattle Contracts (United States) | 4 | 10/2026 | 363560 | (10260) |
| CME Live Cattle Contracts (United States) | 11 | 8/2026 | 1002320 | (587) |
| Euronext MATIF Wheat Contracts (France) | 17 | 5/2026 | 202379 | 3231 |
| ICE Brent Crude Oil Contracts (United Kingdom) | 11 | 5/2026 | 787710 | 42818 |
| ICE Brent Crude Oil Contracts (United Kingdom) | 5 | 4/2026 | 361450 | 22439 |
| ICE Brent Crude Oil Contracts (United Kingdom) | 52 | 4/2026 | 3759080 | 156191 |
| ICE Brent Crude Oil Contracts (United Kingdom) | 127 | 3/2026 | 9254490 | 901776 |
| ICE Coal Contracts (United Kingdom) | 3 | 4/2026 | 321150 | (3582) |
| ICE Coal Contracts (United Kingdom) | 3 | 6/2026 | 325200 | 468 |
| ICE Coal Contracts (United Kingdom) | 3 | 5/2026 | 323700 | (1032) |
| ICE Coffee C Contracts (United States) | 1 | 7/2026 | 103463 | (6528) |
| ICE Coffee Contracts (United States) | 7 | 5/2026 | 736969 | (74961) |
| ICE Coffee Robusta Contracts (United Kingdom) | 4 | 5/2026 | 144960 | (2359) |
| ICE Coffee Robusta Contracts (United Kingdom) | 16 | 5/2026 | 579840 | (18650) |
| ICE Coffee Robusta Contracts (United Kingdom) | 1 | 9/2026 | 34920 | (501) |
| ICE Coffee Robusta Contracts (United Kingdom) | 9 | 7/2026 | 319680 | (5101) |
| ICE Cotton No 2 Contracts (United States) | 26 | 5/2026 | 852930 | 16524 |
| ICE Cotton No 2 Contracts (United States) | 3 | 12/2026 | 104550 | 1782 |
| ICE Cotton No 2 Contracts (United States) | 4 | 7/2026 | 134640 | 2265 |
| ICE Endex Natural Gas Contracts (Netherlands) | 5 | 5/2026 | 132832 | 13372 |
| ICE Endex Natural Gas Contracts (Netherlands) | 20 | 4/2026 | 554015 | 23460 |
| ICE Endex Natural Gas Contracts (Netherlands) | 5 | 4/2026 | 138504 | 13963 |
| ICE Endex Natural Gas Contracts (Netherlands) | 30 | 3/2026 | 815676 | 59037 |
| ICE Frozen Concentrated Orange Juice Contracts (United States) | 3 | 5/2026 | 81675 | 3330 |
| ICE Gas Oil Contracts (United Kingdom) | 26 | 4/2026 | 1931800 | 194171 |
| ICE Gas Oil Contracts (United Kingdom) | 3 | 6/2026 | 214200 | 8972 |
| ICE Gas Oil Contracts (United Kingdom) | 8 | 5/2026 | 582000 | 51686 |
| ICE Gas Oil Contracts (United Kingdom) | 13 | 5/2026 | 945750 | 81685 |
| ICE Low Sulpur Gas Oil Contracts (United Kingdom) | 12 | 3/2026 | 903300 | 164811 |
| ICE Natural Gas Contracts (United Kingdom) | 25 | 3/2026 | 794136 | 49812 |
| ICE Natural Gas Contracts (United Kingdom) | 15 | 3/2026 | 476482 | 13469 |
| ICE WTI Crude Contracts (United Kingdom) | 5 | 5/2026 | 332800 | 35324 |
| ICE WTI Crude Contracts (United Kingdom) | 1 | 6/2026 | 66180 | 4029 |
| ICE WTI Crude Contracts (United Kingdom) | 7 | 3/2026 | 469140 | 70992 |
| ICE WTI Crude Contracts (United Kingdom) | 8 | 4/2026 | 535120 | 41031 |
| LME Aluminum Contracts (United Kingdom) | 22 | 5/2026 | 1728491 | 34559 |
| LME Aluminum Contracts (United Kingdom) | 22 | 3/2026 | 1726643 | 63977 |
| LME Lead Contracts (United Kingdom) | 36 | 3/2026 | 1735083 | (40886) |
| LME Nickel Contracts (United Kingdom) | 13 | 3/2026 | 1379258 | 83079 |
| LME Zinc Contracts (United Kingdom) | 13 | 3/2026 | 1075640 | 75843 |
| LME Zinc Contracts (United Kingdom) | 9 | 4/2026 | 745382 | 7575 |
| LME Nickel Contracts (United Kingdom) | 12 | 5/2026 | 1284050 | 58824 |
| LME Zinc Contracts (United Kingdom) | 6 | 5/2026 | 497918 | (2726) |
| NYMEX Gasoline RBOB Contracts (United States) | 6 | 5/2026 | 575165 | 9626 |
| NYMEX Gasoline RBOB Contracts (United States) | 7 | 5/2026 | 671026 | 81450 |
| NYMEX Gasoline RBOB Contracts (United States) | 10 | 4/2026 | 963060 | 68891 |
| NYMEX Gasoline RBOB Contracts (United States) | 6 | 6/2026 | 569671 | 43761 |
| NYMEX Gasoline RBOB Contracts (United States) | 11 | 3/2026 | 1055901 | 103304 |
| NYMEX Gasoline RBOB Contracts (United States) | 1 | 7/2026 | 93635 | 1754 |
| NYMEX Heating Oil Contracts (United States) | 1 | 5/2026 | 104433 | 4022 |
| NYMEX Heating Oil Contracts (United States) | 4 | 5/2026 | 417732 | 32912 |
| NYMEX Heating Oil Contracts (United States) | 7 | 4/2026 | 744232 | 66636 |
| NYMEX Heating Oil Contracts (United States) | 3 | 4/2026 | 318956 | 31095 |
| NYMEX Heating Oil Contracts (United States) | 6 | 3/2026 | 654192 | 112435 |
| NYMEX Natural Gas Contracts (United States) | 1 | 4/2026 | 28810 | (6078) |
| NYMEX Palladium Bullion Contracts (United States) | 2 | 6/2026 | 365700 | 23402 |
| NYMEX Platinum Bullion Contracts (United States) | 3 | 4/2026 | 356025 | 81413 |
| NYMEX WTI Crude Contracts (United States) | 17 | 5/2026 | 1131520 | 123948 |
| NYMEX WTI Crude Contracts (United States) | 77 | 3/2026 | 5160540 | 486666 |
| NYMEX WTI Crude Contracts (United States) | 24 | 4/2026 | 1605360 | 164735 |
| NYMEX WTI Crude Contracts (United States) | 6 | 6/2026 | 397080 | 3177 |
| NYMEX WTI Crude Contracts (United States) | 3 | 6/2026 | 198540 | 2084 |
| **TOTAL COMMODITY CONTRACTS** |  |  |  | 4761519 |
| Equity Contracts |  |  |  |  |
| ASX 24 S&P/ASX 200 Index Contracts (Australia) | 9 | 3/2026 | 1468312 | 58429 |
| CBOE VIX Index Contracts (United States) | 96 | 4/2026 | 2030506 | 56080 |
| CBOE VIX Index Contracts (United States) | 200 | 3/2026 | 4127220 | 217804 |
| CBOE VIX Index Contracts (United States) | 24 | 5/2026 | 513514 | 10320 |
| CBOT E-Mini Dow Jones Industrial Average Index Contracts (United States) | 25 | 3/2026 | 6125000 | 8514 |
| CME E-Mini Nasdaq 100 Index Contracts (United States) | 33 | 3/2026 | 16503135 | (267346) |
| CME E-Mini Russell 2000 Index Contracts (United States) | 4 | 3/2026 | 526940 | 19298 |
| CME E-Mini S&P 500 Index Contracts (United States) | 128 | 3/2026 | 44089600 | (143441) |
| Eurex DAX Index Contracts (Germany) | 28 | 3/2026 | 20965011 | 863694 |
| Eurex Euro STOXX 50 Contracts (Germany) | 40 | 3/2026 | 636173 | 31887 |
| Eurex SMI Contracts (Germany) | 71 | 3/2026 | 12887767 | 883917 |
| Euronext CAC 40 Index Contracts (France) | 3 | 3/2026 | 304622 | 8801 |
| HKFE HSI Index Contracts (Hong Kong) | 5 | 3/2026 | 283732 | (10449) |
| HKFE HSI Index Contracts (Hong Kong) | 6 | 3/2026 | 1020324 | (15403) |
| ICE 3M SONIA Index Contracts (United Kingdom) | 52 | 6/2027 | 16957076 | 13767 |
| ICE FTSE 100 Index Contracts (United Kingdom) | 8 | 3/2026 | 1175798 | 126608 |
| IDEM FTSE MIB Index Contracts (Italy) | 38 | 3/2026 | 10612529 | 644116 |
| JSE FTSE TOP 40 Index Contracts (South Africa) | 19 | 3/2026 | 1433232 | 120966 |
| KRX KOSPI 200 Index Contracts (South Korea) | 112 | 3/2026 | 18233987 | 7096107 |
| MEFF IBEX 35 Index Contracts (Spain) | 6 | 3/2026 | 1305280 | 34083 |
| NSE S&P CNX NIFTY Index Contracts (India) | 41 | 3/2026 | 2073370 | (43960) |
| OMX Stockholm 30 Index Contracts (Sweden) | 62 | 3/2026 | 2215733 | 66000 |
| OSE TOPIX Contracts (Japan) | 30 | 3/2026 | 7596773 | 1060411 |
| SGX FTSE China A50 Index Contracts (Singapore) | 1364 | 3/2026 | 19971688 | (215407) |
| SGX FTSE Taiwan RIC Capped Index Contracts (Singapore) | 14 | 3/2026 | 1587740 | 60996 |
| SGX MSCI Singapore Index Contracts (Singapore) | 165 | 3/2026 | 6020693 | (36013) |
| SGX Nikkei 225 Index Contracts (Singapore) | 3 | 3/2026 | 567477 | 54594 |
| TME S&P/TSX 60 Index Contracts (Canada) | 66 | 3/2026 | 19078333 | 1123848 |
| WSE WIG 20 Index Contracts (Poland) | 49 | 3/2026 | 943756 | 62664 |
| **TOTAL EQUITY CONTRACTS** |  |  |  | 11890885 |
| Foreign Exchange Contracts |  |  |  |  |
| CME EURO/CZK Cross Currency Contracts (United States) | 12 | 3/2026 | 2339114 | 4983 |
| CME EURO/PLZ Cross Currency Contracts (United States) | 33 | 3/2026 | 4613628 | 28203 |
| CME Euro/HUF Cross-Currency Rate Contracts (United States) | 41 | 3/2026 | 3848809 | 87391 |
| CME Japanese Yen Contracts (United States) | 1083 | 3/2026 | 86876906 | (515941) |
| CME Mexican Peso Contracts (United States) | 487 | 3/2026 | 14113260 | 732669 |
| CME South African Rand Contracts (United States) | 141 | 3/2026 | 4427400 | 250932 |
| CME United Kingdom Pound Contracts (United States) | 730 | 3/2026 | 61502500 | 620202 |
| **TOTAL FOREIGN EXCHANGE CONTRACTS** |  |  |  | 1208439 |
| Interest Rate Contracts |  |  |  |  |
| ASX 10Y Australia Treasury Bond Contracts (Australia) | 8 | 3/2026 | 629510 | 4444 |
| ASX 10Y Australia Treasury Bond Contracts (Australia) | 20 | 3/2027 | 14084018 | (17472) |
| ASX 3Y Australia Treasury Bond Contracts (Australia) | 98 | 3/2026 | 7320565 | 5510 |
| ASX 90 Day Bill Contract (Australia) | 39 | 9/2026 | 27462495 | (43981) |
| ASX 90 Day Bill Contract (Australia) | 32 | 12/2026 | 22532780 | (40912) |
| ASX 90 Day Bill Contract (Australia) | 48 | 6/2026 | 33808243 | (59584) |
| ASX 90 Day Bill Contract (Australia) | 13 | 6/2027 | 9155505 | (292) |
| CBOT 10Y Ultra US Treasury Notes Contracts (United States) | 13 | 6/2026 | 1517141 | 7702 |
| CBOT 2Y US Treasury Notes Contracts (United States) | 8 | 6/2026 | 1673875 | 2365 |
| CBOT US Treasury Long Bond Contracts (United States) | 27 | 6/2026 | 3196969 | 25139 |
| CBOT US Treasury Ultra Bond Contracts (United States) | 99 | 6/2026 | 12034688 | 124850 |
| CME 3M US SOFR Index Contracts (United States) | 60 | 6/2027 | 14553750 | 7763 |
| CME Euro Contracts (United States) | 434 | 3/2026 | 64166900 | 151148 |
| Eurex Euro-BTP Contracts (Germany) | 77 | 3/2026 | 11177286 | 210709 |
| Eurex Euro-BTP Contracts (Germany) | 14 | 6/2026 | 2017015 | 2955 |
| Eurex Euro-OAT Contracts (Germany) | 11 | 3/2026 | 1610663 | 12444 |
| Eurex Short Euro-BTP Contracts (Germany) | 42 | 3/2026 | 5346338 | 8209 |
| ICE 3M EURIBOR Index Contracts (United States) | 89 | 6/2027 | 25759530 | 17233 |
| ICE Long GILT Futures (United Kingdom) | 83 | 6/2026 | 10478572 | 118839 |
| TMX 10Y Canadian Bond Contracts (Canada) | 56 | 6/2026 | 5043100 | 21147 |
| **TOTAL INTEREST RATE CONTRACTS** |  |  |  | 558216 |
| TOTAL LONG |  |  |  | 18419059 |
| SHORT |  |  |  |  |
| Commodity Contracts |  |  |  |  |
| CBOT Corn Contracts (United States) | (88) | 5/2026 | (1973400) | 7252 |
| CBOT Corn Contracts (United States) | (105) | 5/2026 | (2354625) | (22033) |
| CBOT Corn Contracts (United States) | (51) | 7/2026 | (1162800) | (2425) |
| CBOT Corn Contracts (United States) | (9) | 9/2026 | (205088) | (2930) |
| CBOT Corn Contracts (United States) | (66) | 12/2026 | (1549350) | (25225) |
| CBOT Corn Contracts (United States) | (4) | 3/2027 | (96150) | (685) |
| CBOT Hard Red Winter Wheat Contracts (United States) | (10) | 9/2026 | (304000) | (1475) |
| CBOT Hard Red Winter Wheat Contracts (United States) | (3) | 12/2026 | (94350) | (907) |
| CBOT KC Hard Red Winter Wheat Contracts (United States) | (129) | 5/2026 | (3744225) | (139567) |
| CBOT KC Hard Red Winter Wheat Contracts (United States) | (55) | 7/2026 | (1632125) | (63010) |
| CBOT Soybean Contracts (United States) | (61) | 5/2026 | (3570788) | (137288) |
| CBOT Soybean Contracts (United States) | (27) | 7/2026 | (1596713) | (73616) |
| CBOT Soybean Contracts (United States) | (3) | 9/2026 | (109350) | (14155) |
| CBOT Soybean Meal Contracts (United States) | (41) | 5/2026 | (1314050) | (46681) |
| CBOT Soybean Meal Contracts (United States) | (13) | 7/2026 | (419640) | 3808 |
| CBOT Soybean Meal Contracts (United States) | (3) | 8/2026 | (96540) | (937) |
| CBOT Soybean Meal Contracts (United States) | (2) | 9/2026 | (63900) | (1425) |
| CBOT Soybean Meal Contracts (United States) | (1) | 10/2026 | (31650) | (672) |
| CBOT Soybean Oil Contracts (United States) | (44) | 5/2026 | (1632840) | (148782) |
| CBOT Soybean Oil Contracts (United States) | (19) | 7/2026 | (705546) | (51707) |
| CBOT Soybean Oil Contracts (United States) | (3) | 8/2026 | (110466) | (7495) |
| CBOT Soybean Oil Contracts (United States) | (1) | 10/2026 | (36036) | (980) |
| CBOT Soybean Oil Contracts (United States) | (1) | 12/2026 | (35838) | (32) |
| CBOT Soybeans Contracts (United States) | (1) | 8/2026 | (58550) | (565) |
| CBOT Soybeans Contracts (United States) | (22) | 9/2026 | (1245475) | (10504) |
| CBOT Wheat Contracts (United States) | (50) | 5/2026 | (1478750) | (84361) |
| CBOT Wheat Contracts (United States) | (20) | 7/2026 | (598750) | (24912) |
| CBOT Wheat Contracts (United States) | (4) | 9/2026 | (121950) | (3760) |
| CBOT Wheat Contracts (United States) | (4) | 12/2026 | (125350) | (6260) |
| CEC Copper Contracts (United States) | (4) | 5/2026 | (605950) | (45557) |
| CEC Silver Bullion Contracts (United States) | (6) | 5/2026 | (2798730) | 37908 |
| CME Lean Hogs Contracts (United States) | (3) | 6/2026 | (131460) | (4777) |
| CME Lean Hogs Contracts (United States) | (1) | 8/2026 | (44230) | (412) |
| CME Lean Hogs Contracts (United States) | (14) | 4/2026 | (536060) | (5414) |
| CME Lean Hogs Contracts (United States) | (2) | 7/2026 | (89340) | (855) |
| EEX Phelix DE Baseload Contracts (Germany) | (2) | 3/2026 | (364847) | (8721) |
| Euronext MATIF Rapeseed Contracts (France) | (27) | 4/2026 | (776843) | (12487) |
| Euronext MATIF Rapeseed Contracts (France) | (4) | 10/2026 | (111957) | (2671) |
| Euronext MATIF Rapeseed Contracts (France) | (8) | 7/2026 | (222732) | (4939) |
| Euronext MATIF Wheat Contracts (France) | (51) | 9/2026 | (620694) | (16854) |
| Euronext MATIF Wheat Contracts (France) | (38) | 12/2026 | (475387) | (14760) |
| Euronext MATIF Wheat Contracts (France) | (208) | 5/2026 | (2476161) | (82747) |
| ICE Canola Contracts (United States) | (6) | 11/2026 | (60869) | (3530) |
| ICE Canola Contracts (United States) | (23) | 5/2026 | (231914) | (4840) |
| ICE Canola Contracts (United States) | (14) | 7/2026 | (143382) | (2694) |
| ICE Cocoa Contracts (United Kingdom) | (6) | 5/2026 | (166327) | 44379 |
| ICE Cocoa Contracts (United Kingdom) | (4) | 5/2026 | (110885) | 70344 |
| ICE Cocoa Contracts (United Kingdom) | (1) | 7/2026 | (28395) | 13050 |
| ICE Cocoa Contracts (United States) | (6) | 5/2026 | (173280) | 66615 |
| ICE Cocoa Contracts (United States) | (6) | 7/2026 | (176520) | 9160 |
| ICE Cocoa Contracts (United States) | (1) | 7/2026 | (29420) | 26107 |
| ICE Coffee C Contracts (United States) | (15) | 7/2026 | (1551938) | 6650 |
| ICE Cotton No 2 Contracts (United States) | (17) | 7/2026 | (572220) | 730 |
| ICE ENDEX Bull Carbon Emission Contracts (Netherlands) | (15) | 12/2026 | (1245820) | 52063 |
| ICE ENDEX Bull Carbon Emission Contracts (Netherlands) | (4) | 12/2026 | (332219) | 67248 |
| ICE Sugar No 11 Contracts (United States) | (104) | 4/2026 | (1617907) | 38964 |
| ICE Sugar No 11 Contracts (United States) | (76) | 4/2026 | (1182317) | 48192 |
| ICE Sugar No 11 Contracts (United States) | (17) | 6/2026 | (264085) | 5132 |
| ICE Sugar No 11 Contracts (United States) | (1) | 9/2026 | (15859) | (3) |
| ICE White Sugar Contracts (United Kingdom) | (24) | 4/2026 | (489240) | 2643 |
| ICE White Sugar Contracts (United Kingdom) | (18) | 4/2026 | (366930) | 9262 |
| ICE White Sugar Contracts (United Kingdom) | (5) | 7/2026 | (101425) | (326) |
| LME Aluminum Contracts (United Kingdom) | (4) | 5/2026 | (314271) | (5439) |
| LME Aluminum Contracts (United Kingdom) | (22) | 3/2026 | (1726643) | (41259) |
| LME Lead Contracts (United Kingdom) | (26) | 5/2026 | (1273136) | (857) |
| LME Lead Contracts (United Kingdom) | (36) | 3/2026 | (1735083) | 29714 |
| LME Nickel Contracts (United Kingdom) | (13) | 3/2026 | (1379258) | (53413) |
| LME Zinc Contracts (United Kingdom) | (13) | 3/2026 | (1075640) | (1592) |
| LME Zinc Contracts (United Kingdom) | (9) | 4/2026 | (745382) | (35365) |
| NYMEX Natural Gas Contracts (United States) | (2) | 6/2026 | (66740) | 6766 |
| NYMEX Natural Gas Contracts (United States) | (79) | 3/2026 | (2258610) | 272484 |
| NYMEX Natural Gas Contracts (United States) | (2) | 5/2026 | (61260) | 11406 |
| NYMEX Natural Gas Contracts (United States) | (17) | 4/2026 | (489770) | 68937 |
| NYMEX Palladium Bullion Contracts (United States) | (17) | 6/2026 | (3108450) | (26962) |
| NYMEX Platinum Bullion Contracts (United States) | (14) | 4/2026 | (1661450) | (56803) |
| NYMEX Platinum Bullion Contracts (United States) | (1) | 7/2026 | (120115) | (10267) |
| SGX Iron Ore Index Contracts (Singapore) | (267) | 4/2026 | (2626212) | (66552) |
| **TOTAL COMMODITY CONTRACTS** |  |  |  | (483671) |
| Equity Contracts |  |  |  |  |
| ASX 24 S&P/ASX 200 Index Contracts (Australia) | (4) | 3/2026 | (652583) | (30367) |
| CME E-Mini Russell 2000 Index Contracts (United States) | (133) | 3/2026 | (17520755) | (309677) |
| CME E-Mini S&P MidCap 400 Index Contracts (United States) | (11) | 3/2026 | (3935690) | (183849) |
| Eurex Euro STOXX 50 Contracts (Germany) | (270) | 3/2026 | (19630039) | (349153) |
| Euronext CAC 40 Index Contracts (France) | (68) | 3/2026 | (6904774) | (152570) |
| HKFE HSI Index Contracts (Hong Kong) | (10) | 3/2026 | (567464) | 8880 |
| HKFE HSI Index Contracts (Hong Kong) | (42) | 3/2026 | (7142265) | 2468 |
| ICE 3M SONIA Index Contracts (United Kingdom) | (45) | 6/2027 | (14674392) | (34208) |
| ICE FTSE 100 Index Contracts (United Kingdom) | (53) | 3/2026 | (7789660) | (707648) |
| ICE MSCI Emerging Markets Index Contracts (United States) | (32) | 3/2026 | (2565920) | (67542) |
| JSE FTSE TOP 40 Index Contracts (South Africa) | (58) | 3/2026 | (4375128) | (447246) |
| MEFF IBEX 35 Index Contracts (Spain) | (15) | 3/2026 | (3263201) | (58208) |
| NSE S&P CNX NIFTY Index Contracts (India) | (41) | 3/2026 | (2073370) | 34660 |
| OSE Nikkei 225 Index Contracts (Japan) | (186) | 3/2026 | (7039093) | (847452) |
| OSE Nikkei 225 Index Contracts (Japan) | (20) | 3/2026 | (7568917) | (907085) |
| SGX FTSE Taiwan RIC Capped Index Contracts (Singapore) | (42) | 3/2026 | (4763220) | (129986) |
| SGX Nikkei 225 Index Contracts (Singapore) | (13) | 3/2026 | (2459066) | (289030) |
| **TOTAL EQUITY CONTRACTS** |  |  |  | (4468013) |
| Foreign Exchange Contracts |  |  |  |  |
| CME Australian Dollar Contracts (United States) | (599) | 3/2026 | (42612860) | (2570213) |
| CME Canadian Dollar Contracts (United States) | (314) | 3/2026 | (23049170) | (139572) |
| CME EURO/SEK Cross Currency Contracts (United States) | (3) | 3/2026 | (443016) | 7575 |
| CME Euro/NOK Cross-Currency Rate Contracts (United States) | (5) | 3/2026 | (738993) | 32002 |
| CME Israel Sheckel Contracts (United States) | (24) | 3/2026 | (7642320) | (101962) |
| CME New Zealand Dollar Contracts (United States) | (175) | 3/2026 | (10499125) | (279232) |
| CME Swiss Franc Contracts (United States) | (200) | 3/2026 | (32596250) | (923984) |
| KRX USD Contracts (South Korea) | (924) | 3/2026 | (9222163) | 80690 |
| **TOTAL FOREIGN EXCHANGE CONTRACTS** |  |  |  | (3894696) |
| Interest Rate Contracts |  |  |  |  |
| ASX 10Y Australia Treasury Bond Contracts (Australia) | (116) | 3/2026 | (9127900) | (104836) |
| ASX 3Y Australia Treasury Bond Contracts (Australia) | (46) | 3/2026 | (3436183) | 826 |
| CBOT 10Y US Treasury Notes Contracts (United States) | (83) | 6/2026 | (9443844) | (57781) |
| CBOT 10Y Ultra US Treasury Notes Contracts (United States) | (26) | 6/2026 | (3034281) | (22889) |
| CBOT 2Y US Treasury Notes Contracts (United States) | (685) | 6/2026 | (143325547) | (207779) |
| CBOT 5Y US Treasury Notes Contracts (United States) | (345) | 6/2026 | (37990430) | (159141) |
| CME 3M US SOFR Index Contracts (United States) | (268) | 9/2026 | (64678450) | 98979 |
| CME 3M US SOFR Index Contracts (United States) | (295) | 12/2026 | (71371563) | 16374 |
| CME 3M US SOFR Index Contracts (United States) | (353) | 9/2027 | (85655450) | (185479) |
| CME 3M US SOFR Index Contracts (United States) | (358) | 6/2027 | (86837375) | (140300) |
| CME 3M US SOFR Index Contracts (United States) | (456) | 3/2027 | (110517300) | (69553) |
| CME US SOFR Index Contracts (United States) | (277) | 12/2027 | (67214050) | (136422) |
| CME US SOFR Index Contracts (United States) | (308) | 3/2028 | (74720800) | (72433) |
| CME US SOFR Index Issuer Contracts (United States) | (172) | 6/2028 | (41710000) | (140283) |
| Eurex Euro-Bobl Contracts (Germany) | (405) | 3/2026 | (56210248) | (512475) |
| Eurex Euro-Bund Contracts (Germany) | (196) | 3/2026 | (30160434) | (410412) |
| Eurex Euro-Buxl Contracts (Germany) | (82) | 3/2026 | (11032032) | (204717) |
| Eurex Euro-OAT Contracts (Germany) | (96) | 3/2026 | (14056692) | (194359) |
| Eurex Euro-Schatz Contracts (Germany) | (301) | 3/2026 | (38066461) | (91747) |
| Eurex Euro-Schatz Contracts (Germany) | (301) | 6/2026 | (38052234) | (24349) |
| Eurex Short Euro-BTP Contracts (Germany) | (84) | 3/2026 | (10692677) | (19720) |
| ICE 3M EURIBOR Index Contracts (United Kingdom) | (28) | 3/2028 | (8094196) | (26541) |
| ICE 3M EURIBOR Index Contracts (United States) | (124) | 9/2026 | (35898839) | (11084) |
| ICE 3M EURIBOR Index Contracts (United States) | (133) | 12/2026 | (38512258) | (45137) |
| ICE 3M EURIBOR Index Contracts (United States) | (132) | 6/2026 | (38201246) | 1738 |
| ICE 3M EURIBOR Index Contracts (United States) | (69) | 9/2027 | (19963738) | (48455) |
| ICE 3M EURIBOR Index Contracts (United States) | (65) | 12/2027 | (18798739) | (51364) |
| ICE 3M EURIBOR Index Contracts (United States) | (87) | 6/2027 | (25180664) | (51196) |
| ICE 3M EURIBOR Index Contracts (United States) | (83) | 3/2027 | (24030288) | (47934) |
| ICE 3M SONIA Index Contracts (United States) | (61) | 9/2026 | (19863182) | (30177) |
| ICE 3M SONIA Index Contracts (United States) | (42) | 12/2026 | (13691854) | (34110) |
| ICE 3M SONIA Index Contracts (United States) | (63) | 3/2027 | (20546272) | (56492) |
| KRX 10Y Korea Treasury Bond Contracts (South Korea) | (114) | 3/2026 | (8933462) | (29064) |
| KRX 3Y Korea Treasury Bond Contracts (South Korea) | (134) | 3/2026 | (9820538) | (18878) |
| OSE 10Y Japan Treasury Bond Contracts (Japan) | (8) | 3/2026 | (6803061) | 34006 |
| TME 2Y Canadian Bond Contracts (Canada) | (13) | 6/2026 | (1009989) | (726) |
| TME 3M CORRA Contracts (Canada) | (9) | 9/2026 | (1613211) | (2363) |
| TME 3M CORRA Contracts (Canada) | (10) | 12/2026 | (1792731) | (4049) |
| TME 3M CORRA Contracts (Canada) | (7) | 9/2027 | (1253180) | (5235) |
| TME 3M CORRA Contracts (Canada) | (7) | 6/2027 | (1253886) | (2648) |
| TME 3M CORRA Contracts (Canada) | (11) | 3/2027 | (1971400) | (4929) |
| TME 5Y Canadian Bond Contracts (Canada) | (1) | 6/2026 | (84542) | (214) |
| **TOTAL INTEREST RATE CONTRACTS** |  |  |  | (3073348) |
| TOTAL SHORT |  |  |  | (11919728) |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **6499331** |
| The notional amount of long futures as a percentage of Net Assets is 30.5%. | The notional amount of long futures as a percentage of Net Assets is 30.5%. | The notional amount of long futures as a percentage of Net Assets is 30.5%. | The notional amount of long futures as a percentage of Net Assets is 30.5%. | The notional amount of long futures as a percentage of Net Assets is 30.5%. |
| The notional amount of short futures as a percentage of Net Assets is 63.7%. | The notional amount of short futures as a percentage of Net Assets is 63.7%. | The notional amount of short futures as a percentage of Net Assets is 63.7%. | The notional amount of short futures as a percentage of Net Assets is 63.7%. | The notional amount of short futures as a percentage of Net Assets is 63.7%. |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| AUD | 359000 | USD | 252723 | State Street Bank & Trust Co | 3/2026 | 2760 |
| AUD | 1000000 | USD | 669983 | BNP Paribas SA | 3/2026 | 41622 |
| AUD | 900000 | USD | 618342 | BNP Paribas SA | 3/2026 | 22102 |
| AUD | 400000 | USD | 282806 | Bank of America NA | 3/2026 | 1836 |
| AUD | 400000 | USD | 279555 | Bank of America NA | 3/2026 | 5087 |
| AUD | 500000 | USD | 354777 | Canadian Imperial Bank of Commerce | 3/2026 | 1026 |
| AUD | 630000 | USD | 445202 | Citibank NA | 3/2026 | 3109 |
| AUD | 438000 | USD | 308934 | Citibank NA | 3/2026 | 2749 |
| AUD | 359000 | USD | 254031 | JPMorgan Chase Bank NA | 4/2026 | 1418 |
| BRL | 17421651 | USD | 3383173 | Bank of America NA | 3/2026 | 15179 |
| BRL | 17469405 | USD | 3152810 | Goldman Sachs Bank USA | 3/2026 | 254857 |
| BRL | 1058446 | USD | 200000 | BNP Paribas SA | 3/2026 | 5619 |
| BRL | 1555998 | USD | 300000 | BNP Paribas SA | 3/2026 | 2276 |
| BRL | 3210099 | USD | 600000 | BNP Paribas SA | 3/2026 | 23609 |
| BRL | 7091276 | USD | 1300000 | Citibank NA | 3/2026 | 77585 |
| BRL | 1573609 | USD | 300000 | Citibank NA | 3/2026 | 5697 |
| BRL | 1097228 | USD | 200000 | Goldman Sachs Bank USA | 3/2026 | 13153 |
| BRL | 17561064 | USD | 3367479 | Bank of America NA | 4/2026 | 29968 |
| CAD | 1227821 | USD | 908090 | Bank of America NA | 3/2026 | (7961) |
| CAD | 1507977 | USD | 1100000 | BNP Paribas SA | 3/2026 | 6239 |
| CAD | 1348878 | USD | 1000000 | BNP Paribas SA | 3/2026 | (10475) |
| CAD | 2341048 | USD | 1700000 | BNP Paribas SA | 3/2026 | 17373 |
| CAD | 2609164 | USD | 1900000 | BNP Paribas SA | 3/2026 | 14060 |
| CAD | 3245172 | USD | 2400000 | BNP Paribas SA | 3/2026 | (19370) |
| CAD | 115000 | USD | 84363 | Citibank NA | 3/2026 | 0 |
| CAD | 546090 | USD | 400000 | Goldman Sachs Bank USA | 3/2026 | 607 |
| CAD | 1096384 | USD | 800000 | Goldman Sachs Bank USA | 3/2026 | 4298 |
| CAD | 1225281 | USD | 896220 | Bank of America NA | 4/2026 | 3224 |
| CHF | 1671526 | USD | 2165049 | Barclays Bank PLC | 3/2026 | 9011 |
| CHF | 382600 | USD | 500000 | BNP Paribas SA | 3/2026 | (1428) |
| CHF | 2124692 | USD | 2700000 | BNP Paribas SA | 3/2026 | 68724 |
| CHF | 1261766 | USD | 1600000 | BNP Paribas SA | 3/2026 | 44230 |
| CHF | 841575 | USD | 1100000 | BNP Paribas SA | 3/2026 | (3329) |
| CHF | 2356859 | USD | 3000000 | Bank of America NA | 3/2026 | 71265 |
| CLP | 342640000 | USD | 400000 | Barclays Bank PLC | 3/2026 | (7411) |
| CLP | 2270949526 | USD | 2437504 | Citibank NA | 3/2026 | 164498 |
| CLP | 2453008737 | USD | 2636510 | UBS AG | 3/2026 | 174091 |
| CLP | 1823475004 | USD | 2100415 | Citibank NA | 9/2026 | (12100) |
| CNY | 8313000 | USD | 1199077 | BNP Paribas SA | 3/2026 | 14119 |
| CNY | 8353380 | USD | 1200000 | Canadian Imperial Bank of Commerce | 3/2026 | 19090 |
| CNY | 7698829 | USD | 1100000 | Canadian Imperial Bank of Commerce | 3/2026 | 23565 |
| COP | 1274510603 | USD | 324463 | UBS AG | 3/2026 | 15037 |
| COP | 1485284000 | USD | 400000 | Bank of America NA | 3/2026 | (5788) |
| COP | 1925000000 | USD | 500000 | Goldman Sachs Bank USA | 3/2026 | 10918 |
| COP | 9687050504 | USD | 2628779 | State Street Bank & Trust Co | 3/2026 | (57720) |
| COP | 13410913022 | USD | 3525708 | Citibank NA | 4/2026 | 13968 |
| COP | 1311942560 | USD | 347557 | Citibank NA | 6/2026 | (7303) |
| COP | 1667692785 | USD | 439242 | Barclays Bank PLC | 7/2026 | (11065) |
| COP | 1635851039 | USD | 421796 | State Street Bank & Trust Co | 9/2026 | (5416) |
| CZK | 25171700 | USD | 1209579 | BNP Paribas SA | 3/2026 | 17934 |
| CZK | 10159353 | USD | 500000 | BNP Paribas SA | 3/2026 | (4532) |
| CZK | 6164273 | USD | 300000 | JPMorgan Chase Bank NA | 3/2026 | 630 |
| CZK | 8252728 | USD | 400000 | Morgan Stanley | 3/2026 | 2483 |
| EUR | 51000 | USD | 60934 | Barclays Bank PLC | 3/2026 | (672) |
| EUR | 31000 | USD | 36617 | BNP Paribas SA | 3/2026 | 44 |
| EUR | 5000 | USD | 5890 | BNP Paribas SA | 3/2026 | 23 |
| EUR | 29000 | USD | 34371 | BNP Paribas SA | 3/2026 | (75) |
| EUR | 1000000 | USD | 1196568 | BNP Paribas SA | 3/2026 | (13971) |
| EUR | 500000 | USD | 599204 | BNP Paribas SA | 3/2026 | (7906) |
| EUR | 2991 | USD | 3531 | BNP Paribas SA | 3/2026 | 3 |
| EUR | 46000 | USD | 54545 | Barclays Bank PLC | 3/2026 | (146) |
| EUR | 41000 | USD | 48417 | Barclays Bank PLC | 3/2026 | 69 |
| EUR | 1000000 | USD | 1178922 | Goldman Sachs Bank USA | 3/2026 | 3675 |
| EUR | 625000 | USD | 732972 | Goldman Sachs Bank USA | 3/2026 | 6151 |
| EUR | 155000 | USD | 182945 | JPMorgan Chase Bank NA | 3/2026 | 358 |
| EUR | 56000 | USD | 66068 | NatWest Markets PLC | 3/2026 | 158 |
| EUR | 14000 | USD | 16509 | State Street Bank & Trust Co | 3/2026 | 47 |
| EUR | 51000 | USD | 60289 | Citibank NA | 4/2026 | 75 |
| GBP | 67000 | USD | 90174 | State Street Bank & Trust Co | 3/2026 | 118 |
| GBP | 2625000 | USD | 3508775 | BNP Paribas SA | 3/2026 | 28973 |
| GBP | 1375000 | USD | 1853206 | BNP Paribas SA | 3/2026 | (100) |
| GBP | 875000 | USD | 1196616 | BNP Paribas SA | 3/2026 | (17367) |
| GBP | 28000 | USD | 37737 | BNP Paribas SA | 3/2026 | (1) |
| GBP | 500000 | USD | 688641 | BNP Paribas SA | 3/2026 | (14784) |
| GBP | 375000 | USD | 506971 | Barclays Bank PLC | 3/2026 | (1579) |
| GBP | 62000 | USD | 83528 | JPMorgan Chase Bank NA | 3/2026 | 31 |
| GBP | 42000 | USD | 56643 | JPMorgan Chase Bank NA | 3/2026 | (39) |
| GBP | 53000 | USD | 71478 | JPMorgan Chase Bank NA | 3/2026 | (49) |
| GBP | 4000 | USD | 5416 | NatWest Markets PLC | 3/2026 | (25) |
| GBP | 8000 | USD | 10829 | State Street Bank & Trust Co | 4/2026 | (47) |
| HUF | 64919930 | USD | 203065 | BNP Paribas SA | 3/2026 | 287 |
| HUF | 418832363 | USD | 1300000 | BNP Paribas SA | 3/2026 | 11929 |
| HUF | 4415000 | USD | 13845 | BNP Paribas SA | 3/2026 | (15) |
| HUF | 2359000 | USD | 7406 | Bank of America NA | 3/2026 | (16) |
| HUF | 63064377 | USD | 196935 | Barclays Bank PLC | 3/2026 | 605 |
| HUF | 128983828 | USD | 400000 | Citibank NA | 3/2026 | 4022 |
| HUF | 64039112 | USD | 200000 | Deutsche Bank AG | 3/2026 | 593 |
| HUF | 438165551 | USD | 1370612 | JPMorgan Chase Bank NA | 3/2026 | 1875 |
| HUF | 9947000 | USD | 31091 | JPMorgan Chase Bank NA | 3/2026 | 67 |
| HUF | 434854821 | USD | 1356723 | UBS AG | 3/2026 | 5394 |
| IDR | 11779947620 | USD | 700000 | BNP Paribas SA | 3/2026 | 2368 |
| ILS | 1870113 | USD | 600000 | BNP Paribas SA | 3/2026 | (2920) |
| ILS | 51000 | USD | 16466 | Citibank NA | 3/2026 | (183) |
| ILS | 32000 | USD | 10384 | JPMorgan Chase Bank NA | 3/2026 | (167) |
| ILS | 5306443 | USD | 1724461 | Barclays Bank PLC | 6/2026 | (28026) |
| ILS | 4654401 | USD | 1518478 | UBS AG | 6/2026 | (30497) |
| INR | 115390216 | USD | 1272000 | BNP Paribas SA | 3/2026 | (5533) |
| INR | 91115000 | USD | 1000000 | Bank of America NA | 3/2026 | 34 |
| INR | 11609498 | USD | 128000 | Deutsche Bank AG | 3/2026 | (580) |
| INR | 219333271 | USD | 2377951 | Citibank NA | 4/2026 | 25804 |
| JPY | 8261900 | USD | 52995 | Bank of America NA | 3/2026 | (90) |
| JPY | 91539149 | USD | 586639 | Morgan Stanley | 3/2026 | (470) |
| JPY | 957886138 | USD | 6132162 | State Street Bank & Trust Co | 3/2026 | 1646 |
| JPY | 38204620 | USD | 250000 | BNP Paribas SA | 3/2026 | (5030) |
| JPY | 1278000000 | USD | 8368475 | Morgan Stanley | 3/2026 | (173867) |
| KRW | 1106660275 | USD | 766000 | BNP Paribas SA | 3/2026 | 2872 |
| KRW | 861588396 | USD | 600000 | BNP Paribas SA | 3/2026 | (1396) |
| KRW | 581724000 | USD | 400000 | Bank of America NA | 3/2026 | 4163 |
| KRW | 439896000 | USD | 300000 | Canadian Imperial Bank of Commerce | 3/2026 | 5626 |
| KRW | 49067780 | USD | 34000 | Deutsche Bank AG | 3/2026 | 91 |
| MXN | 32103 | USD | 1740 | JPMorgan Chase Bank NA | 3/2026 | 123 |
| MXN | 1312000 | USD | 76021 | Goldman Sachs Bank USA | 3/2026 | 49 |
| MXN | 47211605 | USD | 2730099 | Goldman Sachs Bank USA | 3/2026 | 7232 |
| MXN | 8606138 | USD | 500000 | Goldman Sachs Bank USA | 3/2026 | (1016) |
| MXN | 1040000 | USD | 57197 | Morgan Stanley | 3/2026 | 3102 |
| MXN | 5154485 | USD | 300000 | Royal Bank of Canada | 3/2026 | (1143) |
| MXN | 22509000 | USD | 1237064 | Bank of America NA | 4/2026 | 64189 |
| MXN | 76428612 | USD | 4268229 | JPMorgan Chase Bank NA | 4/2026 | 150137 |
| MXN | 15352257 | USD | 881868 | BNP Paribas SA | 6/2026 | 1203 |
| MYR | 3632131 | USD | 929671 | Barclays Bank PLC | 3/2026 | 4165 |
| MYR | 1891334 | USD | 485555 | Barclays Bank PLC | 3/2026 | 715 |
| MYR | 689021 | USD | 176908 | Morgan Stanley | 3/2026 | 242 |
| NOK | 5479376 | USD | 572411 | Barclays Bank PLC | 3/2026 | 3862 |
| NOK | 3851204 | USD | 400000 | BNP Paribas SA | 3/2026 | 4999 |
| NOK | 12082951 | USD | 1200000 | BNP Paribas SA | 3/2026 | 70663 |
| NOK | 7862190 | USD | 800000 | BNP Paribas SA | 3/2026 | 26801 |
| NOK | 5799087 | USD | 600000 | BNP Paribas SA | 3/2026 | 9841 |
| NOK | 3868888 | USD | 400000 | Bank of America NA | 3/2026 | 6858 |
| NOK | 3827863 | USD | 400000 | Bank of America NA | 3/2026 | 2544 |
| NZD | 1798040 | USD | 1075785 | UBS AG | 3/2026 | 2769 |
| NZD | 1100000 | USD | 669381 | BNP Paribas SA | 3/2026 | (9119) |
| NZD | 2600000 | USD | 1556633 | BNP Paribas SA | 3/2026 | 3986 |
| NZD | 2300000 | USD | 1331620 | BNP Paribas SA | 3/2026 | 48928 |
| NZD | 1400000 | USD | 846234 | BNP Paribas SA | 3/2026 | (5901) |
| NZD | 700000 | USD | 419793 | Bank of America NA | 3/2026 | 374 |
| NZD | 700000 | USD | 416704 | Bank of America NA | 3/2026 | 3463 |
| PEN | 6375035 | USD | 1787828 | Citibank NA | 5/2026 | 107632 |
| PEN | 2725803 | USD | 796879 | Citibank NA | 11/2026 | 10886 |
| PHP | 85634243 | USD | 1485000 | BNP Paribas SA | 3/2026 | (1333) |
| PHP | 6633649 | USD | 115000 | JPMorgan Chase Bank NA | 3/2026 | (68) |
| PLN | 1056327 | USD | 300000 | BNP Paribas SA | 3/2026 | (4383) |
| PLN | 3962148 | USD | 1100000 | BNP Paribas SA | 3/2026 | 8821 |
| PLN | 1799883 | USD | 500000 | BNP Paribas SA | 3/2026 | 3703 |
| PLN | 3161540 | USD | 900000 | BNP Paribas SA | 3/2026 | (15232) |
| PLN | 21000 | USD | 5899 | Citibank NA | 3/2026 | (22) |
| PLN | 33000 | USD | 9218 | JPMorgan Chase Bank NA | 3/2026 | 18 |
| PLN | 74154 | USD | 20584 | BNP Paribas SA | 4/2026 | 168 |
| PLN | 5761016 | USD | 1600985 | Barclays Bank PLC | 4/2026 | 11205 |
| PLN | 20122214 | USD | 5555308 | UBS AG | 4/2026 | 75786 |
| SEK | 5148786 | USD | 581113 | Bank of America NA | 3/2026 | (10774) |
| SEK | 10148790 | USD | 1100000 | BNP Paribas SA | 3/2026 | 25235 |
| SEK | 6436459 | USD | 700000 | BNP Paribas SA | 3/2026 | 13635 |
| SEK | 655000 | USD | 73099 | Citibank NA | 3/2026 | (477) |
| SEK | 285000 | USD | 31541 | Citibank NA | 3/2026 | 58 |
| SEK | 7950734 | USD | 900000 | Deutsche Bank AG | 3/2026 | (18472) |
| SEK | 3630785 | USD | 400000 | Goldman Sachs Bank USA | 3/2026 | 2559 |
| SGD | 1003750 | USD | 794798 | JPMorgan Chase Bank NA | 3/2026 | (1257) |
| SGD | 1407373 | USD | 1100000 | BNP Paribas SA | 3/2026 | 13982 |
| THB | 92056407 | USD | 2945051 | BNP Paribas SA | 3/2026 | 20880 |
| THB | 18813360 | USD | 600000 | Barclays Bank PLC | 3/2026 | 6141 |
| TRY | 485773 | USD | 10641 | Barclays Bank PLC | 3/2026 | 342 |
| TRY | 342036 | USD | 7435 | Barclays Bank PLC | 3/2026 | 195 |
| TRY | 299336 | USD | 6565 | Bank of America NA | 3/2026 | 90 |
| TWD | 838198 | USD | 26454 | BNP Paribas SA | 3/2026 | 298 |
| USD | 254064 | AUD | 359000 | JPMorgan Chase Bank NA | 3/2026 | (1418) |
| USD | 3367479 | BRL | 17421651 | Bank of America NA | 3/2026 | (30873) |
| USD | 3373953 | BRL | 17374169 | Goldman Sachs Bank USA | 3/2026 | (15137) |
| USD | 17311 | BRL | 95236 | Goldman Sachs Bank USA | 3/2026 | (1266) |
| USD | 300000 | BRL | 1581281 | Bank of America NA | 3/2026 | (7187) |
| USD | 400000 | BRL | 2104293 | Bank of America NA | 3/2026 | (8790) |
| USD | 17971 | BRL | 100000 | Goldman Sachs Bank USA | 4/2026 | (1376) |
| USD | 2192221 | BRL | 11817607 | Goldman Sachs Bank USA | 4/2026 | (94069) |
| USD | 17996 | BRL | 100000 | Goldman Sachs Bank USA | 4/2026 | (1350) |
| USD | 896220 | CAD | 1226836 | Bank of America NA | 3/2026 | (3187) |
| USD | 5800000 | CAD | 8027507 | BNP Paribas SA | 3/2026 | (88910) |
| USD | 2187721 | CHF | 1672933 | Goldman Sachs Bank USA | 3/2026 | 11831 |
| USD | 2800000 | CHF | 2202738 | Bank of America NA | 3/2026 | (70428) |
| USD | 1600000 | CHF | 1271905 | Bank of America NA | 3/2026 | (57443) |
| USD | 2165049 | CHF | 1666115 | Barclays Bank PLC | 4/2026 | (10218) |
| USD | 600000 | CLP | 516006000 | Bank of America NA | 3/2026 | 8772 |
| USD | 2100415 | CLP | 1822319776 | Citibank NA | 3/2026 | 12443 |
| USD | 1935937 | CLP | 1870463495 | Citibank NA | 3/2026 | (207197) |
| USD | 600000 | CLP | 515190000 | Citibank NA | 3/2026 | 9707 |
| USD | 347557 | COP | 1281096834 | Citibank NA | 3/2026 | 6303 |
| USD | 500000 | COP | 1832115000 | Bank of America NA | 3/2026 | 13735 |
| USD | 300000 | COP | 1111198800 | Citibank NA | 3/2026 | 5075 |
| USD | 500000 | COP | 1895000000 | Citibank NA | 3/2026 | (2956) |
| USD | 205000 | COP | 801345000 | Citibank NA | 3/2026 | (7687) |
| USD | 1554152 | COP | 5750982507 | Deutsche Bank AG | 3/2026 | 27772 |
| USD | 27949 | COP | 104996429 | Goldman Sachs Bank USA | 3/2026 | 81 |
| USD | 421796 | COP | 1567393564 | State Street Bank & Trust Co | 3/2026 | 5791 |
| USD | 495000 | COP | 1936440000 | UBS AG | 3/2026 | (18954) |
| USD | 211849 | COP | 798012378 | Citibank NA | 6/2026 | 4882 |
| USD | 2628779 | COP | 10026951625 | State Street Bank & Trust Co | 8/2026 | 68748 |
| USD | 300000 | CZK | 6237887 | State Street Bank & Trust Co | 3/2026 | (4220) |
| USD | 3574 | EUR | 2991 | Barclays Bank PLC | 3/2026 | 39 |
| USD | 60202 | EUR | 51000 | Citibank NA | 3/2026 | (59) |
| USD | 1768023 | EUR | 1500000 | BNP Paribas SA | 3/2026 | (5872) |
| USD | 40160 | EUR | 34000 | BNP Paribas SA | 3/2026 | (48) |
| USD | 1903176 | EUR | 1625000 | Barclays Bank PLC | 3/2026 | (18544) |
| USD | 61660 | EUR | 52000 | Barclays Bank PLC | 3/2026 | 165 |
| USD | 48381 | EUR | 52000 | Barclays Bank PLC | 3/2026 | (65) |
| USD | 67326 | EUR | 57000 | Citibank NA | 3/2026 | (82) |
| USD | 66096 | EUR | 56000 | JPMorgan Chase Bank NA | 3/2026 | (129) |
| USD | 820975 | EUR | 700000 | JPMorgan Chase Bank NA | 3/2026 | (6842) |
| USD | 3536 | EUR | 2991 | BNP Paribas SA | 4/2026 | (4) |
| USD | 81210 | GBP | 59000 | Citibank NA | 3/2026 | 1699 |
| USD | 547704 | GBP | 406947 | State Street Bank & Trust Co | 3/2026 | (719) |
| USD | 10828 | GBP | 8000 | State Street Bank & Trust Co | 3/2026 | 47 |
| USD | 5894503 | GBP | 4375000 | BNP Paribas SA | 3/2026 | (1743) |
| USD | 37737 | GBP | 28000 | BNP Paribas SA | 3/2026 | 3 |
| USD | 346641 | GBP | 255000 | JPMorgan Chase Bank NA | 3/2026 | 2974 |
| USD | 122344 | GBP | 90000 | JPMorgan Chase Bank NA | 3/2026 | 1050 |
| USD | 20269 | GBP | 15000 | State Street Bank & Trust Co | 3/2026 | 54 |
| USD | 55394 | GBP | 41000 | State Street Bank & Trust Co | 3/2026 | 138 |
| USD | 7413 | HUF | 2359000 | Bank of America NA | 3/2026 | 16 |
| USD | 1201020 | HUF | 399933004 | BNP Paribas SA | 3/2026 | (51710) |
| USD | 6 | HUF | 1994 | BNP Paribas SA | 3/2026 | 0 |
| USD | 1 | HUF | 332 | Bank of America NA | 3/2026 | 0 |
| USD | 200000 | HUF | 66430438 | Citibank NA | 3/2026 | (8083) |
| USD | 1098973 | HUF | 365325363 | JPMorgan Chase Bank NA | 3/2026 | (45354) |
| USD | 656000 | IDR | 11005889973 | BNP Paribas SA | 3/2026 | (215) |
| USD | 300000 | IDR | 5019930000 | Bank of America NA | 3/2026 | 692 |
| USD | 144000 | IDR | 2417760000 | Deutsche Bank AG | 3/2026 | (157) |
| USD | 1422350 | IDR | 23930957875 | Citibank NA | 6/2026 | (1685) |
| USD | 700000 | ILS | 2166458 | Citibank NA | 3/2026 | 8305 |
| USD | 469000 | INR | 42512505 | BNP Paribas SA | 3/2026 | 2403 |
| USD | 2377951 | INR | 218756570 | Citibank NA | 3/2026 | (23015) |
| USD | 931000 | INR | 84371689 | JPMorgan Chase Bank NA | 3/2026 | 4977 |
| USD | 348034 | INR | 31913005 | Citibank NA | 4/2026 | (1712) |
| USD | 311973 | INR | 28356006 | Citibank NA | 4/2026 | 1209 |
| USD | 314915 | INR | 28624356 | Citibank NA | 4/2026 | 1210 |
| USD | 315093 | INR | 28656921 | Citibank NA | 4/2026 | 1031 |
| USD | 350505 | INR | 31905944 | Citibank NA | 4/2026 | 836 |
| USD | 264751 | INR | 24102402 | Citibank NA | 4/2026 | 604 |
| USD | 344038 | INR | 31539684 | Citibank NA | 4/2026 | (1617) |
| USD | 350870 | INR | 31923030 | Citibank NA | 4/2026 | 1014 |
| USD | 5924717 | JPY | 911933625 | Barclays Bank PLC | 3/2026 | 85165 |
| USD | 176645 | JPY | 27224394 | Citibank NA | 3/2026 | 2314 |
| USD | 770735 | JPY | 118632533 | Morgan Stanley | 3/2026 | 11074 |
| USD | 500000 | JPY | 77879727 | BNP Paribas SA | 3/2026 | 631 |
| USD | 1370000 | JPY | 214241339 | Bank of America NA | 3/2026 | (3727) |
| USD | 530000 | JPY | 82896934 | Bank of America NA | 3/2026 | (1540) |
| USD | 700000 | JPY | 107375100 | Barclays Bank PLC | 3/2026 | 11505 |
| USD | 52995 | JPY | 8240500 | Bank of America NA | 4/2026 | 86 |
| USD | 586639 | JPY | 91301912 | Morgan Stanley | 4/2026 | 423 |
| USD | 6132162 | JPY | 955408132 | State Street Bank & Trust Co | 4/2026 | (2158) |
| USD | 600000 | KRW | 885716573 | BNP Paribas SA | 3/2026 | (15368) |
| USD | 366262 | KRW | 529476233 | Citibank NA | 3/2026 | (1601) |
| USD | 2312482 | KRW | 3354578888 | Goldman Sachs Bank USA | 3/2026 | (18172) |
| USD | 400000 | KRW | 580331796 | State Street Bank & Trust Co | 3/2026 | (3196) |
| USD | 881868 | MXN | 15226238 | BNP Paribas SA | 3/2026 | (950) |
| USD | 700000 | MXN | 12101762 | BNP Paribas SA | 3/2026 | (1661) |
| USD | 300000 | MXN | 5373923 | Bank of America NA | 3/2026 | (11580) |
| USD | 1661244 | MXN | 30673542 | JPMorgan Chase Bank NA | 3/2026 | (117209) |
| USD | 2730099 | MXN | 47629310 | Goldman Sachs Bank USA | 6/2026 | (9566) |
| USD | 573424 | NOK | 5480781 | UBS AG | 3/2026 | (2996) |
| USD | 572411 | NOK | 5480254 | Barclays Bank PLC | 4/2026 | (3830) |
| USD | 1091155 | NZD | 1798040 | Barclays Bank PLC | 3/2026 | 12601 |
| USD | 1076981 | NZD | 1798040 | UBS AG | 4/2026 | (2969) |
| USD | 1101480 | PEN | 3802971 | Citibank NA | 7/2026 | (27268) |
| USD | 1116103 | PHP | 66527547 | Morgan Stanley | 3/2026 | (36566) |
| USD | 1500000 | PLN | 5410892 | BNP Paribas SA | 3/2026 | (14256) |
| USD | 1100000 | PLN | 3931970 | Bank of America NA | 3/2026 | (375) |
| USD | 4248133 | PLN | 15431809 | Deutsche Bank AG | 4/2026 | (70402) |
| USD | 2461504 | PLN | 8889648 | UBS AG | 4/2026 | (26231) |
| USD | 31515 | SEK | 285000 | Citibank NA | 3/2026 | (55) |
| USD | 794024 | SGD | 1004863 | State Street Bank & Trust Co | 3/2026 | (397) |
| USD | 794798 | SGD | 1001636 | JPMorgan Chase Bank NA | 4/2026 | 1011 |
| USD | 6122 | THB | 191428 | Citibank NA | 3/2026 | (45) |
| USD | 731000 | THB | 23147385 | JPMorgan Chase Bank NA | 3/2026 | (14777) |
| USD | 669000 | THB | 21173181 | JPMorgan Chase Bank NA | 3/2026 | (13171) |
| USD | 11403 | TRY | 520575 | BNP Paribas SA | 3/2026 | (367) |
| USD | 9286 | TRY | 425530 | BNP Paribas SA | 3/2026 | (279) |
| USD | 12685 | TRY | 577448 | Barclays Bank PLC | 3/2026 | (218) |
| USD | 12520 | TRY | 576052 | Barclays Bank PLC | 3/2026 | (341) |
| USD | 37911 | TRY | 1741583 | Barclays Bank PLC | 4/2026 | (615) |
| USD | 24713 | TRY | 1126170 | Barclays Bank PLC | 4/2026 | (179) |
| USD | 46733 | TRY | 2151866 | Barclays Bank PLC | 4/2026 | 71 |
| USD | 2686721 | TWD | 83747787 | BNP Paribas SA | 3/2026 | 13845 |
| USD | 400000 | ZAR | 6436138 | BNP Paribas SA | 3/2026 | (3685) |
| USD | 400000 | ZAR | 6406119 | Citibank NA | 3/2026 | (1802) |
| ZAR | 591000 | USD | 37165 | BNP Paribas SA | 3/2026 | (96) |
| ZAR | 4776560 | USD | 300000 | BNP Paribas SA | 3/2026 | (407) |
| ZAR | 6403485 | USD | 400000 | Deutsche Bank AG | 3/2026 | 1637 |
| ZAR | 525000 | USD | 32466 | Goldman Sachs Bank USA | 3/2026 | 463 |
| ZAR | 13914561 | USD | 864930 | Barclays Bank PLC | 3/2026 | 7669 |
| ZAR | 22068396 | USD | 1363904 | Barclays Bank PLC | 3/2026 | 20032 |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** |  | **665107** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 2402129 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (1737022) |

---

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Rating(1) | Maturity <br> Date | Clearinghouse / <br> Counterparty(3) | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(2)(5) | Notional<br> Amount(2)(5) | Value ($)(1) | Upfront<br> Premium<br> Received/<br> (Paid) ($)(4) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |  |
| iTraxx Crossover Series 44 Index |  | 12/2030 | ICE | (5%) | Quarterly | EUR | 50000 | (88) | 0 | (88) |
| Sell Protection |  |  |  |  |  |  |  |  |  |  |
| iTraxx Crossover Series 44 Index | NR | 12/2030 | Bank of America NA | 5% | Quarterly | EUR | 200000 | 47444 | (42621) | 4823 |
| 5Y CDX EM CDSI Series 44 Index | NR | 12/2030 | ICE | 1% | Quarterly |  | 8900000 | 54234 | 0 | 54234 |
| iTraxx Europe Series 44 Index | NR | 12/2030 | ICE | 1% | Quarterly | EUR | 50000 | (48) | 0 | (48) |
| iTraxx Europe Series 44 Index | NR | 12/2030 | ICE | 1% | Quarterly | EUR | 33000000 | 12373 | 0 | 12373 |
| 5Y CDX NA IG Series 45 Index | NR | 12/2030 | ICE | 1% | Quarterly |  | 63000000 | (111553) | 0 | (111553) |
| iTraxx Crossover Series 44 Index | NR | 12/2030 | ICE | 5% | Quarterly | EUR | 12000000 | 61051 | 0 | 61051 |
| 5Y CDX EM CDSI Series 44 Index | NR | 12/2030 | ICE | 1% | Quarterly |  | 3000000 | 23880 | 0 | 23880 |
| 5Y CDX NA HY Series 45 Index | NR | 12/2030 | ICE | 5% | Quarterly |  | 4950000 | (1939) | 0 | (1939) |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  |  | 85442 | (42621) | 42821 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  |  | **85354** | **(42621)** | **42733** |

---

(1)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

(2)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

(3)Swaps with Intercontinental Exchange (ICE) are centrally cleared swaps.

(4)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

(5)Notional amount is stated in U.S. Dollars unless otherwise noted.

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency | Clearinghouse /<br> Counterparty(1) | Maturity<br> Date | Notional<br> Amount(3) | Notional<br> Amount(3) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| US CPI Urban Consumer NSA Index(4) | At Maturity | 2.525% | At Maturity | LCH | 6/2033 |  | 900000 | (7520) | 0 | (7520) |
| US CPI Urban Consumer NSA Index(4) | At Maturity | 2.595% | At Maturity | LCH | 7/2033 |  | 2900000 | (30871) | 0 | (30871) |
| 2.5% | At Maturity | US CPI Urban Consumer NSA Index(4) | At Maturity | LCH | 3/2033 |  | 3800000 | 9510 | 0 | 9510 |
| 4.65% | Semi-Annual | 3M Chile Interbank Offer Rate(4) | Semi-Annual | CME | 6/2030 | CLP | 6220100000 | 22481 | 0 | 22481 |
| 3.952% | Annual | 6M WIBID(4) | Semi-Annual | CME | 7/2030 | PLN | 5845000 | 55490 | 0 | 55490 |
| 2.5975% | At Maturity | US CPI Urban Consumer NSA Index(4) | At Maturity | LCH | 4/2034 |  | 2000000 | 3072 | 0 | 3072 |
| 3.92% | Annual | SHIR(4) | Quarterly | LCH | 4/2030 | ILS | 9000000 | 63508 | 0 | 63508 |
| 2.75% | Annual | 6M EURIBOR(4) | Semi-Annual | LCH | 3/2036 | EUR | 8300000 | 80112 | 0 | 80112 |
| 6M EURIBOR(4) | Semi-Annual | 3% | Annual | LCH | 3/2056 | EUR | 2400000 | 33811 | 0 | 33811 |
| 13.47% | At Maturity | Brazil CETIP Interbank Deposit Rate(4) | At Maturity | CME | 1/2031 | BRL | 2400000 | 4576 | 0 | 4576 |
| 13.385% | At Maturity | Brazil CETIP Interbank Deposit Overnight Rate(4) | At Maturity | CME | 1/2031 | BRL | 12200000 | (2056) | 0 | (2056) |
| Canadian Overnight Repo Rate(4) | Semi-Annual | 3.25% | Semi-Annual | LCH | 3/2056 | CAD | 4300000 | 18723 | 0 | 18723 |
| 4% | Annual | U.S. SOFR Index(4) | Annual | LCH | 3/2036 |  | 11400000 | 158303 | 0 | 158303 |
| SONIA(4) | Annual | 4.75% | Annual | LCH | 3/2056 | GBP | 3400000 | (168449) | 0 | (168449) |
| 1% | Quarterly | THOR(4) | Quarterly | LCH | 3/2031 | THB | 4000000 | (927) | 0 | (927) |
| 3M TAIBOR(4) | Quarterly | 1.75% | Quarterly | LCH | 3/2031 | TWD | 138700000 | 29090 | 0 | 29090 |
| 1.5% | Semi-Annual | SORA(4) | Semi-Annual | LCH | 3/2031 | SGD | 10100000 | 52291 | 0 | 52291 |
| FBIL MIFOR(4) | Semi-Annual | 5.75% | Semi-Annual | LCH | 3/2031 | INR | 574500000 | (12647) | 0 | (12647) |
| 3% | Quarterly | 3M HIBOR(4) | Quarterly | LCH | 3/2031 | HKD | 33800000 | 42219 | 0 | 42219 |
| 3M KRW CD Rate(4) | Quarterly | 2.5% | Quarterly | LCH | 3/2031 | KRW | 3193800000 | 52947 | 0 | 52947 |
| 2.75% | Semi-Annual | Canadian Overnight Repo Rate(4) | Semi-Annual | LCH | 3/2031 | CAD | 7900000 | 25709 | 0 | 25709 |
| 3% | Semi-Annual | Canadian Overnight Repo Rate(4) | Semi-Annual | LCH | 3/2036 | CAD | 13500000 | 124115 | 0 | 124115 |
| SONIA(4) | Annual | 3.5% | Annual | LCH | 3/2028 | GBP | 1300000 | (1500) | 0 | (1500) |
| 4.25% | Annual | SONIA(4) | Annual | LCH | 3/2036 | GBP | 10600000 | 141117 | 0 | 141117 |
| 3.5% | Annual | U.S. SOFR Index(4) | Annual | LCH | 3/2031 |  | 1500000 | 9883 | 0 | 9883 |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2028 |  | 28200000 | (42493) | 0 | (42493) |
| 2.5% | Semi-Annual | Canadian Overnight Repo Rate(4) | Semi-Annual | LCH | 3/2028 | CAD | 9600000 | 50106 | 0 | 50106 |
| U.S. SOFR Index(4) | Annual | 4% | Annual | LCH | 3/2056 |  | 700000 | (1574) | 0 | (1574) |
| 1.5% | Quarterly | China Fixing Repo 7D Rate(4) | Quarterly | LCH | 3/2031 | CNY | 3500000 | 260 | 0 | 260 |
| 2% | Annual | 6M EURIBOR(4) | Semi-Annual | LCH | 3/2028 | EUR | 1800000 | 1316 | 0 | 1316 |
| 4.25% | Semi-Annual | 6M BBSW(4) | Semi-Annual | LCH | 3/2036 | AUD | 6500000 | (67703) | 0 | (67703) |
| TONAR(4) | Annual | 1.5% | Annual | LCH | 3/2036 | JPY | 222500000 | (4087) | 0 | (4087) |
| 3M Australia Bank Bill Swap Rate(4) | Quarterly | 3.25% | Quarterly | LCH | 3/2028 | AUD | 31700000 | 173522 | 0 | 173522 |
| 2.5% | Annual | TONAR(4) | Annual | LCH | 3/2056 | JPY | 198400000 | (12530) | 0 | (12530) |
| 8.79% | Quarterly | Colombia Overnight Interbank Rate(4) | Quarterly | CME | 9/2030 | COP | 160400000 | (2540) | 0 | (2540) |
| 7.56% | Quarterly | 3M JIBAR(4) | Quarterly | CME | 9/2030 | ZAR | 91700000 | 99477 | 0 | 99477 |
| 4.13% | Annual | 6M PRIBOR(4) | Semi-Annual | CME | 10/2035 | CZK | 47700000 | 10546 | 0 | 10546 |
| KLIBOR(4) | Quarterly | 3% | Quarterly | LCH | 3/2031 | MYR | 25500000 | (11594) | 0 | (11594) |
| 6.86% | Quarterly | 3M JIBAR(4) | Quarterly | CME | 10/2030 | ZAR | 8800000 | 5639 | 0 | 5639 |
| 4.195% | Annual | 6M WIBID(4) | Semi-Annual | CME | 9/2030 | PLN | 25600000 | 28114 | 0 | 28114 |
| 3.8% | Annual | SHIR(4) | Annual | LCH | 7/2030 | ILS | 16000000 | 28086 | 0 | 28086 |
| 6M PRIBOR(4) | Semi-Annual | 3.705% | Annual | CME | 8/2030 | CZK | 59800000 | (92009) | 0 | (92009) |
| Colombia Overnight Interbank Rate(4) | Quarterly | 9.115% | Quarterly | CME | 10/2030 | COP | 6890900000 | 165129 | 0 | 165129 |
| 7.3% | Lunar | 1D TIIE(4) | Lunar | CME | 12/2030 | MXN | 56600000 | 36297 | 0 | 36297 |
| 6M BUBOR(4) | Semi-Annual | 6.418% | Annual | CME | 11/2030 | HUF | 866140000 | (69894) | 0 | (69894) |
| 6.5% | Annual | 6M BUBOR(4) | Semi-Annual | CME | 11/2030 | HUF | 2646109000 | 93024 | 0 | 93024 |
| 3M Chile Interbank Offer Rate(4) | Semi-Annual | 4.75% | Semi-Annual | CME | 11/2030 | CLP | 1329200000 | (3984) | 0 | (3984) |
| 12.8% | At Maturity | Brazil CETIP Interbank Deposit Overnight Rate(4) | At Maturity | CME | 1/2031 | BRL | 10400000 | (6289) | 0 | (6289) |
| 8.071% | Lunar | 1D TIIE(4) | Lunar | CME | 9/2035 | MXN | 40500000 | 27641 | 0 | 27641 |
| 10.67% | Quarterly | Colombia Overnight Interbank Rate(4) | Quarterly | CME | 3/2031 | COP | 5016300000 | (50163) | 0 | (50163) |
| 3.575% | Annual | 6M PRIBOR(4) | Semi-Annual | CME | 7/2030 | CZK | 130600000 | 34066 | 0 | 34066 |
| 7.6225% | Lunar | 1D TIIE(4) | Lunar | CME | 3/2031 | MXN | 12400000 | 13750 | 0 | 13750 |
| Colombia Overnight Interbank Rate(4) | Quarterly | 11.11% | Quarterly | CME | 3/2031 | COP | 2701700000 | 13271 | 0 | 13271 |
| Colombia Overnight Interbank Rate(4) | Quarterly | 11.1538% | Quarterly | CME | 3/2031 | COP | 1543800000 | 6924 | 0 | 6924 |
| Colombia Overnight Interbank Rate(4) | Quarterly | 10.83% | Quarterly | CME | 3/2031 | COP | 7689100000 | 37534 | 0 | 37534 |
| 3% | Annual | 6M EURIBOR(4) | Semi-Annual | LCH | 9/2056 | EUR | 200000 | 2964 | 0 | 2964 |
| U.S. SOFR Index(4) | Annual | 3% | Annual | LCH | 9/2028 |  | 9200000 | (21950) | 0 | (21950) |
| 7.75% | Lunar | 1D TIIE(4) | Lunar | CME | 3/2031 | MXN | 12200000 | 1746 | 0 | 1746 |
| Canadian Overnight Repo Rate(4) | Semi-Annual | 2.5% | Semi-Annual | LCH | 9/2028 | CAD | 2900000 | (2449) | 0 | (2449) |
| 3% | Semi-Annual | Canadian Overnight Repo Rate(4) | Semi-Annual | LCH | 9/2036 | CAD | 1200000 | 3277 | 0 | 3277 |
| 3.25% | Semi-Annual | Canadian Overnight Repo Rate(4) | Semi-Annual | LCH | 9/2056 | CAD | 400000 | 845 | 0 | 845 |
| 7.18% | Quarterly | 3M JIBAR(4) | Quarterly | CME | 12/2030 | ZAR | 11600000 | (2873) | 0 | (2873) |
| 5% | Semi-Annual | 6M BBSW(4) | Semi-Annual | LCH | 9/2036 | AUD | 900000 | 2209 | 0 | 2209 |
| 4.5% | Annual | SONIA(4) | Annual | LCH | 9/2056 | GBP | 900000 | 13440 | 0 | 13440 |
| 4% | Annual | SONIA(4) | Annual | LCH | 9/2036 | GBP | 1500000 | 1882 | 0 | 1882 |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  |  | **1161920** | **0** | **1161920** |

---

(1)Swaps with CME Group (CME) and LCH Clearnet Group (LCH) are centrally cleared swaps.

(2)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

(3)Notional amount is stated in U.S. Dollars unless otherwise noted.

(4)Represents floating rate.

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** |
| Underlying Reference | Pay/<br> Receive<br> Reference | Reference<br> Payment<br> Frequency | Financing<br> Rate | Financing<br> Frequency | Counterparty | Maturity<br> Date | Units | Notional<br> Amount | Notional<br> Amount | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| KOSPI 200 Index | Receives | At Maturity |  | At Maturity | Morgan Stanley & Co International PLC | 3/2026 | 750000 | KRW | 437483539 | 184619 | 0 | 184619 |
| SET 50 Index | Receives | At Maturity |  | At Maturity | Morgan Stanley Capital Services | 3/2026 | 22800 | THB | 19050702 | 130537 | 0 | 130537 |
| KOSPI 200 Index | Receives | At Maturity |  | At Maturity | Morgan Stanley & Co International PLC | 3/2026 | 250000 | KRW | 170974989 | 44077 | 0 | 44077 |
| SET 50 Index | Receives | At Maturity |  | At Maturity | Morgan Stanley & Co International PLC | 3/2026 | 11200 | THB | 9904160 | 46559 | 0 | 46559 |
| Bovespa Index | Receives | At Maturity |  | At Maturity | Goldman Sachs International | 4/2026 | 26 | BRL | 5024370 | (7709) | 0 | (7709) |
| **TOTAL RETURN SWAPS** |  |  |  |  |  |  |  |  |  | **398083** | **0** | **398083** |

---

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD | - | Australian Dollar |
| BRL | - | Brazilian Real |
| CAD | - | Canadian Dollar |
| CHF | - | Swiss Franc |
| CLP | - | Chilean Peso |
| CNY | - | Chinese (Peoples Rep) Yuan |
| COP | - | Colombian Peso |
| CZK | - | Czech Koruna |
| EUR | - | European Monetary Unit (Euro) |
| GBP | - | British Pound Sterling |
| HKD | - | Hong Kong Dollar |
| HUF | - | Hungarian Forint |
| IDR | - | Indonesian Rupiah |
| ILS | - | Israeli Shekel |
| INR | - | Indian Rupee |
| JPY | - | Japanese Yen |
| KRW | - | Korean Won |
| MXN | - | Mexican Peso |
| MYR | - | Malaysian Ringgit |
| NOK | - | Norwegian Krone |
| NZD | - | New Zealand Dollar |
| PEN | - | Peruvian New Sol |
| PHP | - | Philippines |
| PLN | - | Polish Zloty |
| SEK | - | Swedish Krona |
| SGD | - | Singapore Dollar |
| THB | - | Thai Baht |
| TRY | - | New Turkish Lira |
| TWD | - | Taiwan Dollar |
| USD | - | United States Dollar |
| ZAR | - | South African Rand |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Represents a forward settling transaction and therefore no collateral securities had been allocated as of period end. The agreement contemplated the delivery of U.S. Treasury Obligations as collateral on settlement date.

(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(d) The rate quoted is the annualized seven-day yield of the fund at period end.

(e) Affiliated fund.

(f) Security exempt from registration under Regulation S of the Securities Act of 1933 and may be resold to qualified foreign investors outside of the United States. At the end of the period, the value of securities amounted to $984,398 or 0.0% of net assets.

(g) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(h) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(i) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $9,493,996 or 0.4% of net assets.

(j) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(k) Zero coupon bond which is issued at a discount.

(l) Includes $87,849,711 of cash collateral to cover margin requirements for futures contracts.

(m) Includes $3,689,000 of cash collateral segregated to cover margin requirements for centrally cleared swaps.

(n) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(o) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $60,735.

(p) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** |
| **Counterparty** | **Lending Rate (%)** | **Settlement Date** | **Maturity Date** | **Repurchase Agreement**<br> **Value ($)** | **Repurchase Agreement Proceeds ($)** | **Collateralized By** | **Collateral Coupon (%)** | **Collateral Maturity Date** | **Collateral Value Received ($)** |
| BNP Paribas, SA | 3.73 | 2/2026 | 3/2026 | 25100000 | 25107802 | U.S. Treasuries (including strips) | 3.875 | 2/2043 | 25680856 |
| **Total Repurchase Agreements** |  |  |  | 25100000 | 25107802 |  |  |  | 25680856 |

---

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 5526995 | 454267 | 5394128 | 87594 | 61 | - | 587195 | 587078 | 0.0% |
| Total | 5526995 | 454267 | 5394128 | 87594 | 61 | - | 587195 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.

**Affiliated Underlying Funds**

Fiscal year to date information regarding the Fund's investments in affiliated underlying funds is presented below. Exchanges between classes of the same affiliated underlying funds may occur. If an underlying fund changes its name, the name presented below is the name in effect at period end.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period |
| Fidelity Investments Money Market Government Portfolio - Institutional Class | 245828347 | 352328823 | 499960123 | 2384725 | - | - | 98197047 | 98197047 |
| Fidelity SAI Alternative Risk Premia Commodity Strategy Fund | 60687860 | 1787172 | 20000000 | 1787173 | (371917) | (3121149) | 38981966 | 4187107 |
| Fidelity SAI Alternative Risk Premia Strategy Fund | 26949787 | - | 27506910 | - | (684469) | 1246954 | 5362 | 563 |
| Fidelity SAI Convertible Arbitrage Fund | 448191399 | 34239691 | - | 34239691 | - | 6318107 | 488749197 | 44190705 |
|  | 781657393 | 388355686 | 547467033 | 38411589 | (1056386) | 4443912 | 625933572 |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.

**Investment Valuation**

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - Unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. Treasury Obligations, Foreign Government and Government Agency Obligations and Non-Convertible Corporate Bonds are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset-Backed Securities, Collateralized Mortgage Obligations and U.S. Government Agency - Mortgage Securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as movements in the underlying index interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Exchange-Traded Funds (ETFs) and Exchange-Traded Notes (ETNs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs and ETNs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs and ETNs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.

Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy.

Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.

**Derivative Instruments**

Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk(s):

Commodity Risk - Commodity Risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices.

Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.

Equity Risk - Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.

Foreign Exchange Risk - Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.

Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.

Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Consolidated Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Forward Foreign Currency Contracts: Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into.

The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Open forward foreign currency contracts at period end are presented in the Consolidated Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.

Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.

The Fund used futures contracts to manage its exposure to the stock market.

The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

The Fund used futures contracts to manage its exposure to the commodities market.

Open futures contracts at period end are presented in the Consolidated Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Consolidated Schedule of Investments.

Options: Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.

The Fund used exchange-traded options to manage its exposure to the stock market.

Open options at period end are presented in the Consolidated Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions." Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.

A centrally cleared swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

Credit Default Swaps: Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs. For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Consolidated Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index. Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Consolidated Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/ performance risk.

Interest Rate Swaps: Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

Total Return Swaps: Total return swaps are agreements between counterparties to exchange cash flows, one based on a market-linked return of an individual asset or a basket of assets (i.e., an index), and the other on a fixed or floating rate. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting payment obligation, the Fund will receive a payment from or make a payment to the counterparty. The Fund entered into total return swaps to manage its commodities market exposure.

Open swaps at period end are included in the Consolidated Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.

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

*The fund's consolidated schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.*

*Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.*

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Rutland Square Trust II

- **b. Investment Company Act file number:** 811-21991

- **c. CIK number of Registrant:** 0001364924

- **d. LEI of Registrant:** 1KZ3JN58GDRI3EZKKG06

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

  - **Street Address 1:** 245 Summer Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1-800-FIDELITY

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

- **a. Name of Series:** Strategic Advisers Alternatives Fund

- **b. EDGAR series identifier (if any):** S000076543

- **c. LEI of Series:** 549300L8V38YP5EMDB42

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

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

- **b. Date as of which information is reported:** 2026-02-28

**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:** $2577780445.84

**Total Liabilities:** $51834820.42

**Net Assets:** $2525945625.42

**Amount of Assets Invested in Other Investment Companies:** $34364467.26

**Delayed Delivery Securities:** $35549082.07

**Cash Not Reported:** $3113840.04

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 449.13097154 | **1-Year:** 1661.46963699 | **5-Year:** 685.27647776 | **10-Year:** 538.48369667 | **30-Year:** 153.69984780

**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 C000236518 | 0.99%                | 1.62%                | 1.20%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $10234291.11             | $-95709202.54                              |
| Month 2  | $-598840.79              | $24613632.59                               |
| Month 3  | $1442535.86              | $29900187.67                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| American Beacon Global Evoluti                                    | American Beacon AHL Mgd Futs Strat R5                                        | CUSIP: 024525669<br>LEI: N/A                  | Long             | EC               | RF                | US        |     4107311 | NS      | $43208907.28  | 1.71%             |  |  |  | No            |                  1 | On Loan: No      |
| BLACKROCK FDS                                                     | BlackRock Global Equity Mkt Netrl A                                          | CUSIP: 091936542<br>LEI: OA6RHYR6LGM5LRCG2L62 | Long             | EC               | RF                | US        |    19359252 | NS      | $283032270.18 | 11.21%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/EUR settle 2026-03-03                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $39.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/GBP settle 2026-03-03                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1698.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/EUR settle 2026-03-18                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $164.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/GBP settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1049.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/EUR settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-129.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: GBP/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-38.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: EUR/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $23.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: GBP/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $30.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/EUR settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-82.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: USD/GBP settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $138.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                               | FX Forward: EUR/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: RR3QWICWWIPCS8A4S074       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $157.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: USD/GBP settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $53.65        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: EUR/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $47.06        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/EUR settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-48.14       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                               | FX Forward: GBP/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: RR3QWICWWIPCS8A4S074       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-25.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: USD/GBP settle 2026-03-03                                        | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $46.81        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: GBP/USD settle 2026-04-02                                        | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-46.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EATON VANCE MUT FDS TR                                            | Eaton Vance Glbl Macro Abs Ret Advtg A                                       | CUSIP: 277923280<br>LEI: 549300FGUNKHMTW51F25 | Long             | EC               | RF                | US        |    22423769 | NS      | $274242697.65 | 10.86%            |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Colchester Street Trust                                  | FIMM MM Government Portfolio - Instl Cl                                      | CUSIP: 31607A703<br>LEI: 549300SHPEJB1OPRCV46 | Long             | EC               | RF                | US        |    98638750 | NS      | $98638749.52  | 3.91%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Revere Street Trust                                      | Fidelity Cash Central Fund                                                   | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |      587078 | NS      | $587195.09    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FQF TR                                                            | AGF U.S. Market Neutral Anti-Beta                                            | CUSIP: 00110G408<br>LEI: 549300V3L1GUXZTDO670 | Long             | EC               | RF                | US        |     1944444 | NS      | $27377771.52  | 1.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Cedar Ridge Unconstrained Cred                                    | First Trust Merger Arbitrage Cl I                                            | CUSIP: 46141T869<br>LEI: 549300BGHA8LNTCXW526 | Long             | EC               | RF                | US        |     4996158 | NS      | $52909307.93  | 2.09%             |  |  |  | No            |                  1 | On Loan: No      |
| MERGER FUND                                                       | The Merger Fund A                                                            | CUSIP: 589509108<br>LEI: 549300TXJCENVSEMYP88 | Long             | EC               | RF                | US        |     8744962 | NS      | $151550194.23 | 6.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: PEN/USD settle 2026-05-26                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $107631.76    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/CLP settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-207197.17   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: USD/BRL settle 2026-04-02                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1375.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: USD/BRL settle 2026-04-02                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1350.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/PEN settle 2026-07-16                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-27268.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                            | FX Forward: COP/USD settle 2026-03-05                                        | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |           1 | NC      | $15037.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: CLP/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $164497.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                            | FX Forward: CLP/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |           1 | NC      | $174091.17    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: BRL/USD settle 2026-03-03                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $254857.02    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: USD/BRL settle 2026-03-03                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1265.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: PEN/USD settle 2026-11-30                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $10886.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/MXN settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-117209.35   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: MXN/USD settle 2026-03-09                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $122.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: TRY/USD settle 2026-03-11                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $342.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CAD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $17372.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CZK/USD settle 2026-03-11                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $17934.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/TWD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $13845.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/TRY settle 2026-03-11                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-367.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/COP settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7686.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                            | FX Forward: USD/COP settle 2026-03-18                                        | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |           1 | NC      | $-18954.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CAD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $6238.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/TRY settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-278.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: EUR/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $3674.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: SEK/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $25234.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: GBP/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $28973.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: PLN/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $8820.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: CAD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $4297.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | FX Forward: CZK/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |           1 | NC      | $2482.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CHF/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $68724.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: MXN/USD settle 2026-04-20                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $64189.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/JPY settle 2026-03-18                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $11504.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/TRY settle 2026-03-26                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-341.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: INR/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $33.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/IDR settle 2026-03-17                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $691.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                | FX Forward: KRW/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 2IGI19DL77OX0HC3ZE78       | N/A              | DFE              | CORP              | CA        |           1 | NC      | $5625.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                | FX Forward: CNY/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 2IGI19DL77OX0HC3ZE78       | N/A              | DFE              | CORP              | CA        |           1 | NC      | $23564.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/HUF settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8083.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: THB/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $6140.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: TRY/USD settle 2026-03-27                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $195.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | FX Forward: MXN/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |           1 | NC      | $3102.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/INR settle 2026-04-07                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $603.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: COP/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $10918.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/JPY settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $630.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: PLN/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $3703.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: AUD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $41621.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: NOK/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $70662.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: EUR/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $6151.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: SEK/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $13634.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: KRW/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $2872.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                  | FX Forward: KRW/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |           1 | NC      | $90.72        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: GBP/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-99.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: SGD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $13982.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/IDR settle 2026-03-17                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-215.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                  | FX Forward: INR/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |           1 | NC      | $-579.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: INR/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-5533.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CHF/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $44230.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: NZD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $48928.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                  | FX Forward: USD/IDR settle 2026-03-17                                        | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |           1 | NC      | $-156.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CAD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $14059.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STR INVT TR                                                 | State Street Instl US Govt MMkt Premier                                      | CUSIP: 857492706<br>LEI: 549300CCOK7OZZUAS108 | Long             | EC               | RF                | US        |   168564703 | NS      | $168564703.31 | 6.67%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: PLN/USD settle 2026-04-15                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $11204.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: COP/USD settle 2026-04-08                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $13968.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: PLN/USD settle 2026-04-15                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $167.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: BRL/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $13152.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                | FX Forward: CNY/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 2IGI19DL77OX0HC3ZE78       | N/A              | DFE              | CORP              | CA        |           1 | NC      | $19089.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/EUR settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6842.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                            | FX Forward: PLN/USD settle 2026-04-15                                        | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |           1 | NC      | $75786.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/INR settle 2026-04-07                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1208.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/CHF settle 2026-03-18                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-57442.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/INR settle 2026-04-07                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1209.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/TRY settle 2026-04-06                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-615.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/EUR settle 2026-03-18                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-18544.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: BRL/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $77585.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: USD/GBP settle 2026-03-03                                        | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-718.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/INR settle 2026-04-07                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1031.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                            | FX Forward: USD/PLN settle 2026-04-22                                        | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |           1 | NC      | $-26231.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/TRY settle 2026-03-25                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-217.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                  | FX Forward: USD/COP settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |           1 | NC      | $27771.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/HUF settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-51709.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/HUF settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-0.25        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/HUF settle 2026-03-18                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-0.04        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/HUF settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-45353.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/INR settle 2026-04-07                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1013.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/MXN settle 2026-03-18                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11580.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/CAD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-88910.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: USD/CZK settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4219.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/INR settle 2026-04-07                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $835.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | FX Forward: USD/PHP settle 2026-03-17                                        | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-36566.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                  | FX Forward: USD/PLN settle 2026-04-22                                        | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |           1 | NC      | $-70402.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: MXN/USD settle 2026-04-20                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $150137.32    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: USD/COP settle 2026-03-18                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $81.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: TRY/USD settle 2026-03-31                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $89.52        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/INR settle 2026-04-07                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1617.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/INR settle 2026-04-07                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1712.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/KRW settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-15367.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/CHF settle 2026-03-18                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-70427.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/PLN settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-14256.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: TWD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $297.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: USD/BRL settle 2026-04-02                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-94069.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/COP settle 2026-03-18                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $13734.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: BRL/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $23609.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: NOK/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $26800.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: AUD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $22101.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: COP/USD settle 2026-07-27                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-11065.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: CHF/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $71265.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: GBP/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-17366.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/ZAR settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-3684.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: NZD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $3986.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: HUF/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $11929.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/INR settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-23014.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: INR/USD settle 2026-04-07                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $25804.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: EUR/USD settle 2026-03-03                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-672.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: KRW/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-1395.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CHF/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-3328.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: NOK/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $9841.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: EUR/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-13971.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                  | FX Forward: SEK/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |           1 | NC      | $-18472.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: PLN/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-15232.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/TRY settle 2026-04-07                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-178.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CAD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-19369.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/BRL settle 2026-03-18                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8790.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: AUD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $5087.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: EUR/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-7905.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: NZD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-5900.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: GBP/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-14784.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CZK/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-4531.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/ILS settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $8305.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/MXN settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-1660.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/COP settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $5074.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: PLN/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-4383.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: NOK/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $4998.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/CLP settle 2026-03-18                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $8772.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CHF/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-1427.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: HUF/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $286.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: HUF/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $604.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: AUD/USD settle 2026-03-03                                        | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $2759.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/NZD settle 2026-03-03                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $12601.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                            | FX Forward: USD/NOK settle 2026-03-03                                        | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |           1 | NC      | $-2996.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: USD/CHF settle 2026-03-03                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $11831.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: SEK/USD settle 2026-03-03                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-10774.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: JPY/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-5029.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: IDR/USD settle 2026-03-17                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $2367.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: MXN/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $7231.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: USD/MXN settle 2026-06-17                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9565.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/JPY settle 2026-03-03                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $85165.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: USD/SGD settle 2026-03-03                                        | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-396.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/BRL settle 2026-03-18                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7187.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CAD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-10474.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/ZAR settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1801.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: NZD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-9118.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | FX Forward: USD/JPY settle 2026-03-03                                        | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |           1 | NC      | $11073.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: CAD/USD settle 2026-03-03                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7960.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/JPY settle 2026-03-03                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $2314.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CNY/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $14119.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/IDR settle 2026-06-10                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1685.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/CLP settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $9707.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: KRW/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $4163.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/COP settle 2026-06-17                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $4882.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/INR settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $2403.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: BRL/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $5618.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: NOK/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $6858.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/INR settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $4977.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/THB settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-13170.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/THB settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-14777.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: COP/USD settle 2026-06-17                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7302.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/COP settle 2026-03-05                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $6302.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/JPY settle 2026-03-18                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3727.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/JPY settle 2026-03-18                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1539.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: MXN/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $49.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: USD/KRW settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3195.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: ZAR/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-406.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                            | FX Forward: ILS/USD settle 2026-06-10                                        | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |           1 | NC      | $-30497.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                            | FX Forward: HUF/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |           1 | NC      | $5394.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: MYR/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $4165.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | FX Forward: MYR/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |           1 | NC      | $242.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: HUF/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1875.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: ILS/USD settle 2026-06-10                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-28026.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: COP/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-57719.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: USD/COP settle 2026-08-18                                        | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $68747.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: MYR/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $714.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: HUF/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-15.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: ILS/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-166.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: PLN/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-21.85       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: HUF/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $66.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: ILS/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-182.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: AUD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $3108.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: SEK/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-476.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: CAD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-0.36        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: EUR/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-145.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/GBP settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $2973.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | FX Forward: JPY/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-173867.25   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: ZAR/USD settle 2026-03-20                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $7668.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: THB/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $20880.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: GBP/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-1578.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/THB settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-45.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: EUR/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-75.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: SGD/USD settle 2026-03-03                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1256.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/SGD settle 2026-04-02                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1010.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: AUD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1835.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: NZD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $373.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: CAD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $607.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                  | FX Forward: HUF/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |           1 | NC      | $592.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: BRL/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $5696.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                              | FX Forward: MXN/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |           1 | NC      | $-1142.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: USD/KRW settle 2026-03-18                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-18172.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/KRW settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1601.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: ZAR/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $462.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: EUR/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $357.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: ZAR/USD settle 2026-03-20                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $20031.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: AUD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $2749.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: GBP/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-49.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/CLP settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $12442.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: CLP/USD settle 2026-09-16                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-12099.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: NOK/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $2544.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: SEK/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $2558.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/GBP settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-1743.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: BRL/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $2275.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: AUD/USD settle 2026-04-02                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1418.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/AUD settle 2026-03-03                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1418.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: MXN/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1015.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                  | FX Forward: ZAR/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |           1 | NC      | $1636.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: HUF/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $4022.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/BRL settle 2026-03-03                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-30873.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: BRL/USD settle 2026-04-02                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $29968.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/PLN settle 2026-03-18                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-374.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: COP/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5787.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/EUR settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-5872.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: NZD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $3462.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: ILS/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-2920.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: USD/COP settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $5790.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: COP/USD settle 2026-09-16                                        | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5416.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: PHP/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-1333.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/MXN settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-950.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: MXN/USD settle 2026-06-17                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $1202.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: PHP/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-67.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/TRY settle 2026-04-30                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $71.38        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: CLP/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-7410.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                | FX Forward: AUD/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 2IGI19DL77OX0HC3ZE78       | N/A              | DFE              | CORP              | CA        |           1 | NC      | $1025.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: CZK/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $629.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: CAD/USD settle 2026-04-02                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $3223.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/CAD settle 2026-03-03                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3186.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: PLN/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $17.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: EUR/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $43.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: NOK/USD settle 2026-03-03                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $3861.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/NOK settle 2026-04-07                                        | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-3829.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: ZAR/USD settle 2026-03-18                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-96.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: JPY/USD settle 2026-03-03                                        | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1646.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: USD/JPY settle 2026-04-02                                        | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2158.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: GBP/USD settle 2026-03-03                                        | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |           1 | NC      | $118.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA INC 5.25% 06/15/2026                                                     | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      200000 | PA      | $200132.14    | 0.01%             | 2026-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE CO                                          | MOLSON COORS BEVERAGE CO 3% 07/15/2026                                       | CUSIP: 60871RAG5<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |      200000 | PA      | $199158.28    | 0.01%             | 2026-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                            | COX COMMUNICATIONS INC 3.35% 09/15/2026 144A                                 | CUSIP: 224044CG0<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |      500000 | PA      | $497569.55    | 0.02%             | 2026-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF NEW YORK MELLON EMPLOYEE BENEFIT COLLECTIVE INVT FD PLAN. | BlackRock Systematic Multi-Strat Inv A                                       | CUSIP: 09260C109<br>LEI: MMIDQLKHUPGX6F6S4D55 | Long             | EC               | RF                | US        |    10775646 | NS      | $116269218.06 | 4.60%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | NATURAL GAS FUTR MAY26 NGK26                                                 | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |         -17 | NC      | $68936.51     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | NATURAL GAS FUTR MAY26 NGK26                                                 | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           1 | NC      | $-6078.45     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | NATURAL GAS FUTR APR26 NGJ26                                                 | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |         -79 | NC      | $272484.37    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | NATURAL GAS FUTR JUN26 NGM26                                                 | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |          -2 | NC      | $11406.06     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | NATURAL GAS FUTR JUL26 NGN26                                                 | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |          -2 | NC      | $6766.06      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | BRENT CRUDE FUTR MAY26 COK6                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |         144 | NC      | $942197.28    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | BRENT CRUDE FUTR JUN26 COM6                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |          41 | NC      | $170678.31    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME PRI ALUM FUTR MAY26 LAK26                                                | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |          22 | NC      | $34558.92     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME PRI ALUM FUTR MAY26 LAK26                                                | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |          -4 | NC      | $-5438.56     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME PRI ALUM FUTR MAR26 LAH26                                                | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |         -22 | NC      | $-41258.58    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME PRI ALUM FUTR MAR26 LAH26                                                | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |          22 | NC      | $63976.92     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | BRENT CRUDE FUTR JUL26 CON6                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |          11 | NC      | $42817.57     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | WTI CRUDE FUTURE MAY26 ENK6                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           8 | NC      | $41030.96     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | WTI CRUDE FUTURE JUN26 ENM6                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           5 | NC      | $35324.35     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | WTI CRUDE FUTURE APR26 ENJ6                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           7 | NC      | $70992.09     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | WTI CRUDE FUTURE JUL26 ENN6                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           1 | NC      | $4028.87      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JOHN HANCOCK GLOBAL REAL ESTATE FUND47803N                        | JHancock Diversified Macro A                                                 | CUSIP: 47803N539<br>LEI: N/A                  | Long             | EC               | RF                | US        |         567 | NS      | $5062.69      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                          | FORD MOTOR CREDIT CO LLC 4.271% 01/09/2027                                   | CUSIP: 345397A45<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      400000 | PA      | $399922.43    | 0.02%             | 2027-01-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STONE RIDGE TR                                                    | Stone Ridge Diversified Alternatives I                                       | CUSIP: 861728624<br>LEI: 549300OSYMMPL5LGIM86 | Long             | EC               | RF                | US        |    21228382 | NS      | $209948701.77 | 8.31%             |  |  |  | No            |                  1 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                     | BAT INTL FINANCE PLC 1.668% 03/25/2026                                       | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |      300000 | PA      | $299537.16    | 0.01%             | 2026-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME NICKEL FUTURE MAR26 LNH6                                                 | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |         -13 | NC      | $-53412.52    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME NICKEL FUTURE MAR26 LNH6                                                 | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |          13 | NC      | $83078.58     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME ZINC FUTURE MAR26 LXH6                                                   | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |          12 | NC      | $69395.07     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME ZINC FUTURE MAR26 LXH6                                                   | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |         -12 | NC      | $4855.32      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME NICKEL FUTURE MAY26 LNK6                                                 | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |          12 | NC      | $58824.36     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME ZINC FUTURE MAY26 LXK6                                                   | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |           6 | NC      | $-2726.34     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NTT FINANCE CORP                                                  | NTT FINANCE CORP 1.162% 04/03/2026 144A                                      | CUSIP: 62954WAC9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |      200000 | PA      | $199541.30    | 0.01%             | 2026-04-03      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                     | GOLDMAN SACHS GROUP INC (THE) 1.431%/VAR 03/09/2027                          | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      800000 | PA      | $799511.49    | 0.03%             | 2027-03-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | CHF CURRENCY FUT MAR26 SFH6                                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |        -200 | NC      | $-923984.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | AUDUSD CRNCY FUT MAR26 ADH6                                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |        -599 | NC      | $-2570213.08  | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | C$ CURRENCY FUT MAR26 CDH6                                                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |        -314 | NC      | $-139571.88   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | 3MO EURO EURIBOR FUT MAR27 ERH7                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |         -83 | NC      | $-47926.67    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | 3MO EURO EURIBOR FUT JUN27 ERM7                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |          89 | NC      | $17229.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | 3MO EURO EURIBOR FUT JUN27 ERM7                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |         -87 | NC      | $-51191.40    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ENEL FINANCE INTL NV                                              | ENEL FINANCE INTL NV STEP 07/12/2026 144A                                    | CUSIP: 29278GAM0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |      300000 | PA      | $297234.18    | 0.01%             | 2026-07-12      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                       | ROYAL CARIBBEAN CRUISES LTD 5.5% 08/31/2026 144A                             | CUSIP: 780153BJ0<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      300000 | PA      | $300035.72    | 0.01%             | 2026-08-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF NEW YORK MELLON EMPLOYEE BENEFIT COLLECTIVE INVT FD PLAN. | Federated Hermes MDT Market Neutral A                                        | CUSIP: 31423A440<br>LEI: MMIDQLKHUPGX6F6S4D55 | Long             | EC               | RF                | US        |     8773026 | NS      | $189497366.78 | 7.50%             |  |  |  | No            |                  1 | On Loan: No      |
| MF1 2021-FL7 A                                                    | MF1 2021-FL7 A TSFR1M+119.448 10/16/2036 144A                                | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      102583 | PA      | $102607.79    | 0.00%             | 2036-10-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | 3MO EURO EURIBOR FUT SEP27 ERU7                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |         -69 | NC      | $-48452.43    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF NEW YORK MELLON EMPLOYEE BENEFIT COLLECTIVE INVT FD PLAN. | Absolute Convertible Arbitrage Inv                                           | CUSIP: 90470L352<br>LEI: MMIDQLKHUPGX6F6S4D55 | Long             | EC               | RF                | US        |    12639503 | NS      | $147755785.24 | 5.85%             |  |  |  | No            |                  1 | On Loan: No      |
| Miller Convertible Bond Fund                                      | Miller Market Neutral Income I                                               | CUSIP: 60055P839<br>LEI: N/A                  | Long             | EC               | RF                | US        |     2697842 | NS      | $30026978.42  | 1.19%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | BP CURRENCY FUT MAR26 BPH6                                                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |         729 | NC      | $620072.18    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT SEP27 SFRU7                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |        -277 | NC      | $-136422.39   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT MAR28 SFRH8                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |        -172 | NC      | $-140282.54   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT MAR27 SFRH7                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |          60 | NC      | $7763.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT MAR27 SFRH7                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |        -358 | NC      | $-140299.56   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT JUN26 SFRM6                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |        -268 | NC      | $98979.24     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT DEC27 SFRZ7                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |        -308 | NC      | $-72433.46    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT SEP26 SFRU6                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |        -295 | NC      | $16374.35     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT JUN27 SFRM7                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |        -353 | NC      | $-185479.21   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT DEC26 SFRZ6                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |        -456 | NC      | $-69553.42    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | ICE 3MTH SONIA FU FUT MAR27 SFIH7                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |          52 | NC      | $13766.90     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | ICE 3MTH SONIA FU FUT MAR27 SFIH7                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |         -45 | NC      | $-34206.38    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | ICE 3MTH SONIA FU FUT JUN26 SFIM6                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |         -61 | NC      | $-30174.95    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | ICE 3MTH SONIA FU FUT DEC26 SFIZ6                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |         -63 | NC      | $-56490.18    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | ICE 3MTH SONIA FU FUT SEP26 SFIU6                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |         -42 | NC      | $-34106.53    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | 3MO EURO EURIBOR FUT DEC27 ERZ7                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |         -65 | NC      | $-51360.19    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME LEAD FUTURE MAY26 LLK6                                                   | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |         -26 | NC      | $-856.64      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME LEAD FUTURE MAR26 LLH6                                                   | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |          36 | NC      | $-40885.79    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME LEAD FUTURE MAR26 LLH6                                                   | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |         -36 | NC      | $29713.96     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                       | NATIONWIDE BUILDING SOC(UNGTD) FRN SOFR+129 02/16/2028 144A                  | CUSIP: 63861VAG2<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |      500000 | PA      | $503464.73    | 0.02%             | 2028-02-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | 3MO EURO EURIBOR FUT MAR28 ERH8                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |         -28 | NC      | $-26539.06    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ENTERPRISE FLEET FING 2022-3 LLC                                  | ENTERPRISE FLEET FING 2022-3 LLC 4.38% 07/20/2029 144A                       | CUSIP: 29374FAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        3931 | PA      | $3932.39      | 0.00%             | 2029-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                                       | SWEDBANK AB 5.337% 09/20/2027 REGS                                           | CUSIP: N/A<br>LEI: M312WZV08Y7LYUC71685       | Long             | DBT              | CORP              | SE        |      600000 | PA      | $613231.10    | 0.02%             | 2027-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | GASOLINE RBOB FUT MAY26 XBK6                                                 | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |          10 | NC      | $68890.70     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | GASOLINE RBOB FUT JUN26 XBM6                                                 | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |          13 | NC      | $91076.38     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | GASOLINE RBOB FUT AUG26 XBQ6                                                 | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           1 | NC      | $1753.73      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | NY HARB ULSD FUT APR26 HOJ6                                                  | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           7 | NC      | $125923.91    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | GASOLINE RBOB FUT JUL26 XBN6                                                 | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           6 | NC      | $43761.18     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | GASOLINE RBOB FUT APR26 XBJ6                                                 | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |          11 | NC      | $103303.63    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | NY HARB ULSD FUT MAY26 HOK6                                                  | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           9 | NC      | $97963.95     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | ICE RTD MONTH COA FUT APR26 XAJ6                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           3 | NC      | $-3582.31     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | ICE RTD MONTH COA FUT JUN26 XAM6                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           3 | NC      | $467.69       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUROPEAN ENERGY DERIVATIVES EXCHANGE NV                           | TTF NAT GAS F FUT JUN26 TZTM6                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | NL        |           5 | NC      | $13363.09     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUROPEAN ENERGY DERIVATIVES EXCHANGE NV                           | TTF NAT GAS F FUT APR26 TZTJ6                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | NL        |          30 | NC      | $59051.21     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUROPEAN ENERGY DERIVATIVES EXCHANGE NV                           | ECX EMISSION FUT DEC26 MOZ26                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | NL        |         -19 | NC      | $119288.04    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUROPEAN ENERGY DERIVATIVES EXCHANGE NV                           | TTF NAT GAS F FUT MAY26 TZTK6                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | NL        |          25 | NC      | $37419.82     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | ICE RTD MONTH COA FUT MAY26 XAK6                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           3 | NC      | $-1032.31     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | UK NATURAL GAS FUTAPR26 FNJ6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |          40 | NC      | $63235.67     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD                       | SGX IRON ORE 62% FUT APR26 SCOJ6                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | SG        |        -267 | NC      | $-66551.88    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NORTHERN LTS FD TR IV                                             | Fulcrum Diversified Abslt Ret Spr Instl                                      | CUSIP: 66537J101<br>LEI: N/A                  | Long             | EC               | RF                | US        |     5439078 | NS      | $58198134.86  | 2.30%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD                       | FTSE TAIWAN INDEX FUT MAR26 TWTH6                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |          14 | NC      | $60995.72     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD                       | FTSE TAIWAN INDEX FUT MAR26 TWTH6                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |         -42 | NC      | $-129986.44   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Greenwood Street Trust                                   | Fidelity SAI Convertible Arbitrage Fund                                      | CUSIP: 31624J778<br>LEI: 549300467DYGTZIRI308 | Long             | EC               | RF                | US        |    44190705 | NS      | $488749196.58 | 19.35%            |  |  |  | No            |                  1 | On Loan: No      |
| EVERSOURCE ENERGY                                                 | EVERSOURCE ENERGY 4.75% 05/15/2026                                           | CUSIP: 30040WAV0<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |      400000 | PA      | $400549.56    | 0.02%             | 2026-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES US                                                    | FCOJ-A FUTURE MAY26 JOK6                                                     | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |           3 | NC      | $3329.94      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | SUGAR #11 (WORLD) FUT MAY26 SBK6                                             | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |        -183 | NC      | $86084.91     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | COFFEE 'C' FUTURE MAY26 KCK6                                                 | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |           7 | NC      | $-74961.39    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | COTTON NO.2 FUTR MAY26 CTK6                                                  | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |          26 | NC      | $16524.48     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | INF SWAP US IT 2.525 06/07/23 10Y LCH                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |      900000 | NC      | $-7519.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN ENERGY EXCHANGE AG                                       | PHELIX DE BASE Q FUT APR26 JXTJ6                                             | CUSIP: N/A<br>LEI: 529900J0JGLSFDWNFC20       | N/A              | DCO              | CORP              | DE        |          -3 | NC      | $-13801.91    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                               | SUMITOMO MITSUI FINL GRP INC FRN SOFR+130 07/13/2026                         | CUSIP: 86562MCZ1<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |      500000 | PA      | $501960.81    | 0.02%             | 2026-07-13      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | INF SWAP US IT 2.595 07/12/23 10Y LCH                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     2900000 | NC      | $-30870.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | PLATINUM FUTURE APR26 PLJ6                                                   | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           3 | NC      | $81412.55     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | PLATINUM FUTURE APR26 PLJ6                                                   | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |         -15 | NC      | $-61859.55    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | PALLADIUM FUTURE JUN26 PAM6                                                  | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |         -17 | NC      | $-26961.79    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | PALLADIUM FUTURE JUN26 PAM6                                                  | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           2 | NC      | $23401.93     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | PLATINUM FUTURE JUL26 PLN6                                                   | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-10266.97    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Greenwood Street Trust                                   | Fidelity SAI Alternative Risk Premia Currency Strategy Fund                  | CUSIP: 31624J752<br>LEI: 549300467DYGTZIRI308 | Long             | EC               | RF                | US        |         563 | NS      | $5361.82      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Greenwood Street Trust                                   | FIDELITY SAI ALTERNATIVE RISK PREMIA COMMODITY STRATEGY FUND                 | CUSIP: 31624J760<br>LEI: 549300467DYGTZIRI308 | Long             | EC               | RF                | US        |     4187107 | NS      | $38981966.49  | 1.54%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION               | WHITE SUGAR (ICE) FUT MAY26 QWK6                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |         -42 | NC      | $11904.85     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | COTTON NO.2 FUTR JUL26 CTN6                                                  | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |           4 | NC      | $2264.92      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | COTTON NO.2 FUTR JUL26 CTN6                                                  | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |         -17 | NC      | $730.38       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | SUGAR #11 (WORLD) FUT JUL26 SBN6                                             | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |         -15 | NC      | $5181.40      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | COFFEE 'C' FUTURE JUL26 KCN6                                                 | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |           1 | NC      | $-6527.52     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | COFFEE 'C' FUTURE JUL26 KCN6                                                 | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |         -15 | NC      | $6649.83      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS             | GOVERNMENT NAT MTG ASSN HECM TSFR1M+ 02/20/2067                              | CUSIP: 38376RU61<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      563094 | PA      | $564818.70    | 0.02%             | 2067-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MEFF RENTA VAR EXCH (MADRID)                                      | IBEX 35 INDX FUTR MAR26 IBH6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | ES        |         -15 | NC      | $-58169.94    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MEFF RENTA VAR EXCH (MADRID)                                      | IBEX 35 INDX FUTR MAR26 IBH6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | ES        |           6 | NC      | $34039.70     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION               | WHITE SUGAR (ICE) FUT AUG26 QWQ6                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |          -5 | NC      | $-326.31      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | INF SWAP US IT 2.5 03/29/23 10Y LCH                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -3800000 | NC      | $9509.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS MATIF                                              | RAPESEED EURO FUT MAY26 IJK6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | FR        |         -27 | NC      | $-12485.72    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD                       | NIKKEI 225 (SGX) FUT MAR26 NIH6                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |         -13 | NC      | $-289036.97   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD                       | NIKKEI 225 (SGX) FUT MAR26 NIH6                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |           3 | NC      | $54605.13     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | LOW SU GASOIL G FUT MAR26 QSH6                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |          14 | NC      | $191009.18    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | LOW SU GASOIL G FUT JUN26 QSM6                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           3 | NC      | $8971.61      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | LOW SU GASOIL G FUT APR26 QSJ6                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |          24 | NC      | $193597.88    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT PARIS MATIF                                              | MILL WHEAT EURO FUT SEP26 CAU6                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | FR        |         -51 | NC      | $-16854.57    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | 3MO EURO EURIBOR FUT JUN26 ERM6                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |        -132 | NC      | $1739.16      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | EURO STOXX 50 FUT MAR26 VGH6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | DE        |        -250 | NC      | $-347550.33   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT PARIS MATIF                                              | MILL WHEAT EURO FUT MAY26 CAK6                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | FR        |          17 | NC      | $3228.32      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT PARIS MATIF                                              | MILL WHEAT EURO FUT MAY26 CAK6                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | FR        |        -208 | NC      | $-82752.78    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | DAX INDEX FUTURE MAR26 GXH6                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | DE        |          28 | NC      | $863794.04    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME ZINC FUTURE APR26 LXJ6                                                   | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |           9 | NC      | $7575.24      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME ZINC FUTURE APR26 LXJ6                                                   | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |          -9 | NC      | $-35364.51    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | LOW SU GASOIL G FUT MAY26 QSK6                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |          21 | NC      | $133370.95    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | 3MO EURO EURIBOR FUT SEP26 ERU6                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |        -124 | NC      | $-11081.94    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SOUTH AFRICAN FUTURES EXCHANGE                                    | FTSE/JSE TOP 40 FUT MAR26 AIH6                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | ZA        |         -58 | NC      | $-447178.89   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| SOUTH AFRICAN FUTURES EXCHANGE                                    | FTSE/JSE TOP 40 FUT MAR26 AIH6                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | ZA        |          19 | NC      | $120963.46    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN OIL FUTR AUG26 BOQ6                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -3 | NC      | $-7495.38     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN MEAL FUTR MAY26 SMK6                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |         -41 | NC      | $-46680.86    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN MEAL FUTR MAY26 SMK6                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          26 | NC      | $19049.10     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | CORN FUTURE MAY26 C K6                                                       | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |        -193 | NC      | $-14781.15    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | 3MO EURO EURIBOR FUT DEC26 ERZ6                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |        -133 | NC      | $-45130.93    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | WHEAT FUTURE(CBT) JUL26 W N6                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |         -19 | NC      | $-24809.24    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | CORN FUTURE SEP26 C U6                                                       | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -9 | NC      | $-2929.64     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | S and P500 EMINI FUT MAR26 ESH6                                              | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |         128 | NC      | $-143441.20   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN FUTURE SEP26 S U6                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |         -22 | NC      | $-10504.12    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | JPN YEN CURR FUT MAR26 JYH6                                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |        1083 | NC      | $-515940.61   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | CORN FUTURE JUL26 C N6                                                       | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |         -51 | NC      | $-2425.46     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | KC HRW WHEAT FUT MAY26 KWK6                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |        -134 | NC      | $-150492.14   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | KC HRW WHEAT FUT MAY26 KWK6                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |           5 | NC      | $-464.28      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN OIL FUTR OCT26 BOV6                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-980.46      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | WTI CRUDE FUTURE JUN26 CLM6                                                  | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |          18 | NC      | $127056.34    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN OIL FUTR SEP26 BOU6                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -3 | NC      | $-14155.38    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | WTI CRUDE FUTURE JUL26 CLN6                                                  | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           9 | NC      | $5261.62      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN FUTURE MAY26 S K6                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          24 | NC      | $36440.35     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN FUTURE MAY26 S K6                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |         -61 | NC      | $-137287.56   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN FUTURE AUG26 S Q6                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-564.96      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | NY HARB ULSD FUT JUN26 HOM6                                                  | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           5 | NC      | $36933.70     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COMMODITY EXCHANGE INC                                            | GOLD 100 OZ FUTR JUN26 GCM6                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |           3 | NC      | $60284.24     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | EURO FX CURR FUT MAR26 ECH6                                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |         434 | NC      | $151147.97    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | WTI CRUDE FUTURE APR26 CLJ6                                                  | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |          76 | NC      | $487197.88    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | WHEAT FUTURE(CBT) MAY26 W K6                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |         -52 | NC      | $-91190.42    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | WHEAT FUTURE(CBT) MAY26 W K6                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |           1 | NC      | $895.66       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN MEAL FUTR OCT26 SMV6                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-672.46      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN OIL FUTR JUL26 BON6                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |         -19 | NC      | $-51706.74    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN MEAL FUTR AUG26 SMQ6                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -3 | NC      | $-937.38      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | KC HRW WHEAT FUT JUL26 KWN6                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |         -54 | NC      | $-62857.84    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COMMODITY EXCHANGE INC                                            | COPPER FUTURE MAY26 HGK6                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |          32 | NC      | $117288.56    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COMMODITY EXCHANGE INC                                            | COPPER FUTURE MAY26 HGK6                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |          -4 | NC      | $-45556.69    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COMMODITY EXCHANGE INC                                            | COPPER FUTURE JUL26 HGN6                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |           1 | NC      | $498.08       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | WTI CRUDE FUTURE MAY26 CLK6                                                  | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |          24 | NC      | $164735.12    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN FUTURE JUL26 S N6                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |         -27 | NC      | $-73616.42    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | CORN FUTURE DEC26 C Z6                                                       | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |         -66 | NC      | $-25224.86    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN OIL FUTR MAY26 BOK6                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |         -45 | NC      | $-155150.70   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN OIL FUTR MAY26 BOK6                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          41 | NC      | $148602.18    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT PARIS MATIF                                              | MILL WHEAT EURO FUT DEC26 CAZ6                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | FR        |         -38 | NC      | $-14759.49    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | MSCI EMGMKT FUT MAR26 MESH6                                                  | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DE               | CORP              | US        |         -32 | NC      | $-67541.84    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN MEAL FUTR JUL26 SMN6                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |         -13 | NC      | $3808.02      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                          | FORD MOTOR CREDIT CO LLC 5.8% 03/05/2027                                     | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      300000 | PA      | $304072.10    | 0.01%             | 2027-03-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES US                                                    | COTTON NO.2 FUTR DEC26 CTZ6                                                  | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |           3 | NC      | $1782.44      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BRAZIL LETRAS DO TESOURO NACIONAL                                 | BRAZIL LETRAS DO TESOURO NACIONAL 0% 04/01/2026                              | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |      200000 | PA      | $38519.63     | 0.00%             | 2026-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD             | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+100 08/15/2048                        | CUSIP: 3137HBGQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       54268 | PA      | $54414.99     | 0.00%             | 2048-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                       | 90-DAY BANK BILL FUT JUN26 IRM6                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |          48 | NC      | $-59582.99    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                           | 3M CORRA FUTURES JUN26 CORM6                                                 | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DIR              | CORP              | CA        |          -9 | NC      | $-2362.69     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                           | 3M CORRA FUTURES SEP26 CORU6                                                 | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DIR              | CORP              | CA        |         -10 | NC      | $-4049.12     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT PARIS MATIF                                              | RAPESEED EURO FUT AUG26 IJQ6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | FR        |          -8 | NC      | $-4942.81     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                       | 90-DAY BANK BILL FUT DEC26 IRZ6                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |          32 | NC      | $-40912.41    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                       | 90-DAY BANK BILL FUT SEP26 IRU6                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |          39 | NC      | $-43979.77    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                       | 90-DAY BANK BILL FUT MAR27 IRH7                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |          20 | NC      | $-17471.92    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                       | 90-DAY BANK BILL FUT JUN27 IRM7                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | AU        |          13 | NC      | $-291.35      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                    | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+90 12/25/2050                         | CUSIP: 3136BQ6A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       54571 | PA      | $55073.37     | 0.00%             | 2050-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN MEAL FUTR SEP26 SMU6                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -2 | NC      | $-1424.92     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | SWISS MKT IX FUTR MAR26 SMH6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | DE        |          71 | NC      | $883969.11    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | CANOLA FUTR (WCE) MAY26 RSK6                                                 | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |         -25 | NC      | $-5934.61     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                           | 3M CORRA FUTURES DEC26 CORZ6                                                 | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DIR              | CORP              | CA        |         -11 | NC      | $-4928.81     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CUMULUS STATIC CLO 2024 1 DESIGNATED ACTIVITY CO                  | CUMULUS STATIC CLO 2024 1 DESIGNATED ACTIVITY CO A 3MEUR+120 11/15/2033 144A | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |      198400 | PA      | $234885.66    | 0.01%             | 2033-11-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXVIII LTD                                        | SOUND POINT CLO XXVIII LTD A1R TSFR3M+128 01/25/2032 144A                    | CUSIP: 83615CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      597311 | PA      | $598175.39    | 0.02%             | 2032-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EURONEXT PARIS MATIF                                              | RAPESEED EURO FUT NOV26 IJX6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | FR        |          -4 | NC      | $-2672.05     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | CANOLA FUTR (WCE) JUL26 RSN6                                                 | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |         -11 | NC      | $-2831.57     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION               | COCOA FUTURE - IC MAY26 QCK6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |         -10 | NC      | $114710.27    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COMMODITY EXCHANGE INC                                            | GOLD 100 OZ FUTR APR26 GCJ6                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |          41 | NC      | $570292.01    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | COCOA FUTURE MAY26 CCK6                                                      | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |          -6 | NC      | $66614.88     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS             | GOVERNMENT NATIONAL MORTGAGE 2023-H20 FL SOFR30A+110 05/20/2073              | CUSIP: 38383KDY5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      154915 | PA      | $156843.77    | 0.01%             | 2073-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                           | 3M CORRA FUTURES MAR27 CORH7                                                 | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DE               | CORP              | CA        |          -7 | NC      | $-2648.22     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COMMODITY EXCHANGE INC                                            | SILVER FUTURE MAY26 SIK6                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |          -6 | NC      | $37908.48     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCM 31 LTD                                                        | LCM 31 LTD AR TSFR3M+128 07/20/2034 144A                                     | CUSIP: 50201QAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $300183.60    | 0.01%             | 2034-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | WHEAT FUTURE(CBT) SEP26 W U6                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -4 | NC      | $-6159.84     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | WHEAT FUTURE(CBT) DEC26 W Z6                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -3 | NC      | $-6069.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | KC HRW WHEAT FUT SEP26 KWU6                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -9 | NC      | $-2884.64     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | SA RAND CURR(CME) FUT MAR26 RAH6                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |         141 | NC      | $250931.68    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION               | COCOA FUTURE - IC JUL26 QCN6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |          -1 | NC      | $13047.35     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | CANOLA FUTR (WCE) NOV26 RSX6                                                 | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |          -6 | NC      | $-3529.80     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS             | GOVERNMENT NATIONAL MORTGAGE 2024-H12 FC SOFR30A+90 07/20/2074               | CUSIP: 38383KZF2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      384763 | PA      | $390433.41    | 0.02%             | 2074-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD             | FEDERAL HOME LN MTG MLT CTF GT 5442 FB SOFR30A+97 08/25/2054                 | CUSIP: 3137HF4U6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      255751 | PA      | $257806.64    | 0.01%             | 2054-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                    | FANNIE MAE REMICS SOFR30A+97 08/25/2054                                      | CUSIP: 3136BSSC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      187259 | PA      | $188568.05    | 0.01%             | 2054-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES US                                                    | COCOA FUTURE JUL26 CCN6                                                      | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |          -7 | NC      | $35267.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BMW US CAPITAL LLC                                                | BMW US CAPITAL LLC FRN SOFRINDX+80 08/13/2026 144A                           | CUSIP: 05565ECN3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |      700000 | PA      | $701925.00    | 0.03%             | 2026-08-13      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | MEXICAN PESO FUT MAR26 PEH6                                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |         488 | NC      | $732617.44    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| RABOBANK NEDERLAND NEW YORK BRH                                   | RABOBANK NEDERLAND NY BRH FRN SOFRINDX+62 08/28/2026                         | CUSIP: 21688ABG6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | US        |      700000 | PA      | $701309.00    | 0.03%             | 2026-08-28      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                     | SOUTHERN CALIFORNIA EDISON CO 4.4% 09/06/2026                                | CUSIP: 842400JF1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      500000 | PA      | $500781.89    | 0.02%             | 2026-09-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JAPAN EXCHANGE GROUP INC                                          | NIKKEI 225 MINI FUT MAR26 NOH6                                               | CUSIP: N/A<br>LEI: 353800578ADEGIJTVW07       | N/A              | DE               | CORP              | JP        |        -186 | NC      | $-847415.37   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| JAPAN EXCHANGE GROUP INC                                          | NIKKEI 225 (OSE) FUT MAR26 NKH6                                              | CUSIP: N/A<br>LEI: 353800578ADEGIJTVW07       | N/A              | DE               | CORP              | JP        |         -20 | NC      | $-907047.48   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | EURO/PLZ X-RATE FUT MAR26 EIH6                                               | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |          33 | NC      | $28205.07     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                           | 3M CORRA FUTURES JUN27 CORM7                                                 | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DE               | CORP              | CA        |          -7 | NC      | $-5234.93     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | NASDAQ 100 E-MINI FUT MAR26 NQH6                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |          33 | NC      | $-267345.85   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | EURO/CZK X-RATE FUT MAR26 EXH6                                               | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |          12 | NC      | $4982.80      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | EUR/SWED KRNA X-RAT FUT MAR26 EWH6                                           | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |          -3 | NC      | $7575.27      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | EURO/HUF X-RATE FUT MAR26 ELH6                                               | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |          41 | NC      | $87388.52     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                       | SPI 200 FUTURES MAR26 XPH6                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | AU        |          -4 | NC      | $-30359.28    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                       | SPI 200 FUTURES MAR26 XPH6                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | AU        |           9 | NC      | $58435.91     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | ISRAELI SHEKEL FUT MAR26 ISH6                                                | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |         -24 | NC      | $-101962.48   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION               | COFF ROBUSTA 10TN FUT MAY26 DFK6                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |          20 | NC      | $-21009.21    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | LEAN HOGS FUTURE APR26 LHJ6                                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |         -14 | NC      | $-5413.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | LIVE CATTLE FUTR APR26 LCJ6                                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |          44 | NC      | $62953.52     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| OFSI BSL XI LTD                                                   | OFSI BSL XI LTD AR TSFR3M+127 04/20/2034 144A                                | CUSIP: 67115PAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500472.50    | 0.02%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD             | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 12/25/2054                        | CUSIP: 3137HHUD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      187789 | PA      | $188936.10    | 0.01%             | 2054-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION               | COFF ROBUSTA 10TN FUT JUL26 DFN6                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           9 | NC      | $-5101.41     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | NEW ZEALAND $ FUT MAR26 NVH6                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |        -175 | NC      | $-279232.25   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | LEAN HOGS FUTURE JUN26 LHM6                                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |          -3 | NC      | $-4777.26     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | LEAN HOGS FUTURE JUN26 LHM6                                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |           5 | NC      | $-283.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STOCKHOLM STOCK EXCHANGE                                          | OMXS30 IND FUTURE MAR26 QCH6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SE        |          62 | NC      | $65988.22     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JAPAN EXCHANGE GROUP INC                                          | TOPIX INDX FUTR MAR26 TPH6                                                   | CUSIP: N/A<br>LEI: 353800578ADEGIJTVW07       | N/A              | DE               | CORP              | JP        |          30 | NC      | $1060532.96   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | CORN FUTURE MAR27 C H7                                                       | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -4 | NC      | $-684.84      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | E-MINI RUSS 2000 FUT MAR26 RTYH6                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |        -133 | NC      | $-309676.95   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | E-MINI RUSS 2000 FUT MAR26 RTYH6                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |           4 | NC      | $19297.89     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | S and P MID 400 EMINI FUT MAR26 FAH6                                         | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |         -11 | NC      | $-183848.70   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                        | FNMA GTD MTG PASS THRU CTF 2024-100 FA SOFR30A+110 05/25/2054                | CUSIP: 3136BUFY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      186558 | PA      | $187714.52    | 0.01%             | 2054-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | LIVE CATTLE FUTR JUN26 LCM6                                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |          19 | NC      | $68284.02     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL FDG                                      | JACKSON NATL LIFE GLOBAL FDG 4.9% 01/13/2027 144A                            | CUSIP: 46849LVC2<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |      150000 | PA      | $151092.69    | 0.01%             | 2027-01-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL FUNDING                                    | PROTECTIVE LIFE GLOBAL FUNDING FRN SOFR+50 07/22/2026 144A                   | CUSIP: 743672AG2<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |      200000 | PA      | $200166.59    | 0.01%             | 2026-07-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| KUNTARAHOITUS OYJ                                                 | KUNTARAHOITUS OYJ FRN SOFRINDX+100 02/02/2029 144A                           | CUSIP: 62628PAH9<br>LEI: 529900HEKOENJHPNN480 | Long             | DBT              | CORP              | FI        |      800000 | PA      | $815480.15    | 0.03%             | 2029-02-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION               | COFF ROBUSTA 10TN FUT SEP26 DFU6                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           1 | NC      | $-501.26      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD             | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+90 11/25/2054                         | CUSIP: 3137HJCB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      199809 | PA      | $200903.17    | 0.01%             | 2054-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST 2025-1                      | GM FINANCIAL AUTOMOBILE LEASING TRUST 2025-1 VAR 05/20/2027                  | CUSIP: 36271VAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      462344 | PA      | $463174.52    | 0.02%             | 2027-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                              | ROYAL BANK OF CANADA FRN SOFRINDX+46 08/03/2026                              | CUSIP: 78017DAE8<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      700000 | PA      | $700720.15    | 0.03%             | 2026-08-03      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | LEAN HOGS FUTURE JUL26 LHN6                                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |          -2 | NC      | $-854.84      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TOYOTA LEASE OWNER TRUST 2025-A                                   | TOYOTA LEASE OWNER TRUST 2025-A 4.58% 07/20/2027 144A                        | CUSIP: 89239NAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      162502 | PA      | $162826.94    | 0.01%             | 2027-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLIX LTD                                     | MADISON PARK FUNDING XLIX LTD AR TSFR3M+105 10/19/2034 144A                  | CUSIP: 55820VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $300048.00    | 0.01%             | 2034-10-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | LIVE CATTLE FUTR AUG26 LCQ6                                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |          11 | NC      | $-586.62      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE                                        | HSCEI FUTURES MAR26 HCH6                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | HK        |           5 | NC      | $-10449.04    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE                                        | HSCEI FUTURES MAR26 HCH6                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | HK        |          -9 | NC      | $9085.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE                                        | HANG SENG IDX FUT MAR26 HIH6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | HK        |           6 | NC      | $-15404.22    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE                                        | HANG SENG IDX FUT MAR26 HIH6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | HK        |         -42 | NC      | $2471.31      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AGL CLO 14 LTD                                                    | AGL CLO 14 LTD AR TSFR3M+113 12/02/2034 144A                                 | CUSIP: 00851WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $300313.80    | 0.01%             | 2034-12-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| KOREA FUTURES EXCHANGE                                            | KOSPI2 INX FUT MAR26 KMH6                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | KR        |         112 | NC      | $7096208.30   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | DJIA MINI E-CBOT FUT MAR26 DMH6                                              | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DE               | CORP              | US        |          25 | NC      | $8513.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| WARSAW STOCK EXCHANGE/FINANCIAL DERIVATIVES                       | WIG20 INDEX FUT MAR26 KRSH6                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | PL        |          49 | NC      | $62662.01     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD                       | MSCI SING IX ETS FUT MAR26 QZH6                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |         165 | NC      | $-36010.73    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | CATTLE FEEDER FUT MAR26 FCH6                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |           7 | NC      | $129020.56    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                           | S and P/TSX 60 IX FUT MAR26 PTH6                                             | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DE               | CORP              | CA        |          66 | NC      | $1123938.37   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | EUR/NOR KRONE X-RAT FUT MAR26 ENH6                                           | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |          -5 | NC      | $31981.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | FTSE 100 IDX FUT MAR26 Z H6                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |           8 | NC      | $126608.26    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | FTSE 100 IDX FUT MAR26 Z H6                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |         -57 | NC      | $-769093.20   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| ITALIAN DERIVATIVES MARKET                                        | FTSE/MIB IDX FUT MAR26 STH6                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | IT        |          38 | NC      | $644151.54    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT PARIS-MONEP                                              | CAC40 10 EURO FUT MAR26 CFH6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | FR        |           3 | NC      | $8794.59      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT PARIS-MONEP                                              | CAC40 10 EURO FUT MAR26 CFH6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | FR        |         -68 | NC      | $-152584.93   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD                       | FTSE CHINA A50 FUT MAR26 XUH6                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |        1363 | NC      | $-215493.49   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| NSE IFSC                                                          | IFSC NIFTY 50 FUT MAR26 JGSH6                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | IN        |         -41 | NC      | $34659.82     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NSE IFSC                                                          | IFSC NIFTY 50 FUT MAR26 JGSH6                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | IN        |          41 | NC      | $-43959.77    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.65000 06/18/25 5Y CME                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  6220100000 | NC      | $22481.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS PLN 3.95200 07-29-25-5Y CME                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     5845000 | NC      | $55489.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | LEAN HOGS FUTURE AUG26 LHQ6                                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-412.42      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | CATTLE FEEDER FUT APR26 FCJ6                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |          10 | NC      | $-7024.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | LIVE CATTLE FUTR OCT26 LCV6                                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |           4 | NC      | $-10259.68    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 05/14/2026                                                      | CUSIP: 912797QN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      400000 | PA      | $397088.11    | 0.02%             | 2026-05-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | INF SWAP US IT 2.5975 04/10/24 10Y LCH                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -2000000 | NC      | $3071.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | CATTLE FEEDER FUT MAY26 FCK6                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |           5 | NC      | $10725.40     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS ILS SHIRON-.901-3.92 4/21/25 5Y LCH                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     9000000 | NC      | $63508.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | CATTLE FEEDER FUT AUG26 FCQ6                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |           4 | NC      | $-23509.68    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | SHORT EURO-BTP FU FUT MAR26 BTSH6                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          42 | NC      | $8204.65      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | SHORT EURO-BTP FU FUT MAR26 BTSH6                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         -84 | NC      | $-19702.97    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | EURO-BUXL 30Y BND FUT MAR26 UBH6                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         -82 | NC      | $-204715.15   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | EURO-SCHATZ FUT MAR26 DUH6                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -452 | NC      | $-114108.03   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | EURO-OAT FUTURE MAR26 OATH6                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         -96 | NC      | $-194323.20   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | EURO-OAT FUTURE MAR26 OATH6                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          11 | NC      | $12443.39     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | EURO-BOBL FUTURE MAR26 OEH6                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -406 | NC      | $-513530.85   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | EURO-BTP FUTURE MAR26 IKH6                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          91 | NC      | $224268.01    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | EURO-BUND FUTURE MAR26 RXH6                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -202 | NC      | $-427256.28   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JAPAN EXCHANGE GROUP INC                                          | JPN 10Y BOND(OSE) FUT MAR26 JBH6                                             | CUSIP: N/A<br>LEI: 353800578ADEGIJTVW07       | N/A              | DIR              | CORP              | JP        |          -8 | NC      | $34013.19     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                           | CAN 5YR BOND FUT JUN26 XQM6                                                  | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DIR              | CORP              | CA        |          -1 | NC      | $-213.83      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| KOREA FUTURES EXCHANGE                                            | US DOLLAR FUT MAR26 KUH6                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | KR        |        -924 | NC      | $80683.71     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CBOE FUTURES EXCHANGE                                             | CBOE VIX FUTURE MAR26 UXH6                                                   | CUSIP: N/A<br>LEI: 254900O9GJPIWCP8RH13       | N/A              | DE               | CORP              | US        |         217 | NC      | $215637.08    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                           | CAN 10YR BOND FUT JUN26 CNM6                                                 | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DIR              | CORP              | CA        |          56 | NC      | $21147.36     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                           | CAN 2YR BOND FUT JUN26 CVM6                                                  | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DIR              | CORP              | CA        |         -13 | NC      | $-726.07      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | EURO STOXX BANK FUT MAR26 CAH6                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | DE        |          40 | NC      | $32066.01     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANQUE FED CRED MUTUEL PARIS                                      | BANQUE FED CRED MUTUEL PARIS FRN SOFR+99 10/16/2028 144A                     | CUSIP: 06675DCQ3<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |      200000 | PA      | $201102.14    | 0.01%             | 2028-10-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XXII LTD                              | BENEFIT STREET PARTNERS CLO XXII LTD AR2 TSFR3M+115 04/20/2035 144A          | CUSIP: 08186UAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250311.50    | 0.01%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXII LTD                                         | MARBLE POINT CLO XXII LTD AR TSFR3M+ 07/25/2034 144A                         | CUSIP: 56606GAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250071.00    | 0.01%             | 2034-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NA                                    | MORGAN STANLEY PRIVATE BANK NA FRN SOFR+77 07/06/2028                        | CUSIP: 61776NVF7<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |      250000 | PA      | $250590.00    | 0.01%             | 2028-07-06      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIX LTD                                             | SYMPHONY CLO XXIX LTD 2025-29A AR TSFR3M+115 10/15/2035 144A                 | CUSIP: 87168GAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250209.00    | 0.01%             | 2035-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CBOE FUTURES EXCHANGE                                             | CBOE VIX FUTURE APR26 UXJ6                                                   | CUSIP: N/A<br>LEI: 254900O9GJPIWCP8RH13       | N/A              | DE               | CORP              | US        |          83 | NC      | $57189.47     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SYMP 2022-32A A1                                                  | SYMP 2022-32A A1 AR TSFR3M+ 10/23/2035 144A                                  | CUSIP: 87168NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |      250000 | PA      | $250216.25    | 0.01%             | 2035-10-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FACT S A                                                          | FACT SA/LU 1MEUR+ 09/22/2031 REGS                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | LU        |      313527 | PA      | $371167.24    | 0.01%             | 2031-09-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD             | FEDERAL HOME LN MTG MLT CTF GT 25-5567 FB SOFR30A+100 08/25/2055             | CUSIP: 3137HMEX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      252833 | PA      | $254790.97    | 0.01%             | 2055-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2021-2 LTD                                          | WELLFLEET CLO 2021-2 LTD A1R TSFR3M+115 07/15/2034 144A                      | CUSIP: 95023AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250006.50    | 0.01%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS EUR 2.75000 03/18/26 10Y LCH                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     8300000 | NC      | $80104.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS EUR 3.00000 03/18/26 30Y LCH                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -2400000 | NC      | $33810.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CBOE FUTURES EXCHANGE                                             | CBOE VIX FUTURE MAY26 UXK6                                                   | CUSIP: N/A<br>LEI: 254900O9GJPIWCP8RH13       | N/A              | DE               | CORP              | US        |          20 | NC      | $10441.40     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 13.47 80-22-25 01/02/31 CME                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     2400000 | NC      | $4575.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 13.385 01/02/2031 CME                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    12200000 | NC      | $-2056.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS CAD CAONREPO-3.2500 03/18/26 30Y LCH                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -4300000 | NC      | $18723.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR USD SOFR-4 03/18/26 10Y LCH                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    11400000 | NC      | $158302.72    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR GBP SONIO 4.75 03/18/26 30Y LCH                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -3400000 | NC      | $-168458.39   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS THB THORON 1.00 03/18/26 5Y LCH                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     4000000 | NC      | $-921.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS TWD 1.75000 03/18/26 5Y LCH                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -138700000 | NC      | $29089.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS SGD SIBSORA-1.50000 03-18-26-5Y LCH                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    10100000 | NC      | $52292.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS INR MIBOR-5.75000 03/18/26 5Y LCH                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -574500000 | NC      | $-12655.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS HKD 3.0 03/18/26 5Y LCH                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    33800000 | NC      | $42209.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS KRW 2.50000 03-18-26-5Y LCH                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -3193800000 | NC      | $52947.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS CAD CAONREPO-2.75000 03-18-26-5Y LCH                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     7900000 | NC      | $25708.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS CAD CAONREPO-3.0000 03/18/26 10Y LCH                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    13500000 | NC      | $124115.08    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR GBP SONIO-3.5000 03/18/26 2Y LCH                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -1300000 | NC      | $-1499.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR GBP SONIO-4.25 03/18/26 10Y LCH                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    10600000 | NC      | $141114.96    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR USD SOFR-3.50000 03/18/26 5Y LCH                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     1500000 | NC      | $9882.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR USD SOFR 3.50000 03/18/26 2Y LCH                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -28200000 | NC      | $-42493.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS CAD CAONREPO 2.50000 03/18/26 2Y LCH                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     9600000 | NC      | $50105.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | EURO-SCHATZ FUT JUN26 DUM6                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -150 | NC      | $-14980.33    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR USD SOFR-4.000 03/18/26 30Y LCH                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     -700000 | NC      | $-1573.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS CNY 1.50000 03/18/26 5Y LCH                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     3500000 | NC      | $259.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS EUR 2.00000 03-18-26-2Y LCH                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     1800000 | NC      | $1315.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS AUD 4.25000 03/18/26 10Y LCH                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     6500000 | NC      | $-67697.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR JPY MUTK-1.5000 03/18/26 10Y LCH                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -222500000 | NC      | $-4086.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS AUD 3.25 03/18/26 2Y LCH                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -31700000 | NC      | $173518.86    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR JPY MUTK 2.50000 3/18/26 30Y LCH                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   198400000 | NC      | $-12523.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                       | AUST 3YR BOND FUT MAR26 YMH6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |          98 | NC      | $5511.33      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                       | AUST 3YR BOND FUT MAR26 YMH6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |         -46 | NC      | $825.69       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                       | AUST 10Y BOND FUT MAR26 XMH6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |           8 | NC      | $4443.76      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                       | AUST 10Y BOND FUT MAR26 XMH6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |        -116 | NC      | $-104838.05   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | US ULTRA BOND CBT FUT JUN26 WNM6                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |          97 | NC      | $124664.83    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | US 10YR ULTRA FUT JUN26 UXYM6                                                | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -28 | NC      | $-25015.94    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | US 10YR ULTRA FUT JUN26 UXYM6                                                | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |          13 | NC      | $7701.72      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR 8.79000 09/17/25 5Y CME                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   160400000 | NC      | $-2539.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | US 10YR NOTE FUT (CBT)JUN26 TYM6                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -89 | NC      | $-62897.08    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | US LONG BOND(CBT) FUT JUN26 USM6                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |          23 | NC      | $24394.24     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| KOREA FUTURES EXCHANGE                                            | KOREA 10YR BND FU FUT MAR26 KAAH6                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | KR        |        -114 | NC      | $-28975.42    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| KOREA FUTURES EXCHANGE                                            | KOREA 3YR BND FUT MAR26 KEH6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | KR        |        -134 | NC      | $-18867.79    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                         | CDX ITRAXX XOV44 5Y ICE                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |     1950000 | NC      | $8241.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                         | BOA CDX EM44 ICE 12/20/2030                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |     8900000 | NC      | $54234.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                         | CDX ITRAXX MAIN44 5Y ICE                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |       50000 | NC      | $-47.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                         | ICE CDX ITXEB544 12/20/2030                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |    33000000 | NC      | $12372.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                         | CDX NA IG S45 5YR 12/20/30                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |    63000000 | NC      | $-111553.07   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                         | CFM ITRAXX XOVER S44 5YR 12/20/30                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |    12000000 | NC      | $61051.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                         | CFM CDX EM CDSI S44 5YR 12/20/2030                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |     3000000 | NC      | $23879.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | US 5YR NOTE (CBT) FUT JUN26 FVM6                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -347 | NC      | $-160252.67   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | US 2YR NOTE (CBT) FUT JUN26 TUM6                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |           8 | NC      | $2365.32      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | US 2YR NOTE (CBT) FUT JUN26 TUM6                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -685 | NC      | $-207778.72   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 04/02/2026                                                      | CUSIP: 912797SD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      300000 | PA      | $299063.54    | 0.01%             | 2026-04-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | LONG GILT FUTURE JUN26 G M6                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |          83 | NC      | $118859.67    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                         | CDX HY45 5Y ICE                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |     3069000 | NC      | $-15883.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                         | CFM ICE CDXHY S45 5Y T0 CDX 12/20/30                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |     4950000 | NC      | $-1939.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                         | GNII II 5.5% 03/01/2056 #TBA                                                 | CUSIP: 21H052637<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -9300000 | PA      | $-9419745.87  | -0.37%            | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                         | GNII II 5.5% 03/01/2056 #TBA                                                 | CUSIP: 21H052637<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9300000 | PA      | $9419745.87   | 0.37%             | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                              | UMBS 15YR 5% 03/01/2041 #TBA                                                 | CUSIP: 01F050437<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     2900000 | PA      | $2944066.37   | 0.12%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                              | UMBS 15YR 5% 03/01/2041 #TBA                                                 | CUSIP: 01F050437<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |    -1100000 | PA      | $-1116714.83  | -0.04%            | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                              | UMBS 30YR 5.5% 03/01/2056 #TBA                                               | CUSIP: 01F052631<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |    -2800000 | PA      | $-2845062.64  | -0.11%            | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                              | UMBS 30YR 5.5% 03/01/2056 #TBA                                               | CUSIP: 01F052631<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     2800000 | PA      | $2845062.64   | 0.11%             | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                              | UMBS 30YR 6% 03/01/2056 #TBA                                                 | CUSIP: 01F060634<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     2400000 | PA      | $2461781.28   | 0.10%             | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                              | UMBS 30YR 6% 03/01/2056 #TBA                                                 | CUSIP: 01F060634<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |    -2400000 | PA      | $-2461781.28  | -0.10%            | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 04/09/2026                                                      | CUSIP: 912797SL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      400000 | PA      | $398470.50    | 0.02%             | 2026-04-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 7.56000 09-22-25-5Y CME                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    91700000 | NC      | $99477.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | CDX ITRAXX XOV44 5Y 35-100% SP BOA                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |      200000 | NC      | $47444.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 4.13000 10-01-25-10Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    47700000 | NC      | $10546.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EVERGREEN CR CARD TR                                              | EVERGREEN CR CARD 25-1A A SOFR+59 10/15/2029 144A                            | CUSIP: 30023JCZ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |      500000 | PA      | $501912.10    | 0.02%             | 2029-10-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS MYR 3.00000 03/18/26 5Y LCH                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -25500000 | NC      | $-11604.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 6.86000 10/15/25 5Y CME                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     8800000 | NC      | $5639.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS PLN 4.19500 09/29/25 5Y CME                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    25600000 | NC      | $28119.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS ILS SHIRON-3.80000 07-04-25-5Y LCH                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    16000000 | NC      | $28085.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 04/30/2026                                                      | CUSIP: 912797SN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      100000 | PA      | $99404.67     | 0.00%             | 2026-04-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORTGAGE HOUSE RMBS OSMIUM SERIES 2024-2                          | MORTGAGE HOUSE RMBS OSMIUM SERIES 2024-2 A1L BBSW1M+130 03/15/2056           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | AU        |      213870 | PA      | $152765.54    | 0.01%             | 2056-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ORDE SERIES 2025-1 TRUST                                          | ORDE SERIES 2025-1 TRUST BBSW1M+115 06/11/2056                               | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | AU        |      738226 | PA      | $526950.72    | 0.02%             | 2056-06-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 3.70500 8/25/25 5Y CME                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -59800000 | NC      | $-92008.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 03/03/2026                                                      | CUSIP: 912797ST5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       72000 | PA      | $71992.79     | 0.00%             | 2026-03-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-9.11500 10/31/25 5Y*CME                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        | -6890900000 | NC      | $165129.24    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                         | GNII II 5.5% 04/01/2056 #TBA                                                 | CUSIP: 21H052645<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    11900000 | PA      | $12040672.28  | 0.48%             | 2056-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                              | UMBS 15YR 5% 04/01/2041 #TBA                                                 | CUSIP: 01F050445<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     1300000 | PA      | $1318992.09   | 0.05%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                              | UMBS 30YR 5.5% 04/01/2056 #TBA                                               | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     2800000 | PA      | $2842875.00   | 0.11%             | 2056-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                              | UMBS 30YR 6% 04/01/2056 #TBA                                                 | CUSIP: 01F060642<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     1700000 | PA      | $1743562.67   | 0.07%             | 2056-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 03/10/2026                                                      | CUSIP: 912797SY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      334000 | PA      | $333730.82    | 0.01%             | 2026-03-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS MXN TIIE1 7.30000 12/17/25-5Y* CME                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    56600000 | NC      | $36297.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO TRUST                                                     | KKR CLO TRUST 33A AR TSFR3M+108 07/20/2034 144A                              | CUSIP: 48254QAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250113.25    | 0.01%             | 2034-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 05/21/2026                                                      | CUSIP: 912797SV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      100000 | PA      | $99203.30     | 0.00%             | 2026-05-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 6.41800 11/19/25 5Y CME                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -866140000 | NC      | $-69893.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 05/28/2026                                                      | CUSIP: 912797SW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      100000 | PA      | $99134.08     | 0.00%             | 2026-05-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 6.50000 11-25-25-5Y CME                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  2646109000 | NC      | $93034.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO 16 LTD                                                    | KKR CLO 16 LTD 2016 A1R3 TSFR3M+114 10/20/2034 144A                          | CUSIP: 48251BBE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250234.50    | 0.01%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.75000 11/17/25 5Y CME                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        | -1329200000 | NC      | $-3983.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 12.8 11-28-25-01-02-31 CME                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    10400000 | NC      | $-6294.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 04/07/2026                                                      | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      200000 | PA      | $199274.26    | 0.01%             | 2026-04-07      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS MXN TIIE1 8.07100 09/17/25 10Y* CME                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    40500000 | NC      | $27640.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY and CO. INTERNATIONAL PLC                          | KOSPI2 FUTURE TRS EQUITY*BULLET*MYI                                          | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | GB        |      750000 | NC      | $184619.23    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 04/14/2026                                                      | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      563000 | PA      | $560558.93    | 0.02%             | 2026-04-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OPTIONS EXCHANGE                                    | S and P 500 INDX PUT 4450 12/18/2026                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |          58 | NC      | $287100.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OPTIONS EXCHANGE                                    | S and P 500 INDX PUT 6550 03/20/2026                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |          29 | NC      | $99180.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES                                   | SET50 FUTURE TRS EQUITY *BULLET* MYI                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |       22800 | NC      | $130537.26    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 04/28/2026                                                      | CUSIP: 912797TK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      100000 | PA      | $99425.65     | 0.00%             | 2026-04-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-10.67000 03/18/2026 5Y CME                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  5016300000 | NC      | $-50162.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OPTIONS EXCHANGE                                    | S and P 500 INDX PUT 6650 04/17/2026                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |          34 | NC      | $307020.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OPTIONS EXCHANGE                                    | S and P 500 INDX PUT 4600 01/15/2027                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |          50 | NC      | $303250.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 3.5700 07/03/25 5Y CME                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   130600000 | NC      | $34065.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY and CO. INTERNATIONAL PLC                          | KOSPI2 FUTURE TRS EQUITY *BULLET*MYI                                         | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | GB        |      250000 | NC      | $44077.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITY-PEACE PARK CLO LTD                                          | UNITY-PEACE PARK CLO LTD 22-1A A1R TSFR3M+106 04/20/2035 144A                | CUSIP: 913318AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      300000 | PA      | $300209.10    | 0.01%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 06/02/2026                                                      | CUSIP: 912797TU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      200000 | PA      | $198167.77    | 0.01%             | 2026-06-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXIV LTD                                         | MARBLE POINT CLO XXIV LTD A1R TSFR3M+109 04/20/2035 144A                     | CUSIP: 56607WAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $300098.10    | 0.01%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY and CO. INTERNATIONAL PLC                          | SET50 FUTURE TRS EQUITY *BULLET* MYI                                         | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | GB        |       11200 | NC      | $46558.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PLRS 2026-1A A                                                    | POLARIS PLC 2026-1A A STEP 06/27/2070 144A                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | GB        |      200000 | PA      | $269556.95    | 0.01%             | 2070-06-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 06/09/2026                                                      | CUSIP: 912797TZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      700000 | PA      | $693102.49    | 0.03%             | 2026-06-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS MXN TIIE1-7.62250 03/18/2026 5Y* CME                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    12400000 | NC      | $13749.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-11.11100 03/18/26 5Y CME                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        | -2701700000 | NC      | $13270.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-11.15380 03/18/26 5Y CME                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        | -1543800000 | NC      | $6924.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-10.83 3/18/26 5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        | -7689100000 | NC      | $37534.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 06/16/2026                                                      | CUSIP: 912797UA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      500000 | PA      | $494738.65    | 0.02%             | 2026-06-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                       | BOVESPA INDEX FUT TRS EQUITY GST                                             | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | GB        |          26 | NC      | $-7708.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 06/23/2026                                                      | CUSIP: 912797UB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      100000 | PA      | $98874.71     | 0.00%             | 2026-06-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OPTIONS EXCHANGE                                    | S and P 500 INDX PUT 4300 02/19/2027                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |          57 | NC      | $308655.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OPTIONS EXCHANGE                                    | S and P 500 INDX PUT 6500 05/15/2026                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |          31 | NC      | $305040.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS EUR 3.0 09/16/26 30Y LCH                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |      200000 | NC      | $2963.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR USD SOFR-3000000 09-16-26-2Y LCH                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -9200000 | NC      | $-21949.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS MXN TIIE1-7.75000 03/18/2026 5Y* CME                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    12200000 | NC      | $1746.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS CAD CAONREPO-2.50000 09/16/26 2Y LCH                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -2900000 | NC      | $-2449.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS CAD CAONREPO 3.0000 09/16/26 10Y LCH                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     1200000 | NC      | $3276.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS CAD CAONREPO-3.2500 09-16-26-30Y LCH                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     -100000 | NC      | $-807.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 7.18 12/04/25 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    11600000 | NC      | $-2873.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS AUD 5.0000 09/16/26 10Y LCH                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |      900000 | NC      | $2203.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR GBP SONIO-4.50000 09/16/26 30Y LCH                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |      900000 | NC      | $13439.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                            | US TREASURY RP 3.73% 3/2/26                                                  | CUSIP: N/A<br>LEI: 254900HROIFWPRGM1V77       | Long             | RA               | UST               | US        |    25100000 | PA      | $25100000.00  | 0.99%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-30

**Name of Applicant:** Heather Bonner

**Signature:** Heather Bonner

**Name of Signer:** Heather Bonner

**Title:** President and Treasurer