# EDGAR Filing Document

**Accession Number:** 0000773757
**File Stem:** 0001145549-23-002175
**Filing Date:** 2023-1
**Character Count:** 1191637
**Document Hash:** 5ac4e1028c5c960e0a2d57d61b57a9c1
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-002175.hdr.sgml**: 20230124

**ACCESSION NUMBER**: 0001145549-23-002175

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 4

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230124

**DATE AS OF CHANGE**: 20230124

**PERIOD START**: 20230831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** COLUMBIA FUNDS SERIES TRUST I
- **CENTRAL INDEX KEY:** 0000773757
- **IRS NUMBER:** 363376651
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04367
- **FILM NUMBER:** 23546581

**BUSINESS ADDRESS:**
- **STREET 1:** 290 CONGRESS STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 800-345-6611

**MAIL ADDRESS:**
- **STREET 1:** 290 CONGRESS STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** COLUMBIA FUNDS TRUST IX
- **DATE OF NAME CHANGE:** 20031107

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LIBERTY STEIN ROE FUNDS MUNICIPAL TRUST
- **DATE OF NAME CHANGE:** 19991025

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** STEINROE MUNICIPAL TRUST
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Multi-Manager Alternative Strategies Fund (Series ID: S000036207)

| Class ID   | Class Name                                                    | Ticker Symbol   |
|:---|:---|:---|
| C000179757 | Multi-Manager Alternative Strategies Fund Institutional Class | CZAMX           |

## Nport-Ex

![](img4267db951.jpg)

First Quarter Report<br> November 30, 2022 (Unaudited)

![](imgf173c1712.jpg)

Multi-Manager Alternative Strategies Fund

Not FDIC or NCUA Insured • No Financial Institution Guarantee • May Lose Value

------

## Consolidated Portfolio of Investments<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)

Investments in securities

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities — Non-Agency 2.4%** | &nbsp;&nbsp;**Asset-Backed Securities — Non-Agency 2.4%** | &nbsp;&nbsp;**Asset-Backed Securities — Non-Agency 2.4%** | &nbsp;&nbsp;**Asset-Backed Securities — Non-Agency 2.4%** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;AIMCO CLO Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;AIMCO CLO Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;AIMCO CLO Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;AIMCO CLO Ltd.<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 2020-11A Class AR | &nbsp;&nbsp;Series 2020-11A Class AR | &nbsp;&nbsp;Series 2020-11A Class AR | &nbsp;&nbsp;Series 2020-11A Class AR |
| &nbsp;&nbsp;3-month USD LIBOR + 1.130%<br> Floor 1.130%<br> 10/17/2034 | &nbsp;&nbsp;5.209% | 400000 | &nbsp;&nbsp;387623 |
| &nbsp;&nbsp;Aligned Data Centers Issuer LLC<sup>(a)</sup> | &nbsp;&nbsp;Aligned Data Centers Issuer LLC<sup>(a)</sup> | &nbsp;&nbsp;Aligned Data Centers Issuer LLC<sup>(a)</sup> | &nbsp;&nbsp;Aligned Data Centers Issuer LLC<sup>(a)</sup> |
| &nbsp;&nbsp;Series 2021-1A Class A2 | &nbsp;&nbsp;Series 2021-1A Class A2 | &nbsp;&nbsp;Series 2021-1A Class A2 | &nbsp;&nbsp;Series 2021-1A Class A2 |
| &nbsp;&nbsp;08/15/2046 | &nbsp;&nbsp;1.937% | 388000 | &nbsp;&nbsp;328297 |
| &nbsp;&nbsp;Allegro CLO XII Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;Allegro CLO XII Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;Allegro CLO XII Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;Allegro CLO XII Ltd.<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 2020-1A Class B | &nbsp;&nbsp;Series 2020-1A Class B | &nbsp;&nbsp;Series 2020-1A Class B | &nbsp;&nbsp;Series 2020-1A Class B |
| &nbsp;&nbsp;3-month USD LIBOR + 1.700%<br> Floor 1.700%<br> 01/21/2032 | &nbsp;&nbsp;5.978% | 250000 | &nbsp;&nbsp;240526 |
| &nbsp;&nbsp;American Express Credit Account Master Trust | &nbsp;&nbsp;American Express Credit Account Master Trust | &nbsp;&nbsp;American Express Credit Account Master Trust | &nbsp;&nbsp;American Express Credit Account Master Trust |
| &nbsp;&nbsp;Series 2022-2 Class A | &nbsp;&nbsp;Series 2022-2 Class A | &nbsp;&nbsp;Series 2022-2 Class A | &nbsp;&nbsp;Series 2022-2 Class A |
| &nbsp;&nbsp;05/17/2027 | &nbsp;&nbsp;3.390% | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;97003 |
| &nbsp;&nbsp;AMMC CLO 24 Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;AMMC CLO 24 Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;AMMC CLO 24 Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;AMMC CLO 24 Ltd.<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 2021-24A Class B | &nbsp;&nbsp;Series 2021-24A Class B | &nbsp;&nbsp;Series 2021-24A Class B | &nbsp;&nbsp;Series 2021-24A Class B |
| &nbsp;&nbsp;3-month USD LIBOR + 1.750%<br> Floor 1.750%<br> 01/20/2035 | &nbsp;&nbsp;5.993% | 350000 | &nbsp;&nbsp;333149 |
| &nbsp;&nbsp;AMMC CLO Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;AMMC CLO Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;AMMC CLO Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;AMMC CLO Ltd.<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 2016-18A Class BR | &nbsp;&nbsp;Series 2016-18A Class BR | &nbsp;&nbsp;Series 2016-18A Class BR | &nbsp;&nbsp;Series 2016-18A Class BR |
| &nbsp;&nbsp;3-month USD LIBOR + 1.600%<br> Floor 1.600%<br> 05/26/2031 | &nbsp;&nbsp;6.336% | 250000 | &nbsp;&nbsp;239875 |
| &nbsp;&nbsp;BlueMountain Fuji US CLO I Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;BlueMountain Fuji US CLO I Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;BlueMountain Fuji US CLO I Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;BlueMountain Fuji US CLO I Ltd.<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 2017-1A Class BR | &nbsp;&nbsp;Series 2017-1A Class BR | &nbsp;&nbsp;Series 2017-1A Class BR | &nbsp;&nbsp;Series 2017-1A Class BR |
| &nbsp;&nbsp;3-month USD LIBOR + 1.500%<br> Floor 1.500%<br> 07/20/2029 | &nbsp;&nbsp;5.743% | 375000 | &nbsp;&nbsp;358173 |
| &nbsp;&nbsp;Conseco Finance Corp.<sup>(c)</sup> | &nbsp;&nbsp;Conseco Finance Corp.<sup>(c)</sup> | &nbsp;&nbsp;Conseco Finance Corp.<sup>(c)</sup> | &nbsp;&nbsp;Conseco Finance Corp.<sup>(c)</sup> |
| &nbsp;&nbsp;Series 2096-9 Class M1 | &nbsp;&nbsp;Series 2096-9 Class M1 | &nbsp;&nbsp;Series 2096-9 Class M1 | &nbsp;&nbsp;Series 2096-9 Class M1 |
| &nbsp;&nbsp;08/15/2027 | &nbsp;&nbsp;7.630% | 140325 | &nbsp;&nbsp;139798 |
| &nbsp;&nbsp;Conseco Finance Securitizations Corp.<sup>(b)</sup> | &nbsp;&nbsp;Conseco Finance Securitizations Corp.<sup>(b)</sup> | &nbsp;&nbsp;Conseco Finance Securitizations Corp.<sup>(b)</sup> | &nbsp;&nbsp;Conseco Finance Securitizations Corp.<sup>(b)</sup> |
| &nbsp;&nbsp;Series 2001-4 Class M1 | &nbsp;&nbsp;Series 2001-4 Class M1 | &nbsp;&nbsp;Series 2001-4 Class M1 | &nbsp;&nbsp;Series 2001-4 Class M1 |
| &nbsp;&nbsp;1-month USD LIBOR + 1.750%<br> Floor 1.750%, Cap 15.000%<br> 09/01/2033 | &nbsp;&nbsp;5.870% | 408546 | &nbsp;&nbsp;400710 |
| &nbsp;&nbsp;DB Master Finance LLC<sup>(a)</sup> | &nbsp;&nbsp;DB Master Finance LLC<sup>(a)</sup> | &nbsp;&nbsp;DB Master Finance LLC<sup>(a)</sup> | &nbsp;&nbsp;DB Master Finance LLC<sup>(a)</sup> |
| &nbsp;&nbsp;Series 2019-1A Class A2II | &nbsp;&nbsp;Series 2019-1A Class A2II | &nbsp;&nbsp;Series 2019-1A Class A2II | &nbsp;&nbsp;Series 2019-1A Class A2II |
| &nbsp;&nbsp;05/20/2049 | &nbsp;&nbsp;4.021% | &nbsp;&nbsp;96750 | &nbsp;&nbsp;&nbsp;&nbsp;91271 |
| &nbsp;&nbsp;Dryden CLO Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;Dryden CLO Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;Dryden CLO Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;Dryden CLO Ltd.<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 2020-85A Class AR | &nbsp;&nbsp;Series 2020-85A Class AR | &nbsp;&nbsp;Series 2020-85A Class AR | &nbsp;&nbsp;Series 2020-85A Class AR |
| &nbsp;&nbsp;3-month USD LIBOR + 1.150%<br> Floor 1.150%<br> 10/15/2035 | &nbsp;&nbsp;5.229% | 800000 | &nbsp;&nbsp;773854 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities — Non-Agency (continued)** | &nbsp;&nbsp;**Asset-Backed Securities — Non-Agency (continued)** | &nbsp;&nbsp;**Asset-Backed Securities — Non-Agency (continued)** | &nbsp;&nbsp;**Asset-Backed Securities — Non-Agency (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Dryden Senior Loan Fund<sup>(a),(b)</sup> | &nbsp;&nbsp;Dryden Senior Loan Fund<sup>(a),(b)</sup> | &nbsp;&nbsp;Dryden Senior Loan Fund<sup>(a),(b)</sup> | &nbsp;&nbsp;Dryden Senior Loan Fund<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 2013-30A Class AR | &nbsp;&nbsp;Series 2013-30A Class AR | &nbsp;&nbsp;Series 2013-30A Class AR | &nbsp;&nbsp;Series 2013-30A Class AR |
| &nbsp;&nbsp;3-month USD LIBOR + 0.820%<br> Floor 0.820%<br> 11/15/2028 | &nbsp;&nbsp;5.470% | 218596 | &nbsp;&nbsp;215795 |
| &nbsp;&nbsp;Golub Capital Partners CLO 54M LP<sup>(a),(b)</sup> | &nbsp;&nbsp;Golub Capital Partners CLO 54M LP<sup>(a),(b)</sup> | &nbsp;&nbsp;Golub Capital Partners CLO 54M LP<sup>(a),(b)</sup> | &nbsp;&nbsp;Golub Capital Partners CLO 54M LP<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 2021-54A Class A | &nbsp;&nbsp;Series 2021-54A Class A | &nbsp;&nbsp;Series 2021-54A Class A | &nbsp;&nbsp;Series 2021-54A Class A |
| &nbsp;&nbsp;3-month USD LIBOR + 1.530%<br> Floor 1.530%<br> 08/05/2033 | &nbsp;&nbsp;6.062% | 450000 | &nbsp;&nbsp;429664 |
| &nbsp;&nbsp;JG Wentworth XXII LLC<sup>(a)</sup> | &nbsp;&nbsp;JG Wentworth XXII LLC<sup>(a)</sup> | &nbsp;&nbsp;JG Wentworth XXII LLC<sup>(a)</sup> | &nbsp;&nbsp;JG Wentworth XXII LLC<sup>(a)</sup> |
| &nbsp;&nbsp;Series 2010-3A Class A | &nbsp;&nbsp;Series 2010-3A Class A | &nbsp;&nbsp;Series 2010-3A Class A | &nbsp;&nbsp;Series 2010-3A Class A |
| &nbsp;&nbsp;12/15/2048 | &nbsp;&nbsp;3.820% | 283820 | &nbsp;&nbsp;275439 |
| &nbsp;&nbsp;LCM XXI LP<sup>(a),(b)</sup> | &nbsp;&nbsp;LCM XXI LP<sup>(a),(b)</sup> | &nbsp;&nbsp;LCM XXI LP<sup>(a),(b)</sup> | &nbsp;&nbsp;LCM XXI LP<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 20 18-21A Class AR | &nbsp;&nbsp;Series 20 18-21A Class AR | &nbsp;&nbsp;Series 20 18-21A Class AR | &nbsp;&nbsp;Series 20 18-21A Class AR |
| &nbsp;&nbsp;3-month USD LIBOR + 0.880%<br> 04/20/2028 | &nbsp;&nbsp;5.123% | 106145 | &nbsp;&nbsp;105353 |
| &nbsp;&nbsp;MetroNet Infrastructure Issuer LLC<sup>(a)</sup> | &nbsp;&nbsp;MetroNet Infrastructure Issuer LLC<sup>(a)</sup> | &nbsp;&nbsp;MetroNet Infrastructure Issuer LLC<sup>(a)</sup> | &nbsp;&nbsp;MetroNet Infrastructure Issuer LLC<sup>(a)</sup> |
| &nbsp;&nbsp;Series 2022-1A Class A2 | &nbsp;&nbsp;Series 2022-1A Class A2 | &nbsp;&nbsp;Series 2022-1A Class A2 | &nbsp;&nbsp;Series 2022-1A Class A2 |
| &nbsp;&nbsp;10/20/2052 | &nbsp;&nbsp;6.350% | 165000 | &nbsp;&nbsp;166735 |
| &nbsp;&nbsp;MVW Owner Trust<sup>(a)</sup> | &nbsp;&nbsp;MVW Owner Trust<sup>(a)</sup> | &nbsp;&nbsp;MVW Owner Trust<sup>(a)</sup> | &nbsp;&nbsp;MVW Owner Trust<sup>(a)</sup> |
| &nbsp;&nbsp;Series 2018-1A Class A | &nbsp;&nbsp;Series 2018-1A Class A | &nbsp;&nbsp;Series 2018-1A Class A | &nbsp;&nbsp;Series 2018-1A Class A |
| &nbsp;&nbsp;01/21/2036 | &nbsp;&nbsp;3.450% | &nbsp;&nbsp;27460 | &nbsp;&nbsp;&nbsp;&nbsp;26544 |
| &nbsp;&nbsp;Navient Student Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Navient Student Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Navient Student Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Navient Student Loan Trust<sup>(b)</sup> |
| &nbsp;&nbsp;Series 2014-1 Class A3 | &nbsp;&nbsp;Series 2014-1 Class A3 | &nbsp;&nbsp;Series 2014-1 Class A3 | &nbsp;&nbsp;Series 2014-1 Class A3 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.510%<br> Floor 0.510%<br> 06/25/2031 | &nbsp;&nbsp;4.096% | 372539 | &nbsp;&nbsp;362424 |
| &nbsp;&nbsp;OCCU Auto Receivables Trust<sup>(a)</sup> | &nbsp;&nbsp;OCCU Auto Receivables Trust<sup>(a)</sup> | &nbsp;&nbsp;OCCU Auto Receivables Trust<sup>(a)</sup> | &nbsp;&nbsp;OCCU Auto Receivables Trust<sup>(a)</sup> |
| &nbsp;&nbsp;Series 2022-1 Class A3 | &nbsp;&nbsp;Series 2022-1 Class A3 | &nbsp;&nbsp;Series 2022-1 Class A3 | &nbsp;&nbsp;Series 2022-1 Class A3 |
| &nbsp;&nbsp;10/15/2027 | &nbsp;&nbsp;5.500% | 150000 | &nbsp;&nbsp;150835 |
| &nbsp;&nbsp;OCP CLO Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;OCP CLO Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;OCP CLO Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;OCP CLO Ltd.<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 2021-21A Class B | &nbsp;&nbsp;Series 2021-21A Class B | &nbsp;&nbsp;Series 2021-21A Class B | &nbsp;&nbsp;Series 2021-21A Class B |
| &nbsp;&nbsp;3-month USD LIBOR + 1.700%<br> Floor 1.700%<br> 07/20/2034 | &nbsp;&nbsp;5.943% | 300000 | &nbsp;&nbsp;285856 |
| &nbsp;&nbsp;OHA Credit Funding Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;OHA Credit Funding Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;OHA Credit Funding Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;OHA Credit Funding Ltd.<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 2020-7A Class AR | &nbsp;&nbsp;Series 2020-7A Class AR | &nbsp;&nbsp;Series 2020-7A Class AR | &nbsp;&nbsp;Series 2020-7A Class AR |
| &nbsp;&nbsp;3-month USD LIBOR + 1.300%<br> Floor 1.300%<br> 02/24/2037 | &nbsp;&nbsp;5.255% | 475000 | &nbsp;&nbsp;464011 |
| &nbsp;&nbsp;Option One Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Option One Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Option One Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Option One Mortgage Loan Trust<sup>(b)</sup> |
| &nbsp;&nbsp;Series 2006-3 Class 1A1 | &nbsp;&nbsp;Series 2006-3 Class 1A1 | &nbsp;&nbsp;Series 2006-3 Class 1A1 | &nbsp;&nbsp;Series 2006-3 Class 1A1 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.140%<br> Floor 0.140%<br> 02/25/2037 | &nbsp;&nbsp;4.156% | 965129 | &nbsp;&nbsp;634483 |

---

2 Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities — Non-Agency (continued)** | &nbsp;&nbsp;**Asset-Backed Securities — Non-Agency (continued)** | &nbsp;&nbsp;**Asset-Backed Securities — Non-Agency (continued)** | &nbsp;&nbsp;**Asset-Backed Securities — Non-Agency (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Park Avenue Institutional Advisers CLO Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;Park Avenue Institutional Advisers CLO Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;Park Avenue Institutional Advisers CLO Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;Park Avenue Institutional Advisers CLO Ltd.<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 2021-1A Class A2 | &nbsp;&nbsp;Series 2021-1A Class A2 | &nbsp;&nbsp;Series 2021-1A Class A2 | &nbsp;&nbsp;Series 2021-1A Class A2 |
| &nbsp;&nbsp;3-month USD LIBOR + 1.750%<br> Floor 1.750%<br> 01/20/2034 | &nbsp;&nbsp;5.993% | 250000 | &nbsp;&nbsp;233533 |
| &nbsp;&nbsp;Sabey Data Center Issuer LLC<sup>(a)</sup> | &nbsp;&nbsp;Sabey Data Center Issuer LLC<sup>(a)</sup> | &nbsp;&nbsp;Sabey Data Center Issuer LLC<sup>(a)</sup> | &nbsp;&nbsp;Sabey Data Center Issuer LLC<sup>(a)</sup> |
| &nbsp;&nbsp;Series 2020-1 Class A2 | &nbsp;&nbsp;Series 2020-1 Class A2 | &nbsp;&nbsp;Series 2020-1 Class A2 | &nbsp;&nbsp;Series 2020-1 Class A2 |
| &nbsp;&nbsp;04/20/2045 | &nbsp;&nbsp;3.812% | 470000 | &nbsp;&nbsp;438184 |
| &nbsp;&nbsp;Saxon Asset Securities Trust<sup>(b)</sup> | &nbsp;&nbsp;Saxon Asset Securities Trust<sup>(b)</sup> | &nbsp;&nbsp;Saxon Asset Securities Trust<sup>(b)</sup> | &nbsp;&nbsp;Saxon Asset Securities Trust<sup>(b)</sup> |
| &nbsp;&nbsp;Series 2007-2 Class A2D | &nbsp;&nbsp;Series 2007-2 Class A2D | &nbsp;&nbsp;Series 2007-2 Class A2D | &nbsp;&nbsp;Series 2007-2 Class A2D |
| &nbsp;&nbsp;1-month USD LIBOR + 0.300%<br> Floor 0.300%<br> 05/25/2047 | &nbsp;&nbsp;4.316% | 592971 | &nbsp;&nbsp;413908 |
| &nbsp;&nbsp;SLM Student Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;SLM Student Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;SLM Student Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;SLM Student Loan Trust<sup>(b)</sup> |
| &nbsp;&nbsp;Series 2008-2 Class B | &nbsp;&nbsp;Series 2008-2 Class B | &nbsp;&nbsp;Series 2008-2 Class B | &nbsp;&nbsp;Series 2008-2 Class B |
| &nbsp;&nbsp;3-month USD LIBOR + 1.200%<br> Floor 1.200%<br> 01/25/2083 | &nbsp;&nbsp;3.983% | 740000 | &nbsp;&nbsp;568601 |
| &nbsp;&nbsp;Series 2008-4 Class A4 | &nbsp;&nbsp;Series 2008-4 Class A4 | &nbsp;&nbsp;Series 2008-4 Class A4 | &nbsp;&nbsp;Series 2008-4 Class A4 |
| &nbsp;&nbsp;3-month USD LIBOR + 1.650%<br> Floor 1.650%<br> 07/25/2023 | &nbsp;&nbsp;6.008% | 282268 | &nbsp;&nbsp;280817 |
| &nbsp;&nbsp;Series 2008-7 Class B | &nbsp;&nbsp;Series 2008-7 Class B | &nbsp;&nbsp;Series 2008-7 Class B | &nbsp;&nbsp;Series 2008-7 Class B |
| &nbsp;&nbsp;3-month USD LIBOR + 1.850%<br> Floor 1.850%<br> 07/26/2083 | &nbsp;&nbsp;6.208% | 500000 | &nbsp;&nbsp;426937 |
| &nbsp;&nbsp;Series 2012-1 Class A3 | &nbsp;&nbsp;Series 2012-1 Class A3 | &nbsp;&nbsp;Series 2012-1 Class A3 | &nbsp;&nbsp;Series 2012-1 Class A3 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.950%<br> Floor 0.950%<br> 09/25/2028 | &nbsp;&nbsp;4.966% | 385137 | &nbsp;&nbsp;371085 |
| &nbsp;&nbsp;Subordinated Series 2004-10 Class B | &nbsp;&nbsp;Subordinated Series 2004-10 Class B | &nbsp;&nbsp;Subordinated Series 2004-10 Class B | &nbsp;&nbsp;Subordinated Series 2004-10 Class B |
| &nbsp;&nbsp;3-month USD LIBOR + 0.370%<br> Floor 0.370%<br> 01/25/2040 | &nbsp;&nbsp;4.728% | 293932 | &nbsp;&nbsp;268226 |
| &nbsp;&nbsp;Subordinated Series 2012-7 Class B | &nbsp;&nbsp;Subordinated Series 2012-7 Class B | &nbsp;&nbsp;Subordinated Series 2012-7 Class B | &nbsp;&nbsp;Subordinated Series 2012-7 Class B |
| &nbsp;&nbsp;1-month USD LIBOR + 1.800%<br> Floor 1.800%<br> 09/25/2043 | &nbsp;&nbsp;5.386% | 550000 | &nbsp;&nbsp;513692 |
| &nbsp;&nbsp;Taco Bell Funding LLC<sup>(a)</sup> | &nbsp;&nbsp;Taco Bell Funding LLC<sup>(a)</sup> | &nbsp;&nbsp;Taco Bell Funding LLC<sup>(a)</sup> | &nbsp;&nbsp;Taco Bell Funding LLC<sup>(a)</sup> |
| &nbsp;&nbsp;Series 2016-1A Class A23 | &nbsp;&nbsp;Series 2016-1A Class A23 | &nbsp;&nbsp;Series 2016-1A Class A23 | &nbsp;&nbsp;Series 2016-1A Class A23 |
| &nbsp;&nbsp;05/25/2046 | &nbsp;&nbsp;4.970% | 363825 | &nbsp;&nbsp;349239 |
| &nbsp;&nbsp;TAL Advantage VII LLC<sup>(a)</sup> | &nbsp;&nbsp;TAL Advantage VII LLC<sup>(a)</sup> | &nbsp;&nbsp;TAL Advantage VII LLC<sup>(a)</sup> | &nbsp;&nbsp;TAL Advantage VII LLC<sup>(a)</sup> |
| &nbsp;&nbsp;Series 2020-1A Class A | &nbsp;&nbsp;Series 2020-1A Class A | &nbsp;&nbsp;Series 2020-1A Class A | &nbsp;&nbsp;Series 2020-1A Class A |
| &nbsp;&nbsp;09/20/2045 | &nbsp;&nbsp;2.050% | 355350 | &nbsp;&nbsp;307335 |
| &nbsp;&nbsp;Textainer Marine Containers VII Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Textainer Marine Containers VII Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Textainer Marine Containers VII Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Textainer Marine Containers VII Ltd.<sup>(a)</sup> |
| &nbsp;&nbsp;Series 2021-2A Class A | &nbsp;&nbsp;Series 2021-2A Class A | &nbsp;&nbsp;Series 2021-2A Class A | &nbsp;&nbsp;Series 2021-2A Class A |
| &nbsp;&nbsp;04/20/2046 | &nbsp;&nbsp;2.230% | 676833 | &nbsp;&nbsp;578003 |
| &nbsp;&nbsp;Textainer Marine Containers VIII Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Textainer Marine Containers VIII Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Textainer Marine Containers VIII Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Textainer Marine Containers VIII Ltd.<sup>(a)</sup> |
| &nbsp;&nbsp;Series 2020-2A Class A | &nbsp;&nbsp;Series 2020-2A Class A | &nbsp;&nbsp;Series 2020-2A Class A | &nbsp;&nbsp;Series 2020-2A Class A |
| &nbsp;&nbsp;09/20/2045 | &nbsp;&nbsp;2.100% | 245375 | &nbsp;&nbsp;210555 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities — Non-Agency (continued)** | &nbsp;&nbsp;**Asset-Backed Securities — Non-Agency (continued)** | &nbsp;&nbsp;**Asset-Backed Securities — Non-Agency (continued)** | &nbsp;&nbsp;**Asset-Backed Securities — Non-Agency (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Series 2020-3A Class A | &nbsp;&nbsp;Series 2020-3A Class A | &nbsp;&nbsp;Series 2020-3A Class A | &nbsp;&nbsp;Series 2020-3A Class A |
| &nbsp;&nbsp;09/20/2045 | &nbsp;&nbsp;2.110% | &nbsp;&nbsp;&nbsp;289020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;254578 |
| &nbsp;&nbsp;Tif Funding II LLC<sup>(a)</sup> | &nbsp;&nbsp;Tif Funding II LLC<sup>(a)</sup> | &nbsp;&nbsp;Tif Funding II LLC<sup>(a)</sup> | &nbsp;&nbsp;Tif Funding II LLC<sup>(a)</sup> |
| &nbsp;&nbsp;Series 2020-1A Class A | &nbsp;&nbsp;Series 2020-1A Class A | &nbsp;&nbsp;Series 2020-1A Class A | &nbsp;&nbsp;Series 2020-1A Class A |
| &nbsp;&nbsp;08/20/2045 | &nbsp;&nbsp;2.090% | &nbsp;&nbsp;&nbsp;181500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;155289 |
| &nbsp;&nbsp;T-Mobile US Trust<sup>(a)</sup> | &nbsp;&nbsp;T-Mobile US Trust<sup>(a)</sup> | &nbsp;&nbsp;T-Mobile US Trust<sup>(a)</sup> | &nbsp;&nbsp;T-Mobile US Trust<sup>(a)</sup> |
| &nbsp;&nbsp;Series 2022-1A Class A | &nbsp;&nbsp;Series 2022-1A Class A | &nbsp;&nbsp;Series 2022-1A Class A | &nbsp;&nbsp;Series 2022-1A Class A |
| &nbsp;&nbsp;05/22/2028 | &nbsp;&nbsp;4.910% | &nbsp;&nbsp;&nbsp;180000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;179339 |
| &nbsp;&nbsp;Vantage Data Centers LLC<sup>(a)</sup> | &nbsp;&nbsp;Vantage Data Centers LLC<sup>(a)</sup> | &nbsp;&nbsp;Vantage Data Centers LLC<sup>(a)</sup> | &nbsp;&nbsp;Vantage Data Centers LLC<sup>(a)</sup> |
| &nbsp;&nbsp;Series 2020-1A Class A2 | &nbsp;&nbsp;Series 2020-1A Class A2 | &nbsp;&nbsp;Series 2020-1A Class A2 | &nbsp;&nbsp;Series 2020-1A Class A2 |
| &nbsp;&nbsp;09/15/2045 | &nbsp;&nbsp;1.645% | &nbsp;&nbsp;&nbsp;395000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;344497 |
| &nbsp;&nbsp;Total Asset-Backed Securities — Non-Agency<br> (Cost $13,166,818) | &nbsp;&nbsp;Total Asset-Backed Securities — Non-Agency<br> (Cost $13,166,818) | &nbsp;&nbsp;Total Asset-Backed Securities — Non-Agency<br> (Cost $13,166,818) | &nbsp;&nbsp;**12401236** |
| &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Agency 0.4%** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Agency 0.4%** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Agency 0.4%** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Agency 0.4%** |
| &nbsp;&nbsp;Federal Home Loan Mortgage Corp. Multifamily Pass-Through REMIC Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;Federal Home Loan Mortgage Corp. Multifamily Pass-Through REMIC Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;Federal Home Loan Mortgage Corp. Multifamily Pass-Through REMIC Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;Federal Home Loan Mortgage Corp. Multifamily Pass-Through REMIC Trust<sup>(c),(d)</sup> |
| &nbsp;&nbsp;Series 2019-P002 Class X | &nbsp;&nbsp;Series 2019-P002 Class X | &nbsp;&nbsp;Series 2019-P002 Class X | &nbsp;&nbsp;Series 2019-P002 Class X |
| &nbsp;&nbsp;07/25/2033 | &nbsp;&nbsp;1.138% | &nbsp;&nbsp;&nbsp;705000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59485 |
| &nbsp;&nbsp;Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates<sup>(c),(d)</sup> | &nbsp;&nbsp;Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates<sup>(c),(d)</sup> | &nbsp;&nbsp;Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates<sup>(c),(d)</sup> | &nbsp;&nbsp;Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates<sup>(c),(d)</sup> |
| &nbsp;&nbsp;CMO Series K057 Class X1 | &nbsp;&nbsp;CMO Series K057 Class X1 | &nbsp;&nbsp;CMO Series K057 Class X1 | &nbsp;&nbsp;CMO Series K057 Class X1 |
| &nbsp;&nbsp;07/25/2026 | &nbsp;&nbsp;1.303% | 3722113 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;124713 |
| &nbsp;&nbsp;Series 2018-K732 Class X3 | &nbsp;&nbsp;Series 2018-K732 Class X3 | &nbsp;&nbsp;Series 2018-K732 Class X3 | &nbsp;&nbsp;Series 2018-K732 Class X3 |
| &nbsp;&nbsp;05/25/2046 | &nbsp;&nbsp;2.245% | 1350000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;71068 |
| &nbsp;&nbsp;Series K035 Class X3 | &nbsp;&nbsp;Series K035 Class X3 | &nbsp;&nbsp;Series K035 Class X3 | &nbsp;&nbsp;Series K035 Class X3 |
| &nbsp;&nbsp;12/25/2041 | &nbsp;&nbsp;1.849% | 3000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35785 |
| &nbsp;&nbsp;Series K039 Class X3 (FHLMC) | &nbsp;&nbsp;Series K039 Class X3 (FHLMC) | &nbsp;&nbsp;Series K039 Class X3 (FHLMC) | &nbsp;&nbsp;Series K039 Class X3 (FHLMC) |
| &nbsp;&nbsp;08/25/2042 | &nbsp;&nbsp;2.177% | 1520000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59293 |
| &nbsp;&nbsp;Series K043 Class X3 | &nbsp;&nbsp;Series K043 Class X3 | &nbsp;&nbsp;Series K043 Class X3 | &nbsp;&nbsp;Series K043 Class X3 |
| &nbsp;&nbsp;02/25/2043 | &nbsp;&nbsp;1.690% | 3951044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;124429 |
| &nbsp;&nbsp;Series K051 Class X3 | &nbsp;&nbsp;Series K051 Class X3 | &nbsp;&nbsp;Series K051 Class X3 | &nbsp;&nbsp;Series K051 Class X3 |
| &nbsp;&nbsp;10/25/2043 | &nbsp;&nbsp;1.668% | 2100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;81148 |
| &nbsp;&nbsp;Series K060 Class X3 | &nbsp;&nbsp;Series K060 Class X3 | &nbsp;&nbsp;Series K060 Class X3 | &nbsp;&nbsp;Series K060 Class X3 |
| &nbsp;&nbsp;12/25/2044 | &nbsp;&nbsp;1.963% | 1350000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;83213 |
| &nbsp;&nbsp;Series K0728 Class X3 | &nbsp;&nbsp;Series K0728 Class X3 | &nbsp;&nbsp;Series K0728 Class X3 | &nbsp;&nbsp;Series K0728 Class X3 |
| &nbsp;&nbsp;11/25/2045 | &nbsp;&nbsp;2.018% | 1975000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72241 |
| &nbsp;&nbsp;Series KC07 Class X1 | &nbsp;&nbsp;Series KC07 Class X1 | &nbsp;&nbsp;Series KC07 Class X1 | &nbsp;&nbsp;Series KC07 Class X1 |
| &nbsp;&nbsp;09/25/2026 | &nbsp;&nbsp;0.841% | 3918176 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75476 |
| &nbsp;&nbsp;Series KL05 Class X1HG | &nbsp;&nbsp;Series KL05 Class X1HG | &nbsp;&nbsp;Series KL05 Class X1HG | &nbsp;&nbsp;Series KL05 Class X1HG |
| &nbsp;&nbsp;12/25/2027 | &nbsp;&nbsp;1.368% | 2400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;125708 |
| &nbsp;&nbsp;Series KLU3 Class X1 | &nbsp;&nbsp;Series KLU3 Class X1 | &nbsp;&nbsp;Series KLU3 Class X1 | &nbsp;&nbsp;Series KLU3 Class X1 |
| &nbsp;&nbsp;01/25/2031 | &nbsp;&nbsp;2.079% | 1595003 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;178822 |
| &nbsp;&nbsp;Series KS06 Class X | &nbsp;&nbsp;Series KS06 Class X | &nbsp;&nbsp;Series KS06 Class X | &nbsp;&nbsp;Series KS06 Class X |
| &nbsp;&nbsp;08/25/2026 | &nbsp;&nbsp;1.177% | 2643784 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69262 |
| &nbsp;&nbsp;Series Q004 Class XFL | &nbsp;&nbsp;Series Q004 Class XFL | &nbsp;&nbsp;Series Q004 Class XFL | &nbsp;&nbsp;Series Q004 Class XFL |
| &nbsp;&nbsp;05/25/2044 | &nbsp;&nbsp;0.704% | 1506322 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45852 |

---

Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022<br> 3

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Agency (continued)** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Agency (continued)** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Agency (continued)** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Agency (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Federal National Mortgage Association<sup>(c),(d)</sup> | &nbsp;&nbsp;Federal National Mortgage Association<sup>(c),(d)</sup> | &nbsp;&nbsp;Federal National Mortgage Association<sup>(c),(d)</sup> | &nbsp;&nbsp;Federal National Mortgage Association<sup>(c),(d)</sup> |
| &nbsp;&nbsp;Series 2016-M11B Class X2 | &nbsp;&nbsp;Series 2016-M11B Class X2 | &nbsp;&nbsp;Series 2016-M11B Class X2 | &nbsp;&nbsp;Series 2016-M11B Class X2 |
| &nbsp;&nbsp;07/25/2039 | &nbsp;&nbsp;3.071% | &nbsp;&nbsp;&nbsp;523055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11615 |
| &nbsp;&nbsp;Series 2016-M4 Class X2 | &nbsp;&nbsp;Series 2016-M4 Class X2 | &nbsp;&nbsp;Series 2016-M4 Class X2 | &nbsp;&nbsp;Series 2016-M4 Class X2 |
| &nbsp;&nbsp;01/25/2039 | &nbsp;&nbsp;2.697% | &nbsp;&nbsp;&nbsp;339553 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5480 |
| &nbsp;&nbsp;Series 2019-M29 Class X4 | &nbsp;&nbsp;Series 2019-M29 Class X4 | &nbsp;&nbsp;Series 2019-M29 Class X4 | &nbsp;&nbsp;Series 2019-M29 Class X4 |
| &nbsp;&nbsp;03/25/2029 | &nbsp;&nbsp;0.700% | 4300000 | &nbsp;&nbsp;&nbsp;&nbsp;137234 |
| &nbsp;&nbsp;Freddie Mac Multifamily Structured Pass-Through Certificates<sup>(c),(d)</sup> | &nbsp;&nbsp;Freddie Mac Multifamily Structured Pass-Through Certificates<sup>(c),(d)</sup> | &nbsp;&nbsp;Freddie Mac Multifamily Structured Pass-Through Certificates<sup>(c),(d)</sup> | &nbsp;&nbsp;Freddie Mac Multifamily Structured Pass-Through Certificates<sup>(c),(d)</sup> |
| &nbsp;&nbsp;Series K096 Class X3 (FHLMC) | &nbsp;&nbsp;Series K096 Class X3 (FHLMC) | &nbsp;&nbsp;Series K096 Class X3 (FHLMC) | &nbsp;&nbsp;Series K096 Class X3 (FHLMC) |
| &nbsp;&nbsp;07/25/2029 | &nbsp;&nbsp;2.112% | 3390000 | &nbsp;&nbsp;&nbsp;&nbsp;345350 |
| &nbsp;&nbsp;FREMF Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;FREMF Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;FREMF Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;FREMF Mortgage Trust<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Subordinated Series 2019-KF71 Class B | &nbsp;&nbsp;Subordinated Series 2019-KF71 Class B | &nbsp;&nbsp;Subordinated Series 2019-KF71 Class B | &nbsp;&nbsp;Subordinated Series 2019-KF71 Class B |
| &nbsp;&nbsp;1-month USD LIBOR + 2.300%<br> Floor 2.300%<br> 10/25/2029 | &nbsp;&nbsp;6.105% | &nbsp;&nbsp;&nbsp;308325 | &nbsp;&nbsp;&nbsp;&nbsp;294409 |
| &nbsp;&nbsp;Government National Mortgage Association<sup>(c),(d)</sup> | &nbsp;&nbsp;Government National Mortgage Association<sup>(c),(d)</sup> | &nbsp;&nbsp;Government National Mortgage Association<sup>(c),(d)</sup> | &nbsp;&nbsp;Government National Mortgage Association<sup>(c),(d)</sup> |
| &nbsp;&nbsp;CMO Series 2014-103 Class IO | &nbsp;&nbsp;CMO Series 2014-103 Class IO | &nbsp;&nbsp;CMO Series 2014-103 Class IO | &nbsp;&nbsp;CMO Series 2014-103 Class IO |
| &nbsp;&nbsp;05/16/2055 | &nbsp;&nbsp;0.194% | 1072421 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8790 |
| &nbsp;&nbsp;Series 2012-4 Class IO | &nbsp;&nbsp;Series 2012-4 Class IO | &nbsp;&nbsp;Series 2012-4 Class IO | &nbsp;&nbsp;Series 2012-4 Class IO |
| &nbsp;&nbsp;05/16/2052 | &nbsp;&nbsp;0.000% | 2070830 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21 |
| &nbsp;&nbsp;Total Commercial Mortgage-Backed Securities - Agency<br> (Cost $2,554,638) | &nbsp;&nbsp;Total Commercial Mortgage-Backed Securities - Agency<br> (Cost $2,554,638) | &nbsp;&nbsp;Total Commercial Mortgage-Backed Securities - Agency<br> (Cost $2,554,638) | &nbsp;&nbsp;**2009394** |
| &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency 2.7%** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency 2.7%** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency 2.7%** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency 2.7%** |
| &nbsp;&nbsp;225 Liberty Street Trust<sup>(a),(c),(d)</sup> | &nbsp;&nbsp;225 Liberty Street Trust<sup>(a),(c),(d)</sup> | &nbsp;&nbsp;225 Liberty Street Trust<sup>(a),(c),(d)</sup> | &nbsp;&nbsp;225 Liberty Street Trust<sup>(a),(c),(d)</sup> |
| &nbsp;&nbsp;Series 2016-225L Class X | &nbsp;&nbsp;Series 2016-225L Class X | &nbsp;&nbsp;Series 2016-225L Class X | &nbsp;&nbsp;Series 2016-225L Class X |
| &nbsp;&nbsp;02/10/2036 | &nbsp;&nbsp;1.030% | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;122687 |
| &nbsp;&nbsp;AREIT Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;AREIT Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;AREIT Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;AREIT Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;Subordinated Series 2019-CRE3 Class AS | &nbsp;&nbsp;Subordinated Series 2019-CRE3 Class AS | &nbsp;&nbsp;Subordinated Series 2019-CRE3 Class AS | &nbsp;&nbsp;Subordinated Series 2019-CRE3 Class AS |
| &nbsp;&nbsp;09/14/2036 | &nbsp;&nbsp;5.278% | &nbsp;&nbsp;&nbsp;500000 | &nbsp;&nbsp;&nbsp;&nbsp;484405 |
| &nbsp;&nbsp;AREIT Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;AREIT Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;AREIT Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;AREIT Trust<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Subordinated Series 2020-CRE4 Class B | &nbsp;&nbsp;Subordinated Series 2020-CRE4 Class B | &nbsp;&nbsp;Subordinated Series 2020-CRE4 Class B | &nbsp;&nbsp;Subordinated Series 2020-CRE4 Class B |
| &nbsp;&nbsp;30-day Average SOFR + 4.264%<br> Floor 4.150%<br> 04/15/2037 | &nbsp;&nbsp;8.139% | &nbsp;&nbsp;&nbsp;365000 | &nbsp;&nbsp;&nbsp;&nbsp;351888 |
| &nbsp;&nbsp;BAMLL Commercial Mortgage Securities Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;BAMLL Commercial Mortgage Securities Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;BAMLL Commercial Mortgage Securities Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;BAMLL Commercial Mortgage Securities Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;Series 2018-PARK Class A | &nbsp;&nbsp;Series 2018-PARK Class A | &nbsp;&nbsp;Series 2018-PARK Class A | &nbsp;&nbsp;Series 2018-PARK Class A |
| &nbsp;&nbsp;08/10/2038 | &nbsp;&nbsp;4.227% | &nbsp;&nbsp;&nbsp;&nbsp;95000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;85957 |
| &nbsp;&nbsp;BDS Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;BDS Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;BDS Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;BDS Ltd.<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 2020-FL6 Class D | &nbsp;&nbsp;Series 2020-FL6 Class D | &nbsp;&nbsp;Series 2020-FL6 Class D | &nbsp;&nbsp;Series 2020-FL6 Class D |
| &nbsp;&nbsp;30-day Average SOFR + 2.865%<br> Floor 2.750%<br> 09/15/2035 | &nbsp;&nbsp;6.231% | &nbsp;&nbsp;&nbsp;302000 | &nbsp;&nbsp;&nbsp;&nbsp;298533 |
| &nbsp;&nbsp;Series 2021-FL8 Class A | &nbsp;&nbsp;Series 2021-FL8 Class A | &nbsp;&nbsp;Series 2021-FL8 Class A | &nbsp;&nbsp;Series 2021-FL8 Class A |
| &nbsp;&nbsp;1-month USD LIBOR + 0.920%<br> Floor 0.920%<br> 01/18/2036 | &nbsp;&nbsp;4.831% | &nbsp;&nbsp;&nbsp;460342 | &nbsp;&nbsp;&nbsp;&nbsp;447422 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;BFLD Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;BFLD Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;BFLD Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;BFLD Trust<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 2020-EYP Class A | &nbsp;&nbsp;Series 2020-EYP Class A | &nbsp;&nbsp;Series 2020-EYP Class A | &nbsp;&nbsp;Series 2020-EYP Class A |
| &nbsp;&nbsp;1-month USD LIBOR + 1.150%<br> Floor 1.150%<br> 10/15/2035 | &nbsp;&nbsp;5.023% | 480000 | &nbsp;&nbsp;451960 |
| &nbsp;&nbsp;Series 2021-FPM Class A | &nbsp;&nbsp;Series 2021-FPM Class A | &nbsp;&nbsp;Series 2021-FPM Class A | &nbsp;&nbsp;Series 2021-FPM Class A |
| &nbsp;&nbsp;1-month USD LIBOR + 1.600%<br> Floor 1.600%<br> 06/15/2038 | &nbsp;&nbsp;5.473% | 288000 | &nbsp;&nbsp;275539 |
| &nbsp;&nbsp;BOCA Commercial Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;BOCA Commercial Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;BOCA Commercial Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;BOCA Commercial Mortgage Trust<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Subordinated Series 2022-BOCA Class B | &nbsp;&nbsp;Subordinated Series 2022-BOCA Class B | &nbsp;&nbsp;Subordinated Series 2022-BOCA Class B | &nbsp;&nbsp;Subordinated Series 2022-BOCA Class B |
| &nbsp;&nbsp;1-month Term SOFR + 2.319%<br> Floor 2.319%<br> 05/15/2039 | &nbsp;&nbsp;5.695% | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;95920 |
| &nbsp;&nbsp;BX Commercial Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;BX Commercial Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;BX Commercial Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;BX Commercial Mortgage Trust<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 2019-XL Class A | &nbsp;&nbsp;Series 2019-XL Class A | &nbsp;&nbsp;Series 2019-XL Class A | &nbsp;&nbsp;Series 2019-XL Class A |
| &nbsp;&nbsp;1-month USD LIBOR + 0.920%<br> Floor 0.920%<br> 10/15/2036 | &nbsp;&nbsp;4.795% | 430593 | &nbsp;&nbsp;423201 |
| &nbsp;&nbsp;Series 2021-CIP Class A | &nbsp;&nbsp;Series 2021-CIP Class A | &nbsp;&nbsp;Series 2021-CIP Class A | &nbsp;&nbsp;Series 2021-CIP Class A |
| &nbsp;&nbsp;1-month USD LIBOR + 0.921%<br> Floor 0.921%<br> 12/15/2038 | &nbsp;&nbsp;4.796% | 115000 | &nbsp;&nbsp;110533 |
| &nbsp;&nbsp;Series 2021-VOLT Class A | &nbsp;&nbsp;Series 2021-VOLT Class A | &nbsp;&nbsp;Series 2021-VOLT Class A | &nbsp;&nbsp;Series 2021-VOLT Class A |
| &nbsp;&nbsp;1-month USD LIBOR + 0.700%<br> Floor 0.700%<br> 09/15/2036 | &nbsp;&nbsp;4.575% | 125000 | &nbsp;&nbsp;119634 |
| &nbsp;&nbsp;Subordinated CMO Series 2021-VOLT Class F | &nbsp;&nbsp;Subordinated CMO Series 2021-VOLT Class F | &nbsp;&nbsp;Subordinated CMO Series 2021-VOLT Class F | &nbsp;&nbsp;Subordinated CMO Series 2021-VOLT Class F |
| &nbsp;&nbsp;1-month USD LIBOR + 2.400%<br> Floor 2.400%<br> 09/15/2036 | &nbsp;&nbsp;6.275% | 245000 | &nbsp;&nbsp;225888 |
| &nbsp;&nbsp;BX Trust<sup>(a)</sup> | &nbsp;&nbsp;BX Trust<sup>(a)</sup> | &nbsp;&nbsp;BX Trust<sup>(a)</sup> | &nbsp;&nbsp;BX Trust<sup>(a)</sup> |
| &nbsp;&nbsp;Series 2019-OC11 Class A | &nbsp;&nbsp;Series 2019-OC11 Class A | &nbsp;&nbsp;Series 2019-OC11 Class A | &nbsp;&nbsp;Series 2019-OC11 Class A |
| &nbsp;&nbsp;12/09/2041 | &nbsp;&nbsp;3.202% | 225000 | &nbsp;&nbsp;190164 |
| &nbsp;&nbsp;Series 2022-CLS Class A | &nbsp;&nbsp;Series 2022-CLS Class A | &nbsp;&nbsp;Series 2022-CLS Class A | &nbsp;&nbsp;Series 2022-CLS Class A |
| &nbsp;&nbsp;10/13/2027 | &nbsp;&nbsp;5.760% | 150000 | &nbsp;&nbsp;148287 |
| &nbsp;&nbsp;BX Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;BX Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;BX Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;BX Trust<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 2022-GPA Class A | &nbsp;&nbsp;Series 2022-GPA Class A | &nbsp;&nbsp;Series 2022-GPA Class A | &nbsp;&nbsp;Series 2022-GPA Class A |
| &nbsp;&nbsp;1-month Term SOFR + 2.165%<br> Floor 2.165%<br> 10/15/2039 | &nbsp;&nbsp;5.541% | 195000 | &nbsp;&nbsp;194145 |
| &nbsp;&nbsp;Subordinated Series 2021-LBA Class EJV | &nbsp;&nbsp;Subordinated Series 2021-LBA Class EJV | &nbsp;&nbsp;Subordinated Series 2021-LBA Class EJV | &nbsp;&nbsp;Subordinated Series 2021-LBA Class EJV |
| &nbsp;&nbsp;1-month USD LIBOR + 2.000%<br> Floor 2.000%<br> 02/15/2036 | &nbsp;&nbsp;5.412% | 240000 | &nbsp;&nbsp;215777 |
| &nbsp;&nbsp;Subordinated Series 2022-GPA Class B | &nbsp;&nbsp;Subordinated Series 2022-GPA Class B | &nbsp;&nbsp;Subordinated Series 2022-GPA Class B | &nbsp;&nbsp;Subordinated Series 2022-GPA Class B |
| &nbsp;&nbsp;1-month Term SOFR + 2.664%<br> Floor 2.664%<br> 10/15/2039 | &nbsp;&nbsp;6.040% | 120000 | &nbsp;&nbsp;119098 |

---

4 Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Subordinated Series 2022-GPA Class D | &nbsp;&nbsp;Subordinated Series 2022-GPA Class D | &nbsp;&nbsp;Subordinated Series 2022-GPA Class D | &nbsp;&nbsp;Subordinated Series 2022-GPA Class D |
| &nbsp;&nbsp;1-month Term SOFR + 4.061%<br> Floor 4.061%<br> 10/15/2039 | &nbsp;&nbsp;7.437% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80000 | &nbsp;&nbsp;&nbsp;&nbsp;78898 |
| &nbsp;&nbsp;CAMB Commercial Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;CAMB Commercial Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;CAMB Commercial Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;CAMB Commercial Mortgage Trust<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 2019-LIFE Class A | &nbsp;&nbsp;Series 2019-LIFE Class A | &nbsp;&nbsp;Series 2019-LIFE Class A | &nbsp;&nbsp;Series 2019-LIFE Class A |
| &nbsp;&nbsp;1-month USD LIBOR + 1.070%<br> Floor 1.070%<br> 12/15/2037 | &nbsp;&nbsp;4.945% | &nbsp;&nbsp;&nbsp;&nbsp;100000 | &nbsp;&nbsp;&nbsp;&nbsp;97874 |
| &nbsp;&nbsp;Citigroup Commercial Mortgage Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;Citigroup Commercial Mortgage Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;Citigroup Commercial Mortgage Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;Citigroup Commercial Mortgage Trust<sup>(c),(d)</sup> |
| &nbsp;&nbsp;Series 2016-P3 Class XA | &nbsp;&nbsp;Series 2016-P3 Class XA | &nbsp;&nbsp;Series 2016-P3 Class XA | &nbsp;&nbsp;Series 2016-P3 Class XA |
| &nbsp;&nbsp;04/15/2049 | &nbsp;&nbsp;1.819% | &nbsp;&nbsp;9022073 | &nbsp;&nbsp;354809 |
| &nbsp;&nbsp;COMM Mortgage Trust<sup>(a),(c),(d)</sup> | &nbsp;&nbsp;COMM Mortgage Trust<sup>(a),(c),(d)</sup> | &nbsp;&nbsp;COMM Mortgage Trust<sup>(a),(c),(d)</sup> | &nbsp;&nbsp;COMM Mortgage Trust<sup>(a),(c),(d)</sup> |
| &nbsp;&nbsp;Series 2013-LC6 Class XB | &nbsp;&nbsp;Series 2013-LC6 Class XB | &nbsp;&nbsp;Series 2013-LC6 Class XB | &nbsp;&nbsp;Series 2013-LC6 Class XB |
| &nbsp;&nbsp;01/10/2046 | &nbsp;&nbsp;0.499% | 11750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;109 |
| &nbsp;&nbsp;Series 2020-CBM Class XCP | &nbsp;&nbsp;Series 2020-CBM Class XCP | &nbsp;&nbsp;Series 2020-CBM Class XCP | &nbsp;&nbsp;Series 2020-CBM Class XCP |
| &nbsp;&nbsp;02/10/2037 | &nbsp;&nbsp;0.722% | &nbsp;&nbsp;3134666 | &nbsp;&nbsp;&nbsp;&nbsp;35367 |
| &nbsp;&nbsp;Series 2020-SBX Class X | &nbsp;&nbsp;Series 2020-SBX Class X | &nbsp;&nbsp;Series 2020-SBX Class X | &nbsp;&nbsp;Series 2020-SBX Class X |
| &nbsp;&nbsp;01/10/2038 | &nbsp;&nbsp;0.662% | 11501000 | &nbsp;&nbsp;178755 |
| &nbsp;&nbsp;Commercial Mortgage Pass-Through Certificates<sup>(c),(d)</sup> | &nbsp;&nbsp;Commercial Mortgage Pass-Through Certificates<sup>(c),(d)</sup> | &nbsp;&nbsp;Commercial Mortgage Pass-Through Certificates<sup>(c),(d)</sup> | &nbsp;&nbsp;Commercial Mortgage Pass-Through Certificates<sup>(c),(d)</sup> |
| &nbsp;&nbsp;Series 2012-CR3 Class XA | &nbsp;&nbsp;Series 2012-CR3 Class XA | &nbsp;&nbsp;Series 2012-CR3 Class XA | &nbsp;&nbsp;Series 2012-CR3 Class XA |
| &nbsp;&nbsp;10/15/2045 | &nbsp;&nbsp;1.689% | &nbsp;&nbsp;&nbsp;&nbsp;445178 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17 |
| &nbsp;&nbsp;Commercial Mortgage Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;Commercial Mortgage Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;Commercial Mortgage Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;Commercial Mortgage Trust<sup>(c),(d)</sup> |
| &nbsp;&nbsp;Series 2012-CR4 Class XA | &nbsp;&nbsp;Series 2012-CR4 Class XA | &nbsp;&nbsp;Series 2012-CR4 Class XA | &nbsp;&nbsp;Series 2012-CR4 Class XA |
| &nbsp;&nbsp;10/15/2045 | &nbsp;&nbsp;1.428% | &nbsp;&nbsp;&nbsp;&nbsp;873402 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33 |
| &nbsp;&nbsp;Series 2013-LC6 Class XA | &nbsp;&nbsp;Series 2013-LC6 Class XA | &nbsp;&nbsp;Series 2013-LC6 Class XA | &nbsp;&nbsp;Series 2013-LC6 Class XA |
| &nbsp;&nbsp;01/10/2046 | &nbsp;&nbsp;1.170% | &nbsp;&nbsp;&nbsp;&nbsp;204317 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 |
| &nbsp;&nbsp;Series 2014-UBS2 Class XA | &nbsp;&nbsp;Series 2014-UBS2 Class XA | &nbsp;&nbsp;Series 2014-UBS2 Class XA | &nbsp;&nbsp;Series 2014-UBS2 Class XA |
| &nbsp;&nbsp;03/10/2047 | &nbsp;&nbsp;1.229% | &nbsp;&nbsp;3767988 | &nbsp;&nbsp;&nbsp;&nbsp;31958 |
| &nbsp;&nbsp;CoreVest American Finance Trust<sup>(a),(c),(d)</sup> | &nbsp;&nbsp;CoreVest American Finance Trust<sup>(a),(c),(d)</sup> | &nbsp;&nbsp;CoreVest American Finance Trust<sup>(a),(c),(d)</sup> | &nbsp;&nbsp;CoreVest American Finance Trust<sup>(a),(c),(d)</sup> |
| &nbsp;&nbsp;Series 2019-1 Class XA | &nbsp;&nbsp;Series 2019-1 Class XA | &nbsp;&nbsp;Series 2019-1 Class XA | &nbsp;&nbsp;Series 2019-1 Class XA |
| &nbsp;&nbsp;03/15/2052 | &nbsp;&nbsp;2.471% | &nbsp;&nbsp;&nbsp;&nbsp;129862 | &nbsp;&nbsp;&nbsp;&nbsp;4933 |
| &nbsp;&nbsp;Series 2019-3 Class XA | &nbsp;&nbsp;Series 2019-3 Class XA | &nbsp;&nbsp;Series 2019-3 Class XA | &nbsp;&nbsp;Series 2019-3 Class XA |
| &nbsp;&nbsp;10/15/2052 | &nbsp;&nbsp;2.204% | &nbsp;&nbsp;&nbsp;&nbsp;187590 | &nbsp;&nbsp;&nbsp;&nbsp;7909 |
| &nbsp;&nbsp;Series 2020-1 Class XA | &nbsp;&nbsp;Series 2020-1 Class XA | &nbsp;&nbsp;Series 2020-1 Class XA | &nbsp;&nbsp;Series 2020-1 Class XA |
| &nbsp;&nbsp;03/15/2050 | &nbsp;&nbsp;2.764% | &nbsp;&nbsp;&nbsp;&nbsp;605923 | &nbsp;&nbsp;&nbsp;&nbsp;40261 |
| &nbsp;&nbsp;Series 2020-3 Class XA | &nbsp;&nbsp;Series 2020-3 Class XA | &nbsp;&nbsp;Series 2020-3 Class XA | &nbsp;&nbsp;Series 2020-3 Class XA |
| &nbsp;&nbsp;08/15/2053 | &nbsp;&nbsp;3.849% | &nbsp;&nbsp;&nbsp;&nbsp;581121 | &nbsp;&nbsp;&nbsp;&nbsp;52746 |
| &nbsp;&nbsp;Series 2020-3 Class XB | &nbsp;&nbsp;Series 2020-3 Class XB | &nbsp;&nbsp;Series 2020-3 Class XB | &nbsp;&nbsp;Series 2020-3 Class XB |
| &nbsp;&nbsp;08/15/2053 | &nbsp;&nbsp;2.793% | &nbsp;&nbsp;&nbsp;&nbsp;850000 | &nbsp;&nbsp;&nbsp;&nbsp;99991 |
| &nbsp;&nbsp;CoreVest American Finance Trust<sup>(a)</sup> | &nbsp;&nbsp;CoreVest American Finance Trust<sup>(a)</sup> | &nbsp;&nbsp;CoreVest American Finance Trust<sup>(a)</sup> | &nbsp;&nbsp;CoreVest American Finance Trust<sup>(a)</sup> |
| &nbsp;&nbsp;Series 2020-1 Class A2 | &nbsp;&nbsp;Series 2020-1 Class A2 | &nbsp;&nbsp;Series 2020-1 Class A2 | &nbsp;&nbsp;Series 2020-1 Class A2 |
| &nbsp;&nbsp;03/15/2050 | &nbsp;&nbsp;2.296% | &nbsp;&nbsp;&nbsp;&nbsp;265000 | &nbsp;&nbsp;231232 |
| &nbsp;&nbsp;Credit Suisse Mortgage Capital Certificates<sup>(a),(b)</sup> | &nbsp;&nbsp;Credit Suisse Mortgage Capital Certificates<sup>(a),(b)</sup> | &nbsp;&nbsp;Credit Suisse Mortgage Capital Certificates<sup>(a),(b)</sup> | &nbsp;&nbsp;Credit Suisse Mortgage Capital Certificates<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 2019-ICE4 Class A | &nbsp;&nbsp;Series 2019-ICE4 Class A | &nbsp;&nbsp;Series 2019-ICE4 Class A | &nbsp;&nbsp;Series 2019-ICE4 Class A |
| &nbsp;&nbsp;1-month USD LIBOR + 0.980%<br> Floor 0.980%<br> 05/15/2036 | &nbsp;&nbsp;4.855% | &nbsp;&nbsp;&nbsp;&nbsp;255000 | &nbsp;&nbsp;251708 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;CSAIL Commercial Mortgage Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;CSAIL Commercial Mortgage Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;CSAIL Commercial Mortgage Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;CSAIL Commercial Mortgage Trust<sup>(c),(d)</sup> |
| &nbsp;&nbsp;Series 2015-C3 Class XA | &nbsp;&nbsp;Series 2015-C3 Class XA | &nbsp;&nbsp;Series 2015-C3 Class XA | &nbsp;&nbsp;Series 2015-C3 Class XA |
| &nbsp;&nbsp;08/15/2048 | &nbsp;&nbsp;0.825% | 8992809 | &nbsp;&nbsp;123905 |
| &nbsp;&nbsp;CSMC Trust<sup>(a),(c),(d)</sup> | &nbsp;&nbsp;CSMC Trust<sup>(a),(c),(d)</sup> | &nbsp;&nbsp;CSMC Trust<sup>(a),(c),(d)</sup> | &nbsp;&nbsp;CSMC Trust<sup>(a),(c),(d)</sup> |
| &nbsp;&nbsp;Series 2021-980M Class X | &nbsp;&nbsp;Series 2021-980M Class X | &nbsp;&nbsp;Series 2021-980M Class X | &nbsp;&nbsp;Series 2021-980M Class X |
| &nbsp;&nbsp;07/15/2031 | &nbsp;&nbsp;1.109% | 6982000 | &nbsp;&nbsp;221404 |
| &nbsp;&nbsp;CSMC Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;CSMC Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;CSMC Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;CSMC Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;Subordinated Series 2021-B33 Class B | &nbsp;&nbsp;Subordinated Series 2021-B33 Class B | &nbsp;&nbsp;Subordinated Series 2021-B33 Class B | &nbsp;&nbsp;Subordinated Series 2021-B33 Class B |
| &nbsp;&nbsp;10/10/2043 | &nbsp;&nbsp;3.766% | &nbsp;&nbsp;&nbsp;423000 | &nbsp;&nbsp;325899 |
| &nbsp;&nbsp;Del Amo Fashion Center Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Del Amo Fashion Center Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Del Amo Fashion Center Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Del Amo Fashion Center Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;Subordinated Series 2017-AMO Class C | &nbsp;&nbsp;Subordinated Series 2017-AMO Class C | &nbsp;&nbsp;Subordinated Series 2017-AMO Class C | &nbsp;&nbsp;Subordinated Series 2017-AMO Class C |
| &nbsp;&nbsp;06/05/2035 | &nbsp;&nbsp;3.757% | &nbsp;&nbsp;&nbsp;420000 | &nbsp;&nbsp;325309 |
| &nbsp;&nbsp;DROP Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;DROP Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;DROP Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;DROP Mortgage Trust<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Subordinated Series 2021-FILE Class B | &nbsp;&nbsp;Subordinated Series 2021-FILE Class B | &nbsp;&nbsp;Subordinated Series 2021-FILE Class B | &nbsp;&nbsp;Subordinated Series 2021-FILE Class B |
| &nbsp;&nbsp;1-month USD LIBOR + 1.700%<br> Floor 1.700%<br> 10/15/2043 | &nbsp;&nbsp;5.575% | &nbsp;&nbsp;&nbsp;400000 | &nbsp;&nbsp;367902 |
| &nbsp;&nbsp;FirstKey Homes Trust<sup>(a)</sup> | &nbsp;&nbsp;FirstKey Homes Trust<sup>(a)</sup> | &nbsp;&nbsp;FirstKey Homes Trust<sup>(a)</sup> | &nbsp;&nbsp;FirstKey Homes Trust<sup>(a)</sup> |
| &nbsp;&nbsp;Series 2020-SFR2 Class A | &nbsp;&nbsp;Series 2020-SFR2 Class A | &nbsp;&nbsp;Series 2020-SFR2 Class A | &nbsp;&nbsp;Series 2020-SFR2 Class A |
| &nbsp;&nbsp;10/19/2037 | &nbsp;&nbsp;1.266% | &nbsp;&nbsp;&nbsp;&nbsp;99055 | &nbsp;&nbsp;&nbsp;&nbsp;87464 |
| &nbsp;&nbsp;Fontainebleau Miami Beach Trust<sup>(a)</sup> | &nbsp;&nbsp;Fontainebleau Miami Beach Trust<sup>(a)</sup> | &nbsp;&nbsp;Fontainebleau Miami Beach Trust<sup>(a)</sup> | &nbsp;&nbsp;Fontainebleau Miami Beach Trust<sup>(a)</sup> |
| &nbsp;&nbsp;Subordinated Series 2019-FBLU Class B | &nbsp;&nbsp;Subordinated Series 2019-FBLU Class B | &nbsp;&nbsp;Subordinated Series 2019-FBLU Class B | &nbsp;&nbsp;Subordinated Series 2019-FBLU Class B |
| &nbsp;&nbsp;12/10/2036 | &nbsp;&nbsp;3.447% | &nbsp;&nbsp;&nbsp;435810 | &nbsp;&nbsp;405601 |
| &nbsp;&nbsp;Fontainebleau Miami Beach Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Fontainebleau Miami Beach Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Fontainebleau Miami Beach Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Fontainebleau Miami Beach Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;Subordinated Series 2019-FBLU Class E | &nbsp;&nbsp;Subordinated Series 2019-FBLU Class E | &nbsp;&nbsp;Subordinated Series 2019-FBLU Class E | &nbsp;&nbsp;Subordinated Series 2019-FBLU Class E |
| &nbsp;&nbsp;12/10/2036 | &nbsp;&nbsp;4.095% | &nbsp;&nbsp;&nbsp;310000 | &nbsp;&nbsp;284800 |
| &nbsp;&nbsp;Grace Trust<sup>(a)</sup> | &nbsp;&nbsp;Grace Trust<sup>(a)</sup> | &nbsp;&nbsp;Grace Trust<sup>(a)</sup> | &nbsp;&nbsp;Grace Trust<sup>(a)</sup> |
| &nbsp;&nbsp;Subordinated Series 2020-GRCE Class B | &nbsp;&nbsp;Subordinated Series 2020-GRCE Class B | &nbsp;&nbsp;Subordinated Series 2020-GRCE Class B | &nbsp;&nbsp;Subordinated Series 2020-GRCE Class B |
| &nbsp;&nbsp;12/10/2040 | &nbsp;&nbsp;2.600% | &nbsp;&nbsp;&nbsp;500000 | &nbsp;&nbsp;378840 |
| &nbsp;&nbsp;GS Mortgage Securities Trust<sup>(a),(c),(d)</sup> | &nbsp;&nbsp;GS Mortgage Securities Trust<sup>(a),(c),(d)</sup> | &nbsp;&nbsp;GS Mortgage Securities Trust<sup>(a),(c),(d)</sup> | &nbsp;&nbsp;GS Mortgage Securities Trust<sup>(a),(c),(d)</sup> |
| &nbsp;&nbsp;Series 2020-UPTN Class XA | &nbsp;&nbsp;Series 2020-UPTN Class XA | &nbsp;&nbsp;Series 2020-UPTN Class XA | &nbsp;&nbsp;Series 2020-UPTN Class XA |
| &nbsp;&nbsp;02/10/2037 | &nbsp;&nbsp;0.446% | 1750000 | &nbsp;&nbsp;&nbsp;&nbsp;11795 |
| &nbsp;&nbsp;Home Partners of America Trust<sup>(a)</sup> | &nbsp;&nbsp;Home Partners of America Trust<sup>(a)</sup> | &nbsp;&nbsp;Home Partners of America Trust<sup>(a)</sup> | &nbsp;&nbsp;Home Partners of America Trust<sup>(a)</sup> |
| &nbsp;&nbsp;Series 2019-1 Class B | &nbsp;&nbsp;Series 2019-1 Class B | &nbsp;&nbsp;Series 2019-1 Class B | &nbsp;&nbsp;Series 2019-1 Class B |
| &nbsp;&nbsp;09/17/2039 | &nbsp;&nbsp;3.157% | &nbsp;&nbsp;&nbsp;&nbsp;80947 | &nbsp;&nbsp;&nbsp;&nbsp;70955 |
| &nbsp;&nbsp;Hudson Yards Mortgage Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Hudson Yards Mortgage Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Hudson Yards Mortgage Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Hudson Yards Mortgage Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;Series 2019-55HY Class F | &nbsp;&nbsp;Series 2019-55HY Class F | &nbsp;&nbsp;Series 2019-55HY Class F | &nbsp;&nbsp;Series 2019-55HY Class F |
| &nbsp;&nbsp;12/10/2041 | &nbsp;&nbsp;3.041% | &nbsp;&nbsp;&nbsp;&nbsp;85000 | &nbsp;&nbsp;&nbsp;&nbsp;57993 |
| &nbsp;&nbsp;INTOWN Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;INTOWN Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;INTOWN Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;INTOWN Mortgage Trust<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Subordinated Series 2022-STAY Class B | &nbsp;&nbsp;Subordinated Series 2022-STAY Class B | &nbsp;&nbsp;Subordinated Series 2022-STAY Class B | &nbsp;&nbsp;Subordinated Series 2022-STAY Class B |
| &nbsp;&nbsp;1-month Term SOFR + 3.286%<br> Floor 3.286%<br> 08/15/2037 | &nbsp;&nbsp;6.131% | &nbsp;&nbsp;&nbsp;150000 | &nbsp;&nbsp;147183 |
| &nbsp;&nbsp;JPMBB Commercial Mortgage Securities Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;JPMBB Commercial Mortgage Securities Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;JPMBB Commercial Mortgage Securities Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;JPMBB Commercial Mortgage Securities Trust<sup>(c),(d)</sup> |
| &nbsp;&nbsp;Series 2014-C21 Class XA | &nbsp;&nbsp;Series 2014-C21 Class XA | &nbsp;&nbsp;Series 2014-C21 Class XA | &nbsp;&nbsp;Series 2014-C21 Class XA |
| &nbsp;&nbsp;08/15/2047 | &nbsp;&nbsp;1.099% | &nbsp;&nbsp;&nbsp;829279 | &nbsp;&nbsp;&nbsp;&nbsp;8860 |
| &nbsp;&nbsp;Series 2014-C23 Class XA | &nbsp;&nbsp;Series 2014-C23 Class XA | &nbsp;&nbsp;Series 2014-C23 Class XA | &nbsp;&nbsp;Series 2014-C23 Class XA |
| &nbsp;&nbsp;09/15/2047 | &nbsp;&nbsp;0.746% | 2545935 | &nbsp;&nbsp;&nbsp;&nbsp;19809 |
| &nbsp;&nbsp;Series 2014-C26 Class XA | &nbsp;&nbsp;Series 2014-C26 Class XA | &nbsp;&nbsp;Series 2014-C26 Class XA | &nbsp;&nbsp;Series 2014-C26 Class XA |
| &nbsp;&nbsp;01/15/2048 | &nbsp;&nbsp;1.075% | 4923455 | &nbsp;&nbsp;&nbsp;&nbsp;68876 |

---

Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022<br> 5

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;JPMorgan Chase Commercial Mortgage Securities Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;JPMorgan Chase Commercial Mortgage Securities Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;JPMorgan Chase Commercial Mortgage Securities Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;JPMorgan Chase Commercial Mortgage Securities Trust<sup>(c),(d)</sup> |
| &nbsp;&nbsp;Series 2012-LC9 Class XA | &nbsp;&nbsp;Series 2012-LC9 Class XA | &nbsp;&nbsp;Series 2012-LC9 Class XA | &nbsp;&nbsp;Series 2012-LC9 Class XA |
| &nbsp;&nbsp;12/15/2047 | &nbsp;&nbsp;1.037% | &nbsp;&nbsp;&nbsp;177084 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 |
| &nbsp;&nbsp;JPMorgan Chase Commercial Mortgage Securities Trust<sup>(a)</sup> | &nbsp;&nbsp;JPMorgan Chase Commercial Mortgage Securities Trust<sup>(a)</sup> | &nbsp;&nbsp;JPMorgan Chase Commercial Mortgage Securities Trust<sup>(a)</sup> | &nbsp;&nbsp;JPMorgan Chase Commercial Mortgage Securities Trust<sup>(a)</sup> |
| &nbsp;&nbsp;Series 2019-OSB Class A | &nbsp;&nbsp;Series 2019-OSB Class A | &nbsp;&nbsp;Series 2019-OSB Class A | &nbsp;&nbsp;Series 2019-OSB Class A |
| &nbsp;&nbsp;06/05/2039 | &nbsp;&nbsp;3.397% | &nbsp;&nbsp;&nbsp;375000 | &nbsp;&nbsp;329141 |
| &nbsp;&nbsp;JPMorgan Chase Commercial Mortgage Securities Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;JPMorgan Chase Commercial Mortgage Securities Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;JPMorgan Chase Commercial Mortgage Securities Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;JPMorgan Chase Commercial Mortgage Securities Trust<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Subordinated Series 2022-NLP Class H | &nbsp;&nbsp;Subordinated Series 2022-NLP Class H | &nbsp;&nbsp;Subordinated Series 2022-NLP Class H | &nbsp;&nbsp;Subordinated Series 2022-NLP Class H |
| &nbsp;&nbsp;1-month Term SOFR + 5.010%<br> Floor 5.010%<br> 04/15/2037 | &nbsp;&nbsp;8.804% | &nbsp;&nbsp;&nbsp;230000 | &nbsp;&nbsp;197981 |
| &nbsp;&nbsp;Life Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;Life Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;Life Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;Life Mortgage Trust<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 2022-BMR2 Class A1 | &nbsp;&nbsp;Series 2022-BMR2 Class A1 | &nbsp;&nbsp;Series 2022-BMR2 Class A1 | &nbsp;&nbsp;Series 2022-BMR2 Class A1 |
| &nbsp;&nbsp;1-month Term SOFR + 1.295%<br> Floor 1.295%<br> 05/15/2039 | &nbsp;&nbsp;5.090% | &nbsp;&nbsp;&nbsp;285000 | &nbsp;&nbsp;276433 |
| &nbsp;&nbsp;Series 2022-BMR2 Class B | &nbsp;&nbsp;Series 2022-BMR2 Class B | &nbsp;&nbsp;Series 2022-BMR2 Class B | &nbsp;&nbsp;Series 2022-BMR2 Class B |
| &nbsp;&nbsp;1-month Term SOFR + 1.794%<br> Floor 1.794%<br> 05/15/2039 | &nbsp;&nbsp;5.588% | &nbsp;&nbsp;&nbsp;270000 | &nbsp;&nbsp;259855 |
| &nbsp;&nbsp;Series 2022-BMR2 Class D | &nbsp;&nbsp;Series 2022-BMR2 Class D | &nbsp;&nbsp;Series 2022-BMR2 Class D | &nbsp;&nbsp;Series 2022-BMR2 Class D |
| &nbsp;&nbsp;1-month Term SOFR + 2.542%<br> Floor 2.542%<br> 05/15/2039 | &nbsp;&nbsp;6.336% | &nbsp;&nbsp;&nbsp;215000 | &nbsp;&nbsp;204768 |
| &nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust<sup>(c),(d)</sup> |
| &nbsp;&nbsp;Series 2016-C31 Class XA | &nbsp;&nbsp;Series 2016-C31 Class XA | &nbsp;&nbsp;Series 2016-C31 Class XA | &nbsp;&nbsp;Series 2016-C31 Class XA |
| &nbsp;&nbsp;11/15/2049 | &nbsp;&nbsp;1.417% | 2159837 | &nbsp;&nbsp;&nbsp;&nbsp;79936 |
| &nbsp;&nbsp;Morgan Stanley Capital I Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Morgan Stanley Capital I Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Morgan Stanley Capital I Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Morgan Stanley Capital I Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;Series 2018-MP Class A | &nbsp;&nbsp;Series 2018-MP Class A | &nbsp;&nbsp;Series 2018-MP Class A | &nbsp;&nbsp;Series 2018-MP Class A |
| &nbsp;&nbsp;07/11/2040 | &nbsp;&nbsp;4.419% | &nbsp;&nbsp;&nbsp;315000 | &nbsp;&nbsp;278155 |
| &nbsp;&nbsp;MSCG Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;MSCG Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;MSCG Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;MSCG Trust<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Subordinated Series 2018-SELF Class E | &nbsp;&nbsp;Subordinated Series 2018-SELF Class E | &nbsp;&nbsp;Subordinated Series 2018-SELF Class E | &nbsp;&nbsp;Subordinated Series 2018-SELF Class E |
| &nbsp;&nbsp;1-month USD LIBOR + 2.150%<br> Floor 2.150%<br> 10/15/2037 | &nbsp;&nbsp;6.023% | &nbsp;&nbsp;&nbsp;342702 | &nbsp;&nbsp;320103 |
| &nbsp;&nbsp;MSDB Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;MSDB Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;MSDB Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;MSDB Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;Series 2017-712F Class A | &nbsp;&nbsp;Series 2017-712F Class A | &nbsp;&nbsp;Series 2017-712F Class A | &nbsp;&nbsp;Series 2017-712F Class A |
| &nbsp;&nbsp;07/11/2039 | &nbsp;&nbsp;3.427% | &nbsp;&nbsp;&nbsp;285000 | &nbsp;&nbsp;253220 |
| &nbsp;&nbsp;Natixis Commercial Mortgage Securities Trust<sup>(a),(c),(d)</sup> | &nbsp;&nbsp;Natixis Commercial Mortgage Securities Trust<sup>(a),(c),(d)</sup> | &nbsp;&nbsp;Natixis Commercial Mortgage Securities Trust<sup>(a),(c),(d)</sup> | &nbsp;&nbsp;Natixis Commercial Mortgage Securities Trust<sup>(a),(c),(d)</sup> |
| &nbsp;&nbsp;Series 2020-2PAC Class XA | &nbsp;&nbsp;Series 2020-2PAC Class XA | &nbsp;&nbsp;Series 2020-2PAC Class XA | &nbsp;&nbsp;Series 2020-2PAC Class XA |
| &nbsp;&nbsp;12/15/2038 | &nbsp;&nbsp;1.540% | &nbsp;&nbsp;&nbsp;937398 | &nbsp;&nbsp;&nbsp;&nbsp;22327 |
| &nbsp;&nbsp;Series 2020-2PAC Class XB | &nbsp;&nbsp;Series 2020-2PAC Class XB | &nbsp;&nbsp;Series 2020-2PAC Class XB | &nbsp;&nbsp;Series 2020-2PAC Class XB |
| &nbsp;&nbsp;12/15/2038 | &nbsp;&nbsp;1.102% | 2665000 | &nbsp;&nbsp;&nbsp;&nbsp;44473 |
| &nbsp;&nbsp;Natixis Commercial Mortgage Securities Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Natixis Commercial Mortgage Securities Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Natixis Commercial Mortgage Securities Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Natixis Commercial Mortgage Securities Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;Subordinated Series 2018-ALXA Class E | &nbsp;&nbsp;Subordinated Series 2018-ALXA Class E | &nbsp;&nbsp;Subordinated Series 2018-ALXA Class E | &nbsp;&nbsp;Subordinated Series 2018-ALXA Class E |
| &nbsp;&nbsp;01/15/2043 | &nbsp;&nbsp;4.460% | &nbsp;&nbsp;&nbsp;&nbsp;60000 | &nbsp;&nbsp;&nbsp;&nbsp;46877 |
| &nbsp;&nbsp;Progress Residential Trust<sup>(a)</sup> | &nbsp;&nbsp;Progress Residential Trust<sup>(a)</sup> | &nbsp;&nbsp;Progress Residential Trust<sup>(a)</sup> | &nbsp;&nbsp;Progress Residential Trust<sup>(a)</sup> |
| &nbsp;&nbsp;Subordinated Series 2021-SFR9 Class E1 | &nbsp;&nbsp;Subordinated Series 2021-SFR9 Class E1 | &nbsp;&nbsp;Subordinated Series 2021-SFR9 Class E1 | &nbsp;&nbsp;Subordinated Series 2021-SFR9 Class E1 |
| &nbsp;&nbsp;11/17/2040 | &nbsp;&nbsp;2.811% | &nbsp;&nbsp;&nbsp;910000 | &nbsp;&nbsp;713650 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Commercial Mortgage-Backed Securities - Non-Agency (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Ready Capital Mortgage Financing LLC<sup>(a),(b)</sup> | &nbsp;&nbsp;Ready Capital Mortgage Financing LLC<sup>(a),(b)</sup> | &nbsp;&nbsp;Ready Capital Mortgage Financing LLC<sup>(a),(b)</sup> | &nbsp;&nbsp;Ready Capital Mortgage Financing LLC<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 2020-FL4 Class AS | &nbsp;&nbsp;Series 2020-FL4 Class AS | &nbsp;&nbsp;Series 2020-FL4 Class AS | &nbsp;&nbsp;Series 2020-FL4 Class AS |
| &nbsp;&nbsp;1-month USD LIBOR + 3.100%<br> Floor 3.100%<br> 02/25/2035 | &nbsp;&nbsp;7.144% | &nbsp;&nbsp;&nbsp;250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;245728 |
| &nbsp;&nbsp;SFAVE Commercial Mortgage Securities Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;SFAVE Commercial Mortgage Securities Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;SFAVE Commercial Mortgage Securities Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;SFAVE Commercial Mortgage Securities Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;Series 2015-5AVE Class A2A | &nbsp;&nbsp;Series 2015-5AVE Class A2A | &nbsp;&nbsp;Series 2015-5AVE Class A2A | &nbsp;&nbsp;Series 2015-5AVE Class A2A |
| &nbsp;&nbsp;01/05/2043 | &nbsp;&nbsp;3.659% | &nbsp;&nbsp;&nbsp;425000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;299217 |
| &nbsp;&nbsp;Series 2015-5AVE Class A2B | &nbsp;&nbsp;Series 2015-5AVE Class A2B | &nbsp;&nbsp;Series 2015-5AVE Class A2B | &nbsp;&nbsp;Series 2015-5AVE Class A2B |
| &nbsp;&nbsp;01/05/2043 | &nbsp;&nbsp;4.144% | &nbsp;&nbsp;&nbsp;&nbsp;35000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24326 |
| &nbsp;&nbsp;Subordinated Series 2015-5AVE Class C | &nbsp;&nbsp;Subordinated Series 2015-5AVE Class C | &nbsp;&nbsp;Subordinated Series 2015-5AVE Class C | &nbsp;&nbsp;Subordinated Series 2015-5AVE Class C |
| &nbsp;&nbsp;01/05/2043 | &nbsp;&nbsp;4.534% | &nbsp;&nbsp;&nbsp;345000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;210665 |
| &nbsp;&nbsp;SMRT Commercial Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;SMRT Commercial Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;SMRT Commercial Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;SMRT Commercial Mortgage Trust<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Subordinated Series 2022-MINI Class E | &nbsp;&nbsp;Subordinated Series 2022-MINI Class E | &nbsp;&nbsp;Subordinated Series 2022-MINI Class E | &nbsp;&nbsp;Subordinated Series 2022-MINI Class E |
| &nbsp;&nbsp;1-month Term SOFR + 2.700%<br> Floor 2.700%<br> 01/15/2039 | &nbsp;&nbsp;6.495% | &nbsp;&nbsp;&nbsp;350000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;320171 |
| &nbsp;&nbsp;STWD FL1 Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;STWD FL1 Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;STWD FL1 Ltd.<sup>(a),(b)</sup> | &nbsp;&nbsp;STWD FL1 Ltd.<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 2019 Class AS | &nbsp;&nbsp;Series 2019 Class AS | &nbsp;&nbsp;Series 2019 Class AS | &nbsp;&nbsp;Series 2019 Class AS |
| &nbsp;&nbsp;1-month USD LIBOR + 1.400%<br> Floor 1.400%<br> 07/15/2038 | &nbsp;&nbsp;5.311% | &nbsp;&nbsp;&nbsp;398000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;378019 |
| &nbsp;&nbsp;Tricon American Homes Trust<sup>(a)</sup> | &nbsp;&nbsp;Tricon American Homes Trust<sup>(a)</sup> | &nbsp;&nbsp;Tricon American Homes Trust<sup>(a)</sup> | &nbsp;&nbsp;Tricon American Homes Trust<sup>(a)</sup> |
| &nbsp;&nbsp;Subordinated Series 2017-SFR2 Class E | &nbsp;&nbsp;Subordinated Series 2017-SFR2 Class E | &nbsp;&nbsp;Subordinated Series 2017-SFR2 Class E | &nbsp;&nbsp;Subordinated Series 2017-SFR2 Class E |
| &nbsp;&nbsp;01/17/2036 | &nbsp;&nbsp;4.216% | &nbsp;&nbsp;&nbsp;375000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;362284 |
| &nbsp;&nbsp;VMC Finance LLC<sup>(a),(b)</sup> | &nbsp;&nbsp;VMC Finance LLC<sup>(a),(b)</sup> | &nbsp;&nbsp;VMC Finance LLC<sup>(a),(b)</sup> | &nbsp;&nbsp;VMC Finance LLC<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Series 2021-FL4 Class B | &nbsp;&nbsp;Series 2021-FL4 Class B | &nbsp;&nbsp;Series 2021-FL4 Class B | &nbsp;&nbsp;Series 2021-FL4 Class B |
| &nbsp;&nbsp;1-month USD LIBOR + 1.800%<br> Floor 1.800%<br> 06/16/2036 | &nbsp;&nbsp;5.739% | &nbsp;&nbsp;&nbsp;299000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;280737 |
| &nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;Subordinated Series 2019-JDWR Class D | &nbsp;&nbsp;Subordinated Series 2019-JDWR Class D | &nbsp;&nbsp;Subordinated Series 2019-JDWR Class D | &nbsp;&nbsp;Subordinated Series 2019-JDWR Class D |
| &nbsp;&nbsp;09/15/2031 | &nbsp;&nbsp;3.437% | &nbsp;&nbsp;&nbsp;425000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;358644 |
| &nbsp;&nbsp;WF-RBS Commercial Mortgage Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;WF-RBS Commercial Mortgage Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;WF-RBS Commercial Mortgage Trust<sup>(c),(d)</sup> | &nbsp;&nbsp;WF-RBS Commercial Mortgage Trust<sup>(c),(d)</sup> |
| &nbsp;&nbsp;Series 2014-C24 Class XA | &nbsp;&nbsp;Series 2014-C24 Class XA | &nbsp;&nbsp;Series 2014-C24 Class XA | &nbsp;&nbsp;Series 2014-C24 Class XA |
| &nbsp;&nbsp;11/15/2047 | &nbsp;&nbsp;0.987% | 2370759 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29152 |
| &nbsp;&nbsp;Total Commercial Mortgage-Backed Securities - Non-Agency<br> (Cost $15,836,468) | &nbsp;&nbsp;Total Commercial Mortgage-Backed Securities - Non-Agency<br> (Cost $15,836,468) | &nbsp;&nbsp;Total Commercial Mortgage-Backed Securities - Non-Agency<br> (Cost $15,836,468) | &nbsp;&nbsp;**14270102** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks 19.6%** | &nbsp;&nbsp;**Common Stocks 19.6%** | &nbsp;&nbsp;**Common Stocks 19.6%** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Shares** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**Communication Services 1.8%** | &nbsp;&nbsp;**Communication Services 1.8%** | &nbsp;&nbsp;**Communication Services 1.8%** |
| &nbsp;&nbsp;**Entertainment 0.9%** | &nbsp;&nbsp;**Entertainment 0.9%** | &nbsp;&nbsp;**Entertainment 0.9%** |
| &nbsp;&nbsp;Activision Blizzard, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;61759 | &nbsp;&nbsp;4567078 |
| &nbsp;&nbsp;**Media 0.9%** | &nbsp;&nbsp;**Media 0.9%** | &nbsp;&nbsp;**Media 0.9%** |
| &nbsp;&nbsp;Intelsat Jackson Holdings SA<sup>(e),(f),(g)</sup> | &nbsp;&nbsp;362000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0 |
| &nbsp;&nbsp;Intelsat Jackson Holdings SA<sup>(e),(f),(g)</sup> | &nbsp;&nbsp;248000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0 |
| &nbsp;&nbsp;Intelsat Jackson Series A, CVR<sup>(e),(f),(g)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;612 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |

---

6 Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks (continued)** | &nbsp;&nbsp;**Common Stocks (continued)** | &nbsp;&nbsp;**Common Stocks (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Shares** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Intelsat Jackson Series B, CVR<sup>(e),(f),(g)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;612 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Shaw Communications, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;24667 | &nbsp;&nbsp;&nbsp;&nbsp;673178 |
| &nbsp;&nbsp;TEGNA, Inc.<sup>(h),(i)</sup> | &nbsp;&nbsp;202425 | &nbsp;&nbsp;3995870 |
| &nbsp;&nbsp;Total |  | &nbsp;&nbsp;4669048 |
| &nbsp;&nbsp;**Total Communication Services** | &nbsp;&nbsp;**Total Communication Services** | &nbsp;&nbsp;**9236126** |
| &nbsp;&nbsp;**Consumer Discretionary 1.4%** | &nbsp;&nbsp;**Consumer Discretionary 1.4%** | &nbsp;&nbsp;**Consumer Discretionary 1.4%** |
| &nbsp;&nbsp;**Automobiles 0.0%** | &nbsp;&nbsp;**Automobiles 0.0%** | &nbsp;&nbsp;**Automobiles 0.0%** |
| &nbsp;&nbsp;General Motors Co. | &nbsp;&nbsp;&nbsp;&nbsp;2667 | &nbsp;&nbsp;&nbsp;&nbsp;108174 |
| &nbsp;&nbsp;**Diversified Consumer Services 0.7%** | &nbsp;&nbsp;**Diversified Consumer Services 0.7%** | &nbsp;&nbsp;**Diversified Consumer Services 0.7%** |
| &nbsp;&nbsp;Houghton Mifflin Harcourt Co.<sup>(e),(f),(g)</sup> | &nbsp;&nbsp;180721 | &nbsp;&nbsp;3795141 |
| &nbsp;&nbsp;**Household Durables 0.4%** | &nbsp;&nbsp;**Household Durables 0.4%** | &nbsp;&nbsp;**Household Durables 0.4%** |
| &nbsp;&nbsp;iRobot Corp.<sup>(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;37537 | &nbsp;&nbsp;1955302 |
| &nbsp;&nbsp;**Internet & Direct Marketing Retail 0.3%** | &nbsp;&nbsp;**Internet & Direct Marketing Retail 0.3%** | &nbsp;&nbsp;**Internet & Direct Marketing Retail 0.3%** |
| &nbsp;&nbsp;Poshmark, Inc., Class A<sup>(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;72120 | &nbsp;&nbsp;1285900 |
| &nbsp;&nbsp;**Total Consumer Discretionary** | &nbsp;&nbsp;**Total Consumer Discretionary** | &nbsp;&nbsp;**7144517** |
| &nbsp;&nbsp;**Consumer Staples —%** | &nbsp;&nbsp;**Consumer Staples —%** | &nbsp;&nbsp;**Consumer Staples —%** |
| &nbsp;&nbsp;**Food & Staples Retailing —%** | &nbsp;&nbsp;**Food & Staples Retailing —%** | &nbsp;&nbsp;**Food & Staples Retailing —%** |
| &nbsp;&nbsp;Fresh Market Escrow<sup>(e),(f),(g)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;90477 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0 |
| &nbsp;&nbsp;**Total Consumer Staples** | &nbsp;&nbsp;**Total Consumer Staples** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**0** |
| &nbsp;&nbsp;**Energy 0.6%** | &nbsp;&nbsp;**Energy 0.6%** | &nbsp;&nbsp;**Energy 0.6%** |
| &nbsp;&nbsp;**Oil, Gas & Consumable Fuels 0.6%** | &nbsp;&nbsp;**Oil, Gas & Consumable Fuels 0.6%** | &nbsp;&nbsp;**Oil, Gas & Consumable Fuels 0.6%** |
| &nbsp;&nbsp;Archaea Energy, Inc.<sup>(f)</sup> | &nbsp;&nbsp;119862 | &nbsp;&nbsp;3109220 |
| &nbsp;&nbsp;**Total Energy** | &nbsp;&nbsp;**Total Energy** | &nbsp;&nbsp;**3109220** |
| &nbsp;&nbsp;**Financials 1.2%** | &nbsp;&nbsp;**Financials 1.2%** | &nbsp;&nbsp;**Financials 1.2%** |
| &nbsp;&nbsp;**Banks 0.7%** | &nbsp;&nbsp;**Banks 0.7%** | &nbsp;&nbsp;**Banks 0.7%** |
| &nbsp;&nbsp;First Horizon Corp. | &nbsp;&nbsp;150591 | &nbsp;&nbsp;3742186 |
| &nbsp;&nbsp;**Capital Markets 0.3%** | &nbsp;&nbsp;**Capital Markets 0.3%** | &nbsp;&nbsp;**Capital Markets 0.3%** |
| &nbsp;&nbsp;Cowen, Inc., Class A | &nbsp;&nbsp;&nbsp;&nbsp;39576 | &nbsp;&nbsp;1530008 |
| &nbsp;&nbsp;**Diversified Financial Services 0.0%** | &nbsp;&nbsp;**Diversified Financial Services 0.0%** | &nbsp;&nbsp;**Diversified Financial Services 0.0%** |
| &nbsp;&nbsp;Intelsat Emergence SA<sup>(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;5853 | &nbsp;&nbsp;&nbsp;&nbsp;145594 |
| &nbsp;&nbsp;**Thrifts & Mortgage Finance 0.2%** | &nbsp;&nbsp;**Thrifts & Mortgage Finance 0.2%** | &nbsp;&nbsp;**Thrifts & Mortgage Finance 0.2%** |
| &nbsp;&nbsp;Home Capital Group, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;23301 | &nbsp;&nbsp;&nbsp;&nbsp;739659 |
| &nbsp;&nbsp;**Total Financials** | &nbsp;&nbsp;**Total Financials** | &nbsp;&nbsp;**6157447** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks (continued)** | &nbsp;&nbsp;**Common Stocks (continued)** | &nbsp;&nbsp;**Common Stocks (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Shares** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**Health Care 2.7%** | &nbsp;&nbsp;**Health Care 2.7%** | &nbsp;&nbsp;**Health Care 2.7%** |
| &nbsp;&nbsp;**Biotechnology 0.6%** | &nbsp;&nbsp;**Biotechnology 0.6%** | &nbsp;&nbsp;**Biotechnology 0.6%** |
| &nbsp;&nbsp;AVEO Pharmaceuticals, Inc.<sup>(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;39205 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;586115 |
| &nbsp;&nbsp;Imago Biosciences, Inc.<sup>(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;10269 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;366501 |
| &nbsp;&nbsp;Myovant Sciences Ltd.<sup>(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;55025 | &nbsp;&nbsp;&nbsp;&nbsp;1477971 |
| &nbsp;&nbsp;Swedish Orphan Biovitrum AB<sup>(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;35768 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;773811 |
| &nbsp;&nbsp;Total |  | &nbsp;&nbsp;&nbsp;&nbsp;3204398 |
| &nbsp;&nbsp;**Health Care Equipment & Supplies 0.4%** | &nbsp;&nbsp;**Health Care Equipment & Supplies 0.4%** | &nbsp;&nbsp;**Health Care Equipment & Supplies 0.4%** |
| &nbsp;&nbsp;ABIOMED, Inc.<sup>(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;5822 | &nbsp;&nbsp;&nbsp;&nbsp;2199493 |
| &nbsp;&nbsp;**Health Care Providers & Services 1.7%** | &nbsp;&nbsp;**Health Care Providers & Services 1.7%** | &nbsp;&nbsp;**Health Care Providers & Services 1.7%** |
| &nbsp;&nbsp;1Life Healthcare, Inc.<sup>(f),(h),(i)</sup> | &nbsp;&nbsp;157776 | &nbsp;&nbsp;&nbsp;&nbsp;2680614 |
| &nbsp;&nbsp;LHC Group, Inc.<sup>(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;16971 | &nbsp;&nbsp;&nbsp;&nbsp;2773231 |
| &nbsp;&nbsp;Mediclinic International PLC | &nbsp;&nbsp;172965 | &nbsp;&nbsp;&nbsp;&nbsp;1031416 |
| &nbsp;&nbsp;Signify Health, Inc., Class A<sup>(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;68103 | &nbsp;&nbsp;&nbsp;&nbsp;1949108 |
| &nbsp;&nbsp;Total |  | &nbsp;&nbsp;&nbsp;&nbsp;8434369 |
| &nbsp;&nbsp;**Total Health Care** | &nbsp;&nbsp;**Total Health Care** | &nbsp;&nbsp;**13838260** |
| &nbsp;&nbsp;**Industrials 2.4%** | &nbsp;&nbsp;**Industrials 2.4%** | &nbsp;&nbsp;**Industrials 2.4%** |
| &nbsp;&nbsp;**Aerospace & Defense 0.4%** | &nbsp;&nbsp;**Aerospace & Defense 0.4%** | &nbsp;&nbsp;**Aerospace & Defense 0.4%** |
| &nbsp;&nbsp;Aerojet Rocketdyne Holdings, Inc.<sup>(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;38786 | &nbsp;&nbsp;&nbsp;&nbsp;2016872 |
| &nbsp;&nbsp;Boeing Co. (The)<sup>(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1186 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;212152 |
| &nbsp;&nbsp;Total |  | &nbsp;&nbsp;&nbsp;&nbsp;2229024 |
| &nbsp;&nbsp;**Air Freight & Logistics 0.5%** | &nbsp;&nbsp;**Air Freight & Logistics 0.5%** | &nbsp;&nbsp;**Air Freight & Logistics 0.5%** |
| &nbsp;&nbsp;Atlas Air Worldwide Holdings, Inc.<sup>(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;27701 | &nbsp;&nbsp;&nbsp;&nbsp;2791430 |
| &nbsp;&nbsp;**Airlines 0.0%** | &nbsp;&nbsp;**Airlines 0.0%** | &nbsp;&nbsp;**Airlines 0.0%** |
| &nbsp;&nbsp;Delta Air Lines, Inc.<sup>(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2848 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100734 |
| &nbsp;&nbsp;**Commercial Services & Supplies 0.4%** | &nbsp;&nbsp;**Commercial Services & Supplies 0.4%** | &nbsp;&nbsp;**Commercial Services & Supplies 0.4%** |
| &nbsp;&nbsp;Biffa PLC | &nbsp;&nbsp;190052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;934565 |
| &nbsp;&nbsp;Caverion OYJ | &nbsp;&nbsp;&nbsp;&nbsp;61430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;444957 |
| &nbsp;&nbsp;HomeServe PLC | &nbsp;&nbsp;&nbsp;&nbsp;46010 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;658818 |
| &nbsp;&nbsp;Total |  | &nbsp;&nbsp;&nbsp;&nbsp;2038340 |
| &nbsp;&nbsp;**Electrical Equipment 0.3%** | &nbsp;&nbsp;**Electrical Equipment 0.3%** | &nbsp;&nbsp;**Electrical Equipment 0.3%** |
| &nbsp;&nbsp;Siemens Gamesa Renewable Energy SA<sup>(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;68193 | &nbsp;&nbsp;&nbsp;&nbsp;1285002 |
| &nbsp;&nbsp;Somfy SA | &nbsp;&nbsp;&nbsp;&nbsp;3074 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;458725 |
| &nbsp;&nbsp;Total |  | &nbsp;&nbsp;&nbsp;&nbsp;1743727 |
| &nbsp;&nbsp;**Machinery 0.3%** | &nbsp;&nbsp;**Machinery 0.3%** | &nbsp;&nbsp;**Machinery 0.3%** |
| &nbsp;&nbsp;Altra Industrial Motion Corp.<sup>(h),(i)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;24638 | &nbsp;&nbsp;&nbsp;&nbsp;1444279 |

---

Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022<br> 7

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks (continued)** | &nbsp;&nbsp;**Common Stocks (continued)** | &nbsp;&nbsp;**Common Stocks (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Shares** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**Transportation Infrastructure 0.5%** | &nbsp;&nbsp;**Transportation Infrastructure 0.5%** | &nbsp;&nbsp;**Transportation Infrastructure 0.5%** |
| &nbsp;&nbsp;Atlantia SpA | &nbsp;&nbsp;&nbsp;&nbsp;38836 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;927660 |
| &nbsp;&nbsp;Atlas Corp.<sup>(h),(i)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;96558 | &nbsp;&nbsp;&nbsp;&nbsp;1484096 |
| &nbsp;&nbsp;Total |  | &nbsp;&nbsp;&nbsp;&nbsp;2411756 |
| &nbsp;&nbsp;**Total Industrials** | &nbsp;&nbsp;**Total Industrials** | &nbsp;&nbsp;**12759290** |
| &nbsp;&nbsp;**Information Technology 6.6%** | &nbsp;&nbsp;**Information Technology 6.6%** | &nbsp;&nbsp;**Information Technology 6.6%** |
| &nbsp;&nbsp;**Communications Equipment 0.6%** | &nbsp;&nbsp;**Communications Equipment 0.6%** | &nbsp;&nbsp;**Communications Equipment 0.6%** |
| &nbsp;&nbsp;Sierra Wireless, Inc.<sup>(f)</sup> | &nbsp;&nbsp;115123 | &nbsp;&nbsp;&nbsp;&nbsp;3376558 |
| &nbsp;&nbsp;**Electronic Equipment, Instruments & Components 0.3%** | &nbsp;&nbsp;**Electronic Equipment, Instruments & Components 0.3%** | &nbsp;&nbsp;**Electronic Equipment, Instruments & Components 0.3%** |
| &nbsp;&nbsp;Rogers Corp.<sup>(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;12336 | &nbsp;&nbsp;&nbsp;&nbsp;1345117 |
| &nbsp;&nbsp;**IT Services 1.1%** | &nbsp;&nbsp;**IT Services 1.1%** | &nbsp;&nbsp;**IT Services 1.1%** |
| &nbsp;&nbsp;Evo Payments, Inc., Class A<sup>(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;79433 | &nbsp;&nbsp;&nbsp;&nbsp;2677686 |
| &nbsp;&nbsp;Switch, Inc., Class A | &nbsp;&nbsp;&nbsp;&nbsp;83160 | &nbsp;&nbsp;&nbsp;&nbsp;2848230 |
| &nbsp;&nbsp;Total |  | &nbsp;&nbsp;&nbsp;&nbsp;5525916 |
| &nbsp;&nbsp;**Semiconductors & Semiconductor Equipment 0.3%** | &nbsp;&nbsp;**Semiconductors & Semiconductor Equipment 0.3%** | &nbsp;&nbsp;**Semiconductors & Semiconductor Equipment 0.3%** |
| &nbsp;&nbsp;MagnaChip Semiconductor Corp.<sup>(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;40326 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;408099 |
| &nbsp;&nbsp;Silicon Motion Technology Corp., ADR | &nbsp;&nbsp;&nbsp;&nbsp;21767 | &nbsp;&nbsp;&nbsp;&nbsp;1373498 |
| &nbsp;&nbsp;Total |  | &nbsp;&nbsp;&nbsp;&nbsp;1781597 |
| &nbsp;&nbsp;**Software 4.3%** | &nbsp;&nbsp;**Software 4.3%** | &nbsp;&nbsp;**Software 4.3%** |
| &nbsp;&nbsp;Avalara, Inc.<sup>(e),(f),(g)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;36601 | &nbsp;&nbsp;&nbsp;&nbsp;3422194 |
| &nbsp;&nbsp;AVEVA Group PLC | &nbsp;&nbsp;&nbsp;&nbsp;34125 | &nbsp;&nbsp;&nbsp;&nbsp;1324259 |
| &nbsp;&nbsp;Black Knight, Inc.<sup>(f),(h),(i)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;6199 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;384276 |
| &nbsp;&nbsp;BTRS Holdings, Inc.<sup>(f)</sup> | &nbsp;&nbsp;245860 | &nbsp;&nbsp;&nbsp;&nbsp;2328294 |
| &nbsp;&nbsp;ForgeRock, Inc., Class A<sup>(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;81595 | &nbsp;&nbsp;&nbsp;&nbsp;1774691 |
| &nbsp;&nbsp;KnowBe4, Inc., Class A<sup>(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;62670 | &nbsp;&nbsp;&nbsp;&nbsp;1547322 |
| &nbsp;&nbsp;Micro Focus International PLC | &nbsp;&nbsp;141582 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;896369 |
| &nbsp;&nbsp;Momentive Global, Inc.<sup>(f)</sup> | &nbsp;&nbsp;143016 | &nbsp;&nbsp;&nbsp;&nbsp;1134117 |
| &nbsp;&nbsp;UserTesting, Inc.<sup>(f)</sup> | &nbsp;&nbsp;195496 | &nbsp;&nbsp;&nbsp;&nbsp;1450580 |
| &nbsp;&nbsp;VMware, Inc., Class A<sup>(f),(h),(i)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;27517 | &nbsp;&nbsp;&nbsp;&nbsp;3343040 |
| &nbsp;&nbsp;Zendesk, Inc.<sup>(e),(f),(g)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;59288 | &nbsp;&nbsp;&nbsp;&nbsp;4594820 |
| &nbsp;&nbsp;Total |  | &nbsp;&nbsp;22199962 |
| &nbsp;&nbsp;**Total Information Technology** | &nbsp;&nbsp;**Total Information Technology** | &nbsp;&nbsp;**34229150** |
| &nbsp;&nbsp;**Materials 0.5%** | &nbsp;&nbsp;**Materials 0.5%** | &nbsp;&nbsp;**Materials 0.5%** |
| &nbsp;&nbsp;**Construction Materials 0.2%** | &nbsp;&nbsp;**Construction Materials 0.2%** | &nbsp;&nbsp;**Construction Materials 0.2%** |
| &nbsp;&nbsp;Forterra, Inc.<sup>(e),(f),(g)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;55377 | &nbsp;&nbsp;&nbsp;&nbsp;1329048 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks (continued)** | &nbsp;&nbsp;**Common Stocks (continued)** | &nbsp;&nbsp;**Common Stocks (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Shares** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**Paper & Forest Products 0.3%** | &nbsp;&nbsp;**Paper & Forest Products 0.3%** | &nbsp;&nbsp;**Paper & Forest Products 0.3%** |
| &nbsp;&nbsp;Resolute Forest Products, Inc.<sup>(f)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;69098 | &nbsp;&nbsp;&nbsp;&nbsp;1457968 |
| &nbsp;&nbsp;**Total Materials** | &nbsp;&nbsp;**Total Materials** | &nbsp;&nbsp;&nbsp;&nbsp;**2787016** |
| &nbsp;&nbsp;**Real Estate 0.8%** | &nbsp;&nbsp;**Real Estate 0.8%** | &nbsp;&nbsp;**Real Estate 0.8%** |
| &nbsp;&nbsp;**Equity Real Estate Investment Trusts (REITS) 0.8%** | &nbsp;&nbsp;**Equity Real Estate Investment Trusts (REITS) 0.8%** | &nbsp;&nbsp;**Equity Real Estate Investment Trusts (REITS) 0.8%** |
| &nbsp;&nbsp;STORE Capital Corp. | &nbsp;&nbsp;114398 | &nbsp;&nbsp;&nbsp;&nbsp;3649296 |
| &nbsp;&nbsp;Summit Industrial Income REIT | &nbsp;&nbsp;&nbsp;&nbsp;21777 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;365068 |
| &nbsp;&nbsp;Total |  | &nbsp;&nbsp;&nbsp;&nbsp;4014364 |
| &nbsp;&nbsp;**Total Real Estate** | &nbsp;&nbsp;**Total Real Estate** | &nbsp;&nbsp;&nbsp;&nbsp;**4014364** |
| &nbsp;&nbsp;**Utilities 1.6%** | &nbsp;&nbsp;**Utilities 1.6%** | &nbsp;&nbsp;**Utilities 1.6%** |
| &nbsp;&nbsp;**Electric Utilities 1.0%** | &nbsp;&nbsp;**Electric Utilities 1.0%** | &nbsp;&nbsp;**Electric Utilities 1.0%** |
| &nbsp;&nbsp;Electricite de France SA | &nbsp;&nbsp;138115 | &nbsp;&nbsp;&nbsp;&nbsp;1728586 |
| &nbsp;&nbsp;PNM Resources, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;77993 | &nbsp;&nbsp;&nbsp;&nbsp;3821657 |
| &nbsp;&nbsp;Total |  | &nbsp;&nbsp;&nbsp;&nbsp;5550243 |
| &nbsp;&nbsp;**Gas Utilities 0.6%** | &nbsp;&nbsp;**Gas Utilities 0.6%** | &nbsp;&nbsp;**Gas Utilities 0.6%** |
| &nbsp;&nbsp;South Jersey Industries, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;88488 | &nbsp;&nbsp;&nbsp;&nbsp;3070534 |
| &nbsp;&nbsp;**Total Utilities** | &nbsp;&nbsp;**Total Utilities** | &nbsp;&nbsp;&nbsp;&nbsp;**8620777** |
| &nbsp;&nbsp;Total Common Stocks<br> (Cost $106,305,560) | &nbsp;&nbsp;Total Common Stocks<br> (Cost $106,305,560) | &nbsp;&nbsp;**101896167** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Convertible Bonds 0.4%** | &nbsp;&nbsp;**Convertible Bonds 0.4%** | &nbsp;&nbsp;**Convertible Bonds 0.4%** | &nbsp;&nbsp;**Convertible Bonds 0.4%** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**Airlines 0.2%** | &nbsp;&nbsp;**Airlines 0.2%** | &nbsp;&nbsp;**Airlines 0.2%** | &nbsp;&nbsp;**Airlines 0.2%** |
| &nbsp;&nbsp;Air Canada | &nbsp;&nbsp;Air Canada | &nbsp;&nbsp;Air Canada | &nbsp;&nbsp;Air Canada |
| &nbsp;&nbsp;07/01/2025 | &nbsp;&nbsp;4.000% | 110000 | &nbsp;&nbsp;132320 |
| &nbsp;&nbsp;American Airlines Group, Inc. | &nbsp;&nbsp;American Airlines Group, Inc. | &nbsp;&nbsp;American Airlines Group, Inc. | &nbsp;&nbsp;American Airlines Group, Inc. |
| &nbsp;&nbsp;07/01/2025 | &nbsp;&nbsp;6.500% | 375000 | &nbsp;&nbsp;423938 |
| &nbsp;&nbsp;Southwest Airlines Co. | &nbsp;&nbsp;Southwest Airlines Co. | &nbsp;&nbsp;Southwest Airlines Co. | &nbsp;&nbsp;Southwest Airlines Co. |
| &nbsp;&nbsp;05/01/2025 | &nbsp;&nbsp;1.250% | 205000 | &nbsp;&nbsp;266090 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**822348** |
| &nbsp;&nbsp;**Cable and Satellite 0.1%** | &nbsp;&nbsp;**Cable and Satellite 0.1%** | &nbsp;&nbsp;**Cable and Satellite 0.1%** | &nbsp;&nbsp;**Cable and Satellite 0.1%** |
| &nbsp;&nbsp;Liberty Broadband Corp.<sup>(a)</sup> | &nbsp;&nbsp;Liberty Broadband Corp.<sup>(a)</sup> | &nbsp;&nbsp;Liberty Broadband Corp.<sup>(a)</sup> | &nbsp;&nbsp;Liberty Broadband Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;09/30/2050 | &nbsp;&nbsp;1.250% | 270000 | &nbsp;&nbsp;257512 |
| &nbsp;&nbsp;09/30/2050 | &nbsp;&nbsp;2.750% | 180000 | &nbsp;&nbsp;174179 |
| &nbsp;&nbsp;Liberty Media Corp.<sup>(a)</sup> | &nbsp;&nbsp;Liberty Media Corp.<sup>(a)</sup> | &nbsp;&nbsp;Liberty Media Corp.<sup>(a)</sup> | &nbsp;&nbsp;Liberty Media Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;12/01/2050 | &nbsp;&nbsp;0.500% | 105000 | &nbsp;&nbsp;107237 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**538928** |
| &nbsp;&nbsp;**Consumer Cyclical Services 0.0%** | &nbsp;&nbsp;**Consumer Cyclical Services 0.0%** | &nbsp;&nbsp;**Consumer Cyclical Services 0.0%** | &nbsp;&nbsp;**Consumer Cyclical Services 0.0%** |
| &nbsp;&nbsp;Uber Technologies, Inc.<sup>(j)</sup> | &nbsp;&nbsp;Uber Technologies, Inc.<sup>(j)</sup> | &nbsp;&nbsp;Uber Technologies, Inc.<sup>(j)</sup> | &nbsp;&nbsp;Uber Technologies, Inc.<sup>(j)</sup> |
| &nbsp;&nbsp;12/15/2025 | &nbsp;&nbsp;0.000% | 225000 | &nbsp;&nbsp;190791 |

---

8 Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Convertible Bonds (continued)** | &nbsp;&nbsp;**Convertible Bonds (continued)** | &nbsp;&nbsp;**Convertible Bonds (continued)** | &nbsp;&nbsp;**Convertible Bonds (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**Leisure 0.1%** | &nbsp;&nbsp;**Leisure 0.1%** | &nbsp;&nbsp;**Leisure 0.1%** | &nbsp;&nbsp;**Leisure 0.1%** |
| &nbsp;&nbsp;Carnival Corp.<sup>(a)</sup> | &nbsp;&nbsp;Carnival Corp.<sup>(a)</sup> | &nbsp;&nbsp;Carnival Corp.<sup>(a)</sup> | &nbsp;&nbsp;Carnival Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;12/01/2027 | &nbsp;&nbsp;5.750% | 330000 | &nbsp;&nbsp;&nbsp;&nbsp;331650 |
| &nbsp;&nbsp;**Retailers 0.0%** | &nbsp;&nbsp;**Retailers 0.0%** | &nbsp;&nbsp;**Retailers 0.0%** | &nbsp;&nbsp;**Retailers 0.0%** |
| &nbsp;&nbsp;Burlington Stores, Inc. | &nbsp;&nbsp;Burlington Stores, Inc. | &nbsp;&nbsp;Burlington Stores, Inc. | &nbsp;&nbsp;Burlington Stores, Inc. |
| &nbsp;&nbsp;04/15/2025 | &nbsp;&nbsp;2.250% | 225000 | &nbsp;&nbsp;&nbsp;&nbsp;255656 |
| &nbsp;&nbsp;Total Convertible Bonds<br> (Cost $2,184,811) | &nbsp;&nbsp;Total Convertible Bonds<br> (Cost $2,184,811) | &nbsp;&nbsp;Total Convertible Bonds<br> (Cost $2,184,811) | &nbsp;&nbsp;**2139373** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Convertible Preferred Stocks 0.5%** | &nbsp;&nbsp;**Convertible Preferred Stocks 0.5%** | &nbsp;&nbsp;**Convertible Preferred Stocks 0.5%** | &nbsp;&nbsp;**Convertible Preferred Stocks 0.5%** |
| &nbsp;&nbsp;**Issuer** |  | &nbsp;&nbsp;**Shares** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**Communication Services 0.1%** | &nbsp;&nbsp;**Communication Services 0.1%** | &nbsp;&nbsp;**Communication Services 0.1%** | &nbsp;&nbsp;**Communication Services 0.1%** |
| &nbsp;&nbsp;**Diversified Telecommunication Services 0.1%** | &nbsp;&nbsp;**Diversified Telecommunication Services 0.1%** | &nbsp;&nbsp;**Diversified Telecommunication Services 0.1%** | &nbsp;&nbsp;**Diversified Telecommunication Services 0.1%** |
| &nbsp;&nbsp;2020 Cash Mandatory Exchangeable Trust<sup>(a)</sup> | &nbsp;&nbsp;5.250% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;320 | &nbsp;&nbsp;&nbsp;&nbsp;393094 |
| &nbsp;&nbsp;**Media 0.0%** | &nbsp;&nbsp;**Media 0.0%** | &nbsp;&nbsp;**Media 0.0%** | &nbsp;&nbsp;**Media 0.0%** |
| &nbsp;&nbsp;ViacomCBS, Inc. | &nbsp;&nbsp;5.750% | &nbsp;&nbsp;&nbsp;&nbsp;2100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64692 |
| &nbsp;&nbsp;**Total Communication Services** | &nbsp;&nbsp;**Total Communication Services** | &nbsp;&nbsp;**Total Communication Services** | &nbsp;&nbsp;&nbsp;&nbsp;**457786** |
| &nbsp;&nbsp;**Health Care 0.1%** | &nbsp;&nbsp;**Health Care 0.1%** | &nbsp;&nbsp;**Health Care 0.1%** | &nbsp;&nbsp;**Health Care 0.1%** |
| &nbsp;&nbsp;**Health Care Equipment & Supplies 0.0%** | &nbsp;&nbsp;**Health Care Equipment & Supplies 0.0%** | &nbsp;&nbsp;**Health Care Equipment & Supplies 0.0%** | &nbsp;&nbsp;**Health Care Equipment & Supplies 0.0%** |
| &nbsp;&nbsp;Becton Dickinson and Co. | &nbsp;&nbsp;6.000% | &nbsp;&nbsp;&nbsp;&nbsp;2200 | &nbsp;&nbsp;&nbsp;&nbsp;109274 |
| &nbsp;&nbsp;**Life Sciences Tools & Services 0.1%** | &nbsp;&nbsp;**Life Sciences Tools & Services 0.1%** | &nbsp;&nbsp;**Life Sciences Tools & Services 0.1%** | &nbsp;&nbsp;**Life Sciences Tools & Services 0.1%** |
| &nbsp;&nbsp;Danaher Corp. | &nbsp;&nbsp;5.000% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;205 | &nbsp;&nbsp;&nbsp;&nbsp;287971 |
| &nbsp;&nbsp;**Total Health Care** | &nbsp;&nbsp;**Total Health Care** | &nbsp;&nbsp;**Total Health Care** | &nbsp;&nbsp;&nbsp;&nbsp;**397245** |
| &nbsp;&nbsp;**Utilities 0.3%** | &nbsp;&nbsp;**Utilities 0.3%** | &nbsp;&nbsp;**Utilities 0.3%** | &nbsp;&nbsp;**Utilities 0.3%** |
| &nbsp;&nbsp;**Electric Utilities 0.2%** | &nbsp;&nbsp;**Electric Utilities 0.2%** | &nbsp;&nbsp;**Electric Utilities 0.2%** | &nbsp;&nbsp;**Electric Utilities 0.2%** |
| &nbsp;&nbsp;American Electric Power Co., Inc. | &nbsp;&nbsp;6.125% | &nbsp;&nbsp;&nbsp;&nbsp;6600 | &nbsp;&nbsp;&nbsp;&nbsp;346896 |
| &nbsp;&nbsp;NextEra Energy, Inc. | &nbsp;&nbsp;6.219% | &nbsp;&nbsp;&nbsp;&nbsp;3800 | &nbsp;&nbsp;&nbsp;&nbsp;191748 |
| &nbsp;&nbsp;NextEra Energy, Inc. | &nbsp;&nbsp;6.926% | &nbsp;&nbsp;12750 | &nbsp;&nbsp;&nbsp;&nbsp;628447 |
| &nbsp;&nbsp;Total |  |  | &nbsp;&nbsp;1167091 |
| &nbsp;&nbsp;**Independent Power and Renewable Electricity Producers 0.1%** | &nbsp;&nbsp;**Independent Power and Renewable Electricity Producers 0.1%** | &nbsp;&nbsp;**Independent Power and Renewable Electricity Producers 0.1%** | &nbsp;&nbsp;**Independent Power and Renewable Electricity Producers 0.1%** |
| &nbsp;&nbsp;AES Corp. (The) | &nbsp;&nbsp;6.375% | &nbsp;&nbsp;&nbsp;&nbsp;3400 | &nbsp;&nbsp;&nbsp;&nbsp;348432 |
| &nbsp;&nbsp;**Total Utilities** | &nbsp;&nbsp;**Total Utilities** | &nbsp;&nbsp;**Total Utilities** | &nbsp;&nbsp;**1515523** |
| &nbsp;&nbsp;Total Convertible Preferred Stocks<br> (Cost $2,360,293) | &nbsp;&nbsp;Total Convertible Preferred Stocks<br> (Cost $2,360,293) | &nbsp;&nbsp;Total Convertible Preferred Stocks<br> (Cost $2,360,293) | &nbsp;&nbsp;**2370554** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> 16.3%** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> 16.3%** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> 16.3%** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> 16.3%** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> 16.3%** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** |  | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**ABS Other 0.0%** | &nbsp;&nbsp;**ABS Other 0.0%** | &nbsp;&nbsp;**ABS Other 0.0%** | &nbsp;&nbsp;**ABS Other 0.0%** | &nbsp;&nbsp;**ABS Other 0.0%** |
| &nbsp;&nbsp;SBA Tower Trust<sup>(a)</sup> | &nbsp;&nbsp;SBA Tower Trust<sup>(a)</sup> | &nbsp;&nbsp;SBA Tower Trust<sup>(a)</sup> | &nbsp;&nbsp;SBA Tower Trust<sup>(a)</sup> | &nbsp;&nbsp;SBA Tower Trust<sup>(a)</sup> |
| &nbsp;&nbsp;01/15/2028 | &nbsp;&nbsp;6.599% |  | 240000 | &nbsp;&nbsp;&nbsp;&nbsp;241066 |
| &nbsp;&nbsp;**Aerospace & Defense 0.3%** | &nbsp;&nbsp;**Aerospace & Defense 0.3%** | &nbsp;&nbsp;**Aerospace & Defense 0.3%** | &nbsp;&nbsp;**Aerospace & Defense 0.3%** | &nbsp;&nbsp;**Aerospace & Defense 0.3%** |
| &nbsp;&nbsp;Airbus SE<sup>(a)</sup> | &nbsp;&nbsp;Airbus SE<sup>(a)</sup> | &nbsp;&nbsp;Airbus SE<sup>(a)</sup> | &nbsp;&nbsp;Airbus SE<sup>(a)</sup> | &nbsp;&nbsp;Airbus SE<sup>(a)</sup> |
| &nbsp;&nbsp;06/09/2030 | &nbsp;&nbsp;1.625% | &nbsp;&nbsp;EUR | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94445 |
| &nbsp;&nbsp;Boeing Co. (The) | &nbsp;&nbsp;Boeing Co. (The) | &nbsp;&nbsp;Boeing Co. (The) | &nbsp;&nbsp;Boeing Co. (The) | &nbsp;&nbsp;Boeing Co. (The) |
| &nbsp;&nbsp;02/04/2024 | &nbsp;&nbsp;1.433% |  | 300000 | &nbsp;&nbsp;&nbsp;&nbsp;286235 |
| &nbsp;&nbsp;05/01/2027 | &nbsp;&nbsp;5.040% |  | 300000 | &nbsp;&nbsp;&nbsp;&nbsp;297251 |
| &nbsp;&nbsp;05/01/2030 | &nbsp;&nbsp;5.150% |  | 550000 | &nbsp;&nbsp;&nbsp;&nbsp;536585 |
| &nbsp;&nbsp;TransDigm, Inc. | &nbsp;&nbsp;TransDigm, Inc. | &nbsp;&nbsp;TransDigm, Inc. | &nbsp;&nbsp;TransDigm, Inc. | &nbsp;&nbsp;TransDigm, Inc. |
| &nbsp;&nbsp;01/15/2029 | &nbsp;&nbsp;4.625% |  | 125000 | &nbsp;&nbsp;&nbsp;&nbsp;109968 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**1324484** |
| &nbsp;&nbsp;**Airlines 0.4%** | &nbsp;&nbsp;**Airlines 0.4%** | &nbsp;&nbsp;**Airlines 0.4%** | &nbsp;&nbsp;**Airlines 0.4%** | &nbsp;&nbsp;**Airlines 0.4%** |
| &nbsp;&nbsp;American Airlines Pass-Through Trust | &nbsp;&nbsp;American Airlines Pass-Through Trust | &nbsp;&nbsp;American Airlines Pass-Through Trust | &nbsp;&nbsp;American Airlines Pass-Through Trust | &nbsp;&nbsp;American Airlines Pass-Through Trust |
| &nbsp;&nbsp;Series 2016-2 Class AA | &nbsp;&nbsp;Series 2016-2 Class AA | &nbsp;&nbsp;Series 2016-2 Class AA | &nbsp;&nbsp;Series 2016-2 Class AA | &nbsp;&nbsp;Series 2016-2 Class AA |
| &nbsp;&nbsp;06/15/2028 | &nbsp;&nbsp;3.200% |  | 185500 | &nbsp;&nbsp;&nbsp;&nbsp;161800 |
| &nbsp;&nbsp;American Airlines, Inc./AAdvantage Loyalty IP Ltd.<sup>(a)</sup> | &nbsp;&nbsp;American Airlines, Inc./AAdvantage Loyalty IP Ltd.<sup>(a)</sup> | &nbsp;&nbsp;American Airlines, Inc./AAdvantage Loyalty IP Ltd.<sup>(a)</sup> | &nbsp;&nbsp;American Airlines, Inc./AAdvantage Loyalty IP Ltd.<sup>(a)</sup> | &nbsp;&nbsp;American Airlines, Inc./AAdvantage Loyalty IP Ltd.<sup>(a)</sup> |
| &nbsp;&nbsp;04/20/2026 | &nbsp;&nbsp;5.500% |  | 215000 | &nbsp;&nbsp;&nbsp;&nbsp;208968 |
| &nbsp;&nbsp;04/20/2029 | &nbsp;&nbsp;5.750% |  | 270000 | &nbsp;&nbsp;&nbsp;&nbsp;252125 |
| &nbsp;&nbsp;Delta Air Lines Pass-Through Trust | &nbsp;&nbsp;Delta Air Lines Pass-Through Trust | &nbsp;&nbsp;Delta Air Lines Pass-Through Trust | &nbsp;&nbsp;Delta Air Lines Pass-Through Trust | &nbsp;&nbsp;Delta Air Lines Pass-Through Trust |
| &nbsp;&nbsp;06/10/2028 | &nbsp;&nbsp;2.500% |  | &nbsp;&nbsp;98314 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;83383 |
| &nbsp;&nbsp;Delta Air Lines, Inc. | &nbsp;&nbsp;Delta Air Lines, Inc. | &nbsp;&nbsp;Delta Air Lines, Inc. | &nbsp;&nbsp;Delta Air Lines, Inc. | &nbsp;&nbsp;Delta Air Lines, Inc. |
| &nbsp;&nbsp;10/28/2024 | &nbsp;&nbsp;2.900% |  | 105000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;99515 |
| &nbsp;&nbsp;01/15/2026 | &nbsp;&nbsp;7.375% |  | &nbsp;&nbsp;80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;82526 |
| &nbsp;&nbsp;Delta Air Lines, Inc./SkyMiles IP Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Delta Air Lines, Inc./SkyMiles IP Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Delta Air Lines, Inc./SkyMiles IP Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Delta Air Lines, Inc./SkyMiles IP Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Delta Air Lines, Inc./SkyMiles IP Ltd.<sup>(a)</sup> |
| &nbsp;&nbsp;10/20/2025 | &nbsp;&nbsp;4.500% |  | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;97261 |
| &nbsp;&nbsp;10/20/2028 | &nbsp;&nbsp;4.750% |  | 734000 | &nbsp;&nbsp;&nbsp;&nbsp;695462 |
| &nbsp;&nbsp;JetBlue Pass-Through Trust | &nbsp;&nbsp;JetBlue Pass-Through Trust | &nbsp;&nbsp;JetBlue Pass-Through Trust | &nbsp;&nbsp;JetBlue Pass-Through Trust | &nbsp;&nbsp;JetBlue Pass-Through Trust |
| &nbsp;&nbsp;Series 2020-1 Class A | &nbsp;&nbsp;Series 2020-1 Class A | &nbsp;&nbsp;Series 2020-1 Class A | &nbsp;&nbsp;Series 2020-1 Class A | &nbsp;&nbsp;Series 2020-1 Class A |
| &nbsp;&nbsp;11/15/2032 | &nbsp;&nbsp;4.000% |  | 347650 | &nbsp;&nbsp;&nbsp;&nbsp;308038 |
| &nbsp;&nbsp;Singapore Airlines Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Singapore Airlines Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Singapore Airlines Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Singapore Airlines Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Singapore Airlines Ltd.<sup>(a)</sup> |
| &nbsp;&nbsp;01/19/2029 | &nbsp;&nbsp;3.375% |  | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;179108 |
| &nbsp;&nbsp;U.S. Airways Pass-Through Trust | &nbsp;&nbsp;U.S. Airways Pass-Through Trust | &nbsp;&nbsp;U.S. Airways Pass-Through Trust | &nbsp;&nbsp;U.S. Airways Pass-Through Trust | &nbsp;&nbsp;U.S. Airways Pass-Through Trust |
| &nbsp;&nbsp;04/22/2023 | &nbsp;&nbsp;6.250% |  | 128785 | &nbsp;&nbsp;&nbsp;&nbsp;127698 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**2295884** |
| &nbsp;&nbsp;**Automotive 0.3%** | &nbsp;&nbsp;**Automotive 0.3%** | &nbsp;&nbsp;**Automotive 0.3%** | &nbsp;&nbsp;**Automotive 0.3%** | &nbsp;&nbsp;**Automotive 0.3%** |
| &nbsp;&nbsp;Allison Transmission. Inc.<sup>(a)</sup> | &nbsp;&nbsp;Allison Transmission. Inc.<sup>(a)</sup> | &nbsp;&nbsp;Allison Transmission. Inc.<sup>(a)</sup> | &nbsp;&nbsp;Allison Transmission. Inc.<sup>(a)</sup> | &nbsp;&nbsp;Allison Transmission. Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;01/30/2031 | &nbsp;&nbsp;3.750% |  | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;83769 |
| &nbsp;&nbsp;BMW Finance NV<sup>(a)</sup> | &nbsp;&nbsp;BMW Finance NV<sup>(a)</sup> | &nbsp;&nbsp;BMW Finance NV<sup>(a)</sup> | &nbsp;&nbsp;BMW Finance NV<sup>(a)</sup> | &nbsp;&nbsp;BMW Finance NV<sup>(a)</sup> |
| &nbsp;&nbsp;11/14/2024 | &nbsp;&nbsp;1.000% | &nbsp;&nbsp;EUR | &nbsp;&nbsp;75000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75587 |
| &nbsp;&nbsp;Ford Motor Co. | &nbsp;&nbsp;Ford Motor Co. | &nbsp;&nbsp;Ford Motor Co. | &nbsp;&nbsp;Ford Motor Co. | &nbsp;&nbsp;Ford Motor Co. |
| &nbsp;&nbsp;02/12/2032 | &nbsp;&nbsp;3.250% |  | 135000 | &nbsp;&nbsp;&nbsp;&nbsp;106993 |

---

Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022<br> 9

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** |  | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Ford Motor Credit Co. LLC | &nbsp;&nbsp;Ford Motor Credit Co. LLC | &nbsp;&nbsp;Ford Motor Credit Co. LLC | &nbsp;&nbsp;Ford Motor Credit Co. LLC | &nbsp;&nbsp;Ford Motor Credit Co. LLC |
| &nbsp;&nbsp;06/14/2024 | &nbsp;&nbsp;2.748% | &nbsp;&nbsp;GBP | &nbsp;&nbsp;&nbsp;100000 | &nbsp;&nbsp;&nbsp;&nbsp;113782 |
| &nbsp;&nbsp;08/01/2026 | &nbsp;&nbsp;4.542% |  | &nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;188165 |
| &nbsp;&nbsp;05/28/2027 | &nbsp;&nbsp;4.950% |  | &nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;189260 |
| &nbsp;&nbsp;02/16/2028 | &nbsp;&nbsp;2.900% |  | &nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;168218 |
| &nbsp;&nbsp;06/17/2031 | &nbsp;&nbsp;3.625% |  | &nbsp;&nbsp;&nbsp;275000 | &nbsp;&nbsp;&nbsp;&nbsp;225210 |
| &nbsp;&nbsp;General Motors Financial Co., Inc. | &nbsp;&nbsp;General Motors Financial Co., Inc. | &nbsp;&nbsp;General Motors Financial Co., Inc. | &nbsp;&nbsp;General Motors Financial Co., Inc. | &nbsp;&nbsp;General Motors Financial Co., Inc. |
| &nbsp;&nbsp;10/15/2024 | &nbsp;&nbsp;1.200% |  | &nbsp;&nbsp;&nbsp;220000 | &nbsp;&nbsp;&nbsp;&nbsp;203232 |
| &nbsp;&nbsp;11/07/2024 | &nbsp;&nbsp;3.500% |  | &nbsp;&nbsp;&nbsp;250000 | &nbsp;&nbsp;&nbsp;&nbsp;241331 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**1595547** |
| &nbsp;&nbsp;**Banking 3.0%** | &nbsp;&nbsp;**Banking 3.0%** | &nbsp;&nbsp;**Banking 3.0%** | &nbsp;&nbsp;**Banking 3.0%** | &nbsp;&nbsp;**Banking 3.0%** |
| &nbsp;&nbsp;American Express Co.<sup>(l)</sup> | &nbsp;&nbsp;American Express Co.<sup>(l)</sup> | &nbsp;&nbsp;American Express Co.<sup>(l)</sup> | &nbsp;&nbsp;American Express Co.<sup>(l)</sup> | &nbsp;&nbsp;American Express Co.<sup>(l)</sup> |
| &nbsp;&nbsp;12/31/2049 | &nbsp;&nbsp;3.550% |  | &nbsp;&nbsp;&nbsp;&nbsp;85000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;67438 |
| &nbsp;&nbsp;Banco Actinver SA/Grupo GICSA SAB de CV<sup>(a)</sup> | &nbsp;&nbsp;Banco Actinver SA/Grupo GICSA SAB de CV<sup>(a)</sup> | &nbsp;&nbsp;Banco Actinver SA/Grupo GICSA SAB de CV<sup>(a)</sup> | &nbsp;&nbsp;Banco Actinver SA/Grupo GICSA SAB de CV<sup>(a)</sup> | &nbsp;&nbsp;Banco Actinver SA/Grupo GICSA SAB de CV<sup>(a)</sup> |
| &nbsp;&nbsp;12/18/2032 | &nbsp;&nbsp;9.500% | &nbsp;&nbsp;MXN | 3000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;85535 |
| &nbsp;&nbsp;Bank of America Corp.<sup>(l)</sup> | &nbsp;&nbsp;Bank of America Corp.<sup>(l)</sup> | &nbsp;&nbsp;Bank of America Corp.<sup>(l)</sup> | &nbsp;&nbsp;Bank of America Corp.<sup>(l)</sup> | &nbsp;&nbsp;Bank of America Corp.<sup>(l)</sup> |
| &nbsp;&nbsp;10/01/2025 | &nbsp;&nbsp;3.093% |  | &nbsp;&nbsp;&nbsp;345000 | &nbsp;&nbsp;&nbsp;&nbsp;329142 |
| &nbsp;&nbsp;01/20/2028 | &nbsp;&nbsp;3.824% |  | &nbsp;&nbsp;&nbsp;110000 | &nbsp;&nbsp;&nbsp;&nbsp;103501 |
| &nbsp;&nbsp;06/14/2029 | &nbsp;&nbsp;2.087% |  | &nbsp;&nbsp;&nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42149 |
| &nbsp;&nbsp;04/22/2032 | &nbsp;&nbsp;2.687% |  | &nbsp;&nbsp;&nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40565 |
| &nbsp;&nbsp;10/20/2032 | &nbsp;&nbsp;2.572% |  | &nbsp;&nbsp;&nbsp;700000 | &nbsp;&nbsp;&nbsp;&nbsp;557477 |
| &nbsp;&nbsp;12/31/2049 | &nbsp;&nbsp;4.375% |  | &nbsp;&nbsp;&nbsp;&nbsp;80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;68205 |
| &nbsp;&nbsp;BNP Paribas SA<sup>(a),(l)</sup> | &nbsp;&nbsp;BNP Paribas SA<sup>(a),(l)</sup> | &nbsp;&nbsp;BNP Paribas SA<sup>(a),(l)</sup> | &nbsp;&nbsp;BNP Paribas SA<sup>(a),(l)</sup> | &nbsp;&nbsp;BNP Paribas SA<sup>(a),(l)</sup> |
| &nbsp;&nbsp;06/09/2026 | &nbsp;&nbsp;2.219% |  | &nbsp;&nbsp;&nbsp;240000 | &nbsp;&nbsp;&nbsp;&nbsp;220369 |
| &nbsp;&nbsp;Capital One Financial Corp.<sup>(l)</sup> | &nbsp;&nbsp;Capital One Financial Corp.<sup>(l)</sup> | &nbsp;&nbsp;Capital One Financial Corp.<sup>(l)</sup> | &nbsp;&nbsp;Capital One Financial Corp.<sup>(l)</sup> | &nbsp;&nbsp;Capital One Financial Corp.<sup>(l)</sup> |
| &nbsp;&nbsp;11/02/2027 | &nbsp;&nbsp;1.878% |  | &nbsp;&nbsp;&nbsp;215000 | &nbsp;&nbsp;&nbsp;&nbsp;186557 |
| &nbsp;&nbsp;Citigroup, Inc.<sup>(l)</sup> | &nbsp;&nbsp;Citigroup, Inc.<sup>(l)</sup> | &nbsp;&nbsp;Citigroup, Inc.<sup>(l)</sup> | &nbsp;&nbsp;Citigroup, Inc.<sup>(l)</sup> | &nbsp;&nbsp;Citigroup, Inc.<sup>(l)</sup> |
| &nbsp;&nbsp;02/24/2028 | &nbsp;&nbsp;3.070% |  | &nbsp;&nbsp;&nbsp;&nbsp;80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72779 |
| &nbsp;&nbsp;11/05/2030 | &nbsp;&nbsp;2.976% |  | &nbsp;&nbsp;&nbsp;100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;85432 |
| &nbsp;&nbsp;01/29/2031 | &nbsp;&nbsp;2.666% |  | &nbsp;&nbsp;&nbsp;&nbsp;80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;66547 |
| &nbsp;&nbsp;03/31/2031 | &nbsp;&nbsp;4.412% |  | &nbsp;&nbsp;&nbsp;355000 | &nbsp;&nbsp;&nbsp;&nbsp;331203 |
| &nbsp;&nbsp;06/03/2031 | &nbsp;&nbsp;2.572% |  | &nbsp;&nbsp;&nbsp;&nbsp;95000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;77950 |
| &nbsp;&nbsp;11/03/2032 | &nbsp;&nbsp;2.520% |  | &nbsp;&nbsp;&nbsp;220000 | &nbsp;&nbsp;&nbsp;&nbsp;173602 |
| &nbsp;&nbsp;01/25/2033 | &nbsp;&nbsp;3.057% |  | &nbsp;&nbsp;&nbsp;665000 | &nbsp;&nbsp;&nbsp;&nbsp;547065 |
| &nbsp;&nbsp;Comerica, Inc.<sup>(l)</sup> | &nbsp;&nbsp;Comerica, Inc.<sup>(l)</sup> | &nbsp;&nbsp;Comerica, Inc.<sup>(l)</sup> | &nbsp;&nbsp;Comerica, Inc.<sup>(l)</sup> | &nbsp;&nbsp;Comerica, Inc.<sup>(l)</sup> |
| &nbsp;&nbsp;12/31/2049 | &nbsp;&nbsp;5.625% |  | &nbsp;&nbsp;&nbsp;&nbsp;95000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;92190 |
| &nbsp;&nbsp;Credit Suisse Group AG<sup>(a),(l)</sup> | &nbsp;&nbsp;Credit Suisse Group AG<sup>(a),(l)</sup> | &nbsp;&nbsp;Credit Suisse Group AG<sup>(a),(l)</sup> | &nbsp;&nbsp;Credit Suisse Group AG<sup>(a),(l)</sup> | &nbsp;&nbsp;Credit Suisse Group AG<sup>(a),(l)</sup> |
| &nbsp;&nbsp;02/02/2027 | &nbsp;&nbsp;1.305% |  | &nbsp;&nbsp;&nbsp;450000 | &nbsp;&nbsp;&nbsp;&nbsp;357397 |
| &nbsp;&nbsp;05/14/2032 | &nbsp;&nbsp;3.091% |  | &nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;135870 |
| &nbsp;&nbsp;08/12/2033 | &nbsp;&nbsp;6.537% |  | &nbsp;&nbsp;&nbsp;375000 | &nbsp;&nbsp;&nbsp;&nbsp;322633 |
| &nbsp;&nbsp;11/15/2033 | &nbsp;&nbsp;9.016% |  | &nbsp;&nbsp;&nbsp;600000 | &nbsp;&nbsp;&nbsp;&nbsp;604448 |
| &nbsp;&nbsp;Credit Suisse Group Funding Guernsey Ltd. | &nbsp;&nbsp;Credit Suisse Group Funding Guernsey Ltd. | &nbsp;&nbsp;Credit Suisse Group Funding Guernsey Ltd. | &nbsp;&nbsp;Credit Suisse Group Funding Guernsey Ltd. | &nbsp;&nbsp;Credit Suisse Group Funding Guernsey Ltd. |
| &nbsp;&nbsp;03/26/2025 | &nbsp;&nbsp;3.750% |  | &nbsp;&nbsp;&nbsp;135000 | &nbsp;&nbsp;&nbsp;&nbsp;119643 |
| &nbsp;&nbsp;Goldman Sachs Group Inc (The)<sup>(l)</sup> | &nbsp;&nbsp;Goldman Sachs Group Inc (The)<sup>(l)</sup> | &nbsp;&nbsp;Goldman Sachs Group Inc (The)<sup>(l)</sup> | &nbsp;&nbsp;Goldman Sachs Group Inc (The)<sup>(l)</sup> | &nbsp;&nbsp;Goldman Sachs Group Inc (The)<sup>(l)</sup> |
| &nbsp;&nbsp;01/27/2032 | &nbsp;&nbsp;1.992% |  | &nbsp;&nbsp;&nbsp;970000 | &nbsp;&nbsp;&nbsp;&nbsp;749671 |
| &nbsp;&nbsp;Goldman Sachs Group, Inc. (The)<sup>(a)</sup> | &nbsp;&nbsp;Goldman Sachs Group, Inc. (The)<sup>(a)</sup> | &nbsp;&nbsp;Goldman Sachs Group, Inc. (The)<sup>(a)</sup> | &nbsp;&nbsp;Goldman Sachs Group, Inc. (The)<sup>(a)</sup> | &nbsp;&nbsp;Goldman Sachs Group, Inc. (The)<sup>(a)</sup> |
| &nbsp;&nbsp;05/15/2024 | &nbsp;&nbsp;1.375% | &nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;186000 | &nbsp;&nbsp;&nbsp;&nbsp;189076 |
| &nbsp;&nbsp;03/27/2025 | &nbsp;&nbsp;3.375% | &nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;14000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14588 |
| &nbsp;&nbsp;11/01/2028 | &nbsp;&nbsp;2.000% | &nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;173000 | &nbsp;&nbsp;&nbsp;&nbsp;163164 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Goldman Sachs Group, Inc. (The)<sup>(l)</sup> | &nbsp;&nbsp;Goldman Sachs Group, Inc. (The)<sup>(l)</sup> | &nbsp;&nbsp;Goldman Sachs Group, Inc. (The)<sup>(l)</sup> | &nbsp;&nbsp;Goldman Sachs Group, Inc. (The)<sup>(l)</sup> |
| &nbsp;&nbsp;07/21/2032 | &nbsp;&nbsp;2.383% | 230000 | &nbsp;&nbsp;181921 |
| &nbsp;&nbsp;10/21/2032 | &nbsp;&nbsp;2.650% | 500000 | &nbsp;&nbsp;401264 |
| &nbsp;&nbsp;HSBC Holdings PLC<sup>(l)</sup> | &nbsp;&nbsp;HSBC Holdings PLC<sup>(l)</sup> | &nbsp;&nbsp;HSBC Holdings PLC<sup>(l)</sup> | &nbsp;&nbsp;HSBC Holdings PLC<sup>(l)</sup> |
| &nbsp;&nbsp;05/24/2027 | &nbsp;&nbsp;1.589% | 125000 | &nbsp;&nbsp;107148 |
| &nbsp;&nbsp;06/09/2028 | &nbsp;&nbsp;4.755% | &nbsp;&nbsp;25000 | &nbsp;&nbsp;&nbsp;&nbsp;23650 |
| &nbsp;&nbsp;09/22/2028 | &nbsp;&nbsp;2.013% | 590000 | &nbsp;&nbsp;490187 |
| &nbsp;&nbsp;08/17/2029 | &nbsp;&nbsp;2.206% | 215000 | &nbsp;&nbsp;173682 |
| &nbsp;&nbsp;05/24/2032 | &nbsp;&nbsp;2.804% | 410000 | &nbsp;&nbsp;317514 |
| &nbsp;&nbsp;Intesa Sanpaolo SpA<sup>(a),(l)</sup> | &nbsp;&nbsp;Intesa Sanpaolo SpA<sup>(a),(l)</sup> | &nbsp;&nbsp;Intesa Sanpaolo SpA<sup>(a),(l)</sup> | &nbsp;&nbsp;Intesa Sanpaolo SpA<sup>(a),(l)</sup> |
| &nbsp;&nbsp;Subordinated | &nbsp;&nbsp;Subordinated | &nbsp;&nbsp;Subordinated | &nbsp;&nbsp;Subordinated |
| &nbsp;&nbsp;06/01/2032 | &nbsp;&nbsp;4.198% | 200000 | &nbsp;&nbsp;146646 |
| &nbsp;&nbsp;JPMorgan Chase & Co.<sup>(l)</sup> | &nbsp;&nbsp;JPMorgan Chase & Co.<sup>(l)</sup> | &nbsp;&nbsp;JPMorgan Chase & Co.<sup>(l)</sup> | &nbsp;&nbsp;JPMorgan Chase & Co.<sup>(l)</sup> |
| &nbsp;&nbsp;09/16/2024 | &nbsp;&nbsp;0.653% | 235000 | &nbsp;&nbsp;225788 |
| &nbsp;&nbsp;02/16/2025 | &nbsp;&nbsp;0.563% | 250000 | &nbsp;&nbsp;234536 |
| &nbsp;&nbsp;11/19/2026 | &nbsp;&nbsp;1.045% | 235000 | &nbsp;&nbsp;207243 |
| &nbsp;&nbsp;04/22/2027 | &nbsp;&nbsp;1.578% | 285000 | &nbsp;&nbsp;251453 |
| &nbsp;&nbsp;02/24/2028 | &nbsp;&nbsp;2.947% | 425000 | &nbsp;&nbsp;386383 |
| &nbsp;&nbsp;10/15/2030 | &nbsp;&nbsp;2.739% | 105000 | &nbsp;&nbsp;&nbsp;&nbsp;89172 |
| &nbsp;&nbsp;11/19/2031 | &nbsp;&nbsp;1.764% | 180000 | &nbsp;&nbsp;138693 |
| &nbsp;&nbsp;04/22/2032 | &nbsp;&nbsp;2.580% | 340000 | &nbsp;&nbsp;276211 |
| &nbsp;&nbsp;12/31/2049 | &nbsp;&nbsp;3.650% | &nbsp;&nbsp;85000 | &nbsp;&nbsp;&nbsp;&nbsp;71625 |
| &nbsp;&nbsp;Lloyds Banking Group PLC<sup>(l)</sup> | &nbsp;&nbsp;Lloyds Banking Group PLC<sup>(l)</sup> | &nbsp;&nbsp;Lloyds Banking Group PLC<sup>(l)</sup> | &nbsp;&nbsp;Lloyds Banking Group PLC<sup>(l)</sup> |
| &nbsp;&nbsp;07/09/2025 | &nbsp;&nbsp;3.870% | 400000 | &nbsp;&nbsp;385779 |
| &nbsp;&nbsp;08/11/2033 | &nbsp;&nbsp;4.976% | 330000 | &nbsp;&nbsp;304035 |
| &nbsp;&nbsp;Macquarie Group Ltd.<sup>(a),(l)</sup> | &nbsp;&nbsp;Macquarie Group Ltd.<sup>(a),(l)</sup> | &nbsp;&nbsp;Macquarie Group Ltd.<sup>(a),(l)</sup> | &nbsp;&nbsp;Macquarie Group Ltd.<sup>(a),(l)</sup> |
| &nbsp;&nbsp;06/23/2032 | &nbsp;&nbsp;2.691% | 195000 | &nbsp;&nbsp;149940 |
| &nbsp;&nbsp;01/14/2033 | &nbsp;&nbsp;2.871% | 305000 | &nbsp;&nbsp;234506 |
| &nbsp;&nbsp;Morgan Stanley<sup>(l)</sup> | &nbsp;&nbsp;Morgan Stanley<sup>(l)</sup> | &nbsp;&nbsp;Morgan Stanley<sup>(l)</sup> | &nbsp;&nbsp;Morgan Stanley<sup>(l)</sup> |
| &nbsp;&nbsp;04/28/2032 | &nbsp;&nbsp;1.928% | &nbsp;&nbsp;85000 | &nbsp;&nbsp;&nbsp;&nbsp;65137 |
| &nbsp;&nbsp;07/21/2032 | &nbsp;&nbsp;2.239% | 400000 | &nbsp;&nbsp;311966 |
| &nbsp;&nbsp;10/20/2032 | &nbsp;&nbsp;2.511% | 205000 | &nbsp;&nbsp;163048 |
| &nbsp;&nbsp;Subordinated | &nbsp;&nbsp;Subordinated | &nbsp;&nbsp;Subordinated | &nbsp;&nbsp;Subordinated |
| &nbsp;&nbsp;09/16/2036 | &nbsp;&nbsp;2.484% | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;74192 |
| &nbsp;&nbsp;04/20/2037 | &nbsp;&nbsp;5.297% | 345000 | &nbsp;&nbsp;321126 |
| &nbsp;&nbsp;Nationwide Building Society<sup>(a),(l)</sup> | &nbsp;&nbsp;Nationwide Building Society<sup>(a),(l)</sup> | &nbsp;&nbsp;Nationwide Building Society<sup>(a),(l)</sup> | &nbsp;&nbsp;Nationwide Building Society<sup>(a),(l)</sup> |
| &nbsp;&nbsp;03/08/2024 | &nbsp;&nbsp;3.766% | 660000 | &nbsp;&nbsp;654772 |
| &nbsp;&nbsp;08/01/2024 | &nbsp;&nbsp;4.363% | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;98563 |
| &nbsp;&nbsp;PNC Financial Services Group, Inc. (The)<sup>(l)</sup> | &nbsp;&nbsp;PNC Financial Services Group, Inc. (The)<sup>(l)</sup> | &nbsp;&nbsp;PNC Financial Services Group, Inc. (The)<sup>(l)</sup> | &nbsp;&nbsp;PNC Financial Services Group, Inc. (The)<sup>(l)</sup> |
| &nbsp;&nbsp;10/28/2033 | &nbsp;&nbsp;6.037% | 140000 | &nbsp;&nbsp;147105 |
| &nbsp;&nbsp;Popular, Inc. | &nbsp;&nbsp;Popular, Inc. | &nbsp;&nbsp;Popular, Inc. | &nbsp;&nbsp;Popular, Inc. |
| &nbsp;&nbsp;09/14/2023 | &nbsp;&nbsp;6.125% | 370000 | &nbsp;&nbsp;370755 |
| &nbsp;&nbsp;Santander UK Group Holdings PLC<sup>(l)</sup> | &nbsp;&nbsp;Santander UK Group Holdings PLC<sup>(l)</sup> | &nbsp;&nbsp;Santander UK Group Holdings PLC<sup>(l)</sup> | &nbsp;&nbsp;Santander UK Group Holdings PLC<sup>(l)</sup> |
| &nbsp;&nbsp;11/15/2024 | &nbsp;&nbsp;4.796% | &nbsp;&nbsp;90000 | &nbsp;&nbsp;&nbsp;&nbsp;88267 |
| &nbsp;&nbsp;03/15/2025 | &nbsp;&nbsp;1.089% | 300000 | &nbsp;&nbsp;278594 |
| &nbsp;&nbsp;06/14/2027 | &nbsp;&nbsp;1.673% | 110000 | &nbsp;&nbsp;&nbsp;&nbsp;93085 |
| &nbsp;&nbsp;Santander UK PLC<sup>(a)</sup> | &nbsp;&nbsp;Santander UK PLC<sup>(a)</sup> | &nbsp;&nbsp;Santander UK PLC<sup>(a)</sup> | &nbsp;&nbsp;Santander UK PLC<sup>(a)</sup> |
| &nbsp;&nbsp;Subordinated | &nbsp;&nbsp;Subordinated | &nbsp;&nbsp;Subordinated | &nbsp;&nbsp;Subordinated |
| &nbsp;&nbsp;11/07/2023 | &nbsp;&nbsp;5.000% | 115000 | &nbsp;&nbsp;113322 |
| &nbsp;&nbsp;Shinhan Financial Group Co., Ltd.<sup>(a),(l)</sup> | &nbsp;&nbsp;Shinhan Financial Group Co., Ltd.<sup>(a),(l)</sup> | &nbsp;&nbsp;Shinhan Financial Group Co., Ltd.<sup>(a),(l)</sup> | &nbsp;&nbsp;Shinhan Financial Group Co., Ltd.<sup>(a),(l)</sup> |
| &nbsp;&nbsp;12/31/2049 | &nbsp;&nbsp;2.875% | 200000 | &nbsp;&nbsp;168230 |

---

10 Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** |  | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Toronto-Dominion Bank (The)<sup>(l)</sup> | &nbsp;&nbsp;Toronto-Dominion Bank (The)<sup>(l)</sup> | &nbsp;&nbsp;Toronto-Dominion Bank (The)<sup>(l)</sup> | &nbsp;&nbsp;Toronto-Dominion Bank (The)<sup>(l)</sup> | &nbsp;&nbsp;Toronto-Dominion Bank (The)<sup>(l)</sup> |
| &nbsp;&nbsp;10/31/2082 | &nbsp;&nbsp;8.125% |  | 230000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;235895 |
| &nbsp;&nbsp;U.S. Bancorp | &nbsp;&nbsp;U.S. Bancorp | &nbsp;&nbsp;U.S. Bancorp | &nbsp;&nbsp;U.S. Bancorp | &nbsp;&nbsp;U.S. Bancorp |
| &nbsp;&nbsp;06/07/2024 | &nbsp;&nbsp;0.850% | &nbsp;&nbsp;EUR | 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;503509 |
| &nbsp;&nbsp;US Bancorp<sup>(l)</sup> | &nbsp;&nbsp;US Bancorp<sup>(l)</sup> | &nbsp;&nbsp;US Bancorp<sup>(l)</sup> | &nbsp;&nbsp;US Bancorp<sup>(l)</sup> | &nbsp;&nbsp;US Bancorp<sup>(l)</sup> |
| &nbsp;&nbsp;12/31/2049 | &nbsp;&nbsp;3.700% |  | 185000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;147800 |
| &nbsp;&nbsp;Wells Fargo & Co.<sup>(l)</sup> | &nbsp;&nbsp;Wells Fargo & Co.<sup>(l)</sup> | &nbsp;&nbsp;Wells Fargo & Co.<sup>(l)</sup> | &nbsp;&nbsp;Wells Fargo & Co.<sup>(l)</sup> | &nbsp;&nbsp;Wells Fargo & Co.<sup>(l)</sup> |
| &nbsp;&nbsp;06/02/2028 | &nbsp;&nbsp;2.393% |  | 160000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;141449 |
| &nbsp;&nbsp;02/11/2031 | &nbsp;&nbsp;2.572% |  | 375000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;314389 |
| &nbsp;&nbsp;03/02/2033 | &nbsp;&nbsp;3.350% |  | 540000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;461714 |
| &nbsp;&nbsp;07/25/2033 | &nbsp;&nbsp;4.897% |  | 195000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;187894 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**15542384** |
| &nbsp;&nbsp;**Brokerage/Asset Managers/Exchanges 0.0%** | &nbsp;&nbsp;**Brokerage/Asset Managers/Exchanges 0.0%** | &nbsp;&nbsp;**Brokerage/Asset Managers/Exchanges 0.0%** | &nbsp;&nbsp;**Brokerage/Asset Managers/Exchanges 0.0%** | &nbsp;&nbsp;**Brokerage/Asset Managers/Exchanges 0.0%** |
| &nbsp;&nbsp;Charles Schwab Corp. (The) | &nbsp;&nbsp;Charles Schwab Corp. (The) | &nbsp;&nbsp;Charles Schwab Corp. (The) | &nbsp;&nbsp;Charles Schwab Corp. (The) | &nbsp;&nbsp;Charles Schwab Corp. (The) |
| &nbsp;&nbsp;12/01/2031 | &nbsp;&nbsp;1.950% |  | &nbsp;&nbsp;90000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;71401 |
| &nbsp;&nbsp;Intercontinental Exchange, Inc. | &nbsp;&nbsp;Intercontinental Exchange, Inc. | &nbsp;&nbsp;Intercontinental Exchange, Inc. | &nbsp;&nbsp;Intercontinental Exchange, Inc. | &nbsp;&nbsp;Intercontinental Exchange, Inc. |
| &nbsp;&nbsp;09/15/2032 | &nbsp;&nbsp;1.850% |  | 175000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;134473 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**205874** |
| &nbsp;&nbsp;**Building Materials 0.1%** | &nbsp;&nbsp;**Building Materials 0.1%** | &nbsp;&nbsp;**Building Materials 0.1%** | &nbsp;&nbsp;**Building Materials 0.1%** | &nbsp;&nbsp;**Building Materials 0.1%** |
| &nbsp;&nbsp;Advanced Drainage Systems, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Advanced Drainage Systems, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Advanced Drainage Systems, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Advanced Drainage Systems, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Advanced Drainage Systems, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;06/15/2030 | &nbsp;&nbsp;6.375% |  | &nbsp;&nbsp;70000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;67576 |
| &nbsp;&nbsp;Cemex SAB de CV<sup>(a)</sup> | &nbsp;&nbsp;Cemex SAB de CV<sup>(a)</sup> | &nbsp;&nbsp;Cemex SAB de CV<sup>(a)</sup> | &nbsp;&nbsp;Cemex SAB de CV<sup>(a)</sup> | &nbsp;&nbsp;Cemex SAB de CV<sup>(a)</sup> |
| &nbsp;&nbsp;07/11/2031 | &nbsp;&nbsp;3.875% |  | 205000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;166923 |
| &nbsp;&nbsp;St. Marys Cement, Inc.<sup>(a)</sup> | &nbsp;&nbsp;St. Marys Cement, Inc.<sup>(a)</sup> | &nbsp;&nbsp;St. Marys Cement, Inc.<sup>(a)</sup> | &nbsp;&nbsp;St. Marys Cement, Inc.<sup>(a)</sup> | &nbsp;&nbsp;St. Marys Cement, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;01/28/2027 | &nbsp;&nbsp;5.750% |  | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;201169 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**435668** |
| &nbsp;&nbsp;**Cable and Satellite 0.8%** | &nbsp;&nbsp;**Cable and Satellite 0.8%** | &nbsp;&nbsp;**Cable and Satellite 0.8%** | &nbsp;&nbsp;**Cable and Satellite 0.8%** | &nbsp;&nbsp;**Cable and Satellite 0.8%** |
| &nbsp;&nbsp;Cable One, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Cable One, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Cable One, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Cable One, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Cable One, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;11/15/2030 | &nbsp;&nbsp;4.000% |  | 260000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;209448 |
| &nbsp;&nbsp;CCO Holdings LLC/Capital Corp.<sup>(a)</sup> | &nbsp;&nbsp;CCO Holdings LLC/Capital Corp.<sup>(a)</sup> | &nbsp;&nbsp;CCO Holdings LLC/Capital Corp.<sup>(a)</sup> | &nbsp;&nbsp;CCO Holdings LLC/Capital Corp.<sup>(a)</sup> | &nbsp;&nbsp;CCO Holdings LLC/Capital Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;03/01/2030 | &nbsp;&nbsp;4.750% |  | 295000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;254064 |
| &nbsp;&nbsp;08/15/2030 | &nbsp;&nbsp;4.500% |  | 265000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;223257 |
| &nbsp;&nbsp;02/01/2031 | &nbsp;&nbsp;4.250% |  | 395000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;322554 |
| &nbsp;&nbsp;06/01/2033 | &nbsp;&nbsp;4.500% |  | 115000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;91271 |
| &nbsp;&nbsp;Charter Communications Operating LLC/Capital | &nbsp;&nbsp;Charter Communications Operating LLC/Capital | &nbsp;&nbsp;Charter Communications Operating LLC/Capital | &nbsp;&nbsp;Charter Communications Operating LLC/Capital | &nbsp;&nbsp;Charter Communications Operating LLC/Capital |
| &nbsp;&nbsp;04/01/2031 | &nbsp;&nbsp;2.800% |  | &nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39613 |
| &nbsp;&nbsp;02/01/2032 | &nbsp;&nbsp;2.300% |  | &nbsp;&nbsp;20000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14956 |
| &nbsp;&nbsp;05/01/2047 | &nbsp;&nbsp;5.375% |  | &nbsp;&nbsp;65000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53670 |
| &nbsp;&nbsp;04/01/2048 | &nbsp;&nbsp;5.750% |  | 320000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;274390 |
| &nbsp;&nbsp;07/01/2049 | &nbsp;&nbsp;5.125% |  | 355000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;281632 |
| &nbsp;&nbsp;04/01/2053 | &nbsp;&nbsp;5.250% |  | 280000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;225300 |
| &nbsp;&nbsp;CSC Holdings LLC<sup>(a)</sup> | &nbsp;&nbsp;CSC Holdings LLC<sup>(a)</sup> | &nbsp;&nbsp;CSC Holdings LLC<sup>(a)</sup> | &nbsp;&nbsp;CSC Holdings LLC<sup>(a)</sup> | &nbsp;&nbsp;CSC Holdings LLC<sup>(a)</sup> |
| &nbsp;&nbsp;02/01/2028 | &nbsp;&nbsp;5.375% |  | 275000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;246991 |
| &nbsp;&nbsp;04/01/2028 | &nbsp;&nbsp;7.500% |  | &nbsp;&nbsp;80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62322 |
| &nbsp;&nbsp;DIRECTV Holdings LLC/Financing Co., Inc.<sup>(a)</sup> | &nbsp;&nbsp;DIRECTV Holdings LLC/Financing Co., Inc.<sup>(a)</sup> | &nbsp;&nbsp;DIRECTV Holdings LLC/Financing Co., Inc.<sup>(a)</sup> | &nbsp;&nbsp;DIRECTV Holdings LLC/Financing Co., Inc.<sup>(a)</sup> | &nbsp;&nbsp;DIRECTV Holdings LLC/Financing Co., Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;08/15/2027 | &nbsp;&nbsp;5.875% |  | 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;137608 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Globo Comunicacao e Participacoes SA<sup>(a)</sup> | &nbsp;&nbsp;Globo Comunicacao e Participacoes SA<sup>(a)</sup> | &nbsp;&nbsp;Globo Comunicacao e Participacoes SA<sup>(a)</sup> | &nbsp;&nbsp;Globo Comunicacao e Participacoes SA<sup>(a)</sup> |
| &nbsp;&nbsp;01/14/2032 | &nbsp;&nbsp;5.500% | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;164664 |
| &nbsp;&nbsp;Intelsat Jackson Holdings SA<sup>(a)</sup> | &nbsp;&nbsp;Intelsat Jackson Holdings SA<sup>(a)</sup> | &nbsp;&nbsp;Intelsat Jackson Holdings SA<sup>(a)</sup> | &nbsp;&nbsp;Intelsat Jackson Holdings SA<sup>(a)</sup> |
| &nbsp;&nbsp;03/15/2030 | &nbsp;&nbsp;6.500% | 248000 | &nbsp;&nbsp;&nbsp;&nbsp;228237 |
| &nbsp;&nbsp;LCPR Senior Secured Financing DAC<sup>(a)</sup> | &nbsp;&nbsp;LCPR Senior Secured Financing DAC<sup>(a)</sup> | &nbsp;&nbsp;LCPR Senior Secured Financing DAC<sup>(a)</sup> | &nbsp;&nbsp;LCPR Senior Secured Financing DAC<sup>(a)</sup> |
| &nbsp;&nbsp;07/15/2029 | &nbsp;&nbsp;5.125% | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;168077 |
| &nbsp;&nbsp;SES GLOBAL Americas Holdings GP<sup>(a)</sup> | &nbsp;&nbsp;SES GLOBAL Americas Holdings GP<sup>(a)</sup> | &nbsp;&nbsp;SES GLOBAL Americas Holdings GP<sup>(a)</sup> | &nbsp;&nbsp;SES GLOBAL Americas Holdings GP<sup>(a)</sup> |
| &nbsp;&nbsp;03/25/2044 | &nbsp;&nbsp;5.300% | 375000 | &nbsp;&nbsp;&nbsp;&nbsp;292426 |
| &nbsp;&nbsp;Sirius XM Radio, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Sirius XM Radio, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Sirius XM Radio, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Sirius XM Radio, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;07/01/2030 | &nbsp;&nbsp;4.125% | 255000 | &nbsp;&nbsp;&nbsp;&nbsp;215174 |
| &nbsp;&nbsp;Time Warner Cable LLC | &nbsp;&nbsp;Time Warner Cable LLC | &nbsp;&nbsp;Time Warner Cable LLC | &nbsp;&nbsp;Time Warner Cable LLC |
| &nbsp;&nbsp;09/01/2041 | &nbsp;&nbsp;5.500% | 195000 | &nbsp;&nbsp;&nbsp;&nbsp;166793 |
| &nbsp;&nbsp;Virgin Media Finance PLC<sup>(a)</sup> | &nbsp;&nbsp;Virgin Media Finance PLC<sup>(a)</sup> | &nbsp;&nbsp;Virgin Media Finance PLC<sup>(a)</sup> | &nbsp;&nbsp;Virgin Media Finance PLC<sup>(a)</sup> |
| &nbsp;&nbsp;07/15/2030 | &nbsp;&nbsp;5.000% | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;163710 |
| &nbsp;&nbsp;Virgin Media Secured Finance PLC<sup>(a)</sup> | &nbsp;&nbsp;Virgin Media Secured Finance PLC<sup>(a)</sup> | &nbsp;&nbsp;Virgin Media Secured Finance PLC<sup>(a)</sup> | &nbsp;&nbsp;Virgin Media Secured Finance PLC<sup>(a)</sup> |
| &nbsp;&nbsp;05/15/2029 | &nbsp;&nbsp;5.500% | 225000 | &nbsp;&nbsp;&nbsp;&nbsp;205351 |
| &nbsp;&nbsp;08/15/2030 | &nbsp;&nbsp;4.500% | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;167286 |
| &nbsp;&nbsp;VTR Finance NV<sup>(a)</sup> | &nbsp;&nbsp;VTR Finance NV<sup>(a)</sup> | &nbsp;&nbsp;VTR Finance NV<sup>(a)</sup> | &nbsp;&nbsp;VTR Finance NV<sup>(a)</sup> |
| &nbsp;&nbsp;07/15/2028 | &nbsp;&nbsp;6.375% | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;87046 |
| &nbsp;&nbsp;VZ Secured Financing BV<sup>(a)</sup> | &nbsp;&nbsp;VZ Secured Financing BV<sup>(a)</sup> | &nbsp;&nbsp;VZ Secured Financing BV<sup>(a)</sup> | &nbsp;&nbsp;VZ Secured Financing BV<sup>(a)</sup> |
| &nbsp;&nbsp;01/15/2032 | &nbsp;&nbsp;5.000% | 165000 | &nbsp;&nbsp;&nbsp;&nbsp;136450 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**4432290** |
| &nbsp;&nbsp;**Chemicals 0.1%** | &nbsp;&nbsp;**Chemicals 0.1%** | &nbsp;&nbsp;**Chemicals 0.1%** | &nbsp;&nbsp;**Chemicals 0.1%** |
| &nbsp;&nbsp;Braskem Idesa SAPI<sup>(a)</sup> | &nbsp;&nbsp;Braskem Idesa SAPI<sup>(a)</sup> | &nbsp;&nbsp;Braskem Idesa SAPI<sup>(a)</sup> | &nbsp;&nbsp;Braskem Idesa SAPI<sup>(a)</sup> |
| &nbsp;&nbsp;02/20/2032 | &nbsp;&nbsp;6.990% | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;141324 |
| &nbsp;&nbsp;Braskem Netherlands Finance BV<sup>(a)</sup> | &nbsp;&nbsp;Braskem Netherlands Finance BV<sup>(a)</sup> | &nbsp;&nbsp;Braskem Netherlands Finance BV<sup>(a)</sup> | &nbsp;&nbsp;Braskem Netherlands Finance BV<sup>(a)</sup> |
| &nbsp;&nbsp;01/31/2030 | &nbsp;&nbsp;4.500% | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;171025 |
| &nbsp;&nbsp;EverArc Escrow Sarl<sup>(a)</sup> | &nbsp;&nbsp;EverArc Escrow Sarl<sup>(a)</sup> | &nbsp;&nbsp;EverArc Escrow Sarl<sup>(a)</sup> | &nbsp;&nbsp;EverArc Escrow Sarl<sup>(a)</sup> |
| &nbsp;&nbsp;10/30/2029 | &nbsp;&nbsp;5.000% | 190000 | &nbsp;&nbsp;&nbsp;&nbsp;151952 |
| &nbsp;&nbsp;Unifrax Escrow Issuer Corp.<sup>(a)</sup> | &nbsp;&nbsp;Unifrax Escrow Issuer Corp.<sup>(a)</sup> | &nbsp;&nbsp;Unifrax Escrow Issuer Corp.<sup>(a)</sup> | &nbsp;&nbsp;Unifrax Escrow Issuer Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;09/30/2029 | &nbsp;&nbsp;7.500% | 155000 | &nbsp;&nbsp;&nbsp;&nbsp;103629 |
| &nbsp;&nbsp;Westlake Corp. | &nbsp;&nbsp;Westlake Corp. | &nbsp;&nbsp;Westlake Corp. | &nbsp;&nbsp;Westlake Corp. |
| &nbsp;&nbsp;08/15/2024 | &nbsp;&nbsp;0.875% | 115000 | &nbsp;&nbsp;&nbsp;&nbsp;106650 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**674580** |
| &nbsp;&nbsp;**Construction Machinery 0.2%** | &nbsp;&nbsp;**Construction Machinery 0.2%** | &nbsp;&nbsp;**Construction Machinery 0.2%** | &nbsp;&nbsp;**Construction Machinery 0.2%** |
| &nbsp;&nbsp;OT Merger Corp.<sup>(a)</sup> | &nbsp;&nbsp;OT Merger Corp.<sup>(a)</sup> | &nbsp;&nbsp;OT Merger Corp.<sup>(a)</sup> | &nbsp;&nbsp;OT Merger Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;10/15/2029 | &nbsp;&nbsp;7.875% | 240000 | &nbsp;&nbsp;&nbsp;&nbsp;140605 |
| &nbsp;&nbsp;United Rentals North America, Inc. | &nbsp;&nbsp;United Rentals North America, Inc. | &nbsp;&nbsp;United Rentals North America, Inc. | &nbsp;&nbsp;United Rentals North America, Inc. |
| &nbsp;&nbsp;01/15/2028 | &nbsp;&nbsp;4.875% | 205000 | &nbsp;&nbsp;&nbsp;&nbsp;195716 |
| &nbsp;&nbsp;07/15/2030 | &nbsp;&nbsp;4.000% | 140000 | &nbsp;&nbsp;&nbsp;&nbsp;121626 |
| &nbsp;&nbsp;02/15/2031 | &nbsp;&nbsp;3.875% | 235000 | &nbsp;&nbsp;&nbsp;&nbsp;202157 |
| &nbsp;&nbsp;United Rentals North America, Inc.<sup>(a)</sup> | &nbsp;&nbsp;United Rentals North America, Inc.<sup>(a)</sup> | &nbsp;&nbsp;United Rentals North America, Inc.<sup>(a)</sup> | &nbsp;&nbsp;United Rentals North America, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;12/15/2029 | &nbsp;&nbsp;6.000% | 170000 | &nbsp;&nbsp;&nbsp;&nbsp;170944 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**831048** |

---

Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022<br> 11

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** |  | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**Consumer Cyclical Services 0.1%** | &nbsp;&nbsp;**Consumer Cyclical Services 0.1%** | &nbsp;&nbsp;**Consumer Cyclical Services 0.1%** | &nbsp;&nbsp;**Consumer Cyclical Services 0.1%** | &nbsp;&nbsp;**Consumer Cyclical Services 0.1%** |
| &nbsp;&nbsp;Match Group, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Match Group, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Match Group, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Match Group, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Match Group, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;08/01/2030 | &nbsp;&nbsp;4.125% |  | 150000 | &nbsp;&nbsp;&nbsp;&nbsp;125222 |
| &nbsp;&nbsp;Uber Technologies, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Uber Technologies, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Uber Technologies, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Uber Technologies, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Uber Technologies, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;11/01/2026 | &nbsp;&nbsp;8.000% |  | 145000 | &nbsp;&nbsp;&nbsp;&nbsp;147187 |
| &nbsp;&nbsp;WASH Multifamily Acquisition, Inc.<sup>(a)</sup> | &nbsp;&nbsp;WASH Multifamily Acquisition, Inc.<sup>(a)</sup> | &nbsp;&nbsp;WASH Multifamily Acquisition, Inc.<sup>(a)</sup> | &nbsp;&nbsp;WASH Multifamily Acquisition, Inc.<sup>(a)</sup> | &nbsp;&nbsp;WASH Multifamily Acquisition, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;04/15/2026 | &nbsp;&nbsp;5.750% |  | 145000 | &nbsp;&nbsp;&nbsp;&nbsp;136060 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**408469** |
| &nbsp;&nbsp;**Consumer Products 0.2%** | &nbsp;&nbsp;**Consumer Products 0.2%** | &nbsp;&nbsp;**Consumer Products 0.2%** | &nbsp;&nbsp;**Consumer Products 0.2%** | &nbsp;&nbsp;**Consumer Products 0.2%** |
| &nbsp;&nbsp;Edgewell Personal Care Co.<sup>(a)</sup> | &nbsp;&nbsp;Edgewell Personal Care Co.<sup>(a)</sup> | &nbsp;&nbsp;Edgewell Personal Care Co.<sup>(a)</sup> | &nbsp;&nbsp;Edgewell Personal Care Co.<sup>(a)</sup> | &nbsp;&nbsp;Edgewell Personal Care Co.<sup>(a)</sup> |
| &nbsp;&nbsp;06/01/2028 | &nbsp;&nbsp;5.500% |  | 150000 | &nbsp;&nbsp;&nbsp;&nbsp;142658 |
| &nbsp;&nbsp;Energizer Holdings, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Energizer Holdings, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Energizer Holdings, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Energizer Holdings, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Energizer Holdings, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;12/31/2027 | &nbsp;&nbsp;6.500% |  | 150000 | &nbsp;&nbsp;&nbsp;&nbsp;143139 |
| &nbsp;&nbsp;Natura & Co. Luxembourg Holdings SARL<sup>(a)</sup> | &nbsp;&nbsp;Natura & Co. Luxembourg Holdings SARL<sup>(a)</sup> | &nbsp;&nbsp;Natura & Co. Luxembourg Holdings SARL<sup>(a)</sup> | &nbsp;&nbsp;Natura & Co. Luxembourg Holdings SARL<sup>(a)</sup> | &nbsp;&nbsp;Natura & Co. Luxembourg Holdings SARL<sup>(a)</sup> |
| &nbsp;&nbsp;04/19/2029 | &nbsp;&nbsp;6.000% |  | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;167680 |
| &nbsp;&nbsp;Natura Cosmeticos SA<sup>(a)</sup> | &nbsp;&nbsp;Natura Cosmeticos SA<sup>(a)</sup> | &nbsp;&nbsp;Natura Cosmeticos SA<sup>(a)</sup> | &nbsp;&nbsp;Natura Cosmeticos SA<sup>(a)</sup> | &nbsp;&nbsp;Natura Cosmeticos SA<sup>(a)</sup> |
| &nbsp;&nbsp;05/03/2028 | &nbsp;&nbsp;4.125% |  | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;157644 |
| &nbsp;&nbsp;Newell Brands, Inc. | &nbsp;&nbsp;Newell Brands, Inc. | &nbsp;&nbsp;Newell Brands, Inc. | &nbsp;&nbsp;Newell Brands, Inc. | &nbsp;&nbsp;Newell Brands, Inc. |
| &nbsp;&nbsp;04/01/2046 | &nbsp;&nbsp;5.750% |  | 185000 | &nbsp;&nbsp;&nbsp;&nbsp;143818 |
| &nbsp;&nbsp;Prestige Brands, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Prestige Brands, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Prestige Brands, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Prestige Brands, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Prestige Brands, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;04/01/2031 | &nbsp;&nbsp;3.750% |  | 185000 | &nbsp;&nbsp;&nbsp;&nbsp;156427 |
| &nbsp;&nbsp;Spectrum Brands, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Spectrum Brands, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Spectrum Brands, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Spectrum Brands, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Spectrum Brands, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;07/15/2030 | &nbsp;&nbsp;5.500% |  | 165000 | &nbsp;&nbsp;&nbsp;&nbsp;141587 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**1052953** |
| &nbsp;&nbsp;**Diversified Manufacturing 0.0%** | &nbsp;&nbsp;**Diversified Manufacturing 0.0%** | &nbsp;&nbsp;**Diversified Manufacturing 0.0%** | &nbsp;&nbsp;**Diversified Manufacturing 0.0%** | &nbsp;&nbsp;**Diversified Manufacturing 0.0%** |
| &nbsp;&nbsp;General Electric Co. | &nbsp;&nbsp;General Electric Co. | &nbsp;&nbsp;General Electric Co. | &nbsp;&nbsp;General Electric Co. | &nbsp;&nbsp;General Electric Co. |
| &nbsp;&nbsp;03/15/2032 | &nbsp;&nbsp;6.750% |  | &nbsp;&nbsp;27000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30605 |
| &nbsp;&nbsp;Johnson Controls International PLC/Tyco Fire & Security Finance SCA | &nbsp;&nbsp;Johnson Controls International PLC/Tyco Fire & Security Finance SCA | &nbsp;&nbsp;Johnson Controls International PLC/Tyco Fire & Security Finance SCA | &nbsp;&nbsp;Johnson Controls International PLC/Tyco Fire & Security Finance SCA | &nbsp;&nbsp;Johnson Controls International PLC/Tyco Fire & Security Finance SCA |
| &nbsp;&nbsp;09/15/2027 | &nbsp;&nbsp;0.375% | &nbsp;&nbsp;EUR | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;90251 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**120856** |
| &nbsp;&nbsp;**Electric 0.6%** | &nbsp;&nbsp;**Electric 0.6%** | &nbsp;&nbsp;**Electric 0.6%** | &nbsp;&nbsp;**Electric 0.6%** | &nbsp;&nbsp;**Electric 0.6%** |
| &nbsp;&nbsp;AES Corp. (The)<sup>(a)</sup> | &nbsp;&nbsp;AES Corp. (The)<sup>(a)</sup> | &nbsp;&nbsp;AES Corp. (The)<sup>(a)</sup> | &nbsp;&nbsp;AES Corp. (The)<sup>(a)</sup> | &nbsp;&nbsp;AES Corp. (The)<sup>(a)</sup> |
| &nbsp;&nbsp;07/15/2030 | &nbsp;&nbsp;3.950% |  | &nbsp;&nbsp;35000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31120 |
| &nbsp;&nbsp;Alliant Energy Finance LLC<sup>(a)</sup> | &nbsp;&nbsp;Alliant Energy Finance LLC<sup>(a)</sup> | &nbsp;&nbsp;Alliant Energy Finance LLC<sup>(a)</sup> | &nbsp;&nbsp;Alliant Energy Finance LLC<sup>(a)</sup> | &nbsp;&nbsp;Alliant Energy Finance LLC<sup>(a)</sup> |
| &nbsp;&nbsp;03/01/2032 | &nbsp;&nbsp;3.600% |  | 305000 | &nbsp;&nbsp;&nbsp;&nbsp;266710 |
| &nbsp;&nbsp;DPL, Inc. | &nbsp;&nbsp;DPL, Inc. | &nbsp;&nbsp;DPL, Inc. | &nbsp;&nbsp;DPL, Inc. | &nbsp;&nbsp;DPL, Inc. |
| &nbsp;&nbsp;07/01/2025 | &nbsp;&nbsp;4.125% |  | 370000 | &nbsp;&nbsp;&nbsp;&nbsp;348407 |
| &nbsp;&nbsp;DTE Energy Co. | &nbsp;&nbsp;DTE Energy Co. | &nbsp;&nbsp;DTE Energy Co. | &nbsp;&nbsp;DTE Energy Co. | &nbsp;&nbsp;DTE Energy Co. |
| &nbsp;&nbsp;06/01/2025 | &nbsp;&nbsp;1.050% |  | &nbsp;&nbsp;80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72495 |
| &nbsp;&nbsp;Duke Energy Progress LLC | &nbsp;&nbsp;Duke Energy Progress LLC | &nbsp;&nbsp;Duke Energy Progress LLC | &nbsp;&nbsp;Duke Energy Progress LLC | &nbsp;&nbsp;Duke Energy Progress LLC |
| &nbsp;&nbsp;12/01/2044 | &nbsp;&nbsp;4.150% |  | 225000 | &nbsp;&nbsp;&nbsp;&nbsp;190275 |
| &nbsp;&nbsp;E.ON SE<sup>(a)</sup> | &nbsp;&nbsp;E.ON SE<sup>(a)</sup> | &nbsp;&nbsp;E.ON SE<sup>(a)</sup> | &nbsp;&nbsp;E.ON SE<sup>(a)</sup> | &nbsp;&nbsp;E.ON SE<sup>(a)</sup> |
| &nbsp;&nbsp;09/29/2027 | &nbsp;&nbsp;0.375% | &nbsp;&nbsp;EUR | &nbsp;&nbsp;65000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60518 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;FirstEnergy Corp.<sup>(l)</sup> | &nbsp;&nbsp;FirstEnergy Corp.<sup>(l)</sup> | &nbsp;&nbsp;FirstEnergy Corp.<sup>(l)</sup> | &nbsp;&nbsp;FirstEnergy Corp.<sup>(l)</sup> |
| &nbsp;&nbsp;07/15/2027 | &nbsp;&nbsp;4.400% | 290000 | &nbsp;&nbsp;&nbsp;&nbsp;273822 |
| &nbsp;&nbsp;FirstEnergy Corp. | &nbsp;&nbsp;FirstEnergy Corp. | &nbsp;&nbsp;FirstEnergy Corp. | &nbsp;&nbsp;FirstEnergy Corp. |
| &nbsp;&nbsp;11/15/2031 | &nbsp;&nbsp;7.375% | 260000 | &nbsp;&nbsp;&nbsp;&nbsp;292555 |
| &nbsp;&nbsp;FirstEnergy Transmission LLC<sup>(a)</sup> | &nbsp;&nbsp;FirstEnergy Transmission LLC<sup>(a)</sup> | &nbsp;&nbsp;FirstEnergy Transmission LLC<sup>(a)</sup> | &nbsp;&nbsp;FirstEnergy Transmission LLC<sup>(a)</sup> |
| &nbsp;&nbsp;09/15/2028 | &nbsp;&nbsp;2.866% | 229000 | &nbsp;&nbsp;&nbsp;&nbsp;199414 |
| &nbsp;&nbsp;ITC Holdings Corp. | &nbsp;&nbsp;ITC Holdings Corp. | &nbsp;&nbsp;ITC Holdings Corp. | &nbsp;&nbsp;ITC Holdings Corp. |
| &nbsp;&nbsp;11/15/2027 | &nbsp;&nbsp;3.350% | 150000 | &nbsp;&nbsp;&nbsp;&nbsp;138087 |
| &nbsp;&nbsp;Jersey Central Power & Light Co.<sup>(a)</sup> | &nbsp;&nbsp;Jersey Central Power & Light Co.<sup>(a)</sup> | &nbsp;&nbsp;Jersey Central Power & Light Co.<sup>(a)</sup> | &nbsp;&nbsp;Jersey Central Power & Light Co.<sup>(a)</sup> |
| &nbsp;&nbsp;04/01/2024 | &nbsp;&nbsp;4.700% | 330000 | &nbsp;&nbsp;&nbsp;&nbsp;325591 |
| &nbsp;&nbsp;Niagara Mohawk Power Corp.<sup>(a)</sup> | &nbsp;&nbsp;Niagara Mohawk Power Corp.<sup>(a)</sup> | &nbsp;&nbsp;Niagara Mohawk Power Corp.<sup>(a)</sup> | &nbsp;&nbsp;Niagara Mohawk Power Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;09/16/2052 | &nbsp;&nbsp;5.783% | 220000 | &nbsp;&nbsp;&nbsp;&nbsp;220853 |
| &nbsp;&nbsp;NSTAR Electric Co. | &nbsp;&nbsp;NSTAR Electric Co. | &nbsp;&nbsp;NSTAR Electric Co. | &nbsp;&nbsp;NSTAR Electric Co. |
| &nbsp;&nbsp;05/15/2027 | &nbsp;&nbsp;3.200% | 520000 | &nbsp;&nbsp;&nbsp;&nbsp;490429 |
| &nbsp;&nbsp;Pinnacle West Capital Corp. | &nbsp;&nbsp;Pinnacle West Capital Corp. | &nbsp;&nbsp;Pinnacle West Capital Corp. | &nbsp;&nbsp;Pinnacle West Capital Corp. |
| &nbsp;&nbsp;06/15/2025 | &nbsp;&nbsp;1.300% | &nbsp;&nbsp;85000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;77264 |
| &nbsp;&nbsp;Southern Co. (The) | &nbsp;&nbsp;Southern Co. (The) | &nbsp;&nbsp;Southern Co. (The) | &nbsp;&nbsp;Southern Co. (The) |
| &nbsp;&nbsp;07/01/2026 | &nbsp;&nbsp;3.250% | 184000 | &nbsp;&nbsp;&nbsp;&nbsp;174808 |
| &nbsp;&nbsp;Southwestern Electric Power Co. | &nbsp;&nbsp;Southwestern Electric Power Co. | &nbsp;&nbsp;Southwestern Electric Power Co. | &nbsp;&nbsp;Southwestern Electric Power Co. |
| &nbsp;&nbsp;11/01/2051 | &nbsp;&nbsp;3.250% | &nbsp;&nbsp;85000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;57577 |
| &nbsp;&nbsp;WEC Energy Group, Inc. | &nbsp;&nbsp;WEC Energy Group, Inc. | &nbsp;&nbsp;WEC Energy Group, Inc. | &nbsp;&nbsp;WEC Energy Group, Inc. |
| &nbsp;&nbsp;03/15/2024 | &nbsp;&nbsp;0.800% | &nbsp;&nbsp;77000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72878 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**3292803** |
| &nbsp;&nbsp;**Environmental 0.0%** | &nbsp;&nbsp;**Environmental 0.0%** | &nbsp;&nbsp;**Environmental 0.0%** | &nbsp;&nbsp;**Environmental 0.0%** |
| &nbsp;&nbsp;Waste Pro USA, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Waste Pro USA, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Waste Pro USA, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Waste Pro USA, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;02/15/2026 | &nbsp;&nbsp;5.500% | 250000 | &nbsp;&nbsp;&nbsp;&nbsp;230772 |
| &nbsp;&nbsp;**Finance Companies 0.2%** | &nbsp;&nbsp;**Finance Companies 0.2%** | &nbsp;&nbsp;**Finance Companies 0.2%** | &nbsp;&nbsp;**Finance Companies 0.2%** |
| &nbsp;&nbsp;AerCap Ireland Capital DAC/Global Aviation Trust | &nbsp;&nbsp;AerCap Ireland Capital DAC/Global Aviation Trust | &nbsp;&nbsp;AerCap Ireland Capital DAC/Global Aviation Trust | &nbsp;&nbsp;AerCap Ireland Capital DAC/Global Aviation Trust |
| &nbsp;&nbsp;10/29/2023 | &nbsp;&nbsp;1.150% | 360000 | &nbsp;&nbsp;&nbsp;&nbsp;343686 |
| &nbsp;&nbsp;01/23/2028 | &nbsp;&nbsp;3.875% | &nbsp;&nbsp;75000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;67070 |
| &nbsp;&nbsp;01/30/2032 | &nbsp;&nbsp;3.300% | 344000 | &nbsp;&nbsp;&nbsp;&nbsp;271766 |
| &nbsp;&nbsp;Air Lease Corp. | &nbsp;&nbsp;Air Lease Corp. | &nbsp;&nbsp;Air Lease Corp. | &nbsp;&nbsp;Air Lease Corp. |
| &nbsp;&nbsp;03/01/2025 | &nbsp;&nbsp;3.250% | 160000 | &nbsp;&nbsp;&nbsp;&nbsp;151731 |
| &nbsp;&nbsp;Avolon Holdings Funding Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Avolon Holdings Funding Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Avolon Holdings Funding Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Avolon Holdings Funding Ltd.<sup>(a)</sup> |
| &nbsp;&nbsp;07/01/2024 | &nbsp;&nbsp;3.950% | &nbsp;&nbsp;45000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42842 |
| &nbsp;&nbsp;02/15/2025 | &nbsp;&nbsp;2.875% | 195000 | &nbsp;&nbsp;&nbsp;&nbsp;179049 |
| &nbsp;&nbsp;11/18/2027 | &nbsp;&nbsp;2.528% | 199000 | &nbsp;&nbsp;&nbsp;&nbsp;160011 |
| &nbsp;&nbsp;Park Aerospace Holdings Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Park Aerospace Holdings Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Park Aerospace Holdings Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Park Aerospace Holdings Ltd.<sup>(a)</sup> |
| &nbsp;&nbsp;03/15/2023 | &nbsp;&nbsp;4.500% | &nbsp;&nbsp;45000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44795 |
| &nbsp;&nbsp;02/15/2024 | &nbsp;&nbsp;5.500% | &nbsp;&nbsp;63000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;61938 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**1322888** |
| &nbsp;&nbsp;**Food and Beverage 0.8%** | &nbsp;&nbsp;**Food and Beverage 0.8%** | &nbsp;&nbsp;**Food and Beverage 0.8%** | &nbsp;&nbsp;**Food and Beverage 0.8%** |
| &nbsp;&nbsp;Becle SAB de CV<sup>(a)</sup> | &nbsp;&nbsp;Becle SAB de CV<sup>(a)</sup> | &nbsp;&nbsp;Becle SAB de CV<sup>(a)</sup> | &nbsp;&nbsp;Becle SAB de CV<sup>(a)</sup> |
| &nbsp;&nbsp;10/14/2031 | &nbsp;&nbsp;2.500% | 205000 | &nbsp;&nbsp;&nbsp;&nbsp;160552 |

---

12 Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Chobani LLC/Finance Corp., Inc.<sup>(a)</sup> | &nbsp;&nbsp;Chobani LLC/Finance Corp., Inc.<sup>(a)</sup> | &nbsp;&nbsp;Chobani LLC/Finance Corp., Inc.<sup>(a)</sup> | &nbsp;&nbsp;Chobani LLC/Finance Corp., Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;11/15/2028 | &nbsp;&nbsp;4.625% | 150000 | &nbsp;&nbsp;&nbsp;&nbsp;132711 |
| &nbsp;&nbsp;Darling Ingredients, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Darling Ingredients, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Darling Ingredients, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Darling Ingredients, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;06/15/2030 | &nbsp;&nbsp;6.000% | 310000 | &nbsp;&nbsp;&nbsp;&nbsp;303701 |
| &nbsp;&nbsp;H-Food Holdings LLC/Hearthside Finance Co., Inc.<sup>(a)</sup> | &nbsp;&nbsp;H-Food Holdings LLC/Hearthside Finance Co., Inc.<sup>(a)</sup> | &nbsp;&nbsp;H-Food Holdings LLC/Hearthside Finance Co., Inc.<sup>(a)</sup> | &nbsp;&nbsp;H-Food Holdings LLC/Hearthside Finance Co., Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;06/01/2026 | &nbsp;&nbsp;8.500% | 105000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;61017 |
| &nbsp;&nbsp;JBS USA LUX SA/Food Co./Finance, Inc.<sup>(a)</sup> | &nbsp;&nbsp;JBS USA LUX SA/Food Co./Finance, Inc.<sup>(a)</sup> | &nbsp;&nbsp;JBS USA LUX SA/Food Co./Finance, Inc.<sup>(a)</sup> | &nbsp;&nbsp;JBS USA LUX SA/Food Co./Finance, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;12/01/2031 | &nbsp;&nbsp;3.750% | 400000 | &nbsp;&nbsp;&nbsp;&nbsp;332894 |
| &nbsp;&nbsp;01/15/2032 | &nbsp;&nbsp;3.625% | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;165829 |
| &nbsp;&nbsp;04/01/2033 | &nbsp;&nbsp;5.750% | 170000 | &nbsp;&nbsp;&nbsp;&nbsp;164894 |
| &nbsp;&nbsp;12/01/2052 | &nbsp;&nbsp;6.500% | &nbsp;&nbsp;75000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;73531 |
| &nbsp;&nbsp;Kraft Heinz Foods Co. | &nbsp;&nbsp;Kraft Heinz Foods Co. | &nbsp;&nbsp;Kraft Heinz Foods Co. | &nbsp;&nbsp;Kraft Heinz Foods Co. |
| &nbsp;&nbsp;06/01/2026 | &nbsp;&nbsp;3.000% | 135000 | &nbsp;&nbsp;&nbsp;&nbsp;127080 |
| &nbsp;&nbsp;05/15/2027 | &nbsp;&nbsp;3.875% | &nbsp;&nbsp;80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;77193 |
| &nbsp;&nbsp;03/01/2031 | &nbsp;&nbsp;4.250% | 300000 | &nbsp;&nbsp;&nbsp;&nbsp;285018 |
| &nbsp;&nbsp;01/26/2039 | &nbsp;&nbsp;6.875% | 220000 | &nbsp;&nbsp;&nbsp;&nbsp;244058 |
| &nbsp;&nbsp;10/01/2039 | &nbsp;&nbsp;4.625% | 235000 | &nbsp;&nbsp;&nbsp;&nbsp;210987 |
| &nbsp;&nbsp;06/01/2046 | &nbsp;&nbsp;4.375% | 205000 | &nbsp;&nbsp;&nbsp;&nbsp;172699 |
| &nbsp;&nbsp;Kraft Heinz Foods Co.<sup>(a)</sup> | &nbsp;&nbsp;Kraft Heinz Foods Co.<sup>(a)</sup> | &nbsp;&nbsp;Kraft Heinz Foods Co.<sup>(a)</sup> | &nbsp;&nbsp;Kraft Heinz Foods Co.<sup>(a)</sup> |
| &nbsp;&nbsp;08/01/2039 | &nbsp;&nbsp;7.125% | &nbsp;&nbsp;35000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39369 |
| &nbsp;&nbsp;MARB BondCo PLC<sup>(a)</sup> | &nbsp;&nbsp;MARB BondCo PLC<sup>(a)</sup> | &nbsp;&nbsp;MARB BondCo PLC<sup>(a)</sup> | &nbsp;&nbsp;MARB BondCo PLC<sup>(a)</sup> |
| &nbsp;&nbsp;01/29/2031 | &nbsp;&nbsp;3.950% | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;154955 |
| &nbsp;&nbsp;NBM US Holdings, Inc.<sup>(a)</sup> | &nbsp;&nbsp;NBM US Holdings, Inc.<sup>(a)</sup> | &nbsp;&nbsp;NBM US Holdings, Inc.<sup>(a)</sup> | &nbsp;&nbsp;NBM US Holdings, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;05/14/2026 | &nbsp;&nbsp;7.000% | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;198575 |
| &nbsp;&nbsp;Pilgrim's Pride Corp.<sup>(a)</sup> | &nbsp;&nbsp;Pilgrim's Pride Corp.<sup>(a)</sup> | &nbsp;&nbsp;Pilgrim's Pride Corp.<sup>(a)</sup> | &nbsp;&nbsp;Pilgrim's Pride Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;09/30/2027 | &nbsp;&nbsp;5.875% | 150000 | &nbsp;&nbsp;&nbsp;&nbsp;148182 |
| &nbsp;&nbsp;04/15/2031 | &nbsp;&nbsp;4.250% | 150000 | &nbsp;&nbsp;&nbsp;&nbsp;130355 |
| &nbsp;&nbsp;Post Holdings, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Post Holdings, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Post Holdings, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Post Holdings, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;01/15/2028 | &nbsp;&nbsp;5.625% | 315000 | &nbsp;&nbsp;&nbsp;&nbsp;300473 |
| &nbsp;&nbsp;12/15/2029 | &nbsp;&nbsp;5.500% | 110000 | &nbsp;&nbsp;&nbsp;&nbsp;101117 |
| &nbsp;&nbsp;09/15/2031 | &nbsp;&nbsp;4.500% | 165000 | &nbsp;&nbsp;&nbsp;&nbsp;139385 |
| &nbsp;&nbsp;Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed<sup>(a)</sup> | &nbsp;&nbsp;Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed<sup>(a)</sup> | &nbsp;&nbsp;Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed<sup>(a)</sup> | &nbsp;&nbsp;Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed<sup>(a)</sup> |
| &nbsp;&nbsp;03/01/2029 | &nbsp;&nbsp;4.625% | 170000 | &nbsp;&nbsp;&nbsp;&nbsp;140626 |
| &nbsp;&nbsp;TreeHouse Foods, Inc. | &nbsp;&nbsp;TreeHouse Foods, Inc. | &nbsp;&nbsp;TreeHouse Foods, Inc. | &nbsp;&nbsp;TreeHouse Foods, Inc. |
| &nbsp;&nbsp;09/01/2028 | &nbsp;&nbsp;4.000% | 160000 | &nbsp;&nbsp;&nbsp;&nbsp;136662 |
| &nbsp;&nbsp;Triton Water Holdings, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Triton Water Holdings, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Triton Water Holdings, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Triton Water Holdings, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;04/01/2029 | &nbsp;&nbsp;6.250% | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;155759 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**4157622** |
| &nbsp;&nbsp;**Gaming 0.4%** | &nbsp;&nbsp;**Gaming 0.4%** | &nbsp;&nbsp;**Gaming 0.4%** | &nbsp;&nbsp;**Gaming 0.4%** |
| &nbsp;&nbsp;Caesars Entertainment, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Caesars Entertainment, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Caesars Entertainment, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Caesars Entertainment, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;10/15/2029 | &nbsp;&nbsp;4.625% | &nbsp;&nbsp;90000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75721 |
| &nbsp;&nbsp;Churchill Downs, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Churchill Downs, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Churchill Downs, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Churchill Downs, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;01/15/2028 | &nbsp;&nbsp;4.750% | &nbsp;&nbsp;92000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;84640 |
| &nbsp;&nbsp;Colt Merger Sub, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Colt Merger Sub, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Colt Merger Sub, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Colt Merger Sub, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;07/01/2027 | &nbsp;&nbsp;8.125% | 130000 | &nbsp;&nbsp;&nbsp;&nbsp;130512 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** |  | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;GLP Capital LP/Financing II, Inc. | &nbsp;&nbsp;GLP Capital LP/Financing II, Inc. | &nbsp;&nbsp;GLP Capital LP/Financing II, Inc. | &nbsp;&nbsp;GLP Capital LP/Financing II, Inc. | &nbsp;&nbsp;GLP Capital LP/Financing II, Inc. |
| &nbsp;&nbsp;04/15/2026 | &nbsp;&nbsp;5.375% |  | 395000 | &nbsp;&nbsp;&nbsp;&nbsp;383833 |
| &nbsp;&nbsp;06/01/2028 | &nbsp;&nbsp;5.750% |  | &nbsp;&nbsp;80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;77939 |
| &nbsp;&nbsp;01/15/2029 | &nbsp;&nbsp;5.300% |  | 130000 | &nbsp;&nbsp;&nbsp;&nbsp;122646 |
| &nbsp;&nbsp;MGM Resorts International | &nbsp;&nbsp;MGM Resorts International | &nbsp;&nbsp;MGM Resorts International | &nbsp;&nbsp;MGM Resorts International | &nbsp;&nbsp;MGM Resorts International |
| &nbsp;&nbsp;10/15/2028 | &nbsp;&nbsp;4.750% |  | &nbsp;&nbsp;20000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17798 |
| &nbsp;&nbsp;Penn National Gaming, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Penn National Gaming, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Penn National Gaming, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Penn National Gaming, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Penn National Gaming, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;07/01/2029 | &nbsp;&nbsp;4.125% |  | 185000 | &nbsp;&nbsp;&nbsp;&nbsp;152450 |
| &nbsp;&nbsp;Premier Entertainment Sub LLC/Finance Corp.<sup>(a)</sup> | &nbsp;&nbsp;Premier Entertainment Sub LLC/Finance Corp.<sup>(a)</sup> | &nbsp;&nbsp;Premier Entertainment Sub LLC/Finance Corp.<sup>(a)</sup> | &nbsp;&nbsp;Premier Entertainment Sub LLC/Finance Corp.<sup>(a)</sup> | &nbsp;&nbsp;Premier Entertainment Sub LLC/Finance Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;09/01/2031 | &nbsp;&nbsp;5.875% |  | &nbsp;&nbsp;59000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44935 |
| &nbsp;&nbsp;VICI Properties LP | &nbsp;&nbsp;VICI Properties LP | &nbsp;&nbsp;VICI Properties LP | &nbsp;&nbsp;VICI Properties LP | &nbsp;&nbsp;VICI Properties LP |
| &nbsp;&nbsp;05/15/2032 | &nbsp;&nbsp;5.125% |  | 335000 | &nbsp;&nbsp;&nbsp;&nbsp;312722 |
| &nbsp;&nbsp;05/15/2052 | &nbsp;&nbsp;5.625% |  | &nbsp;&nbsp;70000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63336 |
| &nbsp;&nbsp;VICI Properties LP/Note Co., Inc.<sup>(a)</sup> | &nbsp;&nbsp;VICI Properties LP/Note Co., Inc.<sup>(a)</sup> | &nbsp;&nbsp;VICI Properties LP/Note Co., Inc.<sup>(a)</sup> | &nbsp;&nbsp;VICI Properties LP/Note Co., Inc.<sup>(a)</sup> | &nbsp;&nbsp;VICI Properties LP/Note Co., Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;05/01/2024 | &nbsp;&nbsp;5.625% |  | &nbsp;&nbsp;75000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;74413 |
| &nbsp;&nbsp;09/01/2026 | &nbsp;&nbsp;4.500% |  | &nbsp;&nbsp;30000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28136 |
| &nbsp;&nbsp;02/01/2027 | &nbsp;&nbsp;5.750% |  | &nbsp;&nbsp;55000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53599 |
| &nbsp;&nbsp;02/15/2027 | &nbsp;&nbsp;3.750% |  | &nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9031 |
| &nbsp;&nbsp;01/15/2028 | &nbsp;&nbsp;4.500% |  | &nbsp;&nbsp;45000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41201 |
| &nbsp;&nbsp;02/15/2029 | &nbsp;&nbsp;3.875% |  | &nbsp;&nbsp;35000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30899 |
| &nbsp;&nbsp;12/01/2029 | &nbsp;&nbsp;4.625% |  | 185000 | &nbsp;&nbsp;&nbsp;&nbsp;167562 |
| &nbsp;&nbsp;08/15/2030 | &nbsp;&nbsp;4.125% |  | 190000 | &nbsp;&nbsp;&nbsp;&nbsp;166035 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**2037408** |
| &nbsp;&nbsp;**Health Care 1.3%** | &nbsp;&nbsp;**Health Care 1.3%** | &nbsp;&nbsp;**Health Care 1.3%** | &nbsp;&nbsp;**Health Care 1.3%** | &nbsp;&nbsp;**Health Care 1.3%** |
| &nbsp;&nbsp;180 Medical, Inc.<sup>(a)</sup> | &nbsp;&nbsp;180 Medical, Inc.<sup>(a)</sup> | &nbsp;&nbsp;180 Medical, Inc.<sup>(a)</sup> | &nbsp;&nbsp;180 Medical, Inc.<sup>(a)</sup> | &nbsp;&nbsp;180 Medical, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;10/15/2029 | &nbsp;&nbsp;3.875% |  | 160000 | &nbsp;&nbsp;&nbsp;&nbsp;136792 |
| &nbsp;&nbsp;Baylor Scott & White Holdings | &nbsp;&nbsp;Baylor Scott & White Holdings | &nbsp;&nbsp;Baylor Scott & White Holdings | &nbsp;&nbsp;Baylor Scott & White Holdings | &nbsp;&nbsp;Baylor Scott & White Holdings |
| &nbsp;&nbsp;11/15/2026 | &nbsp;&nbsp;2.650% |  | 500000 | &nbsp;&nbsp;&nbsp;&nbsp;462942 |
| &nbsp;&nbsp;Becton Dickinson Euro Finance SARL | &nbsp;&nbsp;Becton Dickinson Euro Finance SARL | &nbsp;&nbsp;Becton Dickinson Euro Finance SARL | &nbsp;&nbsp;Becton Dickinson Euro Finance SARL | &nbsp;&nbsp;Becton Dickinson Euro Finance SARL |
| &nbsp;&nbsp;06/04/2026 | &nbsp;&nbsp;1.208% | &nbsp;&nbsp;EUR | 255000 | &nbsp;&nbsp;&nbsp;&nbsp;246364 |
| &nbsp;&nbsp;Cano Health LLC<sup>(a)</sup> | &nbsp;&nbsp;Cano Health LLC<sup>(a)</sup> | &nbsp;&nbsp;Cano Health LLC<sup>(a)</sup> | &nbsp;&nbsp;Cano Health LLC<sup>(a)</sup> | &nbsp;&nbsp;Cano Health LLC<sup>(a)</sup> |
| &nbsp;&nbsp;10/01/2028 | &nbsp;&nbsp;6.250% |  | &nbsp;&nbsp;90000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45512 |
| &nbsp;&nbsp;Catalent Pharma Solutions, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Catalent Pharma Solutions, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Catalent Pharma Solutions, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Catalent Pharma Solutions, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Catalent Pharma Solutions, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;04/01/2030 | &nbsp;&nbsp;3.500% |  | 260000 | &nbsp;&nbsp;&nbsp;&nbsp;214504 |
| &nbsp;&nbsp;CommonSpirit Health | &nbsp;&nbsp;CommonSpirit Health | &nbsp;&nbsp;CommonSpirit Health | &nbsp;&nbsp;CommonSpirit Health | &nbsp;&nbsp;CommonSpirit Health |
| &nbsp;&nbsp;10/01/2030 | &nbsp;&nbsp;2.782% |  | &nbsp;&nbsp;70000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56401 |
| &nbsp;&nbsp;CVS Health Corp. | &nbsp;&nbsp;CVS Health Corp. | &nbsp;&nbsp;CVS Health Corp. | &nbsp;&nbsp;CVS Health Corp. | &nbsp;&nbsp;CVS Health Corp. |
| &nbsp;&nbsp;03/25/2048 | &nbsp;&nbsp;5.050% |  | 305000 | &nbsp;&nbsp;&nbsp;&nbsp;282467 |
| &nbsp;&nbsp;Dentsply Sirona, Inc. | &nbsp;&nbsp;Dentsply Sirona, Inc. | &nbsp;&nbsp;Dentsply Sirona, Inc. | &nbsp;&nbsp;Dentsply Sirona, Inc. | &nbsp;&nbsp;Dentsply Sirona, Inc. |
| &nbsp;&nbsp;06/01/2030 | &nbsp;&nbsp;3.250% |  | 165000 | &nbsp;&nbsp;&nbsp;&nbsp;137045 |
| &nbsp;&nbsp;DH Europe Finance II SARL | &nbsp;&nbsp;DH Europe Finance II SARL | &nbsp;&nbsp;DH Europe Finance II SARL | &nbsp;&nbsp;DH Europe Finance II SARL | &nbsp;&nbsp;DH Europe Finance II SARL |
| &nbsp;&nbsp;03/18/2028 | &nbsp;&nbsp;0.450% | &nbsp;&nbsp;EUR | 335000 | &nbsp;&nbsp;&nbsp;&nbsp;304171 |
| &nbsp;&nbsp;Embecta Corp.<sup>(a)</sup> | &nbsp;&nbsp;Embecta Corp.<sup>(a)</sup> | &nbsp;&nbsp;Embecta Corp.<sup>(a)</sup> | &nbsp;&nbsp;Embecta Corp.<sup>(a)</sup> | &nbsp;&nbsp;Embecta Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;02/15/2030 | &nbsp;&nbsp;5.000% |  | 270000 | &nbsp;&nbsp;&nbsp;&nbsp;230683 |
| &nbsp;&nbsp;Encompass Health Corp. | &nbsp;&nbsp;Encompass Health Corp. | &nbsp;&nbsp;Encompass Health Corp. | &nbsp;&nbsp;Encompass Health Corp. | &nbsp;&nbsp;Encompass Health Corp. |
| &nbsp;&nbsp;04/01/2031 | &nbsp;&nbsp;4.625% |  | 165000 | &nbsp;&nbsp;&nbsp;&nbsp;142460 |
| &nbsp;&nbsp;Hackensack Meridian Health, Inc. | &nbsp;&nbsp;Hackensack Meridian Health, Inc. | &nbsp;&nbsp;Hackensack Meridian Health, Inc. | &nbsp;&nbsp;Hackensack Meridian Health, Inc. | &nbsp;&nbsp;Hackensack Meridian Health, Inc. |
| &nbsp;&nbsp;07/01/2057 | &nbsp;&nbsp;4.500% |  | 300000 | &nbsp;&nbsp;&nbsp;&nbsp;258691 |

---

Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022<br> 13

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** |  | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;HCA, Inc. | &nbsp;&nbsp;HCA, Inc. | &nbsp;&nbsp;HCA, Inc. | &nbsp;&nbsp;HCA, Inc. | &nbsp;&nbsp;HCA, Inc. |
| &nbsp;&nbsp;02/01/2025 | &nbsp;&nbsp;5.375% |  | 295000 | &nbsp;&nbsp;&nbsp;&nbsp;294581 |
| &nbsp;&nbsp;09/15/2025 | &nbsp;&nbsp;7.580% |  | 125000 | &nbsp;&nbsp;&nbsp;&nbsp;130655 |
| &nbsp;&nbsp;12/01/2027 | &nbsp;&nbsp;7.050% |  | 115000 | &nbsp;&nbsp;&nbsp;&nbsp;120515 |
| &nbsp;&nbsp;09/01/2028 | &nbsp;&nbsp;5.625% |  | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;99948 |
| &nbsp;&nbsp;06/15/2029 | &nbsp;&nbsp;4.125% |  | 403000 | &nbsp;&nbsp;&nbsp;&nbsp;369532 |
| &nbsp;&nbsp;09/01/2030 | &nbsp;&nbsp;3.500% |  | 854000 | &nbsp;&nbsp;&nbsp;&nbsp;739593 |
| &nbsp;&nbsp;06/15/2047 | &nbsp;&nbsp;5.500% |  | &nbsp;&nbsp;84000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;76011 |
| &nbsp;&nbsp;06/15/2049 | &nbsp;&nbsp;5.250% |  | 230000 | &nbsp;&nbsp;&nbsp;&nbsp;201984 |
| &nbsp;&nbsp;HCA, Inc.<sup>(a)</sup> | &nbsp;&nbsp;HCA, Inc.<sup>(a)</sup> | &nbsp;&nbsp;HCA, Inc.<sup>(a)</sup> | &nbsp;&nbsp;HCA, Inc.<sup>(a)</sup> | &nbsp;&nbsp;HCA, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;03/15/2052 | &nbsp;&nbsp;4.625% |  | 335000 | &nbsp;&nbsp;&nbsp;&nbsp;269496 |
| &nbsp;&nbsp;ModivCare Escrow Issuer, Inc.<sup>(a)</sup> | &nbsp;&nbsp;ModivCare Escrow Issuer, Inc.<sup>(a)</sup> | &nbsp;&nbsp;ModivCare Escrow Issuer, Inc.<sup>(a)</sup> | &nbsp;&nbsp;ModivCare Escrow Issuer, Inc.<sup>(a)</sup> | &nbsp;&nbsp;ModivCare Escrow Issuer, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;10/01/2029 | &nbsp;&nbsp;5.000% |  | &nbsp;&nbsp;75000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63060 |
| &nbsp;&nbsp;New York and Presbyterian Hospital (The) | &nbsp;&nbsp;New York and Presbyterian Hospital (The) | &nbsp;&nbsp;New York and Presbyterian Hospital (The) | &nbsp;&nbsp;New York and Presbyterian Hospital (The) | &nbsp;&nbsp;New York and Presbyterian Hospital (The) |
| &nbsp;&nbsp;08/01/2036 | &nbsp;&nbsp;3.563% |  | 390000 | &nbsp;&nbsp;&nbsp;&nbsp;331906 |
| &nbsp;&nbsp;Option Care Health, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Option Care Health, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Option Care Health, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Option Care Health, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Option Care Health, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;10/31/2029 | &nbsp;&nbsp;4.375% |  | 160000 | &nbsp;&nbsp;&nbsp;&nbsp;136411 |
| &nbsp;&nbsp;Prime Healthcare Services, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Prime Healthcare Services, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Prime Healthcare Services, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Prime Healthcare Services, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Prime Healthcare Services, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;11/01/2025 | &nbsp;&nbsp;7.250% |  | 150000 | &nbsp;&nbsp;&nbsp;&nbsp;128310 |
| &nbsp;&nbsp;Providence Service Corp. (The)<sup>(a)</sup> | &nbsp;&nbsp;Providence Service Corp. (The)<sup>(a)</sup> | &nbsp;&nbsp;Providence Service Corp. (The)<sup>(a)</sup> | &nbsp;&nbsp;Providence Service Corp. (The)<sup>(a)</sup> | &nbsp;&nbsp;Providence Service Corp. (The)<sup>(a)</sup> |
| &nbsp;&nbsp;11/15/2025 | &nbsp;&nbsp;5.875% |  | 158000 | &nbsp;&nbsp;&nbsp;&nbsp;146138 |
| &nbsp;&nbsp;Rede D'or Finance SARL<sup>(a)</sup> | &nbsp;&nbsp;Rede D'or Finance SARL<sup>(a)</sup> | &nbsp;&nbsp;Rede D'or Finance SARL<sup>(a)</sup> | &nbsp;&nbsp;Rede D'or Finance SARL<sup>(a)</sup> | &nbsp;&nbsp;Rede D'or Finance SARL<sup>(a)</sup> |
| &nbsp;&nbsp;01/22/2030 | &nbsp;&nbsp;4.500% |  | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;172413 |
| &nbsp;&nbsp;Stryker Corp. | &nbsp;&nbsp;Stryker Corp. | &nbsp;&nbsp;Stryker Corp. | &nbsp;&nbsp;Stryker Corp. | &nbsp;&nbsp;Stryker Corp. |
| &nbsp;&nbsp;12/01/2023 | &nbsp;&nbsp;0.600% |  | 109000 | &nbsp;&nbsp;&nbsp;&nbsp;104115 |
| &nbsp;&nbsp;06/15/2025 | &nbsp;&nbsp;1.150% |  | 310000 | &nbsp;&nbsp;&nbsp;&nbsp;284116 |
| &nbsp;&nbsp;Tenet Healthcare Corp. | &nbsp;&nbsp;Tenet Healthcare Corp. | &nbsp;&nbsp;Tenet Healthcare Corp. | &nbsp;&nbsp;Tenet Healthcare Corp. | &nbsp;&nbsp;Tenet Healthcare Corp. |
| &nbsp;&nbsp;07/15/2024 | &nbsp;&nbsp;4.625% |  | &nbsp;&nbsp;22000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21528 |
| &nbsp;&nbsp;Thermo Fisher Scientific, Inc. | &nbsp;&nbsp;Thermo Fisher Scientific, Inc. | &nbsp;&nbsp;Thermo Fisher Scientific, Inc. | &nbsp;&nbsp;Thermo Fisher Scientific, Inc. | &nbsp;&nbsp;Thermo Fisher Scientific, Inc. |
| &nbsp;&nbsp;09/12/2024 | &nbsp;&nbsp;0.750% | &nbsp;&nbsp;EUR | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;100260 |
| &nbsp;&nbsp;01/23/2026 | &nbsp;&nbsp;1.400% | &nbsp;&nbsp;EUR | 125000 | &nbsp;&nbsp;&nbsp;&nbsp;123815 |
| &nbsp;&nbsp;03/01/2028 | &nbsp;&nbsp;0.500% | &nbsp;&nbsp;EUR | 105000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;96258 |
| &nbsp;&nbsp;Zimmer Biomet Holdings, Inc. | &nbsp;&nbsp;Zimmer Biomet Holdings, Inc. | &nbsp;&nbsp;Zimmer Biomet Holdings, Inc. | &nbsp;&nbsp;Zimmer Biomet Holdings, Inc. | &nbsp;&nbsp;Zimmer Biomet Holdings, Inc. |
| &nbsp;&nbsp;11/22/2024 | &nbsp;&nbsp;1.450% |  | 110000 | &nbsp;&nbsp;&nbsp;&nbsp;102114 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**6630791** |
| &nbsp;&nbsp;**Healthcare Insurance 0.4%** | &nbsp;&nbsp;**Healthcare Insurance 0.4%** | &nbsp;&nbsp;**Healthcare Insurance 0.4%** | &nbsp;&nbsp;**Healthcare Insurance 0.4%** | &nbsp;&nbsp;**Healthcare Insurance 0.4%** |
| &nbsp;&nbsp;Centene Corp. | &nbsp;&nbsp;Centene Corp. | &nbsp;&nbsp;Centene Corp. | &nbsp;&nbsp;Centene Corp. | &nbsp;&nbsp;Centene Corp. |
| &nbsp;&nbsp;12/15/2027 | &nbsp;&nbsp;4.250% |  | 115000 | &nbsp;&nbsp;&nbsp;&nbsp;107977 |
| &nbsp;&nbsp;07/15/2028 | &nbsp;&nbsp;2.450% |  | 447000 | &nbsp;&nbsp;&nbsp;&nbsp;377944 |
| &nbsp;&nbsp;12/15/2029 | &nbsp;&nbsp;4.625% |  | &nbsp;&nbsp;55000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51124 |
| &nbsp;&nbsp;02/15/2030 | &nbsp;&nbsp;3.375% |  | 495000 | &nbsp;&nbsp;&nbsp;&nbsp;422427 |
| &nbsp;&nbsp;10/15/2030 | &nbsp;&nbsp;3.000% |  | 390000 | &nbsp;&nbsp;&nbsp;&nbsp;321817 |
| &nbsp;&nbsp;03/01/2031 | &nbsp;&nbsp;2.500% |  | 195000 | &nbsp;&nbsp;&nbsp;&nbsp;154429 |
| &nbsp;&nbsp;Molina Healthcare, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Molina Healthcare, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Molina Healthcare, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Molina Healthcare, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Molina Healthcare, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;06/15/2028 | &nbsp;&nbsp;4.375% |  | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;181467 |
| &nbsp;&nbsp;11/15/2030 | &nbsp;&nbsp;3.875% |  | 225000 | &nbsp;&nbsp;&nbsp;&nbsp;193472 |
| &nbsp;&nbsp;UnitedHealth Group, Inc. | &nbsp;&nbsp;UnitedHealth Group, Inc. | &nbsp;&nbsp;UnitedHealth Group, Inc. | &nbsp;&nbsp;UnitedHealth Group, Inc. | &nbsp;&nbsp;UnitedHealth Group, Inc. |
| &nbsp;&nbsp;05/15/2024 | &nbsp;&nbsp;0.550% |  | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94130 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**1904787** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**Healthcare REIT 0.1%** | &nbsp;&nbsp;**Healthcare REIT 0.1%** | &nbsp;&nbsp;**Healthcare REIT 0.1%** | &nbsp;&nbsp;**Healthcare REIT 0.1%** |
| &nbsp;&nbsp;Healthcare Realty Holdings LP | &nbsp;&nbsp;Healthcare Realty Holdings LP | &nbsp;&nbsp;Healthcare Realty Holdings LP | &nbsp;&nbsp;Healthcare Realty Holdings LP |
| &nbsp;&nbsp;01/15/2028 | &nbsp;&nbsp;3.625% | &nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4471 |
| &nbsp;&nbsp;03/15/2030 | &nbsp;&nbsp;2.400% | &nbsp;&nbsp;40000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30937 |
| &nbsp;&nbsp;Healthcare Trust of America Holdings LP | &nbsp;&nbsp;Healthcare Trust of America Holdings LP | &nbsp;&nbsp;Healthcare Trust of America Holdings LP | &nbsp;&nbsp;Healthcare Trust of America Holdings LP |
| &nbsp;&nbsp;07/01/2027 | &nbsp;&nbsp;3.750% | &nbsp;&nbsp;45000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42045 |
| &nbsp;&nbsp;02/15/2030 | &nbsp;&nbsp;3.100% | &nbsp;&nbsp;35000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29571 |
| &nbsp;&nbsp;03/15/2031 | &nbsp;&nbsp;2.000% | 175000 | &nbsp;&nbsp;&nbsp;&nbsp;133943 |
| &nbsp;&nbsp;Physicians Realty LP | &nbsp;&nbsp;Physicians Realty LP | &nbsp;&nbsp;Physicians Realty LP | &nbsp;&nbsp;Physicians Realty LP |
| &nbsp;&nbsp;11/01/2031 | &nbsp;&nbsp;2.625% | &nbsp;&nbsp;95000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75129 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**316096** |
| &nbsp;&nbsp;**Home Construction 0.0%** | &nbsp;&nbsp;**Home Construction 0.0%** | &nbsp;&nbsp;**Home Construction 0.0%** | &nbsp;&nbsp;**Home Construction 0.0%** |
| &nbsp;&nbsp;China Aoyuan Group, Ltd.<sup>(a),(m)</sup> | &nbsp;&nbsp;China Aoyuan Group, Ltd.<sup>(a),(m)</sup> | &nbsp;&nbsp;China Aoyuan Group, Ltd.<sup>(a),(m)</sup> | &nbsp;&nbsp;China Aoyuan Group, Ltd.<sup>(a),(m)</sup> |
| &nbsp;&nbsp;02/08/2024 | &nbsp;&nbsp;0.000% | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10077 |
| &nbsp;&nbsp;**Independent Energy 0.7%** | &nbsp;&nbsp;**Independent Energy 0.7%** | &nbsp;&nbsp;**Independent Energy 0.7%** | &nbsp;&nbsp;**Independent Energy 0.7%** |
| &nbsp;&nbsp;Aker BP ASA<sup>(a)</sup> | &nbsp;&nbsp;Aker BP ASA<sup>(a)</sup> | &nbsp;&nbsp;Aker BP ASA<sup>(a)</sup> | &nbsp;&nbsp;Aker BP ASA<sup>(a)</sup> |
| &nbsp;&nbsp;01/15/2030 | &nbsp;&nbsp;3.750% | 210000 | &nbsp;&nbsp;&nbsp;&nbsp;186311 |
| &nbsp;&nbsp;Continental Resources, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Continental Resources, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Continental Resources, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Continental Resources, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;01/15/2031 | &nbsp;&nbsp;5.750% | 421000 | &nbsp;&nbsp;&nbsp;&nbsp;398168 |
| &nbsp;&nbsp;04/01/2032 | &nbsp;&nbsp;2.875% | 318000 | &nbsp;&nbsp;&nbsp;&nbsp;242019 |
| &nbsp;&nbsp;Encana Corp. | &nbsp;&nbsp;Encana Corp. | &nbsp;&nbsp;Encana Corp. | &nbsp;&nbsp;Encana Corp. |
| &nbsp;&nbsp;08/15/2034 | &nbsp;&nbsp;6.500% | 255000 | &nbsp;&nbsp;&nbsp;&nbsp;262885 |
| &nbsp;&nbsp;02/01/2038 | &nbsp;&nbsp;6.500% | 130000 | &nbsp;&nbsp;&nbsp;&nbsp;132777 |
| &nbsp;&nbsp;EQT Corp.<sup>(a)</sup> | &nbsp;&nbsp;EQT Corp.<sup>(a)</sup> | &nbsp;&nbsp;EQT Corp.<sup>(a)</sup> | &nbsp;&nbsp;EQT Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;05/15/2026 | &nbsp;&nbsp;3.125% | &nbsp;&nbsp;40000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;36976 |
| &nbsp;&nbsp;05/15/2031 | &nbsp;&nbsp;3.625% | 625000 | &nbsp;&nbsp;&nbsp;&nbsp;540284 |
| &nbsp;&nbsp;EQT Corp. | &nbsp;&nbsp;EQT Corp. | &nbsp;&nbsp;EQT Corp. | &nbsp;&nbsp;EQT Corp. |
| &nbsp;&nbsp;10/01/2027 | &nbsp;&nbsp;3.900% | &nbsp;&nbsp;69000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63969 |
| &nbsp;&nbsp;Medco Oak Tree Pte Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Medco Oak Tree Pte Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Medco Oak Tree Pte Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Medco Oak Tree Pte Ltd.<sup>(a)</sup> |
| &nbsp;&nbsp;05/14/2026 | &nbsp;&nbsp;7.375% | 440000 | &nbsp;&nbsp;&nbsp;&nbsp;421387 |
| &nbsp;&nbsp;Occidental Petroleum Corp. | &nbsp;&nbsp;Occidental Petroleum Corp. | &nbsp;&nbsp;Occidental Petroleum Corp. | &nbsp;&nbsp;Occidental Petroleum Corp. |
| &nbsp;&nbsp;04/15/2026 | &nbsp;&nbsp;3.400% | &nbsp;&nbsp;55000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51789 |
| &nbsp;&nbsp;08/15/2026 | &nbsp;&nbsp;3.200% | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;91957 |
| &nbsp;&nbsp;09/01/2030 | &nbsp;&nbsp;6.625% | 235000 | &nbsp;&nbsp;&nbsp;&nbsp;245246 |
| &nbsp;&nbsp;01/01/2031 | &nbsp;&nbsp;6.125% | 170000 | &nbsp;&nbsp;&nbsp;&nbsp;172558 |
| &nbsp;&nbsp;05/01/2031 | &nbsp;&nbsp;7.500% | &nbsp;&nbsp;75000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;81468 |
| &nbsp;&nbsp;Occidental Petroleum Corp.<sup>(j)</sup> | &nbsp;&nbsp;Occidental Petroleum Corp.<sup>(j)</sup> | &nbsp;&nbsp;Occidental Petroleum Corp.<sup>(j)</sup> | &nbsp;&nbsp;Occidental Petroleum Corp.<sup>(j)</sup> |
| &nbsp;&nbsp;10/10/2036 | &nbsp;&nbsp;0.000% | 285000 | &nbsp;&nbsp;&nbsp;&nbsp;144174 |
| &nbsp;&nbsp;Petrorio Luxembourg Sarl<sup>(a)</sup> | &nbsp;&nbsp;Petrorio Luxembourg Sarl<sup>(a)</sup> | &nbsp;&nbsp;Petrorio Luxembourg Sarl<sup>(a)</sup> | &nbsp;&nbsp;Petrorio Luxembourg Sarl<sup>(a)</sup> |
| &nbsp;&nbsp;06/09/2026 | &nbsp;&nbsp;6.125% | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;190801 |
| &nbsp;&nbsp;Southwestern Energy Co.<sup>(l)</sup> | &nbsp;&nbsp;Southwestern Energy Co.<sup>(l)</sup> | &nbsp;&nbsp;Southwestern Energy Co.<sup>(l)</sup> | &nbsp;&nbsp;Southwestern Energy Co.<sup>(l)</sup> |
| &nbsp;&nbsp;01/23/2025 | &nbsp;&nbsp;5.700% | &nbsp;&nbsp;&nbsp;&nbsp;4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3960 |
| &nbsp;&nbsp;Var Energi ASA<sup>(a)</sup> | &nbsp;&nbsp;Var Energi ASA<sup>(a)</sup> | &nbsp;&nbsp;Var Energi ASA<sup>(a)</sup> | &nbsp;&nbsp;Var Energi ASA<sup>(a)</sup> |
| &nbsp;&nbsp;01/15/2028 | &nbsp;&nbsp;7.500% | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;205983 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**3472712** |

---

14 Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**Integrated Energy 0.2%** | &nbsp;&nbsp;**Integrated Energy 0.2%** | &nbsp;&nbsp;**Integrated Energy 0.2%** | &nbsp;&nbsp;**Integrated Energy 0.2%** |
| &nbsp;&nbsp;Cenovus Energy, Inc. | &nbsp;&nbsp;Cenovus Energy, Inc. | &nbsp;&nbsp;Cenovus Energy, Inc. | &nbsp;&nbsp;Cenovus Energy, Inc. |
| &nbsp;&nbsp;02/07/2028 | &nbsp;&nbsp;&nbsp;&nbsp;3.500% &nbsp;&nbsp;CAD | 115000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;81656 |
| &nbsp;&nbsp;06/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp;5.250% | 175000 | &nbsp;&nbsp;&nbsp;&nbsp;162671 |
| &nbsp;&nbsp;11/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp;6.750% | 403000 | &nbsp;&nbsp;&nbsp;&nbsp;425848 |
| &nbsp;&nbsp;06/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp;5.400% | 175000 | &nbsp;&nbsp;&nbsp;&nbsp;161803 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**831978** |
| &nbsp;&nbsp;**Leisure 0.1%** | &nbsp;&nbsp;**Leisure 0.1%** | &nbsp;&nbsp;**Leisure 0.1%** | &nbsp;&nbsp;**Leisure 0.1%** |
| &nbsp;&nbsp;Carnival Corp.<sup>(a)</sup> | &nbsp;&nbsp;Carnival Corp.<sup>(a)</sup> | &nbsp;&nbsp;Carnival Corp.<sup>(a)</sup> | &nbsp;&nbsp;Carnival Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;03/01/2027 | &nbsp;&nbsp;&nbsp;&nbsp;5.750% | 255000 | &nbsp;&nbsp;&nbsp;&nbsp;189608 |
| &nbsp;&nbsp;Cinemark USA, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Cinemark USA, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Cinemark USA, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Cinemark USA, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;07/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;5.250% | 160000 | &nbsp;&nbsp;&nbsp;&nbsp;127808 |
| &nbsp;&nbsp;Live Nation Entertainment, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Live Nation Entertainment, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Live Nation Entertainment, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Live Nation Entertainment, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;10/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;4.750% | &nbsp;&nbsp;70000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62304 |
| &nbsp;&nbsp;Royal Caribbean Cruises Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Royal Caribbean Cruises Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Royal Caribbean Cruises Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Royal Caribbean Cruises Ltd.<sup>(a)</sup> |
| &nbsp;&nbsp;08/15/2027 | &nbsp;&nbsp;11.625% | &nbsp;&nbsp;63000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64195 |
| &nbsp;&nbsp;04/01/2028 | &nbsp;&nbsp;&nbsp;&nbsp;5.500% | 385000 | &nbsp;&nbsp;&nbsp;&nbsp;315026 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**758941** |
| &nbsp;&nbsp;**Life Insurance 0.1%** | &nbsp;&nbsp;**Life Insurance 0.1%** | &nbsp;&nbsp;**Life Insurance 0.1%** | &nbsp;&nbsp;**Life Insurance 0.1%** |
| &nbsp;&nbsp;Athene Global Funding<sup>(a)</sup> | &nbsp;&nbsp;Athene Global Funding<sup>(a)</sup> | &nbsp;&nbsp;Athene Global Funding<sup>(a)</sup> | &nbsp;&nbsp;Athene Global Funding<sup>(a)</sup> |
| &nbsp;&nbsp;03/08/2027 | &nbsp;&nbsp;&nbsp;&nbsp;3.205% | &nbsp;&nbsp;95000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;85226 |
| &nbsp;&nbsp;08/19/2028 | &nbsp;&nbsp;&nbsp;&nbsp;1.985% | 395000 | &nbsp;&nbsp;&nbsp;&nbsp;321617 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**406843** |
| &nbsp;&nbsp;**Lodging 0.2%** | &nbsp;&nbsp;**Lodging 0.2%** | &nbsp;&nbsp;**Lodging 0.2%** | &nbsp;&nbsp;**Lodging 0.2%** |
| &nbsp;&nbsp;Hilton Domestic Operating Co., Inc. | &nbsp;&nbsp;Hilton Domestic Operating Co., Inc. | &nbsp;&nbsp;Hilton Domestic Operating Co., Inc. | &nbsp;&nbsp;Hilton Domestic Operating Co., Inc. |
| &nbsp;&nbsp;01/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;4.875% | 161000 | &nbsp;&nbsp;&nbsp;&nbsp;149001 |
| &nbsp;&nbsp;Hilton Domestic Operating Co., Inc.<sup>(a)</sup> | &nbsp;&nbsp;Hilton Domestic Operating Co., Inc.<sup>(a)</sup> | &nbsp;&nbsp;Hilton Domestic Operating Co., Inc.<sup>(a)</sup> | &nbsp;&nbsp;Hilton Domestic Operating Co., Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;02/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;3.625% | 280000 | &nbsp;&nbsp;&nbsp;&nbsp;230483 |
| &nbsp;&nbsp;Hyatt Hotels Corp.<sup>(l)</sup> | &nbsp;&nbsp;Hyatt Hotels Corp.<sup>(l)</sup> | &nbsp;&nbsp;Hyatt Hotels Corp.<sup>(l)</sup> | &nbsp;&nbsp;Hyatt Hotels Corp.<sup>(l)</sup> |
| &nbsp;&nbsp;04/23/2030 | &nbsp;&nbsp;&nbsp;&nbsp;6.000% | 256000 | &nbsp;&nbsp;&nbsp;&nbsp;254288 |
| &nbsp;&nbsp;Travel + Leisure Co.<sup>(a)</sup> | &nbsp;&nbsp;Travel + Leisure Co.<sup>(a)</sup> | &nbsp;&nbsp;Travel + Leisure Co.<sup>(a)</sup> | &nbsp;&nbsp;Travel + Leisure Co.<sup>(a)</sup> |
| &nbsp;&nbsp;07/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp;6.625% | 150000 | &nbsp;&nbsp;&nbsp;&nbsp;147213 |
| &nbsp;&nbsp;12/01/2029 | &nbsp;&nbsp;&nbsp;&nbsp;4.500% | 190000 | &nbsp;&nbsp;&nbsp;&nbsp;155153 |
| &nbsp;&nbsp;Wyndham Hotels & Resorts, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Wyndham Hotels & Resorts, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Wyndham Hotels & Resorts, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Wyndham Hotels & Resorts, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;08/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;4.375% | 135000 | &nbsp;&nbsp;&nbsp;&nbsp;121511 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**1057649** |
| &nbsp;&nbsp;**Media and Entertainment 0.4%** | &nbsp;&nbsp;**Media and Entertainment 0.4%** | &nbsp;&nbsp;**Media and Entertainment 0.4%** | &nbsp;&nbsp;**Media and Entertainment 0.4%** |
| &nbsp;&nbsp;Diamond Sports Group LLC/Finance Co.<sup>(a)</sup> | &nbsp;&nbsp;Diamond Sports Group LLC/Finance Co.<sup>(a)</sup> | &nbsp;&nbsp;Diamond Sports Group LLC/Finance Co.<sup>(a)</sup> | &nbsp;&nbsp;Diamond Sports Group LLC/Finance Co.<sup>(a)</sup> |
| &nbsp;&nbsp;08/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;5.375% | 293000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45600 |
| &nbsp;&nbsp;Gray Escrow II, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Gray Escrow II, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Gray Escrow II, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Gray Escrow II, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;11/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;5.375% | 150000 | &nbsp;&nbsp;&nbsp;&nbsp;114422 |
| &nbsp;&nbsp;Magallanes, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Magallanes, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Magallanes, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Magallanes, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;03/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp;5.050% | 305000 | &nbsp;&nbsp;&nbsp;&nbsp;243539 |
| &nbsp;&nbsp;03/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp;5.141% | 513000 | &nbsp;&nbsp;&nbsp;&nbsp;397307 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Netflix, Inc. | &nbsp;&nbsp;Netflix, Inc. | &nbsp;&nbsp;Netflix, Inc. | &nbsp;&nbsp;Netflix, Inc. |
| &nbsp;&nbsp;02/15/2025 | &nbsp;&nbsp;5.875% | 285000 | &nbsp;&nbsp;&nbsp;&nbsp;289046 |
| &nbsp;&nbsp;News Corp.<sup>(a)</sup> | &nbsp;&nbsp;News Corp.<sup>(a)</sup> | &nbsp;&nbsp;News Corp.<sup>(a)</sup> | &nbsp;&nbsp;News Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;05/15/2029 | &nbsp;&nbsp;3.875% | 370000 | &nbsp;&nbsp;&nbsp;&nbsp;328818 |
| &nbsp;&nbsp;Scripps Escrow II, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Scripps Escrow II, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Scripps Escrow II, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Scripps Escrow II, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;01/15/2031 | &nbsp;&nbsp;5.375% | 140000 | &nbsp;&nbsp;&nbsp;&nbsp;114303 |
| &nbsp;&nbsp;Scripps Escrow, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Scripps Escrow, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Scripps Escrow, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Scripps Escrow, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;07/15/2027 | &nbsp;&nbsp;5.875% | &nbsp;&nbsp;30000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26946 |
| &nbsp;&nbsp;WMG Acquisition Corp<sup>(a)</sup> | &nbsp;&nbsp;WMG Acquisition Corp<sup>(a)</sup> | &nbsp;&nbsp;WMG Acquisition Corp<sup>(a)</sup> | &nbsp;&nbsp;WMG Acquisition Corp<sup>(a)</sup> |
| &nbsp;&nbsp;02/15/2031 | &nbsp;&nbsp;3.000% | 410000 | &nbsp;&nbsp;&nbsp;&nbsp;340049 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**1900030** |
| &nbsp;&nbsp;**Metals and Mining 0.3%** | &nbsp;&nbsp;**Metals and Mining 0.3%** | &nbsp;&nbsp;**Metals and Mining 0.3%** | &nbsp;&nbsp;**Metals and Mining 0.3%** |
| &nbsp;&nbsp;Cleveland-Cliffs, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Cleveland-Cliffs, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Cleveland-Cliffs, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Cleveland-Cliffs, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;03/01/2029 | &nbsp;&nbsp;4.625% | 400000 | &nbsp;&nbsp;&nbsp;&nbsp;350960 |
| &nbsp;&nbsp;03/01/2031 | &nbsp;&nbsp;4.875% | 170000 | &nbsp;&nbsp;&nbsp;&nbsp;147574 |
| &nbsp;&nbsp;CSN Islands XI Corp.<sup>(a)</sup> | &nbsp;&nbsp;CSN Islands XI Corp.<sup>(a)</sup> | &nbsp;&nbsp;CSN Islands XI Corp.<sup>(a)</sup> | &nbsp;&nbsp;CSN Islands XI Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;01/28/2028 | &nbsp;&nbsp;6.750% | 215000 | &nbsp;&nbsp;&nbsp;&nbsp;204132 |
| &nbsp;&nbsp;FMG Resources August 2006 Pty Ltd.<sup>(a)</sup> | &nbsp;&nbsp;FMG Resources August 2006 Pty Ltd.<sup>(a)</sup> | &nbsp;&nbsp;FMG Resources August 2006 Pty Ltd.<sup>(a)</sup> | &nbsp;&nbsp;FMG Resources August 2006 Pty Ltd.<sup>(a)</sup> |
| &nbsp;&nbsp;04/01/2031 | &nbsp;&nbsp;4.375% | &nbsp;&nbsp;65000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;54758 |
| &nbsp;&nbsp;Freeport-McMoRan, Inc. | &nbsp;&nbsp;Freeport-McMoRan, Inc. | &nbsp;&nbsp;Freeport-McMoRan, Inc. | &nbsp;&nbsp;Freeport-McMoRan, Inc. |
| &nbsp;&nbsp;08/01/2030 | &nbsp;&nbsp;4.625% | 260000 | &nbsp;&nbsp;&nbsp;&nbsp;239235 |
| &nbsp;&nbsp;03/15/2043 | &nbsp;&nbsp;5.450% | 450000 | &nbsp;&nbsp;&nbsp;&nbsp;404646 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**1401305** |
| &nbsp;&nbsp;**Midstream 0.7%** | &nbsp;&nbsp;**Midstream 0.7%** | &nbsp;&nbsp;**Midstream 0.7%** | &nbsp;&nbsp;**Midstream 0.7%** |
| &nbsp;&nbsp;Cheniere Energy Partners LP | &nbsp;&nbsp;Cheniere Energy Partners LP | &nbsp;&nbsp;Cheniere Energy Partners LP | &nbsp;&nbsp;Cheniere Energy Partners LP |
| &nbsp;&nbsp;10/01/2029 | &nbsp;&nbsp;4.500% | 180000 | &nbsp;&nbsp;&nbsp;&nbsp;165226 |
| &nbsp;&nbsp;03/01/2031 | &nbsp;&nbsp;4.000% | 260000 | &nbsp;&nbsp;&nbsp;&nbsp;227152 |
| &nbsp;&nbsp;Enbridge, Inc. | &nbsp;&nbsp;Enbridge, Inc. | &nbsp;&nbsp;Enbridge, Inc. | &nbsp;&nbsp;Enbridge, Inc. |
| &nbsp;&nbsp;11/15/2029 | &nbsp;&nbsp;3.125% | 250000 | &nbsp;&nbsp;&nbsp;&nbsp;220759 |
| &nbsp;&nbsp;Energy Transfer LP<sup>(l)</sup> | &nbsp;&nbsp;Energy Transfer LP<sup>(l)</sup> | &nbsp;&nbsp;Energy Transfer LP<sup>(l)</sup> | &nbsp;&nbsp;Energy Transfer LP<sup>(l)</sup> |
| &nbsp;&nbsp;12/31/2049 | &nbsp;&nbsp;6.625% | 336000 | &nbsp;&nbsp;&nbsp;&nbsp;245717 |
| &nbsp;&nbsp;Energy Transfer Operating LP | &nbsp;&nbsp;Energy Transfer Operating LP | &nbsp;&nbsp;Energy Transfer Operating LP | &nbsp;&nbsp;Energy Transfer Operating LP |
| &nbsp;&nbsp;06/01/2027 | &nbsp;&nbsp;5.500% | &nbsp;&nbsp;90000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;90005 |
| &nbsp;&nbsp;06/15/2028 | &nbsp;&nbsp;4.950% | &nbsp;&nbsp;92000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;89241 |
| &nbsp;&nbsp;04/15/2049 | &nbsp;&nbsp;6.250% | &nbsp;&nbsp;80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75655 |
| &nbsp;&nbsp;05/15/2050 | &nbsp;&nbsp;5.000% | &nbsp;&nbsp;12000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9890 |
| &nbsp;&nbsp;Energy Transfer Partners LP | &nbsp;&nbsp;Energy Transfer Partners LP | &nbsp;&nbsp;Energy Transfer Partners LP | &nbsp;&nbsp;Energy Transfer Partners LP |
| &nbsp;&nbsp;03/15/2045 | &nbsp;&nbsp;5.150% | 245000 | &nbsp;&nbsp;&nbsp;&nbsp;209663 |
| &nbsp;&nbsp;Enterprise Products Operating LLC | &nbsp;&nbsp;Enterprise Products Operating LLC | &nbsp;&nbsp;Enterprise Products Operating LLC | &nbsp;&nbsp;Enterprise Products Operating LLC |
| &nbsp;&nbsp;02/15/2045 | &nbsp;&nbsp;5.100% | &nbsp;&nbsp;60000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;55146 |
| &nbsp;&nbsp;Galaxy Pipeline Assets Bidco Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Galaxy Pipeline Assets Bidco Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Galaxy Pipeline Assets Bidco Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Galaxy Pipeline Assets Bidco Ltd.<sup>(a)</sup> |
| &nbsp;&nbsp;03/31/2034 | &nbsp;&nbsp;2.160% | 184932 | &nbsp;&nbsp;&nbsp;&nbsp;156342 |
| &nbsp;&nbsp;Global Partners LP/Finance Corp. | &nbsp;&nbsp;Global Partners LP/Finance Corp. | &nbsp;&nbsp;Global Partners LP/Finance Corp. | &nbsp;&nbsp;Global Partners LP/Finance Corp. |
| &nbsp;&nbsp;01/15/2029 | &nbsp;&nbsp;6.875% | 150000 | &nbsp;&nbsp;&nbsp;&nbsp;135429 |
| &nbsp;&nbsp;Kinder Morgan, Inc. | &nbsp;&nbsp;Kinder Morgan, Inc. | &nbsp;&nbsp;Kinder Morgan, Inc. | &nbsp;&nbsp;Kinder Morgan, Inc. |
| &nbsp;&nbsp;12/01/2034 | &nbsp;&nbsp;5.300% | 145000 | &nbsp;&nbsp;&nbsp;&nbsp;138320 |

---

Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022<br> 15

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** |  | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;NGL Energy Operating LLC/Finance Corp.<sup>(a)</sup> | &nbsp;&nbsp;NGL Energy Operating LLC/Finance Corp.<sup>(a)</sup> | &nbsp;&nbsp;NGL Energy Operating LLC/Finance Corp.<sup>(a)</sup> | &nbsp;&nbsp;NGL Energy Operating LLC/Finance Corp.<sup>(a)</sup> | &nbsp;&nbsp;NGL Energy Operating LLC/Finance Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;02/01/2026 | &nbsp;&nbsp;&nbsp;&nbsp;7.500% |  | 125000 | &nbsp;&nbsp;&nbsp;&nbsp;112794 |
| &nbsp;&nbsp;Rockies Express Pipeline LLC<sup>(a)</sup> | &nbsp;&nbsp;Rockies Express Pipeline LLC<sup>(a)</sup> | &nbsp;&nbsp;Rockies Express Pipeline LLC<sup>(a)</sup> | &nbsp;&nbsp;Rockies Express Pipeline LLC<sup>(a)</sup> | &nbsp;&nbsp;Rockies Express Pipeline LLC<sup>(a)</sup> |
| &nbsp;&nbsp;07/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;4.950% |  | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;90194 |
| &nbsp;&nbsp;05/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;4.800% |  | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;85501 |
| &nbsp;&nbsp;04/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;6.875% |  | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;83011 |
| &nbsp;&nbsp;Sunoco LP/Finance Corp. | &nbsp;&nbsp;Sunoco LP/Finance Corp. | &nbsp;&nbsp;Sunoco LP/Finance Corp. | &nbsp;&nbsp;Sunoco LP/Finance Corp. | &nbsp;&nbsp;Sunoco LP/Finance Corp. |
| &nbsp;&nbsp;05/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;4.500% |  | 225000 | &nbsp;&nbsp;&nbsp;&nbsp;196727 |
| &nbsp;&nbsp;04/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp;4.500% |  | &nbsp;&nbsp;47000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40810 |
| &nbsp;&nbsp;TransCanada PipeLines Ltd. | &nbsp;&nbsp;TransCanada PipeLines Ltd. | &nbsp;&nbsp;TransCanada PipeLines Ltd. | &nbsp;&nbsp;TransCanada PipeLines Ltd. | &nbsp;&nbsp;TransCanada PipeLines Ltd. |
| &nbsp;&nbsp;10/12/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1.000% |  | 154000 | &nbsp;&nbsp;&nbsp;&nbsp;142970 |
| &nbsp;&nbsp;04/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;4.100% |  | 320000 | &nbsp;&nbsp;&nbsp;&nbsp;299307 |
| &nbsp;&nbsp;Transcontinental Gas Pipe Line Co. LLC | &nbsp;&nbsp;Transcontinental Gas Pipe Line Co. LLC | &nbsp;&nbsp;Transcontinental Gas Pipe Line Co. LLC | &nbsp;&nbsp;Transcontinental Gas Pipe Line Co. LLC | &nbsp;&nbsp;Transcontinental Gas Pipe Line Co. LLC |
| &nbsp;&nbsp;05/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;3.250% |  | &nbsp;&nbsp;80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;70320 |
| &nbsp;&nbsp;TransMontaigne Partners LP/TLP Finance Corp. | &nbsp;&nbsp;TransMontaigne Partners LP/TLP Finance Corp. | &nbsp;&nbsp;TransMontaigne Partners LP/TLP Finance Corp. | &nbsp;&nbsp;TransMontaigne Partners LP/TLP Finance Corp. | &nbsp;&nbsp;TransMontaigne Partners LP/TLP Finance Corp. |
| &nbsp;&nbsp;02/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;6.125% |  | 139000 | &nbsp;&nbsp;&nbsp;&nbsp;120583 |
| &nbsp;&nbsp;Venture Global Calcasieu Pass LLC<sup>(a)</sup> | &nbsp;&nbsp;Venture Global Calcasieu Pass LLC<sup>(a)</sup> | &nbsp;&nbsp;Venture Global Calcasieu Pass LLC<sup>(a)</sup> | &nbsp;&nbsp;Venture Global Calcasieu Pass LLC<sup>(a)</sup> | &nbsp;&nbsp;Venture Global Calcasieu Pass LLC<sup>(a)</sup> |
| &nbsp;&nbsp;08/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;3.875% |  | 225000 | &nbsp;&nbsp;&nbsp;&nbsp;196260 |
| &nbsp;&nbsp;Western Midstream Operating LP<sup>(l)</sup> | &nbsp;&nbsp;Western Midstream Operating LP<sup>(l)</sup> | &nbsp;&nbsp;Western Midstream Operating LP<sup>(l)</sup> | &nbsp;&nbsp;Western Midstream Operating LP<sup>(l)</sup> | &nbsp;&nbsp;Western Midstream Operating LP<sup>(l)</sup> |
| &nbsp;&nbsp;02/01/2030 | &nbsp;&nbsp;&nbsp;&nbsp;4.300% |  | 225000 | &nbsp;&nbsp;&nbsp;&nbsp;201042 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**3458064** |
| &nbsp;&nbsp;**Natural Gas 0.0%** | &nbsp;&nbsp;**Natural Gas 0.0%** | &nbsp;&nbsp;**Natural Gas 0.0%** | &nbsp;&nbsp;**Natural Gas 0.0%** | &nbsp;&nbsp;**Natural Gas 0.0%** |
| &nbsp;&nbsp;Engie SA<sup>(a)</sup> | &nbsp;&nbsp;Engie SA<sup>(a)</sup> | &nbsp;&nbsp;Engie SA<sup>(a)</sup> | &nbsp;&nbsp;Engie SA<sup>(a)</sup> | &nbsp;&nbsp;Engie SA<sup>(a)</sup> |
| &nbsp;&nbsp;06/21/2027 | &nbsp;&nbsp;&nbsp;&nbsp;0.375% | &nbsp;&nbsp;EUR | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;91906 |
| &nbsp;&nbsp;**Office REIT 0.0%** | &nbsp;&nbsp;**Office REIT 0.0%** | &nbsp;&nbsp;**Office REIT 0.0%** | &nbsp;&nbsp;**Office REIT 0.0%** | &nbsp;&nbsp;**Office REIT 0.0%** |
| &nbsp;&nbsp;Hudson Pacific Properties LP | &nbsp;&nbsp;Hudson Pacific Properties LP | &nbsp;&nbsp;Hudson Pacific Properties LP | &nbsp;&nbsp;Hudson Pacific Properties LP | &nbsp;&nbsp;Hudson Pacific Properties LP |
| &nbsp;&nbsp;11/01/2027 | &nbsp;&nbsp;&nbsp;&nbsp;3.950% |  | 160000 | &nbsp;&nbsp;&nbsp;&nbsp;137122 |
| &nbsp;&nbsp;02/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;5.950% |  | &nbsp;&nbsp;35000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33368 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**170490** |
| &nbsp;&nbsp;**Oil Field Services 0.1%** | &nbsp;&nbsp;**Oil Field Services 0.1%** | &nbsp;&nbsp;**Oil Field Services 0.1%** | &nbsp;&nbsp;**Oil Field Services 0.1%** | &nbsp;&nbsp;**Oil Field Services 0.1%** |
| &nbsp;&nbsp;Archrock Partners LP/Finance Corp.<sup>(a)</sup> | &nbsp;&nbsp;Archrock Partners LP/Finance Corp.<sup>(a)</sup> | &nbsp;&nbsp;Archrock Partners LP/Finance Corp.<sup>(a)</sup> | &nbsp;&nbsp;Archrock Partners LP/Finance Corp.<sup>(a)</sup> | &nbsp;&nbsp;Archrock Partners LP/Finance Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;04/01/2028 | &nbsp;&nbsp;&nbsp;&nbsp;6.250% |  | 153000 | &nbsp;&nbsp;&nbsp;&nbsp;142086 |
| &nbsp;&nbsp;Transocean Poseidon Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Transocean Poseidon Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Transocean Poseidon Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Transocean Poseidon Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Transocean Poseidon Ltd.<sup>(a)</sup> |
| &nbsp;&nbsp;02/01/2027 | &nbsp;&nbsp;&nbsp;&nbsp;6.875% |  | 153125 | &nbsp;&nbsp;&nbsp;&nbsp;148890 |
| &nbsp;&nbsp;Transocean Proteus Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Transocean Proteus Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Transocean Proteus Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Transocean Proteus Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Transocean Proteus Ltd.<sup>(a)</sup> |
| &nbsp;&nbsp;12/01/2024 | &nbsp;&nbsp;&nbsp;&nbsp;6.250% |  | &nbsp;&nbsp;90000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;87917 |
| &nbsp;&nbsp;USA Compression Partners LP/Finance Corp. | &nbsp;&nbsp;USA Compression Partners LP/Finance Corp. | &nbsp;&nbsp;USA Compression Partners LP/Finance Corp. | &nbsp;&nbsp;USA Compression Partners LP/Finance Corp. | &nbsp;&nbsp;USA Compression Partners LP/Finance Corp. |
| &nbsp;&nbsp;04/01/2026 | &nbsp;&nbsp;&nbsp;&nbsp;6.875% |  | 150000 | &nbsp;&nbsp;&nbsp;&nbsp;144407 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**523300** |
| &nbsp;&nbsp;**Other Financial Institutions 0.1%** | &nbsp;&nbsp;**Other Financial Institutions 0.1%** | &nbsp;&nbsp;**Other Financial Institutions 0.1%** | &nbsp;&nbsp;**Other Financial Institutions 0.1%** | &nbsp;&nbsp;**Other Financial Institutions 0.1%** |
| &nbsp;&nbsp;Simpar Finance Sarl<sup>(a)</sup> | &nbsp;&nbsp;Simpar Finance Sarl<sup>(a)</sup> | &nbsp;&nbsp;Simpar Finance Sarl<sup>(a)</sup> | &nbsp;&nbsp;Simpar Finance Sarl<sup>(a)</sup> | &nbsp;&nbsp;Simpar Finance Sarl<sup>(a)</sup> |
| &nbsp;&nbsp;02/12/2028 | &nbsp;&nbsp;10.750% | &nbsp;&nbsp;BRL | 640000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;91070 |
| &nbsp;&nbsp;Sunac China Holdings, Ltd.<sup>(a),(m)</sup> | &nbsp;&nbsp;Sunac China Holdings, Ltd.<sup>(a),(m)</sup> | &nbsp;&nbsp;Sunac China Holdings, Ltd.<sup>(a),(m)</sup> | &nbsp;&nbsp;Sunac China Holdings, Ltd.<sup>(a),(m)</sup> | &nbsp;&nbsp;Sunac China Holdings, Ltd.<sup>(a),(m)</sup> |
| &nbsp;&nbsp;01/10/2025 | &nbsp;&nbsp;&nbsp;&nbsp;0.000% |  | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22914 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** |  | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Swiss Insured Brazil Power Finance SARL<sup>(a)</sup> | &nbsp;&nbsp;Swiss Insured Brazil Power Finance SARL<sup>(a)</sup> | &nbsp;&nbsp;Swiss Insured Brazil Power Finance SARL<sup>(a)</sup> | &nbsp;&nbsp;Swiss Insured Brazil Power Finance SARL<sup>(a)</sup> | &nbsp;&nbsp;Swiss Insured Brazil Power Finance SARL<sup>(a)</sup> |
| &nbsp;&nbsp;07/16/2032 | &nbsp;&nbsp;9.850% | &nbsp;&nbsp;BRL | 1758850 | &nbsp;&nbsp;&nbsp;&nbsp;302070 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**416054** |
| &nbsp;&nbsp;**Other Industry 0.1%** | &nbsp;&nbsp;**Other Industry 0.1%** | &nbsp;&nbsp;**Other Industry 0.1%** | &nbsp;&nbsp;**Other Industry 0.1%** | &nbsp;&nbsp;**Other Industry 0.1%** |
| &nbsp;&nbsp;Adtalem Global Education, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Adtalem Global Education, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Adtalem Global Education, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Adtalem Global Education, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Adtalem Global Education, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;03/01/2028 | &nbsp;&nbsp;5.500% |  | &nbsp;&nbsp;&nbsp;&nbsp;84000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;78473 |
| &nbsp;&nbsp;AECOM | &nbsp;&nbsp;AECOM | &nbsp;&nbsp;AECOM | &nbsp;&nbsp;AECOM | &nbsp;&nbsp;AECOM |
| &nbsp;&nbsp;03/15/2027 | &nbsp;&nbsp;5.125% |  | &nbsp;&nbsp;&nbsp;295000 | &nbsp;&nbsp;&nbsp;&nbsp;286963 |
| &nbsp;&nbsp;Pike Corp.<sup>(a)</sup> | &nbsp;&nbsp;Pike Corp.<sup>(a)</sup> | &nbsp;&nbsp;Pike Corp.<sup>(a)</sup> | &nbsp;&nbsp;Pike Corp.<sup>(a)</sup> | &nbsp;&nbsp;Pike Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;09/01/2028 | &nbsp;&nbsp;5.500% |  | &nbsp;&nbsp;&nbsp;175000 | &nbsp;&nbsp;&nbsp;&nbsp;154938 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**520374** |
| &nbsp;&nbsp;**Other REIT 0.1%** | &nbsp;&nbsp;**Other REIT 0.1%** | &nbsp;&nbsp;**Other REIT 0.1%** | &nbsp;&nbsp;**Other REIT 0.1%** | &nbsp;&nbsp;**Other REIT 0.1%** |
| &nbsp;&nbsp;American Assets Trust LP | &nbsp;&nbsp;American Assets Trust LP | &nbsp;&nbsp;American Assets Trust LP | &nbsp;&nbsp;American Assets Trust LP | &nbsp;&nbsp;American Assets Trust LP |
| &nbsp;&nbsp;02/01/2031 | &nbsp;&nbsp;3.375% |  | &nbsp;&nbsp;&nbsp;155000 | &nbsp;&nbsp;&nbsp;&nbsp;125331 |
| &nbsp;&nbsp;CubeSmart LP | &nbsp;&nbsp;CubeSmart LP | &nbsp;&nbsp;CubeSmart LP | &nbsp;&nbsp;CubeSmart LP | &nbsp;&nbsp;CubeSmart LP |
| &nbsp;&nbsp;02/15/2032 | &nbsp;&nbsp;2.500% |  | &nbsp;&nbsp;&nbsp;195000 | &nbsp;&nbsp;&nbsp;&nbsp;150195 |
| &nbsp;&nbsp;Host Hotels & Resorts LP | &nbsp;&nbsp;Host Hotels & Resorts LP | &nbsp;&nbsp;Host Hotels & Resorts LP | &nbsp;&nbsp;Host Hotels & Resorts LP | &nbsp;&nbsp;Host Hotels & Resorts LP |
| &nbsp;&nbsp;12/15/2029 | &nbsp;&nbsp;3.375% |  | &nbsp;&nbsp;&nbsp;165000 | &nbsp;&nbsp;&nbsp;&nbsp;140032 |
| &nbsp;&nbsp;09/15/2030 | &nbsp;&nbsp;3.500% |  | &nbsp;&nbsp;&nbsp;115000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;95883 |
| &nbsp;&nbsp;Lexington Realty Trust | &nbsp;&nbsp;Lexington Realty Trust | &nbsp;&nbsp;Lexington Realty Trust | &nbsp;&nbsp;Lexington Realty Trust | &nbsp;&nbsp;Lexington Realty Trust |
| &nbsp;&nbsp;09/15/2030 | &nbsp;&nbsp;2.700% |  | &nbsp;&nbsp;&nbsp;135000 | &nbsp;&nbsp;&nbsp;&nbsp;108022 |
| &nbsp;&nbsp;Starwood Property Trust, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Starwood Property Trust, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Starwood Property Trust, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Starwood Property Trust, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Starwood Property Trust, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;01/15/2027 | &nbsp;&nbsp;4.375% |  | &nbsp;&nbsp;&nbsp;&nbsp;80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72007 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**691470** |
| &nbsp;&nbsp;**Packaging 0.4%** | &nbsp;&nbsp;**Packaging 0.4%** | &nbsp;&nbsp;**Packaging 0.4%** | &nbsp;&nbsp;**Packaging 0.4%** | &nbsp;&nbsp;**Packaging 0.4%** |
| &nbsp;&nbsp;Ardagh Metal Packaging Finance USA LLC/PLC<sup>(a)</sup> | &nbsp;&nbsp;Ardagh Metal Packaging Finance USA LLC/PLC<sup>(a)</sup> | &nbsp;&nbsp;Ardagh Metal Packaging Finance USA LLC/PLC<sup>(a)</sup> | &nbsp;&nbsp;Ardagh Metal Packaging Finance USA LLC/PLC<sup>(a)</sup> | &nbsp;&nbsp;Ardagh Metal Packaging Finance USA LLC/PLC<sup>(a)</sup> |
| &nbsp;&nbsp;09/01/2028 | &nbsp;&nbsp;3.250% |  | &nbsp;&nbsp;&nbsp;220000 | &nbsp;&nbsp;&nbsp;&nbsp;186068 |
| &nbsp;&nbsp;Ardagh Packaging Finance PLC/Holdings USA, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Ardagh Packaging Finance PLC/Holdings USA, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Ardagh Packaging Finance PLC/Holdings USA, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Ardagh Packaging Finance PLC/Holdings USA, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Ardagh Packaging Finance PLC/Holdings USA, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;08/15/2027 | &nbsp;&nbsp;5.250% |  | &nbsp;&nbsp;&nbsp;235000 | &nbsp;&nbsp;&nbsp;&nbsp;177196 |
| &nbsp;&nbsp;Ball Corp. | &nbsp;&nbsp;Ball Corp. | &nbsp;&nbsp;Ball Corp. | &nbsp;&nbsp;Ball Corp. | &nbsp;&nbsp;Ball Corp. |
| &nbsp;&nbsp;03/15/2026 | &nbsp;&nbsp;4.875% |  | &nbsp;&nbsp;&nbsp;250000 | &nbsp;&nbsp;&nbsp;&nbsp;242556 |
| &nbsp;&nbsp;03/15/2028 | &nbsp;&nbsp;6.875% |  | &nbsp;&nbsp;&nbsp;285000 | &nbsp;&nbsp;&nbsp;&nbsp;294814 |
| &nbsp;&nbsp;08/15/2030 | &nbsp;&nbsp;2.875% |  | &nbsp;&nbsp;&nbsp;255000 | &nbsp;&nbsp;&nbsp;&nbsp;207149 |
| &nbsp;&nbsp;Berry Global Escrow Corp.<sup>(a)</sup> | &nbsp;&nbsp;Berry Global Escrow Corp.<sup>(a)</sup> | &nbsp;&nbsp;Berry Global Escrow Corp.<sup>(a)</sup> | &nbsp;&nbsp;Berry Global Escrow Corp.<sup>(a)</sup> | &nbsp;&nbsp;Berry Global Escrow Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;07/15/2026 | &nbsp;&nbsp;4.875% |  | &nbsp;&nbsp;&nbsp;&nbsp;51000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48901 |
| &nbsp;&nbsp;07/15/2027 | &nbsp;&nbsp;5.625% |  | &nbsp;&nbsp;&nbsp;125000 | &nbsp;&nbsp;&nbsp;&nbsp;122288 |
| &nbsp;&nbsp;Clydesdale Acquisition Holdings, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Clydesdale Acquisition Holdings, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Clydesdale Acquisition Holdings, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Clydesdale Acquisition Holdings, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Clydesdale Acquisition Holdings, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;04/15/2029 | &nbsp;&nbsp;6.625% |  | &nbsp;&nbsp;&nbsp;&nbsp;75000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72410 |
| &nbsp;&nbsp;Sealed Air Corp.<sup>(a)</sup> | &nbsp;&nbsp;Sealed Air Corp.<sup>(a)</sup> | &nbsp;&nbsp;Sealed Air Corp.<sup>(a)</sup> | &nbsp;&nbsp;Sealed Air Corp.<sup>(a)</sup> | &nbsp;&nbsp;Sealed Air Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;09/15/2025 | &nbsp;&nbsp;5.500% |  | &nbsp;&nbsp;&nbsp;357000 | &nbsp;&nbsp;&nbsp;&nbsp;355998 |
| &nbsp;&nbsp;04/15/2029 | &nbsp;&nbsp;5.000% |  | &nbsp;&nbsp;&nbsp;100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;92984 |
| &nbsp;&nbsp;Trivium Packaging Finance BV<sup>(a)</sup> | &nbsp;&nbsp;Trivium Packaging Finance BV<sup>(a)</sup> | &nbsp;&nbsp;Trivium Packaging Finance BV<sup>(a)</sup> | &nbsp;&nbsp;Trivium Packaging Finance BV<sup>(a)</sup> | &nbsp;&nbsp;Trivium Packaging Finance BV<sup>(a)</sup> |
| &nbsp;&nbsp;08/15/2026 | &nbsp;&nbsp;5.500% |  | &nbsp;&nbsp;&nbsp;140000 | &nbsp;&nbsp;&nbsp;&nbsp;131429 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**1931793** |

---

16 Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** |  | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**Paper 0.0%** | &nbsp;&nbsp;**Paper 0.0%** | &nbsp;&nbsp;**Paper 0.0%** | &nbsp;&nbsp;**Paper 0.0%** | &nbsp;&nbsp;**Paper 0.0%** |
| &nbsp;&nbsp;Graphic Packaging International LLC<sup>(a)</sup> | &nbsp;&nbsp;Graphic Packaging International LLC<sup>(a)</sup> | &nbsp;&nbsp;Graphic Packaging International LLC<sup>(a)</sup> | &nbsp;&nbsp;Graphic Packaging International LLC<sup>(a)</sup> | &nbsp;&nbsp;Graphic Packaging International LLC<sup>(a)</sup> |
| &nbsp;&nbsp;07/15/2027 | &nbsp;&nbsp;4.750% |  | &nbsp;&nbsp;75000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69961 |
| &nbsp;&nbsp;**Pharmaceuticals 0.3%** | &nbsp;&nbsp;**Pharmaceuticals 0.3%** | &nbsp;&nbsp;**Pharmaceuticals 0.3%** | &nbsp;&nbsp;**Pharmaceuticals 0.3%** | &nbsp;&nbsp;**Pharmaceuticals 0.3%** |
| &nbsp;&nbsp;AbbVie, Inc. | &nbsp;&nbsp;AbbVie, Inc. | &nbsp;&nbsp;AbbVie, Inc. | &nbsp;&nbsp;AbbVie, Inc. | &nbsp;&nbsp;AbbVie, Inc. |
| &nbsp;&nbsp;05/14/2035 | &nbsp;&nbsp;4.500% |  | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;189503 |
| &nbsp;&nbsp;Allergan Funding SCS | &nbsp;&nbsp;Allergan Funding SCS | &nbsp;&nbsp;Allergan Funding SCS | &nbsp;&nbsp;Allergan Funding SCS | &nbsp;&nbsp;Allergan Funding SCS |
| &nbsp;&nbsp;06/01/2024 | &nbsp;&nbsp;1.250% | &nbsp;&nbsp;EUR | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;100346 |
| &nbsp;&nbsp;11/15/2028 | &nbsp;&nbsp;2.625% | &nbsp;&nbsp;EUR | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;97415 |
| &nbsp;&nbsp;Bayer US Finance II LLC<sup>(a)</sup> | &nbsp;&nbsp;Bayer US Finance II LLC<sup>(a)</sup> | &nbsp;&nbsp;Bayer US Finance II LLC<sup>(a)</sup> | &nbsp;&nbsp;Bayer US Finance II LLC<sup>(a)</sup> | &nbsp;&nbsp;Bayer US Finance II LLC<sup>(a)</sup> |
| &nbsp;&nbsp;12/15/2025 | &nbsp;&nbsp;4.250% |  | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;96980 |
| &nbsp;&nbsp;12/15/2028 | &nbsp;&nbsp;4.375% |  | 289000 | &nbsp;&nbsp;&nbsp;&nbsp;275141 |
| &nbsp;&nbsp;06/25/2038 | &nbsp;&nbsp;4.625% |  | 370000 | &nbsp;&nbsp;&nbsp;&nbsp;322770 |
| &nbsp;&nbsp;Grifols Escrow Issuer SA<sup>(a)</sup> | &nbsp;&nbsp;Grifols Escrow Issuer SA<sup>(a)</sup> | &nbsp;&nbsp;Grifols Escrow Issuer SA<sup>(a)</sup> | &nbsp;&nbsp;Grifols Escrow Issuer SA<sup>(a)</sup> | &nbsp;&nbsp;Grifols Escrow Issuer SA<sup>(a)</sup> |
| &nbsp;&nbsp;10/15/2028 | &nbsp;&nbsp;4.750% |  | 245000 | &nbsp;&nbsp;&nbsp;&nbsp;204949 |
| &nbsp;&nbsp;Organon Finance 1 LLC<sup>(a)</sup> | &nbsp;&nbsp;Organon Finance 1 LLC<sup>(a)</sup> | &nbsp;&nbsp;Organon Finance 1 LLC<sup>(a)</sup> | &nbsp;&nbsp;Organon Finance 1 LLC<sup>(a)</sup> | &nbsp;&nbsp;Organon Finance 1 LLC<sup>(a)</sup> |
| &nbsp;&nbsp;04/30/2031 | &nbsp;&nbsp;5.125% |  | 185000 | &nbsp;&nbsp;&nbsp;&nbsp;164141 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**1451245** |
| &nbsp;&nbsp;**Property & Casualty 0.4%** | &nbsp;&nbsp;**Property & Casualty 0.4%** | &nbsp;&nbsp;**Property & Casualty 0.4%** | &nbsp;&nbsp;**Property & Casualty 0.4%** | &nbsp;&nbsp;**Property & Casualty 0.4%** |
| &nbsp;&nbsp;Acrisure LLC/Finance, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Acrisure LLC/Finance, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Acrisure LLC/Finance, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Acrisure LLC/Finance, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Acrisure LLC/Finance, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;02/15/2029 | &nbsp;&nbsp;4.250% |  | 150000 | &nbsp;&nbsp;&nbsp;&nbsp;122791 |
| &nbsp;&nbsp;08/01/2029 | &nbsp;&nbsp;6.000% |  | &nbsp;&nbsp;80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64043 |
| &nbsp;&nbsp;Alliant Holdings Intermediate LLC/Co-Issuer<sup>(a)</sup> | &nbsp;&nbsp;Alliant Holdings Intermediate LLC/Co-Issuer<sup>(a)</sup> | &nbsp;&nbsp;Alliant Holdings Intermediate LLC/Co-Issuer<sup>(a)</sup> | &nbsp;&nbsp;Alliant Holdings Intermediate LLC/Co-Issuer<sup>(a)</sup> | &nbsp;&nbsp;Alliant Holdings Intermediate LLC/Co-Issuer<sup>(a)</sup> |
| &nbsp;&nbsp;10/15/2027 | &nbsp;&nbsp;6.750% |  | 155000 | &nbsp;&nbsp;&nbsp;&nbsp;142894 |
| &nbsp;&nbsp;Aon Corp. | &nbsp;&nbsp;Aon Corp. | &nbsp;&nbsp;Aon Corp. | &nbsp;&nbsp;Aon Corp. | &nbsp;&nbsp;Aon Corp. |
| &nbsp;&nbsp;05/15/2030 | &nbsp;&nbsp;2.800% |  | 230000 | &nbsp;&nbsp;&nbsp;&nbsp;197316 |
| &nbsp;&nbsp;AssuredPartners, Inc.<sup>(a)</sup> | &nbsp;&nbsp;AssuredPartners, Inc.<sup>(a)</sup> | &nbsp;&nbsp;AssuredPartners, Inc.<sup>(a)</sup> | &nbsp;&nbsp;AssuredPartners, Inc.<sup>(a)</sup> | &nbsp;&nbsp;AssuredPartners, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;01/15/2029 | &nbsp;&nbsp;5.625% |  | &nbsp;&nbsp;85000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72217 |
| &nbsp;&nbsp;Berkshire Hathaway Finance Corp. | &nbsp;&nbsp;Berkshire Hathaway Finance Corp. | &nbsp;&nbsp;Berkshire Hathaway Finance Corp. | &nbsp;&nbsp;Berkshire Hathaway Finance Corp. | &nbsp;&nbsp;Berkshire Hathaway Finance Corp. |
| &nbsp;&nbsp;06/19/2039 | &nbsp;&nbsp;2.375% | &nbsp;&nbsp;GBP | 125000 | &nbsp;&nbsp;&nbsp;&nbsp;112403 |
| &nbsp;&nbsp;Berkshire Hathaway, Inc.<sup>(j)</sup> | &nbsp;&nbsp;Berkshire Hathaway, Inc.<sup>(j)</sup> | &nbsp;&nbsp;Berkshire Hathaway, Inc.<sup>(j)</sup> | &nbsp;&nbsp;Berkshire Hathaway, Inc.<sup>(j)</sup> | &nbsp;&nbsp;Berkshire Hathaway, Inc.<sup>(j)</sup> |
| &nbsp;&nbsp;03/12/2025 | &nbsp;&nbsp;0.000% | &nbsp;&nbsp;EUR | 215000 | &nbsp;&nbsp;&nbsp;&nbsp;208811 |
| &nbsp;&nbsp;Brown & Brown, Inc. | &nbsp;&nbsp;Brown & Brown, Inc. | &nbsp;&nbsp;Brown & Brown, Inc. | &nbsp;&nbsp;Brown & Brown, Inc. | &nbsp;&nbsp;Brown & Brown, Inc. |
| &nbsp;&nbsp;03/17/2052 | &nbsp;&nbsp;4.950% |  | 115000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;95234 |
| &nbsp;&nbsp;Chubb INA Holdings, Inc. | &nbsp;&nbsp;Chubb INA Holdings, Inc. | &nbsp;&nbsp;Chubb INA Holdings, Inc. | &nbsp;&nbsp;Chubb INA Holdings, Inc. | &nbsp;&nbsp;Chubb INA Holdings, Inc. |
| &nbsp;&nbsp;12/15/2024 | &nbsp;&nbsp;0.300% | &nbsp;&nbsp;EUR | 180000 | &nbsp;&nbsp;&nbsp;&nbsp;175634 |
| &nbsp;&nbsp;Farmers Exchange Capital III<sup>(a),(l)</sup> | &nbsp;&nbsp;Farmers Exchange Capital III<sup>(a),(l)</sup> | &nbsp;&nbsp;Farmers Exchange Capital III<sup>(a),(l)</sup> | &nbsp;&nbsp;Farmers Exchange Capital III<sup>(a),(l)</sup> | &nbsp;&nbsp;Farmers Exchange Capital III<sup>(a),(l)</sup> |
| &nbsp;&nbsp;Subordinated | &nbsp;&nbsp;Subordinated | &nbsp;&nbsp;Subordinated | &nbsp;&nbsp;Subordinated | &nbsp;&nbsp;Subordinated |
| &nbsp;&nbsp;10/15/2054 | &nbsp;&nbsp;5.454% |  | 300000 | &nbsp;&nbsp;&nbsp;&nbsp;280113 |
| &nbsp;&nbsp;Nationwide Mutual Insurance Co.<sup>(a),(b)</sup> | &nbsp;&nbsp;Nationwide Mutual Insurance Co.<sup>(a),(b)</sup> | &nbsp;&nbsp;Nationwide Mutual Insurance Co.<sup>(a),(b)</sup> | &nbsp;&nbsp;Nationwide Mutual Insurance Co.<sup>(a),(b)</sup> | &nbsp;&nbsp;Nationwide Mutual Insurance Co.<sup>(a),(b)</sup> |
| &nbsp;&nbsp;Subordinated | &nbsp;&nbsp;Subordinated | &nbsp;&nbsp;Subordinated | &nbsp;&nbsp;Subordinated | &nbsp;&nbsp;Subordinated |
| &nbsp;&nbsp;3-month USD LIBOR + 2.290%<br> 12/15/2024 | &nbsp;&nbsp;5.583% |  | 450000 | &nbsp;&nbsp;&nbsp;&nbsp;448737 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**1920193** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** |  | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**Railroads 0.0%** | &nbsp;&nbsp;**Railroads 0.0%** | &nbsp;&nbsp;**Railroads 0.0%** | &nbsp;&nbsp;**Railroads 0.0%** | &nbsp;&nbsp;**Railroads 0.0%** |
| &nbsp;&nbsp;Canadian Pacific Railway Co. | &nbsp;&nbsp;Canadian Pacific Railway Co. | &nbsp;&nbsp;Canadian Pacific Railway Co. | &nbsp;&nbsp;Canadian Pacific Railway Co. | &nbsp;&nbsp;Canadian Pacific Railway Co. |
| &nbsp;&nbsp;12/02/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1.350% |  | &nbsp;&nbsp;75000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69729 |
| &nbsp;&nbsp;Union Pacific Corp. | &nbsp;&nbsp;Union Pacific Corp. | &nbsp;&nbsp;Union Pacific Corp. | &nbsp;&nbsp;Union Pacific Corp. | &nbsp;&nbsp;Union Pacific Corp. |
| &nbsp;&nbsp;02/14/2042 | &nbsp;&nbsp;&nbsp;&nbsp;3.375% |  | &nbsp;&nbsp;75000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;61058 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**130787** |
| &nbsp;&nbsp;**Refining 0.1%** | &nbsp;&nbsp;**Refining 0.1%** | &nbsp;&nbsp;**Refining 0.1%** | &nbsp;&nbsp;**Refining 0.1%** | &nbsp;&nbsp;**Refining 0.1%** |
| &nbsp;&nbsp;FS Luxembourg Sarl<sup>(a)</sup> | &nbsp;&nbsp;FS Luxembourg Sarl<sup>(a)</sup> | &nbsp;&nbsp;FS Luxembourg Sarl<sup>(a)</sup> | &nbsp;&nbsp;FS Luxembourg Sarl<sup>(a)</sup> | &nbsp;&nbsp;FS Luxembourg Sarl<sup>(a)</sup> |
| &nbsp;&nbsp;12/15/2025 | &nbsp;&nbsp;10.000% |  | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;201474 |
| &nbsp;&nbsp;MC Brazil Downstream Trading SARL<sup>(a)</sup> | &nbsp;&nbsp;MC Brazil Downstream Trading SARL<sup>(a)</sup> | &nbsp;&nbsp;MC Brazil Downstream Trading SARL<sup>(a)</sup> | &nbsp;&nbsp;MC Brazil Downstream Trading SARL<sup>(a)</sup> | &nbsp;&nbsp;MC Brazil Downstream Trading SARL<sup>(a)</sup> |
| &nbsp;&nbsp;06/30/2031 | &nbsp;&nbsp;&nbsp;&nbsp;7.250% |  | 220000 | &nbsp;&nbsp;&nbsp;&nbsp;182374 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**383848** |
| &nbsp;&nbsp;**Restaurants 0.5%** | &nbsp;&nbsp;**Restaurants 0.5%** | &nbsp;&nbsp;**Restaurants 0.5%** | &nbsp;&nbsp;**Restaurants 0.5%** | &nbsp;&nbsp;**Restaurants 0.5%** |
| &nbsp;&nbsp;1011778 BC ULC/New Red Finance, Inc.<sup>(a)</sup> | &nbsp;&nbsp;1011778 BC ULC/New Red Finance, Inc.<sup>(a)</sup> | &nbsp;&nbsp;1011778 BC ULC/New Red Finance, Inc.<sup>(a)</sup> | &nbsp;&nbsp;1011778 BC ULC/New Red Finance, Inc.<sup>(a)</sup> | &nbsp;&nbsp;1011778 BC ULC/New Red Finance, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;01/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;3.875% |  | 205000 | &nbsp;&nbsp;&nbsp;&nbsp;183273 |
| &nbsp;&nbsp;02/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;3.500% |  | 445000 | &nbsp;&nbsp;&nbsp;&nbsp;380730 |
| &nbsp;&nbsp;10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;4.000% |  | 655000 | &nbsp;&nbsp;&nbsp;&nbsp;546672 |
| &nbsp;&nbsp;Bloomin' Brands, Inc./OSI Restaurant Partners LLC<sup>(a)</sup> | &nbsp;&nbsp;Bloomin' Brands, Inc./OSI Restaurant Partners LLC<sup>(a)</sup> | &nbsp;&nbsp;Bloomin' Brands, Inc./OSI Restaurant Partners LLC<sup>(a)</sup> | &nbsp;&nbsp;Bloomin' Brands, Inc./OSI Restaurant Partners LLC<sup>(a)</sup> | &nbsp;&nbsp;Bloomin' Brands, Inc./OSI Restaurant Partners LLC<sup>(a)</sup> |
| &nbsp;&nbsp;04/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;5.125% |  | 160000 | &nbsp;&nbsp;&nbsp;&nbsp;137497 |
| &nbsp;&nbsp;Fertitta Entertainment LLC/Finance Co., Inc.<sup>(a)</sup> | &nbsp;&nbsp;Fertitta Entertainment LLC/Finance Co., Inc.<sup>(a)</sup> | &nbsp;&nbsp;Fertitta Entertainment LLC/Finance Co., Inc.<sup>(a)</sup> | &nbsp;&nbsp;Fertitta Entertainment LLC/Finance Co., Inc.<sup>(a)</sup> | &nbsp;&nbsp;Fertitta Entertainment LLC/Finance Co., Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;01/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;6.750% |  | 250000 | &nbsp;&nbsp;&nbsp;&nbsp;210374 |
| &nbsp;&nbsp;Yum! Brands, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Yum! Brands, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Yum! Brands, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Yum! Brands, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Yum! Brands, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;01/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;4.750% |  | 360000 | &nbsp;&nbsp;&nbsp;&nbsp;328391 |
| &nbsp;&nbsp;Yum! Brands, Inc. | &nbsp;&nbsp;Yum! Brands, Inc. | &nbsp;&nbsp;Yum! Brands, Inc. | &nbsp;&nbsp;Yum! Brands, Inc. | &nbsp;&nbsp;Yum! Brands, Inc. |
| &nbsp;&nbsp;03/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;3.625% |  | 475000 | &nbsp;&nbsp;&nbsp;&nbsp;399277 |
| &nbsp;&nbsp;01/31/2032 | &nbsp;&nbsp;&nbsp;&nbsp;4.625% |  | 195000 | &nbsp;&nbsp;&nbsp;&nbsp;175036 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**2361250** |
| &nbsp;&nbsp;**Retailers 0.1%** | &nbsp;&nbsp;**Retailers 0.1%** | &nbsp;&nbsp;**Retailers 0.1%** | &nbsp;&nbsp;**Retailers 0.1%** | &nbsp;&nbsp;**Retailers 0.1%** |
| &nbsp;&nbsp;Magic MergeCo, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Magic MergeCo, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Magic MergeCo, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Magic MergeCo, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Magic MergeCo, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;05/01/2029 | &nbsp;&nbsp;&nbsp;&nbsp;7.875% |  | 315000 | &nbsp;&nbsp;&nbsp;&nbsp;186216 |
| &nbsp;&nbsp;MercadoLibre, Inc. | &nbsp;&nbsp;MercadoLibre, Inc. | &nbsp;&nbsp;MercadoLibre, Inc. | &nbsp;&nbsp;MercadoLibre, Inc. | &nbsp;&nbsp;MercadoLibre, Inc. |
| &nbsp;&nbsp;01/14/2026 | &nbsp;&nbsp;&nbsp;&nbsp;2.375% |  | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;176803 |
| &nbsp;&nbsp;Rent-A-Center, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Rent-A-Center, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Rent-A-Center, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Rent-A-Center, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Rent-A-Center, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;02/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;6.375% |  | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;164941 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**527960** |
| &nbsp;&nbsp;**Supranational 0.3%** | &nbsp;&nbsp;**Supranational 0.3%** | &nbsp;&nbsp;**Supranational 0.3%** | &nbsp;&nbsp;**Supranational 0.3%** | &nbsp;&nbsp;**Supranational 0.3%** |
| &nbsp;&nbsp;Asian Development Bank | &nbsp;&nbsp;Asian Development Bank | &nbsp;&nbsp;Asian Development Bank | &nbsp;&nbsp;Asian Development Bank | &nbsp;&nbsp;Asian Development Bank |
| &nbsp;&nbsp;10/14/2026 | &nbsp;&nbsp;&nbsp;&nbsp;3.000% | &nbsp;&nbsp;AUD | 135000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;88665 |
| &nbsp;&nbsp;European Investment Bank<sup>(a),(b)</sup> | &nbsp;&nbsp;European Investment Bank<sup>(a),(b)</sup> | &nbsp;&nbsp;European Investment Bank<sup>(a),(b)</sup> | &nbsp;&nbsp;European Investment Bank<sup>(a),(b)</sup> | &nbsp;&nbsp;European Investment Bank<sup>(a),(b)</sup> |
| &nbsp;&nbsp;SONIA + 0.350%<br> 06/29/2023 | &nbsp;&nbsp;&nbsp;&nbsp;3.280% | &nbsp;&nbsp;GBP | 115000 | &nbsp;&nbsp;&nbsp;&nbsp;138804 |
| &nbsp;&nbsp;Inter-American Development Bank<sup>(a)</sup> | &nbsp;&nbsp;Inter-American Development Bank<sup>(a)</sup> | &nbsp;&nbsp;Inter-American Development Bank<sup>(a)</sup> | &nbsp;&nbsp;Inter-American Development Bank<sup>(a)</sup> | &nbsp;&nbsp;Inter-American Development Bank<sup>(a)</sup> |
| &nbsp;&nbsp;10/30/2025 | &nbsp;&nbsp;&nbsp;&nbsp;2.750% | &nbsp;&nbsp;AUD | 120000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;79058 |

---

Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022<br> 17

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** |  | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Inter-American Development Bank | &nbsp;&nbsp;Inter-American Development Bank | &nbsp;&nbsp;Inter-American Development Bank | &nbsp;&nbsp;Inter-American Development Bank | &nbsp;&nbsp;Inter-American Development Bank |
| &nbsp;&nbsp;01/29/2026 | &nbsp;&nbsp;2.700% | &nbsp;&nbsp;AUD | 138000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;90303 |
| &nbsp;&nbsp;International Bank for Reconstruction & Development | &nbsp;&nbsp;International Bank for Reconstruction & Development | &nbsp;&nbsp;International Bank for Reconstruction & Development | &nbsp;&nbsp;International Bank for Reconstruction & Development | &nbsp;&nbsp;International Bank for Reconstruction & Development |
| &nbsp;&nbsp;01/16/2025 | &nbsp;&nbsp;1.900% | &nbsp;&nbsp;CAD | 430000 | &nbsp;&nbsp;&nbsp;&nbsp;305633 |
| &nbsp;&nbsp;11/30/2026 | &nbsp;&nbsp;2.875% | &nbsp;&nbsp;NZD | 170000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;99386 |
| &nbsp;&nbsp;01/19/2027 | &nbsp;&nbsp;1.800% | &nbsp;&nbsp;CAD | 150000 | &nbsp;&nbsp;&nbsp;&nbsp;103568 |
| &nbsp;&nbsp;International Finance Corp. | &nbsp;&nbsp;International Finance Corp. | &nbsp;&nbsp;International Finance Corp. | &nbsp;&nbsp;International Finance Corp. | &nbsp;&nbsp;International Finance Corp. |
| &nbsp;&nbsp;09/10/2025 | &nbsp;&nbsp;0.375% | &nbsp;&nbsp;NZD | 270000 | &nbsp;&nbsp;&nbsp;&nbsp;149674 |
| &nbsp;&nbsp;02/24/2026 | &nbsp;&nbsp;3.600% | &nbsp;&nbsp;AUD | 330000 | &nbsp;&nbsp;&nbsp;&nbsp;222243 |
| &nbsp;&nbsp;Nordic Investment Bank | &nbsp;&nbsp;Nordic Investment Bank | &nbsp;&nbsp;Nordic Investment Bank | &nbsp;&nbsp;Nordic Investment Bank | &nbsp;&nbsp;Nordic Investment Bank |
| &nbsp;&nbsp;04/10/2024 | &nbsp;&nbsp;1.875% | &nbsp;&nbsp;NOK | 980000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;97169 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**1374503** |
| &nbsp;&nbsp;**Technology 0.6%** | &nbsp;&nbsp;**Technology 0.6%** | &nbsp;&nbsp;**Technology 0.6%** | &nbsp;&nbsp;**Technology 0.6%** | &nbsp;&nbsp;**Technology 0.6%** |
| &nbsp;&nbsp;Apple, Inc. | &nbsp;&nbsp;Apple, Inc. | &nbsp;&nbsp;Apple, Inc. | &nbsp;&nbsp;Apple, Inc. | &nbsp;&nbsp;Apple, Inc. |
| &nbsp;&nbsp;05/24/2025 | &nbsp;&nbsp;0.875% | &nbsp;&nbsp;EUR | 175000 | &nbsp;&nbsp;&nbsp;&nbsp;175062 |
| &nbsp;&nbsp;Broadcom, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Broadcom, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Broadcom, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Broadcom, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Broadcom, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;02/15/2033 | &nbsp;&nbsp;2.600% |  | &nbsp;&nbsp;98000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;74017 |
| &nbsp;&nbsp;CDW LLC/Finance Corp. | &nbsp;&nbsp;CDW LLC/Finance Corp. | &nbsp;&nbsp;CDW LLC/Finance Corp. | &nbsp;&nbsp;CDW LLC/Finance Corp. | &nbsp;&nbsp;CDW LLC/Finance Corp. |
| &nbsp;&nbsp;04/01/2028 | &nbsp;&nbsp;4.250% |  | &nbsp;&nbsp;35000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31608 |
| &nbsp;&nbsp;CommScope, Inc.<sup>(a)</sup> | &nbsp;&nbsp;CommScope, Inc.<sup>(a)</sup> | &nbsp;&nbsp;CommScope, Inc.<sup>(a)</sup> | &nbsp;&nbsp;CommScope, Inc.<sup>(a)</sup> | &nbsp;&nbsp;CommScope, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;09/01/2029 | &nbsp;&nbsp;4.750% |  | 160000 | &nbsp;&nbsp;&nbsp;&nbsp;134738 |
| &nbsp;&nbsp;Dell International LLC/EMC Corp. | &nbsp;&nbsp;Dell International LLC/EMC Corp. | &nbsp;&nbsp;Dell International LLC/EMC Corp. | &nbsp;&nbsp;Dell International LLC/EMC Corp. | &nbsp;&nbsp;Dell International LLC/EMC Corp. |
| &nbsp;&nbsp;07/15/2046 | &nbsp;&nbsp;8.350% |  | 115000 | &nbsp;&nbsp;&nbsp;&nbsp;134283 |
| &nbsp;&nbsp;Everi Holdings, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Everi Holdings, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Everi Holdings, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Everi Holdings, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Everi Holdings, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;07/15/2029 | &nbsp;&nbsp;5.000% |  | 175000 | &nbsp;&nbsp;&nbsp;&nbsp;152318 |
| &nbsp;&nbsp;Fidelity National Information Services, Inc. | &nbsp;&nbsp;Fidelity National Information Services, Inc. | &nbsp;&nbsp;Fidelity National Information Services, Inc. | &nbsp;&nbsp;Fidelity National Information Services, Inc. | &nbsp;&nbsp;Fidelity National Information Services, Inc. |
| &nbsp;&nbsp;05/21/2027 | &nbsp;&nbsp;1.500% | &nbsp;&nbsp;EUR | 205000 | &nbsp;&nbsp;&nbsp;&nbsp;194876 |
| &nbsp;&nbsp;12/03/2028 | &nbsp;&nbsp;1.000% | &nbsp;&nbsp;EUR | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;88592 |
| &nbsp;&nbsp;Fiserv, Inc. | &nbsp;&nbsp;Fiserv, Inc. | &nbsp;&nbsp;Fiserv, Inc. | &nbsp;&nbsp;Fiserv, Inc. | &nbsp;&nbsp;Fiserv, Inc. |
| &nbsp;&nbsp;07/01/2027 | &nbsp;&nbsp;1.125% | &nbsp;&nbsp;EUR | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;93892 |
| &nbsp;&nbsp;Gartner, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Gartner, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Gartner, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Gartner, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Gartner, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;10/01/2030 | &nbsp;&nbsp;3.750% |  | 140000 | &nbsp;&nbsp;&nbsp;&nbsp;121115 |
| &nbsp;&nbsp;MSCI, Inc.<sup>(a)</sup> | &nbsp;&nbsp;MSCI, Inc.<sup>(a)</sup> | &nbsp;&nbsp;MSCI, Inc.<sup>(a)</sup> | &nbsp;&nbsp;MSCI, Inc.<sup>(a)</sup> | &nbsp;&nbsp;MSCI, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;09/01/2030 | &nbsp;&nbsp;3.625% |  | 440000 | &nbsp;&nbsp;&nbsp;&nbsp;372248 |
| &nbsp;&nbsp;02/15/2031 | &nbsp;&nbsp;3.875% |  | 160000 | &nbsp;&nbsp;&nbsp;&nbsp;139017 |
| &nbsp;&nbsp;11/01/2031 | &nbsp;&nbsp;3.625% |  | 155000 | &nbsp;&nbsp;&nbsp;&nbsp;129643 |
| &nbsp;&nbsp;08/15/2033 | &nbsp;&nbsp;3.250% |  | &nbsp;&nbsp;90000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;70983 |
| &nbsp;&nbsp;Open Text Corp.<sup>(a),(n)</sup> | &nbsp;&nbsp;Open Text Corp.<sup>(a),(n)</sup> | &nbsp;&nbsp;Open Text Corp.<sup>(a),(n)</sup> | &nbsp;&nbsp;Open Text Corp.<sup>(a),(n)</sup> | &nbsp;&nbsp;Open Text Corp.<sup>(a),(n)</sup> |
| &nbsp;&nbsp;12/01/2027 | &nbsp;&nbsp;6.900% |  | &nbsp;&nbsp;70000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;70493 |
| &nbsp;&nbsp;Oracle Corp. | &nbsp;&nbsp;Oracle Corp. | &nbsp;&nbsp;Oracle Corp. | &nbsp;&nbsp;Oracle Corp. | &nbsp;&nbsp;Oracle Corp. |
| &nbsp;&nbsp;04/01/2027 | &nbsp;&nbsp;2.800% |  | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;91407 |
| &nbsp;&nbsp;03/25/2031 | &nbsp;&nbsp;2.875% |  | &nbsp;&nbsp;60000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50248 |
| &nbsp;&nbsp;11/09/2032 | &nbsp;&nbsp;6.250% |  | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;211156 |
| &nbsp;&nbsp;11/15/2037 | &nbsp;&nbsp;3.800% |  | &nbsp;&nbsp;55000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43612 |
| &nbsp;&nbsp;11/15/2047 | &nbsp;&nbsp;4.000% |  | 280000 | &nbsp;&nbsp;&nbsp;&nbsp;208441 |
| &nbsp;&nbsp;Picard Midco, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Picard Midco, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Picard Midco, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Picard Midco, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Picard Midco, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;03/31/2029 | &nbsp;&nbsp;6.500% |  | 105000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;91833 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** |  | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;S&P Global, Inc.<sup>(a)</sup> | &nbsp;&nbsp;S&P Global, Inc.<sup>(a)</sup> | &nbsp;&nbsp;S&P Global, Inc.<sup>(a)</sup> | &nbsp;&nbsp;S&P Global, Inc.<sup>(a)</sup> | &nbsp;&nbsp;S&P Global, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;08/01/2028 | &nbsp;&nbsp;4.750% |  | 245000 | &nbsp;&nbsp;&nbsp;&nbsp;243857 |
| &nbsp;&nbsp;SK Hynix, Inc.<sup>(a)</sup> | &nbsp;&nbsp;SK Hynix, Inc.<sup>(a)</sup> | &nbsp;&nbsp;SK Hynix, Inc.<sup>(a)</sup> | &nbsp;&nbsp;SK Hynix, Inc.<sup>(a)</sup> | &nbsp;&nbsp;SK Hynix, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;01/19/2026 | &nbsp;&nbsp;1.500% |  | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;173795 |
| &nbsp;&nbsp;Tencent Holdings Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Tencent Holdings Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Tencent Holdings Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Tencent Holdings Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Tencent Holdings Ltd.<sup>(a)</sup> |
| &nbsp;&nbsp;04/22/2041 | &nbsp;&nbsp;3.680% |  | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;145961 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**3243195** |
| &nbsp;&nbsp;**Tobacco 0.1%** | &nbsp;&nbsp;**Tobacco 0.1%** | &nbsp;&nbsp;**Tobacco 0.1%** | &nbsp;&nbsp;**Tobacco 0.1%** | &nbsp;&nbsp;**Tobacco 0.1%** |
| &nbsp;&nbsp;BAT Capital Corp. | &nbsp;&nbsp;BAT Capital Corp. | &nbsp;&nbsp;BAT Capital Corp. | &nbsp;&nbsp;BAT Capital Corp. | &nbsp;&nbsp;BAT Capital Corp. |
| &nbsp;&nbsp;08/15/2047 | &nbsp;&nbsp;4.540% |  | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72566 |
| &nbsp;&nbsp;03/16/2052 | &nbsp;&nbsp;5.650% |  | 140000 | &nbsp;&nbsp;&nbsp;&nbsp;117860 |
| &nbsp;&nbsp;Reynolds American, Inc. | &nbsp;&nbsp;Reynolds American, Inc. | &nbsp;&nbsp;Reynolds American, Inc. | &nbsp;&nbsp;Reynolds American, Inc. | &nbsp;&nbsp;Reynolds American, Inc. |
| &nbsp;&nbsp;08/15/2045 | &nbsp;&nbsp;5.850% |  | 510000 | &nbsp;&nbsp;&nbsp;&nbsp;445059 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**635485** |
| &nbsp;&nbsp;**Transportation Services 0.0%** | &nbsp;&nbsp;**Transportation Services 0.0%** | &nbsp;&nbsp;**Transportation Services 0.0%** | &nbsp;&nbsp;**Transportation Services 0.0%** | &nbsp;&nbsp;**Transportation Services 0.0%** |
| &nbsp;&nbsp;Hertz Corp (The)<sup>(a)</sup> | &nbsp;&nbsp;Hertz Corp (The)<sup>(a)</sup> | &nbsp;&nbsp;Hertz Corp (The)<sup>(a)</sup> | &nbsp;&nbsp;Hertz Corp (The)<sup>(a)</sup> | &nbsp;&nbsp;Hertz Corp (The)<sup>(a)</sup> |
| &nbsp;&nbsp;12/01/2029 | &nbsp;&nbsp;5.000% |  | 255000 | &nbsp;&nbsp;&nbsp;&nbsp;201762 |
| &nbsp;&nbsp;**Wireless 0.8%** | &nbsp;&nbsp;**Wireless 0.8%** | &nbsp;&nbsp;**Wireless 0.8%** | &nbsp;&nbsp;**Wireless 0.8%** | &nbsp;&nbsp;**Wireless 0.8%** |
| &nbsp;&nbsp;American Tower Corp. | &nbsp;&nbsp;American Tower Corp. | &nbsp;&nbsp;American Tower Corp. | &nbsp;&nbsp;American Tower Corp. | &nbsp;&nbsp;American Tower Corp. |
| &nbsp;&nbsp;05/22/2026 | &nbsp;&nbsp;1.950% | &nbsp;&nbsp;EUR | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;97983 |
| &nbsp;&nbsp;01/15/2028 | &nbsp;&nbsp;0.500% | &nbsp;&nbsp;EUR | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;87423 |
| &nbsp;&nbsp;Cellnex Telecom SA | &nbsp;&nbsp;Cellnex Telecom SA | &nbsp;&nbsp;Cellnex Telecom SA | &nbsp;&nbsp;Cellnex Telecom SA | &nbsp;&nbsp;Cellnex Telecom SA |
| &nbsp;&nbsp;06/26/2029 | &nbsp;&nbsp;1.875% | &nbsp;&nbsp;EUR | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;87155 |
| &nbsp;&nbsp;Crown Castle International Corp. | &nbsp;&nbsp;Crown Castle International Corp. | &nbsp;&nbsp;Crown Castle International Corp. | &nbsp;&nbsp;Crown Castle International Corp. | &nbsp;&nbsp;Crown Castle International Corp. |
| &nbsp;&nbsp;01/15/2031 | &nbsp;&nbsp;2.250% |  | &nbsp;&nbsp;65000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52615 |
| &nbsp;&nbsp;Crown Castle, Inc. | &nbsp;&nbsp;Crown Castle, Inc. | &nbsp;&nbsp;Crown Castle, Inc. | &nbsp;&nbsp;Crown Castle, Inc. | &nbsp;&nbsp;Crown Castle, Inc. |
| &nbsp;&nbsp;07/15/2025 | &nbsp;&nbsp;1.350% |  | &nbsp;&nbsp;39000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35477 |
| &nbsp;&nbsp;Millicom International Cellular SA<sup>(a)</sup> | &nbsp;&nbsp;Millicom International Cellular SA<sup>(a)</sup> | &nbsp;&nbsp;Millicom International Cellular SA<sup>(a)</sup> | &nbsp;&nbsp;Millicom International Cellular SA<sup>(a)</sup> | &nbsp;&nbsp;Millicom International Cellular SA<sup>(a)</sup> |
| &nbsp;&nbsp;04/27/2031 | &nbsp;&nbsp;4.500% |  | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;164500 |
| &nbsp;&nbsp;SBA Communications Corp. | &nbsp;&nbsp;SBA Communications Corp. | &nbsp;&nbsp;SBA Communications Corp. | &nbsp;&nbsp;SBA Communications Corp. | &nbsp;&nbsp;SBA Communications Corp. |
| &nbsp;&nbsp;02/15/2027 | &nbsp;&nbsp;3.875% |  | 595000 | &nbsp;&nbsp;&nbsp;&nbsp;549535 |
| &nbsp;&nbsp;02/01/2029 | &nbsp;&nbsp;3.125% |  | 305000 | &nbsp;&nbsp;&nbsp;&nbsp;255058 |
| &nbsp;&nbsp;Sprint Corp. | &nbsp;&nbsp;Sprint Corp. | &nbsp;&nbsp;Sprint Corp. | &nbsp;&nbsp;Sprint Corp. | &nbsp;&nbsp;Sprint Corp. |
| &nbsp;&nbsp;09/15/2023 | &nbsp;&nbsp;7.875% |  | 193000 | &nbsp;&nbsp;&nbsp;&nbsp;196591 |
| &nbsp;&nbsp;Sprint Spectrum Co. I/II/III LLC<sup>(a)</sup> | &nbsp;&nbsp;Sprint Spectrum Co. I/II/III LLC<sup>(a)</sup> | &nbsp;&nbsp;Sprint Spectrum Co. I/II/III LLC<sup>(a)</sup> | &nbsp;&nbsp;Sprint Spectrum Co. I/II/III LLC<sup>(a)</sup> | &nbsp;&nbsp;Sprint Spectrum Co. I/II/III LLC<sup>(a)</sup> |
| &nbsp;&nbsp;03/20/2025 | &nbsp;&nbsp;4.738% |  | 506250 | &nbsp;&nbsp;&nbsp;&nbsp;498896 |
| &nbsp;&nbsp;03/20/2028 | &nbsp;&nbsp;5.152% |  | 125000 | &nbsp;&nbsp;&nbsp;&nbsp;123032 |
| &nbsp;&nbsp;T-Mobile US, Inc. | &nbsp;&nbsp;T-Mobile US, Inc. | &nbsp;&nbsp;T-Mobile US, Inc. | &nbsp;&nbsp;T-Mobile US, Inc. | &nbsp;&nbsp;T-Mobile US, Inc. |
| &nbsp;&nbsp;04/15/2026 | &nbsp;&nbsp;2.625% |  | 304000 | &nbsp;&nbsp;&nbsp;&nbsp;280368 |
| &nbsp;&nbsp;04/15/2027 | &nbsp;&nbsp;3.750% |  | &nbsp;&nbsp;20000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18951 |
| &nbsp;&nbsp;02/01/2028 | &nbsp;&nbsp;4.750% |  | 153000 | &nbsp;&nbsp;&nbsp;&nbsp;148855 |
| &nbsp;&nbsp;02/15/2029 | &nbsp;&nbsp;2.625% |  | &nbsp;&nbsp;90000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;76625 |
| &nbsp;&nbsp;04/15/2029 | &nbsp;&nbsp;3.375% |  | 105000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;92846 |
| &nbsp;&nbsp;04/15/2030 | &nbsp;&nbsp;3.875% |  | 283000 | &nbsp;&nbsp;&nbsp;&nbsp;259864 |
| &nbsp;&nbsp;02/15/2031 | &nbsp;&nbsp;2.875% |  | 125000 | &nbsp;&nbsp;&nbsp;&nbsp;104178 |
| &nbsp;&nbsp;04/15/2031 | &nbsp;&nbsp;3.500% |  | 175000 | &nbsp;&nbsp;&nbsp;&nbsp;152111 |
| &nbsp;&nbsp;04/15/2040 | &nbsp;&nbsp;4.375% |  | &nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4342 |

---

18 Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** | &nbsp;&nbsp;**Corporate Bonds & Notes<sup>(k)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** |  | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Vmed O2 UK Financing I PLC<sup>(a)</sup> | &nbsp;&nbsp;Vmed O2 UK Financing I PLC<sup>(a)</sup> | &nbsp;&nbsp;Vmed O2 UK Financing I PLC<sup>(a)</sup> | &nbsp;&nbsp;Vmed O2 UK Financing I PLC<sup>(a)</sup> | &nbsp;&nbsp;Vmed O2 UK Financing I PLC<sup>(a)</sup> |
| &nbsp;&nbsp;01/31/2031 | &nbsp;&nbsp;3.250% | &nbsp;&nbsp;EUR | 160000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;134501 |
| &nbsp;&nbsp;01/31/2031 | &nbsp;&nbsp;4.250% |  | 430000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;345123 |
| &nbsp;&nbsp;Vodafone Group PLC | &nbsp;&nbsp;Vodafone Group PLC | &nbsp;&nbsp;Vodafone Group PLC | &nbsp;&nbsp;Vodafone Group PLC | &nbsp;&nbsp;Vodafone Group PLC |
| &nbsp;&nbsp;05/30/2048 | &nbsp;&nbsp;5.250% |  | 230000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;207558 |
| &nbsp;&nbsp;06/19/2049 | &nbsp;&nbsp;4.875% |  | &nbsp;&nbsp;20000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17172 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**3990759** |
| &nbsp;&nbsp;**Wirelines 0.3%** | &nbsp;&nbsp;**Wirelines 0.3%** | &nbsp;&nbsp;**Wirelines 0.3%** | &nbsp;&nbsp;**Wirelines 0.3%** | &nbsp;&nbsp;**Wirelines 0.3%** |
| &nbsp;&nbsp;AT&T, Inc. | &nbsp;&nbsp;AT&T, Inc. | &nbsp;&nbsp;AT&T, Inc. | &nbsp;&nbsp;AT&T, Inc. | &nbsp;&nbsp;AT&T, Inc. |
| &nbsp;&nbsp;03/25/2024 | &nbsp;&nbsp;0.900% |  | &nbsp;&nbsp;77000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;73065 |
| &nbsp;&nbsp;12/01/2033 | &nbsp;&nbsp;2.550% |  | 340000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;267442 |
| &nbsp;&nbsp;05/15/2035 | &nbsp;&nbsp;4.500% |  | &nbsp;&nbsp;35000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32125 |
| &nbsp;&nbsp;03/01/2037 | &nbsp;&nbsp;5.250% |  | &nbsp;&nbsp;45000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44097 |
| &nbsp;&nbsp;05/15/2046 | &nbsp;&nbsp;4.750% |  | &nbsp;&nbsp;40000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34939 |
| &nbsp;&nbsp;12/01/2057 | &nbsp;&nbsp;3.800% |  | 467000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;339534 |
| &nbsp;&nbsp;C&W Senior Financing DAC<sup>(a)</sup> | &nbsp;&nbsp;C&W Senior Financing DAC<sup>(a)</sup> | &nbsp;&nbsp;C&W Senior Financing DAC<sup>(a)</sup> | &nbsp;&nbsp;C&W Senior Financing DAC<sup>(a)</sup> | &nbsp;&nbsp;C&W Senior Financing DAC<sup>(a)</sup> |
| &nbsp;&nbsp;09/15/2027 | &nbsp;&nbsp;6.875% |  | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;178367 |
| &nbsp;&nbsp;Frontier Communications Corp.<sup>(a)</sup> | &nbsp;&nbsp;Frontier Communications Corp.<sup>(a)</sup> | &nbsp;&nbsp;Frontier Communications Corp.<sup>(a)</sup> | &nbsp;&nbsp;Frontier Communications Corp.<sup>(a)</sup> | &nbsp;&nbsp;Frontier Communications Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;05/01/2028 | &nbsp;&nbsp;5.000% |  | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;177990 |
| &nbsp;&nbsp;Level 3 Financing, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Level 3 Financing, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Level 3 Financing, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Level 3 Financing, Inc.<sup>(a)</sup> | &nbsp;&nbsp;Level 3 Financing, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;09/15/2027 | &nbsp;&nbsp;4.625% |  | 275000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;233231 |
| &nbsp;&nbsp;07/01/2028 | &nbsp;&nbsp;4.250% |  | 165000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;130702 |
| &nbsp;&nbsp;11/15/2029 | &nbsp;&nbsp;3.875% |  | &nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38904 |
| &nbsp;&nbsp;Total Play Telecomunicaciones SA de CV<sup>(a)</sup> | &nbsp;&nbsp;Total Play Telecomunicaciones SA de CV<sup>(a)</sup> | &nbsp;&nbsp;Total Play Telecomunicaciones SA de CV<sup>(a)</sup> | &nbsp;&nbsp;Total Play Telecomunicaciones SA de CV<sup>(a)</sup> | &nbsp;&nbsp;Total Play Telecomunicaciones SA de CV<sup>(a)</sup> |
| &nbsp;&nbsp;11/12/2025 | &nbsp;&nbsp;7.500% |  | 210000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;178665 |
| &nbsp;&nbsp;Verizon Communications, Inc. | &nbsp;&nbsp;Verizon Communications, Inc. | &nbsp;&nbsp;Verizon Communications, Inc. | &nbsp;&nbsp;Verizon Communications, Inc. | &nbsp;&nbsp;Verizon Communications, Inc. |
| &nbsp;&nbsp;03/22/2024 | &nbsp;&nbsp;0.750% |  | &nbsp;&nbsp;58000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;55144 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**1784205** |
| &nbsp;&nbsp;Total Corporate Bonds & Notes<br> (Cost $95,541,207) | &nbsp;&nbsp;Total Corporate Bonds & Notes<br> (Cost $95,541,207) | &nbsp;&nbsp;Total Corporate Bonds & Notes<br> (Cost $95,541,207) | &nbsp;&nbsp;Total Corporate Bonds & Notes<br> (Cost $95,541,207) | &nbsp;&nbsp;**84772409** |
| &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> 5.7%** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> 5.7%** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> 5.7%** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> 5.7%** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> 5.7%** |
| &nbsp;&nbsp;**Australia 0.3%** | &nbsp;&nbsp;**Australia 0.3%** | &nbsp;&nbsp;**Australia 0.3%** | &nbsp;&nbsp;**Australia 0.3%** | &nbsp;&nbsp;**Australia 0.3%** |
| &nbsp;&nbsp;Australia Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Australia Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Australia Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Australia Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Australia Government Bond<sup>(a)</sup> |
| &nbsp;&nbsp;11/21/2024 | &nbsp;&nbsp;0.250% | &nbsp;&nbsp;AUD | 460000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;295588 |
| &nbsp;&nbsp;09/21/2026 | &nbsp;&nbsp;0.500% | &nbsp;&nbsp;AUD | 320000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;196667 |
| &nbsp;&nbsp;12/21/2030 | &nbsp;&nbsp;1.000% | &nbsp;&nbsp;AUD | 295000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;165099 |
| &nbsp;&nbsp;11/21/2031 | &nbsp;&nbsp;1.000% | &nbsp;&nbsp;AUD | 295000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;162211 |
| &nbsp;&nbsp;New South Wales Treasury Corp.<sup>(a)</sup> | &nbsp;&nbsp;New South Wales Treasury Corp.<sup>(a)</sup> | &nbsp;&nbsp;New South Wales Treasury Corp.<sup>(a)</sup> | &nbsp;&nbsp;New South Wales Treasury Corp.<sup>(a)</sup> | &nbsp;&nbsp;New South Wales Treasury Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;03/20/2025 | &nbsp;&nbsp;1.250% | &nbsp;&nbsp;AUD | 330000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;212928 |
| &nbsp;&nbsp;05/20/2027 | &nbsp;&nbsp;3.000% | &nbsp;&nbsp;AUD | 325000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;214115 |
| &nbsp;&nbsp;Queensland Treasury Corp.<sup>(a)</sup> | &nbsp;&nbsp;Queensland Treasury Corp.<sup>(a)</sup> | &nbsp;&nbsp;Queensland Treasury Corp.<sup>(a)</sup> | &nbsp;&nbsp;Queensland Treasury Corp.<sup>(a)</sup> | &nbsp;&nbsp;Queensland Treasury Corp.<sup>(a)</sup> |
| &nbsp;&nbsp;08/20/2027 | &nbsp;&nbsp;2.750% | &nbsp;&nbsp;AUD | 290000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;188625 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**1435233** |
| &nbsp;&nbsp;**Austria 0.0%** | &nbsp;&nbsp;**Austria 0.0%** | &nbsp;&nbsp;**Austria 0.0%** | &nbsp;&nbsp;**Austria 0.0%** | &nbsp;&nbsp;**Austria 0.0%** |
| &nbsp;&nbsp;Republic of Austria Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Republic of Austria Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Republic of Austria Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Republic of Austria Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Republic of Austria Government Bond<sup>(a)</sup> |
| &nbsp;&nbsp;02/20/2029 | &nbsp;&nbsp;0.500% | &nbsp;&nbsp;EUR | 160000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;149179 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** |  | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**Bahrain 0.0%** | &nbsp;&nbsp;**Bahrain 0.0%** | &nbsp;&nbsp;**Bahrain 0.0%** | &nbsp;&nbsp;**Bahrain 0.0%** | &nbsp;&nbsp;**Bahrain 0.0%** |
| &nbsp;&nbsp;CBB International Sukuk Co. 7 SPC<sup>(a)</sup> | &nbsp;&nbsp;CBB International Sukuk Co. 7 SPC<sup>(a)</sup> | &nbsp;&nbsp;CBB International Sukuk Co. 7 SPC<sup>(a)</sup> | &nbsp;&nbsp;CBB International Sukuk Co. 7 SPC<sup>(a)</sup> | &nbsp;&nbsp;CBB International Sukuk Co. 7 SPC<sup>(a)</sup> |
| &nbsp;&nbsp;10/05/2025 | &nbsp;&nbsp;&nbsp;&nbsp;6.875% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;207065 |
| &nbsp;&nbsp;**Brazil 0.1%** | &nbsp;&nbsp;**Brazil 0.1%** | &nbsp;&nbsp;**Brazil 0.1%** | &nbsp;&nbsp;**Brazil 0.1%** | &nbsp;&nbsp;**Brazil 0.1%** |
| &nbsp;&nbsp;Brazilian Government International Bond | &nbsp;&nbsp;Brazilian Government International Bond | &nbsp;&nbsp;Brazilian Government International Bond | &nbsp;&nbsp;Brazilian Government International Bond | &nbsp;&nbsp;Brazilian Government International Bond |
| &nbsp;&nbsp;06/12/2030 | &nbsp;&nbsp;&nbsp;&nbsp;3.875% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;400000 | &nbsp;&nbsp;&nbsp;&nbsp;351655 |
| &nbsp;&nbsp;**Canada 0.5%** | &nbsp;&nbsp;**Canada 0.5%** | &nbsp;&nbsp;**Canada 0.5%** | &nbsp;&nbsp;**Canada 0.5%** | &nbsp;&nbsp;**Canada 0.5%** |
| &nbsp;&nbsp;Canada Housing Trust No. 1<sup>(a)</sup> | &nbsp;&nbsp;Canada Housing Trust No. 1<sup>(a)</sup> | &nbsp;&nbsp;Canada Housing Trust No. 1<sup>(a)</sup> | &nbsp;&nbsp;Canada Housing Trust No. 1<sup>(a)</sup> | &nbsp;&nbsp;Canada Housing Trust No. 1<sup>(a)</sup> |
| &nbsp;&nbsp;12/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp;1.950% | &nbsp;&nbsp;CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;465000 | &nbsp;&nbsp;&nbsp;&nbsp;327772 |
| &nbsp;&nbsp;06/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;1.250% | &nbsp;&nbsp;CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;415000 | &nbsp;&nbsp;&nbsp;&nbsp;284000 |
| &nbsp;&nbsp;Canadian Government Bond | &nbsp;&nbsp;Canadian Government Bond | &nbsp;&nbsp;Canadian Government Bond | &nbsp;&nbsp;Canadian Government Bond | &nbsp;&nbsp;Canadian Government Bond |
| &nbsp;&nbsp;09/01/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1.500% | &nbsp;&nbsp;CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;205000 | &nbsp;&nbsp;&nbsp;&nbsp;146347 |
| &nbsp;&nbsp;CPPIB Capital, Inc.<sup>(a)</sup> | &nbsp;&nbsp;CPPIB Capital, Inc.<sup>(a)</sup> | &nbsp;&nbsp;CPPIB Capital, Inc.<sup>(a)</sup> | &nbsp;&nbsp;CPPIB Capital, Inc.<sup>(a)</sup> | &nbsp;&nbsp;CPPIB Capital, Inc.<sup>(a)</sup> |
| &nbsp;&nbsp;12/01/2031 | &nbsp;&nbsp;&nbsp;&nbsp;2.250% | &nbsp;&nbsp;CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;155000 | &nbsp;&nbsp;&nbsp;&nbsp;101930 |
| &nbsp;&nbsp;Province of Ontario | &nbsp;&nbsp;Province of Ontario | &nbsp;&nbsp;Province of Ontario | &nbsp;&nbsp;Province of Ontario | &nbsp;&nbsp;Province of Ontario |
| &nbsp;&nbsp;06/02/2028 | &nbsp;&nbsp;&nbsp;&nbsp;2.900% | &nbsp;&nbsp;CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;375000 | &nbsp;&nbsp;&nbsp;&nbsp;269717 |
| &nbsp;&nbsp;12/02/2030 | &nbsp;&nbsp;&nbsp;&nbsp;1.350% | &nbsp;&nbsp;CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1050000 | &nbsp;&nbsp;&nbsp;&nbsp;656374 |
| &nbsp;&nbsp;06/02/2045 | &nbsp;&nbsp;&nbsp;&nbsp;3.450% | &nbsp;&nbsp;CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;215000 | &nbsp;&nbsp;&nbsp;&nbsp;145158 |
| &nbsp;&nbsp;Province of Quebec | &nbsp;&nbsp;Province of Quebec | &nbsp;&nbsp;Province of Quebec | &nbsp;&nbsp;Province of Quebec | &nbsp;&nbsp;Province of Quebec |
| &nbsp;&nbsp;09/01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;3.000% | &nbsp;&nbsp;CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;325000 | &nbsp;&nbsp;&nbsp;&nbsp;239200 |
| &nbsp;&nbsp;Province of Quebec<sup>(a)</sup> | &nbsp;&nbsp;Province of Quebec<sup>(a)</sup> | &nbsp;&nbsp;Province of Quebec<sup>(a)</sup> | &nbsp;&nbsp;Province of Quebec<sup>(a)</sup> | &nbsp;&nbsp;Province of Quebec<sup>(a)</sup> |
| &nbsp;&nbsp;12/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1.500% | &nbsp;&nbsp;GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;105000 | &nbsp;&nbsp;&nbsp;&nbsp;123354 |
| &nbsp;&nbsp;04/07/2025 | &nbsp;&nbsp;&nbsp;&nbsp;0.200% | &nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;205000 | &nbsp;&nbsp;&nbsp;&nbsp;200980 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**2494832** |
| &nbsp;&nbsp;**Chile 0.0%** | &nbsp;&nbsp;**Chile 0.0%** | &nbsp;&nbsp;**Chile 0.0%** | &nbsp;&nbsp;**Chile 0.0%** | &nbsp;&nbsp;**Chile 0.0%** |
| &nbsp;&nbsp;Chile Government International Bond | &nbsp;&nbsp;Chile Government International Bond | &nbsp;&nbsp;Chile Government International Bond | &nbsp;&nbsp;Chile Government International Bond | &nbsp;&nbsp;Chile Government International Bond |
| &nbsp;&nbsp;01/27/2032 | &nbsp;&nbsp;&nbsp;&nbsp;2.550% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;224000 | &nbsp;&nbsp;&nbsp;&nbsp;188845 |
| &nbsp;&nbsp;**Colombia 0.3%** | &nbsp;&nbsp;**Colombia 0.3%** | &nbsp;&nbsp;**Colombia 0.3%** | &nbsp;&nbsp;**Colombia 0.3%** | &nbsp;&nbsp;**Colombia 0.3%** |
| &nbsp;&nbsp;Colombia Government International Bond | &nbsp;&nbsp;Colombia Government International Bond | &nbsp;&nbsp;Colombia Government International Bond | &nbsp;&nbsp;Colombia Government International Bond | &nbsp;&nbsp;Colombia Government International Bond |
| &nbsp;&nbsp;01/28/2026 | &nbsp;&nbsp;&nbsp;&nbsp;4.500% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;400000 | &nbsp;&nbsp;&nbsp;&nbsp;372670 |
| &nbsp;&nbsp;03/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;4.500% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;171975 |
| &nbsp;&nbsp;01/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp;3.000% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;151212 |
| &nbsp;&nbsp;04/22/2032 | &nbsp;&nbsp;&nbsp;&nbsp;3.250% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;215000 | &nbsp;&nbsp;&nbsp;&nbsp;154409 |
| &nbsp;&nbsp;Colombian TES | &nbsp;&nbsp;Colombian TES | &nbsp;&nbsp;Colombian TES | &nbsp;&nbsp;Colombian TES | &nbsp;&nbsp;Colombian TES |
| &nbsp;&nbsp;07/24/2024 | &nbsp;&nbsp;10.000% | &nbsp;&nbsp;COP | 1142600000 | &nbsp;&nbsp;&nbsp;&nbsp;230175 |
| &nbsp;&nbsp;11/26/2025 | &nbsp;&nbsp;&nbsp;&nbsp;6.250% | &nbsp;&nbsp;COP | &nbsp;&nbsp;&nbsp;378657000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;66753 |
| &nbsp;&nbsp;Ecopetrol SA | &nbsp;&nbsp;Ecopetrol SA | &nbsp;&nbsp;Ecopetrol SA | &nbsp;&nbsp;Ecopetrol SA | &nbsp;&nbsp;Ecopetrol SA |
| &nbsp;&nbsp;06/26/2026 | &nbsp;&nbsp;&nbsp;&nbsp;5.375% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46811 |
| &nbsp;&nbsp;04/29/2030 | &nbsp;&nbsp;&nbsp;&nbsp;6.875% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;110000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;98345 |
| &nbsp;&nbsp;11/02/2031 | &nbsp;&nbsp;&nbsp;&nbsp;4.625% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;105000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;79472 |
| &nbsp;&nbsp;05/28/2045 | &nbsp;&nbsp;&nbsp;&nbsp;5.875% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;55000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37887 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**1409709** |
| &nbsp;&nbsp;**Dominican Republic 0.1%** | &nbsp;&nbsp;**Dominican Republic 0.1%** | &nbsp;&nbsp;**Dominican Republic 0.1%** | &nbsp;&nbsp;**Dominican Republic 0.1%** | &nbsp;&nbsp;**Dominican Republic 0.1%** |
| &nbsp;&nbsp;Dominican Republic International Bond<sup>(a)</sup> | &nbsp;&nbsp;Dominican Republic International Bond<sup>(a)</sup> | &nbsp;&nbsp;Dominican Republic International Bond<sup>(a)</sup> | &nbsp;&nbsp;Dominican Republic International Bond<sup>(a)</sup> | &nbsp;&nbsp;Dominican Republic International Bond<sup>(a)</sup> |
| &nbsp;&nbsp;01/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp;4.500% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;350000 | &nbsp;&nbsp;&nbsp;&nbsp;298981 |

---

Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022<br> 19

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** |  | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**Egypt 0.0%** | &nbsp;&nbsp;**Egypt 0.0%** | &nbsp;&nbsp;**Egypt 0.0%** | &nbsp;&nbsp;**Egypt 0.0%** | &nbsp;&nbsp;**Egypt 0.0%** |
| &nbsp;&nbsp;Egypt Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Egypt Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Egypt Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Egypt Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Egypt Government International Bond<sup>(a)</sup> |
| &nbsp;&nbsp;10/06/2025 | &nbsp;&nbsp;5.250% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;179489 |
| &nbsp;&nbsp;**Greece 0.1%** | &nbsp;&nbsp;**Greece 0.1%** | &nbsp;&nbsp;**Greece 0.1%** | &nbsp;&nbsp;**Greece 0.1%** | &nbsp;&nbsp;**Greece 0.1%** |
| &nbsp;&nbsp;Hellenic Republic Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Hellenic Republic Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Hellenic Republic Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Hellenic Republic Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Hellenic Republic Government Bond<sup>(a)</sup> |
| &nbsp;&nbsp;04/22/2027 | &nbsp;&nbsp;2.000% | &nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;236000 | &nbsp;&nbsp;233822 |
| &nbsp;&nbsp;06/18/2030 | &nbsp;&nbsp;1.500% | &nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;290000 | &nbsp;&nbsp;252941 |
| &nbsp;&nbsp;01/30/2042 | &nbsp;&nbsp;4.200% | &nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;215000 | &nbsp;&nbsp;229114 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**715877** |
| &nbsp;&nbsp;**Guatemala 0.0%** | &nbsp;&nbsp;**Guatemala 0.0%** | &nbsp;&nbsp;**Guatemala 0.0%** | &nbsp;&nbsp;**Guatemala 0.0%** | &nbsp;&nbsp;**Guatemala 0.0%** |
| &nbsp;&nbsp;Guatemala Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Guatemala Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Guatemala Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Guatemala Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Guatemala Government Bond<sup>(a)</sup> |
| &nbsp;&nbsp;10/07/2033 | &nbsp;&nbsp;3.700% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;242000 | &nbsp;&nbsp;199438 |
| &nbsp;&nbsp;**Hungary 0.0%** | &nbsp;&nbsp;**Hungary 0.0%** | &nbsp;&nbsp;**Hungary 0.0%** | &nbsp;&nbsp;**Hungary 0.0%** | &nbsp;&nbsp;**Hungary 0.0%** |
| &nbsp;&nbsp;Hungary Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Hungary Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Hungary Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Hungary Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Hungary Government International Bond<sup>(a)</sup> |
| &nbsp;&nbsp;09/22/2031 | &nbsp;&nbsp;2.125% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;151374 |
| &nbsp;&nbsp;**India 0.1%** | &nbsp;&nbsp;**India 0.1%** | &nbsp;&nbsp;**India 0.1%** | &nbsp;&nbsp;**India 0.1%** | &nbsp;&nbsp;**India 0.1%** |
| &nbsp;&nbsp;Export-Import Bank of India<sup>(a)</sup> | &nbsp;&nbsp;Export-Import Bank of India<sup>(a)</sup> | &nbsp;&nbsp;Export-Import Bank of India<sup>(a)</sup> | &nbsp;&nbsp;Export-Import Bank of India<sup>(a)</sup> | &nbsp;&nbsp;Export-Import Bank of India<sup>(a)</sup> |
| &nbsp;&nbsp;02/01/2028 | &nbsp;&nbsp;3.875% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;186718 |
| &nbsp;&nbsp;India Government Bond | &nbsp;&nbsp;India Government Bond | &nbsp;&nbsp;India Government Bond | &nbsp;&nbsp;India Government Bond | &nbsp;&nbsp;India Government Bond |
| &nbsp;&nbsp;04/08/2026 | &nbsp;&nbsp;7.270% | &nbsp;&nbsp;INR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3500000 | &nbsp;&nbsp;&nbsp;&nbsp;43158 |
| &nbsp;&nbsp;07/12/2031 | &nbsp;&nbsp;6.100% | &nbsp;&nbsp;INR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7990000 | &nbsp;&nbsp;&nbsp;&nbsp;90657 |
| &nbsp;&nbsp;Indian Railway Finance Corp., Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Indian Railway Finance Corp., Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Indian Railway Finance Corp., Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Indian Railway Finance Corp., Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Indian Railway Finance Corp., Ltd.<sup>(a)</sup> |
| &nbsp;&nbsp;02/13/2030 | &nbsp;&nbsp;3.249% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;175306 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**495839** |
| &nbsp;&nbsp;**Indonesia 0.7%** | &nbsp;&nbsp;**Indonesia 0.7%** | &nbsp;&nbsp;**Indonesia 0.7%** | &nbsp;&nbsp;**Indonesia 0.7%** | &nbsp;&nbsp;**Indonesia 0.7%** |
| &nbsp;&nbsp;Freeport Indonesia PT<sup>(a)</sup> | &nbsp;&nbsp;Freeport Indonesia PT<sup>(a)</sup> | &nbsp;&nbsp;Freeport Indonesia PT<sup>(a)</sup> | &nbsp;&nbsp;Freeport Indonesia PT<sup>(a)</sup> | &nbsp;&nbsp;Freeport Indonesia PT<sup>(a)</sup> |
| &nbsp;&nbsp;04/14/2027 | &nbsp;&nbsp;4.763% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;193309 |
| &nbsp;&nbsp;Indonesia Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Indonesia Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Indonesia Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Indonesia Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Indonesia Government International Bond<sup>(a)</sup> |
| &nbsp;&nbsp;06/14/2023 | &nbsp;&nbsp;2.625% | &nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;225000 | &nbsp;&nbsp;233724 |
| &nbsp;&nbsp;07/18/2024 | &nbsp;&nbsp;2.150% | &nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;203319 |
| &nbsp;&nbsp;Indonesia Government International Bond | &nbsp;&nbsp;Indonesia Government International Bond | &nbsp;&nbsp;Indonesia Government International Bond | &nbsp;&nbsp;Indonesia Government International Bond | &nbsp;&nbsp;Indonesia Government International Bond |
| &nbsp;&nbsp;10/15/2030 | &nbsp;&nbsp;3.850% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;188748 |
| &nbsp;&nbsp;03/12/2033 | &nbsp;&nbsp;1.100% | &nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100000 | &nbsp;&nbsp;&nbsp;&nbsp;75468 |
| &nbsp;&nbsp;03/12/2051 | &nbsp;&nbsp;3.050% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;143520 |
| &nbsp;&nbsp;Indonesia Treasury Bond | &nbsp;&nbsp;Indonesia Treasury Bond | &nbsp;&nbsp;Indonesia Treasury Bond | &nbsp;&nbsp;Indonesia Treasury Bond | &nbsp;&nbsp;Indonesia Treasury Bond |
| &nbsp;&nbsp;06/15/2025 | &nbsp;&nbsp;6.500% | &nbsp;&nbsp;IDR | 5915000000 | &nbsp;&nbsp;377344 |
| &nbsp;&nbsp;09/15/2026 | &nbsp;&nbsp;8.375% | &nbsp;&nbsp;IDR | 2322000000 | &nbsp;&nbsp;156748 |
| &nbsp;&nbsp;04/15/2027 | &nbsp;&nbsp;5.125% | &nbsp;&nbsp;IDR | 1504000000 | &nbsp;&nbsp;&nbsp;&nbsp;91422 |
| &nbsp;&nbsp;05/15/2028 | &nbsp;&nbsp;6.125% | &nbsp;&nbsp;IDR | &nbsp;&nbsp;&nbsp;773000000 | &nbsp;&nbsp;&nbsp;&nbsp;47550 |
| &nbsp;&nbsp;03/15/2029 | &nbsp;&nbsp;9.000% | &nbsp;&nbsp;IDR | 2298000000 | &nbsp;&nbsp;161751 |
| &nbsp;&nbsp;05/15/2031 | &nbsp;&nbsp;8.750% | &nbsp;&nbsp;IDR | 4550000000 | &nbsp;&nbsp;321003 |
| &nbsp;&nbsp;04/15/2032 | &nbsp;&nbsp;6.375% | &nbsp;&nbsp;IDR | 6547000000 | &nbsp;&nbsp;401189 |
| &nbsp;&nbsp;05/15/2033 | &nbsp;&nbsp;6.625% | &nbsp;&nbsp;IDR | 2025000000 | &nbsp;&nbsp;124889 |
| &nbsp;&nbsp;06/15/2035 | &nbsp;&nbsp;7.500% | &nbsp;&nbsp;IDR | 1095000000 | &nbsp;&nbsp;&nbsp;&nbsp;71865 |
| &nbsp;&nbsp;05/15/2038 | &nbsp;&nbsp;7.500% | &nbsp;&nbsp;IDR | 1751000000 | &nbsp;&nbsp;114406 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** |  | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Perusahaan Penerbit SBSN Indonesia III<sup>(a)</sup> | &nbsp;&nbsp;Perusahaan Penerbit SBSN Indonesia III<sup>(a)</sup> | &nbsp;&nbsp;Perusahaan Penerbit SBSN Indonesia III<sup>(a)</sup> | &nbsp;&nbsp;Perusahaan Penerbit SBSN Indonesia III<sup>(a)</sup> | &nbsp;&nbsp;Perusahaan Penerbit SBSN Indonesia III<sup>(a)</sup> |
| &nbsp;&nbsp;03/29/2027 | &nbsp;&nbsp;4.150% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;270000 | &nbsp;&nbsp;&nbsp;&nbsp;265270 |
| &nbsp;&nbsp;PT Indonesia Asahan Aluminium Persero<sup>(a)</sup> | &nbsp;&nbsp;PT Indonesia Asahan Aluminium Persero<sup>(a)</sup> | &nbsp;&nbsp;PT Indonesia Asahan Aluminium Persero<sup>(a)</sup> | &nbsp;&nbsp;PT Indonesia Asahan Aluminium Persero<sup>(a)</sup> | &nbsp;&nbsp;PT Indonesia Asahan Aluminium Persero<sup>(a)</sup> |
| &nbsp;&nbsp;05/15/2025 | &nbsp;&nbsp;4.750% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;220000 | &nbsp;&nbsp;&nbsp;&nbsp;216681 |
| &nbsp;&nbsp;PT Pertamina Persero<sup>(a)</sup> | &nbsp;&nbsp;PT Pertamina Persero<sup>(a)</sup> | &nbsp;&nbsp;PT Pertamina Persero<sup>(a)</sup> | &nbsp;&nbsp;PT Pertamina Persero<sup>(a)</sup> | &nbsp;&nbsp;PT Pertamina Persero<sup>(a)</sup> |
| &nbsp;&nbsp;08/25/2030 | &nbsp;&nbsp;3.100% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;174159 |
| &nbsp;&nbsp;PT Perusahaan Listrik Negara<sup>(a)</sup> | &nbsp;&nbsp;PT Perusahaan Listrik Negara<sup>(a)</sup> | &nbsp;&nbsp;PT Perusahaan Listrik Negara<sup>(a)</sup> | &nbsp;&nbsp;PT Perusahaan Listrik Negara<sup>(a)</sup> | &nbsp;&nbsp;PT Perusahaan Listrik Negara<sup>(a)</sup> |
| &nbsp;&nbsp;05/15/2027 | &nbsp;&nbsp;4.125% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;280000 | &nbsp;&nbsp;&nbsp;&nbsp;265198 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**3827563** |
| &nbsp;&nbsp;**Ireland 0.0%** | &nbsp;&nbsp;**Ireland 0.0%** | &nbsp;&nbsp;**Ireland 0.0%** | &nbsp;&nbsp;**Ireland 0.0%** | &nbsp;&nbsp;**Ireland 0.0%** |
| &nbsp;&nbsp;Ireland Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Ireland Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Ireland Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Ireland Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Ireland Government Bond<sup>(a)</sup> |
| &nbsp;&nbsp;05/15/2029 | &nbsp;&nbsp;1.100% | &nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;90000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;87221 |
| &nbsp;&nbsp;**Israel 0.0%** | &nbsp;&nbsp;**Israel 0.0%** | &nbsp;&nbsp;**Israel 0.0%** | &nbsp;&nbsp;**Israel 0.0%** | &nbsp;&nbsp;**Israel 0.0%** |
| &nbsp;&nbsp;Israel Electric Corp., Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Israel Electric Corp., Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Israel Electric Corp., Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Israel Electric Corp., Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Israel Electric Corp., Ltd.<sup>(a)</sup> |
| &nbsp;&nbsp;02/22/2032 | &nbsp;&nbsp;3.750% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;175402 |
| &nbsp;&nbsp;**Italy 0.1%** | &nbsp;&nbsp;**Italy 0.1%** | &nbsp;&nbsp;**Italy 0.1%** | &nbsp;&nbsp;**Italy 0.1%** | &nbsp;&nbsp;**Italy 0.1%** |
| &nbsp;&nbsp;Italy Buoni Poliennali Del Tesoro<sup>(a)</sup> | &nbsp;&nbsp;Italy Buoni Poliennali Del Tesoro<sup>(a)</sup> | &nbsp;&nbsp;Italy Buoni Poliennali Del Tesoro<sup>(a)</sup> | &nbsp;&nbsp;Italy Buoni Poliennali Del Tesoro<sup>(a)</sup> | &nbsp;&nbsp;Italy Buoni Poliennali Del Tesoro<sup>(a)</sup> |
| &nbsp;&nbsp;07/01/2025 | &nbsp;&nbsp;1.850% | &nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;285000 | &nbsp;&nbsp;&nbsp;&nbsp;288408 |
| &nbsp;&nbsp;Republic of Italy Government International Bond | &nbsp;&nbsp;Republic of Italy Government International Bond | &nbsp;&nbsp;Republic of Italy Government International Bond | &nbsp;&nbsp;Republic of Italy Government International Bond | &nbsp;&nbsp;Republic of Italy Government International Bond |
| &nbsp;&nbsp;02/17/2026 | &nbsp;&nbsp;1.250% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;173982 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**462390** |
| &nbsp;&nbsp;**Japan 0.2%** | &nbsp;&nbsp;**Japan 0.2%** | &nbsp;&nbsp;**Japan 0.2%** | &nbsp;&nbsp;**Japan 0.2%** | &nbsp;&nbsp;**Japan 0.2%** |
| &nbsp;&nbsp;Japan Government 5-Year Bond | &nbsp;&nbsp;Japan Government 5-Year Bond | &nbsp;&nbsp;Japan Government 5-Year Bond | &nbsp;&nbsp;Japan Government 5-Year Bond | &nbsp;&nbsp;Japan Government 5-Year Bond |
| &nbsp;&nbsp;06/20/2025 | &nbsp;&nbsp;0.100% | &nbsp;&nbsp;JPY | 102050000 | &nbsp;&nbsp;&nbsp;&nbsp;741151 |
| &nbsp;&nbsp;Japan Government Five-Year Bond | &nbsp;&nbsp;Japan Government Five-Year Bond | &nbsp;&nbsp;Japan Government Five-Year Bond | &nbsp;&nbsp;Japan Government Five-Year Bond | &nbsp;&nbsp;Japan Government Five-Year Bond |
| &nbsp;&nbsp;03/20/2027 | &nbsp;&nbsp;0.005% | &nbsp;&nbsp;JPY | &nbsp;&nbsp;30000000 | &nbsp;&nbsp;&nbsp;&nbsp;216611 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**957762** |
| &nbsp;&nbsp;**Kazakhstan 0.0%** | &nbsp;&nbsp;**Kazakhstan 0.0%** | &nbsp;&nbsp;**Kazakhstan 0.0%** | &nbsp;&nbsp;**Kazakhstan 0.0%** | &nbsp;&nbsp;**Kazakhstan 0.0%** |
| &nbsp;&nbsp;KazMunayGas National Co. JSC<sup>(a)</sup> | &nbsp;&nbsp;KazMunayGas National Co. JSC<sup>(a)</sup> | &nbsp;&nbsp;KazMunayGas National Co. JSC<sup>(a)</sup> | &nbsp;&nbsp;KazMunayGas National Co. JSC<sup>(a)</sup> | &nbsp;&nbsp;KazMunayGas National Co. JSC<sup>(a)</sup> |
| &nbsp;&nbsp;04/24/2030 | &nbsp;&nbsp;5.375% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;215000 | &nbsp;&nbsp;&nbsp;&nbsp;194487 |
| &nbsp;&nbsp;**Malaysia 0.3%** | &nbsp;&nbsp;**Malaysia 0.3%** | &nbsp;&nbsp;**Malaysia 0.3%** | &nbsp;&nbsp;**Malaysia 0.3%** | &nbsp;&nbsp;**Malaysia 0.3%** |
| &nbsp;&nbsp;Malaysia Government Bond | &nbsp;&nbsp;Malaysia Government Bond | &nbsp;&nbsp;Malaysia Government Bond | &nbsp;&nbsp;Malaysia Government Bond | &nbsp;&nbsp;Malaysia Government Bond |
| &nbsp;&nbsp;09/30/2024 | &nbsp;&nbsp;4.059% | &nbsp;&nbsp;MYR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;975000 | &nbsp;&nbsp;&nbsp;&nbsp;221071 |
| &nbsp;&nbsp;03/14/2025 | &nbsp;&nbsp;3.882% | &nbsp;&nbsp;MYR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;970000 | &nbsp;&nbsp;&nbsp;&nbsp;218422 |
| &nbsp;&nbsp;11/30/2026 | &nbsp;&nbsp;3.900% | &nbsp;&nbsp;MYR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;405000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;90941 |
| &nbsp;&nbsp;11/16/2027 | &nbsp;&nbsp;3.899% | &nbsp;&nbsp;MYR | &nbsp;&nbsp;&nbsp;&nbsp;1300000 | &nbsp;&nbsp;&nbsp;&nbsp;291743 |
| &nbsp;&nbsp;06/15/2028 | &nbsp;&nbsp;3.733% | &nbsp;&nbsp;MYR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;375000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;83147 |
| &nbsp;&nbsp;04/15/2033 | &nbsp;&nbsp;3.844% | &nbsp;&nbsp;MYR | &nbsp;&nbsp;&nbsp;&nbsp;1223000 | &nbsp;&nbsp;&nbsp;&nbsp;264633 |
| &nbsp;&nbsp;07/05/2034 | &nbsp;&nbsp;3.828% | &nbsp;&nbsp;MYR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;86028 |
| &nbsp;&nbsp;Petronas Capital Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Petronas Capital Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Petronas Capital Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Petronas Capital Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Petronas Capital Ltd.<sup>(a)</sup> |
| &nbsp;&nbsp;01/28/2032 | &nbsp;&nbsp;2.480% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;167986 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**1423971** |

---

20 Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** |  | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**Mauritius 0.1%** | &nbsp;&nbsp;**Mauritius 0.1%** | &nbsp;&nbsp;**Mauritius 0.1%** | &nbsp;&nbsp;**Mauritius 0.1%** | &nbsp;&nbsp;**Mauritius 0.1%** |
| &nbsp;&nbsp;Greenko Solar Mauritius Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Greenko Solar Mauritius Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Greenko Solar Mauritius Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Greenko Solar Mauritius Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Greenko Solar Mauritius Ltd.<sup>(a)</sup> |
| &nbsp;&nbsp;01/29/2025 | &nbsp;&nbsp;5.550% |  | &nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;188384 |
| &nbsp;&nbsp;Greenko Wind Projects Mauritius Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Greenko Wind Projects Mauritius Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Greenko Wind Projects Mauritius Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Greenko Wind Projects Mauritius Ltd.<sup>(a)</sup> | &nbsp;&nbsp;Greenko Wind Projects Mauritius Ltd.<sup>(a)</sup> |
| &nbsp;&nbsp;04/06/2025 | &nbsp;&nbsp;5.500% |  | &nbsp;&nbsp;&nbsp;&nbsp;205000 | &nbsp;&nbsp;&nbsp;&nbsp;192284 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**380668** |
| &nbsp;&nbsp;**Mexico 0.4%** | &nbsp;&nbsp;**Mexico 0.4%** | &nbsp;&nbsp;**Mexico 0.4%** | &nbsp;&nbsp;**Mexico 0.4%** | &nbsp;&nbsp;**Mexico 0.4%** |
| &nbsp;&nbsp;Mexican Bonos | &nbsp;&nbsp;Mexican Bonos | &nbsp;&nbsp;Mexican Bonos | &nbsp;&nbsp;Mexican Bonos | &nbsp;&nbsp;Mexican Bonos |
| &nbsp;&nbsp;03/06/2025 | &nbsp;&nbsp;5.000% | &nbsp;&nbsp;MXN | &nbsp;&nbsp;6690000 | &nbsp;&nbsp;&nbsp;&nbsp;311036 |
| &nbsp;&nbsp;03/05/2026 | &nbsp;&nbsp;5.750% | &nbsp;&nbsp;MXN | &nbsp;&nbsp;5420000 | &nbsp;&nbsp;&nbsp;&nbsp;250936 |
| &nbsp;&nbsp;06/03/2027 | &nbsp;&nbsp;7.500% | &nbsp;&nbsp;MXN | 10590000 | &nbsp;&nbsp;&nbsp;&nbsp;512866 |
| &nbsp;&nbsp;Mexico Government International Bond | &nbsp;&nbsp;Mexico Government International Bond | &nbsp;&nbsp;Mexico Government International Bond | &nbsp;&nbsp;Mexico Government International Bond | &nbsp;&nbsp;Mexico Government International Bond |
| &nbsp;&nbsp;05/24/2031 | &nbsp;&nbsp;2.659% |  | &nbsp;&nbsp;&nbsp;&nbsp;475000 | &nbsp;&nbsp;&nbsp;&nbsp;396077 |
| &nbsp;&nbsp;05/29/2031 | &nbsp;&nbsp;7.750% | &nbsp;&nbsp;MXN | &nbsp;&nbsp;9670000 | &nbsp;&nbsp;&nbsp;&nbsp;459110 |
| &nbsp;&nbsp;Petroleos Mexicanos | &nbsp;&nbsp;Petroleos Mexicanos | &nbsp;&nbsp;Petroleos Mexicanos | &nbsp;&nbsp;Petroleos Mexicanos | &nbsp;&nbsp;Petroleos Mexicanos |
| &nbsp;&nbsp;09/21/2047 | &nbsp;&nbsp;6.750% |  | &nbsp;&nbsp;&nbsp;&nbsp;100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63224 |
| &nbsp;&nbsp;02/12/2048 | &nbsp;&nbsp;6.350% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11585 |
| &nbsp;&nbsp;01/23/2050 | &nbsp;&nbsp;7.690% |  | &nbsp;&nbsp;&nbsp;&nbsp;231000 | &nbsp;&nbsp;&nbsp;&nbsp;158890 |
| &nbsp;&nbsp;01/28/2060 | &nbsp;&nbsp;6.950% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;70000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44758 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**2208482** |
| &nbsp;&nbsp;**Netherlands 0.1%** | &nbsp;&nbsp;**Netherlands 0.1%** | &nbsp;&nbsp;**Netherlands 0.1%** | &nbsp;&nbsp;**Netherlands 0.1%** | &nbsp;&nbsp;**Netherlands 0.1%** |
| &nbsp;&nbsp;Bank Nederlandse Gemeenten NV<sup>(a)</sup> | &nbsp;&nbsp;Bank Nederlandse Gemeenten NV<sup>(a)</sup> | &nbsp;&nbsp;Bank Nederlandse Gemeenten NV<sup>(a)</sup> | &nbsp;&nbsp;Bank Nederlandse Gemeenten NV<sup>(a)</sup> | &nbsp;&nbsp;Bank Nederlandse Gemeenten NV<sup>(a)</sup> |
| &nbsp;&nbsp;06/07/2024 | &nbsp;&nbsp;0.250% | &nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;85000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;85334 |
| &nbsp;&nbsp;Greenko Dutch BV<sup>(a)</sup> | &nbsp;&nbsp;Greenko Dutch BV<sup>(a)</sup> | &nbsp;&nbsp;Greenko Dutch BV<sup>(a)</sup> | &nbsp;&nbsp;Greenko Dutch BV<sup>(a)</sup> | &nbsp;&nbsp;Greenko Dutch BV<sup>(a)</sup> |
| &nbsp;&nbsp;03/29/2026 | &nbsp;&nbsp;3.850% |  | &nbsp;&nbsp;&nbsp;&nbsp;191000 | &nbsp;&nbsp;&nbsp;&nbsp;164941 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**250275** |
| &nbsp;&nbsp;**New Zealand 0.3%** | &nbsp;&nbsp;**New Zealand 0.3%** | &nbsp;&nbsp;**New Zealand 0.3%** | &nbsp;&nbsp;**New Zealand 0.3%** | &nbsp;&nbsp;**New Zealand 0.3%** |
| &nbsp;&nbsp;New Zealand Government Bond | &nbsp;&nbsp;New Zealand Government Bond | &nbsp;&nbsp;New Zealand Government Bond | &nbsp;&nbsp;New Zealand Government Bond | &nbsp;&nbsp;New Zealand Government Bond |
| &nbsp;&nbsp;05/15/2024 | &nbsp;&nbsp;0.500% | &nbsp;&nbsp;NZD | &nbsp;&nbsp;&nbsp;&nbsp;975000 | &nbsp;&nbsp;&nbsp;&nbsp;578527 |
| &nbsp;&nbsp;05/15/2026 | &nbsp;&nbsp;0.500% | &nbsp;&nbsp;NZD | &nbsp;&nbsp;&nbsp;&nbsp;770000 | &nbsp;&nbsp;&nbsp;&nbsp;424626 |
| &nbsp;&nbsp;New Zealand Government Bond<sup>(a)</sup> | &nbsp;&nbsp;New Zealand Government Bond<sup>(a)</sup> | &nbsp;&nbsp;New Zealand Government Bond<sup>(a)</sup> | &nbsp;&nbsp;New Zealand Government Bond<sup>(a)</sup> | &nbsp;&nbsp;New Zealand Government Bond<sup>(a)</sup> |
| &nbsp;&nbsp;04/15/2027 | &nbsp;&nbsp;4.500% | &nbsp;&nbsp;NZD | &nbsp;&nbsp;&nbsp;&nbsp;280000 | &nbsp;&nbsp;&nbsp;&nbsp;177821 |
| &nbsp;&nbsp;New Zealand Local Government Funding Agency Bond<sup>(a)</sup> | &nbsp;&nbsp;New Zealand Local Government Funding Agency Bond<sup>(a)</sup> | &nbsp;&nbsp;New Zealand Local Government Funding Agency Bond<sup>(a)</sup> | &nbsp;&nbsp;New Zealand Local Government Funding Agency Bond<sup>(a)</sup> | &nbsp;&nbsp;New Zealand Local Government Funding Agency Bond<sup>(a)</sup> |
| &nbsp;&nbsp;04/15/2026 | &nbsp;&nbsp;1.500% | &nbsp;&nbsp;NZD | &nbsp;&nbsp;&nbsp;&nbsp;160000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;90143 |
| &nbsp;&nbsp;New Zealand Local Government Funding Agency Bond | &nbsp;&nbsp;New Zealand Local Government Funding Agency Bond | &nbsp;&nbsp;New Zealand Local Government Funding Agency Bond | &nbsp;&nbsp;New Zealand Local Government Funding Agency Bond | &nbsp;&nbsp;New Zealand Local Government Funding Agency Bond |
| &nbsp;&nbsp;04/15/2027 | &nbsp;&nbsp;4.500% | &nbsp;&nbsp;NZD | &nbsp;&nbsp;&nbsp;&nbsp;285000 | &nbsp;&nbsp;&nbsp;&nbsp;177270 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**1448387** |
| &nbsp;&nbsp;**Norway 0.4%** | &nbsp;&nbsp;**Norway 0.4%** | &nbsp;&nbsp;**Norway 0.4%** | &nbsp;&nbsp;**Norway 0.4%** | &nbsp;&nbsp;**Norway 0.4%** |
| &nbsp;&nbsp;Kommunalbanken AS | &nbsp;&nbsp;Kommunalbanken AS | &nbsp;&nbsp;Kommunalbanken AS | &nbsp;&nbsp;Kommunalbanken AS | &nbsp;&nbsp;Kommunalbanken AS |
| &nbsp;&nbsp;07/15/2024 | &nbsp;&nbsp;5.250% | &nbsp;&nbsp;AUD | &nbsp;&nbsp;&nbsp;&nbsp;184000 | &nbsp;&nbsp;&nbsp;&nbsp;127564 |
| &nbsp;&nbsp;07/16/2025 | &nbsp;&nbsp;4.250% | &nbsp;&nbsp;AUD | &nbsp;&nbsp;&nbsp;&nbsp;280000 | &nbsp;&nbsp;&nbsp;&nbsp;191449 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** |  | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Nordea Eiendomskreditt AS<sup>(b)</sup> | &nbsp;&nbsp;Nordea Eiendomskreditt AS<sup>(b)</sup> | &nbsp;&nbsp;Nordea Eiendomskreditt AS<sup>(b)</sup> | &nbsp;&nbsp;Nordea Eiendomskreditt AS<sup>(b)</sup> | &nbsp;&nbsp;Nordea Eiendomskreditt AS<sup>(b)</sup> |
| &nbsp;&nbsp;3-month NIBOR + 0.300%<br> 06/21/2023 | &nbsp;&nbsp;3.120% | &nbsp;&nbsp;NOK | &nbsp;&nbsp;2000000 | &nbsp;&nbsp;&nbsp;&nbsp;203275 |
| &nbsp;&nbsp;3-month NIBOR + 0.340%<br> 06/19/2024 | &nbsp;&nbsp;3.100% | &nbsp;&nbsp;NOK | &nbsp;&nbsp;2000000 | &nbsp;&nbsp;&nbsp;&nbsp;203373 |
| &nbsp;&nbsp;Norway Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Norway Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Norway Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Norway Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Norway Government Bond<sup>(a)</sup> |
| &nbsp;&nbsp;03/13/2025 | &nbsp;&nbsp;1.750% | &nbsp;&nbsp;NOK | &nbsp;&nbsp;3815000 | &nbsp;&nbsp;&nbsp;&nbsp;373439 |
| &nbsp;&nbsp;02/19/2026 | &nbsp;&nbsp;1.500% | &nbsp;&nbsp;NOK | &nbsp;&nbsp;1805000 | &nbsp;&nbsp;&nbsp;&nbsp;173158 |
| &nbsp;&nbsp;02/17/2027 | &nbsp;&nbsp;1.750% | &nbsp;&nbsp;NOK | &nbsp;&nbsp;3025000 | &nbsp;&nbsp;&nbsp;&nbsp;289067 |
| &nbsp;&nbsp;05/18/2032 | &nbsp;&nbsp;2.125% | &nbsp;&nbsp;NOK | &nbsp;&nbsp;2775000 | &nbsp;&nbsp;&nbsp;&nbsp;258911 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**1820236** |
| &nbsp;&nbsp;**Oman 0.0%** | &nbsp;&nbsp;**Oman 0.0%** | &nbsp;&nbsp;**Oman 0.0%** | &nbsp;&nbsp;**Oman 0.0%** | &nbsp;&nbsp;**Oman 0.0%** |
| &nbsp;&nbsp;Oman Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Oman Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Oman Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Oman Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Oman Government International Bond<sup>(a)</sup> |
| &nbsp;&nbsp;01/17/2028 | &nbsp;&nbsp;5.625% |  | &nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;196738 |
| &nbsp;&nbsp;**Panama 0.1%** | &nbsp;&nbsp;**Panama 0.1%** | &nbsp;&nbsp;**Panama 0.1%** | &nbsp;&nbsp;**Panama 0.1%** | &nbsp;&nbsp;**Panama 0.1%** |
| &nbsp;&nbsp;Panama Government International Bond | &nbsp;&nbsp;Panama Government International Bond | &nbsp;&nbsp;Panama Government International Bond | &nbsp;&nbsp;Panama Government International Bond | &nbsp;&nbsp;Panama Government International Bond |
| &nbsp;&nbsp;01/23/2030 | &nbsp;&nbsp;3.160% |  | &nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;174435 |
| &nbsp;&nbsp;09/29/2032 | &nbsp;&nbsp;2.252% |  | &nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;151735 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**326170** |
| &nbsp;&nbsp;**Paraguay 0.0%** | &nbsp;&nbsp;**Paraguay 0.0%** | &nbsp;&nbsp;**Paraguay 0.0%** | &nbsp;&nbsp;**Paraguay 0.0%** | &nbsp;&nbsp;**Paraguay 0.0%** |
| &nbsp;&nbsp;Paraguay Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Paraguay Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Paraguay Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Paraguay Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Paraguay Government International Bond<sup>(a)</sup> |
| &nbsp;&nbsp;03/27/2027 | &nbsp;&nbsp;4.700% |  | &nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;197134 |
| &nbsp;&nbsp;**Peru 0.1%** | &nbsp;&nbsp;**Peru 0.1%** | &nbsp;&nbsp;**Peru 0.1%** | &nbsp;&nbsp;**Peru 0.1%** | &nbsp;&nbsp;**Peru 0.1%** |
| &nbsp;&nbsp;Peruvian Government International Bond | &nbsp;&nbsp;Peruvian Government International Bond | &nbsp;&nbsp;Peruvian Government International Bond | &nbsp;&nbsp;Peruvian Government International Bond | &nbsp;&nbsp;Peruvian Government International Bond |
| &nbsp;&nbsp;08/25/2027 | &nbsp;&nbsp;4.125% |  | &nbsp;&nbsp;&nbsp;&nbsp;100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;97698 |
| &nbsp;&nbsp;06/20/2030 | &nbsp;&nbsp;2.844% |  | &nbsp;&nbsp;&nbsp;&nbsp;165000 | &nbsp;&nbsp;&nbsp;&nbsp;142378 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**240076** |
| &nbsp;&nbsp;**Philippines 0.1%** | &nbsp;&nbsp;**Philippines 0.1%** | &nbsp;&nbsp;**Philippines 0.1%** | &nbsp;&nbsp;**Philippines 0.1%** | &nbsp;&nbsp;**Philippines 0.1%** |
| &nbsp;&nbsp;Philippine Government International Bond | &nbsp;&nbsp;Philippine Government International Bond | &nbsp;&nbsp;Philippine Government International Bond | &nbsp;&nbsp;Philippine Government International Bond | &nbsp;&nbsp;Philippine Government International Bond |
| &nbsp;&nbsp;05/17/2027 | &nbsp;&nbsp;0.875% | &nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;305000 | &nbsp;&nbsp;&nbsp;&nbsp;278224 |
| &nbsp;&nbsp;05/05/2030 | &nbsp;&nbsp;2.457% |  | &nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;173325 |
| &nbsp;&nbsp;01/14/2036 | &nbsp;&nbsp;6.250% | &nbsp;&nbsp;PHP | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;160388 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**611937** |
| &nbsp;&nbsp;**Poland 0.0%** | &nbsp;&nbsp;**Poland 0.0%** | &nbsp;&nbsp;**Poland 0.0%** | &nbsp;&nbsp;**Poland 0.0%** | &nbsp;&nbsp;**Poland 0.0%** |
| &nbsp;&nbsp;Republic of Poland Government International Bond | &nbsp;&nbsp;Republic of Poland Government International Bond | &nbsp;&nbsp;Republic of Poland Government International Bond | &nbsp;&nbsp;Republic of Poland Government International Bond | &nbsp;&nbsp;Republic of Poland Government International Bond |
| &nbsp;&nbsp;11/16/2032 | &nbsp;&nbsp;5.750% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29642 |
| &nbsp;&nbsp;**Portugal 0.1%** | &nbsp;&nbsp;**Portugal 0.1%** | &nbsp;&nbsp;**Portugal 0.1%** | &nbsp;&nbsp;**Portugal 0.1%** | &nbsp;&nbsp;**Portugal 0.1%** |
| &nbsp;&nbsp;Portugal Obrigacoes do Tesouro OT<sup>(a)</sup> | &nbsp;&nbsp;Portugal Obrigacoes do Tesouro OT<sup>(a)</sup> | &nbsp;&nbsp;Portugal Obrigacoes do Tesouro OT<sup>(a)</sup> | &nbsp;&nbsp;Portugal Obrigacoes do Tesouro OT<sup>(a)</sup> | &nbsp;&nbsp;Portugal Obrigacoes do Tesouro OT<sup>(a)</sup> |
| &nbsp;&nbsp;10/15/2027 | &nbsp;&nbsp;0.700% | &nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;90000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;86770 |
| &nbsp;&nbsp;07/16/2032 | &nbsp;&nbsp;1.650% | &nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;440000 | &nbsp;&nbsp;&nbsp;&nbsp;411389 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**498159** |
| &nbsp;&nbsp;**Qatar 0.2%** | &nbsp;&nbsp;**Qatar 0.2%** | &nbsp;&nbsp;**Qatar 0.2%** | &nbsp;&nbsp;**Qatar 0.2%** | &nbsp;&nbsp;**Qatar 0.2%** |
| &nbsp;&nbsp;Qatar Energy<sup>(a)</sup> | &nbsp;&nbsp;Qatar Energy<sup>(a)</sup> | &nbsp;&nbsp;Qatar Energy<sup>(a)</sup> | &nbsp;&nbsp;Qatar Energy<sup>(a)</sup> | &nbsp;&nbsp;Qatar Energy<sup>(a)</sup> |
| &nbsp;&nbsp;07/12/2031 | &nbsp;&nbsp;2.250% |  | &nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;167281 |

---

Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022<br> 21

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** |  | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Qatar Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Qatar Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Qatar Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Qatar Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Qatar Government International Bond<sup>(a)</sup> |
| &nbsp;&nbsp;04/16/2030 | &nbsp;&nbsp;3.750% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250000 | &nbsp;&nbsp;&nbsp;&nbsp;241702 |
| &nbsp;&nbsp;Qatar Petroleum<sup>(a)</sup> | &nbsp;&nbsp;Qatar Petroleum<sup>(a)</sup> | &nbsp;&nbsp;Qatar Petroleum<sup>(a)</sup> | &nbsp;&nbsp;Qatar Petroleum<sup>(a)</sup> | &nbsp;&nbsp;Qatar Petroleum<sup>(a)</sup> |
| &nbsp;&nbsp;07/12/2031 | &nbsp;&nbsp;2.250% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;465000 | &nbsp;&nbsp;&nbsp;&nbsp;388930 |
| &nbsp;&nbsp;QNB Finance Ltd.<sup>(a)</sup> | &nbsp;&nbsp;QNB Finance Ltd.<sup>(a)</sup> | &nbsp;&nbsp;QNB Finance Ltd.<sup>(a)</sup> | &nbsp;&nbsp;QNB Finance Ltd.<sup>(a)</sup> | &nbsp;&nbsp;QNB Finance Ltd.<sup>(a)</sup> |
| &nbsp;&nbsp;03/28/2024 | &nbsp;&nbsp;3.500% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;195789 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**993702** |
| &nbsp;&nbsp;**Romania 0.0%** | &nbsp;&nbsp;**Romania 0.0%** | &nbsp;&nbsp;**Romania 0.0%** | &nbsp;&nbsp;**Romania 0.0%** | &nbsp;&nbsp;**Romania 0.0%** |
| &nbsp;&nbsp;Romanian Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Romanian Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Romanian Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Romanian Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Romanian Government International Bond<sup>(a)</sup> |
| &nbsp;&nbsp;02/14/2031 | &nbsp;&nbsp;3.000% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;160680 |
| &nbsp;&nbsp;**Saudi Arabia 0.0%** | &nbsp;&nbsp;**Saudi Arabia 0.0%** | &nbsp;&nbsp;**Saudi Arabia 0.0%** | &nbsp;&nbsp;**Saudi Arabia 0.0%** | &nbsp;&nbsp;**Saudi Arabia 0.0%** |
| &nbsp;&nbsp;Saudi Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Saudi Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Saudi Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Saudi Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Saudi Government International Bond<sup>(a)</sup> |
| &nbsp;&nbsp;03/04/2028 | &nbsp;&nbsp;3.625% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;190928 |
| &nbsp;&nbsp;**Singapore 0.1%** | &nbsp;&nbsp;**Singapore 0.1%** | &nbsp;&nbsp;**Singapore 0.1%** | &nbsp;&nbsp;**Singapore 0.1%** | &nbsp;&nbsp;**Singapore 0.1%** |
| &nbsp;&nbsp;Singapore Government Bond | &nbsp;&nbsp;Singapore Government Bond | &nbsp;&nbsp;Singapore Government Bond | &nbsp;&nbsp;Singapore Government Bond | &nbsp;&nbsp;Singapore Government Bond |
| &nbsp;&nbsp;11/01/2026 | &nbsp;&nbsp;1.250% | &nbsp;&nbsp;SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;515000 | &nbsp;&nbsp;&nbsp;&nbsp;354618 |
| &nbsp;&nbsp;**South Africa 0.1%** | &nbsp;&nbsp;**South Africa 0.1%** | &nbsp;&nbsp;**South Africa 0.1%** | &nbsp;&nbsp;**South Africa 0.1%** | &nbsp;&nbsp;**South Africa 0.1%** |
| &nbsp;&nbsp;Republic of South Africa Government International Bond | &nbsp;&nbsp;Republic of South Africa Government International Bond | &nbsp;&nbsp;Republic of South Africa Government International Bond | &nbsp;&nbsp;Republic of South Africa Government International Bond | &nbsp;&nbsp;Republic of South Africa Government International Bond |
| &nbsp;&nbsp;09/30/2029 | &nbsp;&nbsp;4.850% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300000 | &nbsp;&nbsp;&nbsp;&nbsp;273501 |
| &nbsp;&nbsp;**South Korea 0.2%** | &nbsp;&nbsp;**South Korea 0.2%** | &nbsp;&nbsp;**South Korea 0.2%** | &nbsp;&nbsp;**South Korea 0.2%** | &nbsp;&nbsp;**South Korea 0.2%** |
| &nbsp;&nbsp;Korea Treasury Bond | &nbsp;&nbsp;Korea Treasury Bond | &nbsp;&nbsp;Korea Treasury Bond | &nbsp;&nbsp;Korea Treasury Bond | &nbsp;&nbsp;Korea Treasury Bond |
| &nbsp;&nbsp;09/10/2024 | &nbsp;&nbsp;3.125% | &nbsp;&nbsp;KRW | &nbsp;&nbsp;&nbsp;304590000 | &nbsp;&nbsp;&nbsp;&nbsp;228197 |
| &nbsp;&nbsp;03/10/2027 | &nbsp;&nbsp;2.375% | &nbsp;&nbsp;KRW | 1095160000 | &nbsp;&nbsp;&nbsp;&nbsp;789697 |
| &nbsp;&nbsp;06/10/2027 | &nbsp;&nbsp;2.125% | &nbsp;&nbsp;KRW | &nbsp;&nbsp;&nbsp;316190000 | &nbsp;&nbsp;&nbsp;&nbsp;226000 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**1243894** |
| &nbsp;&nbsp;**Spain 0.1%** | &nbsp;&nbsp;**Spain 0.1%** | &nbsp;&nbsp;**Spain 0.1%** | &nbsp;&nbsp;**Spain 0.1%** | &nbsp;&nbsp;**Spain 0.1%** |
| &nbsp;&nbsp;Spain Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Spain Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Spain Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Spain Government Bond<sup>(a)</sup> | &nbsp;&nbsp;Spain Government Bond<sup>(a)</sup> |
| &nbsp;&nbsp;07/30/2024 | &nbsp;&nbsp;0.250% | &nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;330000 | &nbsp;&nbsp;&nbsp;&nbsp;332178 |
| &nbsp;&nbsp;07/30/2027 | &nbsp;&nbsp;0.800% | &nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;255000 | &nbsp;&nbsp;&nbsp;&nbsp;245741 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**577919** |
| &nbsp;&nbsp;**Sweden 0.1%** | &nbsp;&nbsp;**Sweden 0.1%** | &nbsp;&nbsp;**Sweden 0.1%** | &nbsp;&nbsp;**Sweden 0.1%** | &nbsp;&nbsp;**Sweden 0.1%** |
| &nbsp;&nbsp;Sweden Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Sweden Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Sweden Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Sweden Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Sweden Government International Bond<sup>(a)</sup> |
| &nbsp;&nbsp;04/24/2023 | &nbsp;&nbsp;0.125% | &nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250000 | &nbsp;&nbsp;&nbsp;&nbsp;258087 |
| &nbsp;&nbsp;**Turkey 0.1%** | &nbsp;&nbsp;**Turkey 0.1%** | &nbsp;&nbsp;**Turkey 0.1%** | &nbsp;&nbsp;**Turkey 0.1%** | &nbsp;&nbsp;**Turkey 0.1%** |
| &nbsp;&nbsp;Turkey Government International Bond | &nbsp;&nbsp;Turkey Government International Bond | &nbsp;&nbsp;Turkey Government International Bond | &nbsp;&nbsp;Turkey Government International Bond | &nbsp;&nbsp;Turkey Government International Bond |
| &nbsp;&nbsp;03/23/2023 | &nbsp;&nbsp;3.250% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;240000 | &nbsp;&nbsp;&nbsp;&nbsp;240156 |
| &nbsp;&nbsp;**United Arab Emirates 0.1%** | &nbsp;&nbsp;**United Arab Emirates 0.1%** | &nbsp;&nbsp;**United Arab Emirates 0.1%** | &nbsp;&nbsp;**United Arab Emirates 0.1%** | &nbsp;&nbsp;**United Arab Emirates 0.1%** |
| &nbsp;&nbsp;Abu Dhabi Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Abu Dhabi Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Abu Dhabi Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Abu Dhabi Government International Bond<sup>(a)</sup> | &nbsp;&nbsp;Abu Dhabi Government International Bond<sup>(a)</sup> |
| &nbsp;&nbsp;04/16/2030 | &nbsp;&nbsp;3.125% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;186467 |
| &nbsp;&nbsp;03/02/2031 | &nbsp;&nbsp;1.700% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;205000 | &nbsp;&nbsp;&nbsp;&nbsp;169963 |
| &nbsp;&nbsp;04/16/2050 | &nbsp;&nbsp;3.875% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;167656 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** | &nbsp;&nbsp;**Foreign Government Obligations<sup>(k),(o)</sup> (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** |  | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;DP World Crescent Ltd.<sup>(a)</sup> | &nbsp;&nbsp;DP World Crescent Ltd.<sup>(a)</sup> | &nbsp;&nbsp;DP World Crescent Ltd.<sup>(a)</sup> | &nbsp;&nbsp;DP World Crescent Ltd.<sup>(a)</sup> | &nbsp;&nbsp;DP World Crescent Ltd.<sup>(a)</sup> |
| &nbsp;&nbsp;09/26/2028 | &nbsp;&nbsp;4.848% |  | 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;196716 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**720802** |
| &nbsp;&nbsp;**United Kingdom 0.1%** | &nbsp;&nbsp;**United Kingdom 0.1%** | &nbsp;&nbsp;**United Kingdom 0.1%** | &nbsp;&nbsp;**United Kingdom 0.1%** | &nbsp;&nbsp;**United Kingdom 0.1%** |
| &nbsp;&nbsp;United Kingdom Gilt<sup>(a)</sup> | &nbsp;&nbsp;United Kingdom Gilt<sup>(a)</sup> | &nbsp;&nbsp;United Kingdom Gilt<sup>(a)</sup> | &nbsp;&nbsp;United Kingdom Gilt<sup>(a)</sup> | &nbsp;&nbsp;United Kingdom Gilt<sup>(a)</sup> |
| &nbsp;&nbsp;01/31/2024 | &nbsp;&nbsp;0.125% | &nbsp;&nbsp;GBP | 290000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;336829 |
| &nbsp;&nbsp;01/31/2025 | &nbsp;&nbsp;0.250% | &nbsp;&nbsp;GBP | &nbsp;&nbsp;80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;89915 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**426744** |
| &nbsp;&nbsp;**Uruguay 0.1%** | &nbsp;&nbsp;**Uruguay 0.1%** | &nbsp;&nbsp;**Uruguay 0.1%** | &nbsp;&nbsp;**Uruguay 0.1%** | &nbsp;&nbsp;**Uruguay 0.1%** |
| &nbsp;&nbsp;Uruguay Government International Bond | &nbsp;&nbsp;Uruguay Government International Bond | &nbsp;&nbsp;Uruguay Government International Bond | &nbsp;&nbsp;Uruguay Government International Bond | &nbsp;&nbsp;Uruguay Government International Bond |
| &nbsp;&nbsp;01/23/2031 | &nbsp;&nbsp;4.375% |  | 325000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;324998 |
| &nbsp;&nbsp;Total Foreign Government Obligations<br> (Cost $32,654,277) | &nbsp;&nbsp;Total Foreign Government Obligations<br> (Cost $32,654,277) | &nbsp;&nbsp;Total Foreign Government Obligations<br> (Cost $32,654,277) | &nbsp;&nbsp;Total Foreign Government Obligations<br> (Cost $32,654,277) | &nbsp;&nbsp;**29380245** |
| &nbsp;&nbsp;**Municipal Bonds 0.1%** | &nbsp;&nbsp;**Municipal Bonds 0.1%** | &nbsp;&nbsp;**Municipal Bonds 0.1%** | &nbsp;&nbsp;**Municipal Bonds 0.1%** | &nbsp;&nbsp;**Municipal Bonds 0.1%** |
| &nbsp;&nbsp;**Issue Description** | &nbsp;&nbsp;**Coupon<br> Rate** |  | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**Airport 0.0%** | &nbsp;&nbsp;**Airport 0.0%** | &nbsp;&nbsp;**Airport 0.0%** | &nbsp;&nbsp;**Airport 0.0%** | &nbsp;&nbsp;**Airport 0.0%** |
| &nbsp;&nbsp;County of Miami-Dade Aviation | &nbsp;&nbsp;County of Miami-Dade Aviation | &nbsp;&nbsp;County of Miami-Dade Aviation | &nbsp;&nbsp;County of Miami-Dade Aviation | &nbsp;&nbsp;County of Miami-Dade Aviation |
| &nbsp;&nbsp;Refunding Revenue Bonds | &nbsp;&nbsp;Refunding Revenue Bonds | &nbsp;&nbsp;Refunding Revenue Bonds | &nbsp;&nbsp;Refunding Revenue Bonds | &nbsp;&nbsp;Refunding Revenue Bonds |
| &nbsp;&nbsp;Taxable | &nbsp;&nbsp;Taxable | &nbsp;&nbsp;Taxable | &nbsp;&nbsp;Taxable | &nbsp;&nbsp;Taxable |
| &nbsp;&nbsp;Series 2020B | &nbsp;&nbsp;Series 2020B | &nbsp;&nbsp;Series 2020B | &nbsp;&nbsp;Series 2020B | &nbsp;&nbsp;Series 2020B |
| &nbsp;&nbsp;10/01/2035 | &nbsp;&nbsp;2.857% |  | &nbsp;&nbsp;85000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65225 |
| &nbsp;&nbsp;**Sales Tax 0.1%** | &nbsp;&nbsp;**Sales Tax 0.1%** | &nbsp;&nbsp;**Sales Tax 0.1%** | &nbsp;&nbsp;**Sales Tax 0.1%** | &nbsp;&nbsp;**Sales Tax 0.1%** |
| &nbsp;&nbsp;Santa Clara Valley Transportation Authority | &nbsp;&nbsp;Santa Clara Valley Transportation Authority | &nbsp;&nbsp;Santa Clara Valley Transportation Authority | &nbsp;&nbsp;Santa Clara Valley Transportation Authority | &nbsp;&nbsp;Santa Clara Valley Transportation Authority |
| &nbsp;&nbsp;Revenue Bonds | &nbsp;&nbsp;Revenue Bonds | &nbsp;&nbsp;Revenue Bonds | &nbsp;&nbsp;Revenue Bonds | &nbsp;&nbsp;Revenue Bonds |
| &nbsp;&nbsp;Series 2010 (BAM) | &nbsp;&nbsp;Series 2010 (BAM) | &nbsp;&nbsp;Series 2010 (BAM) | &nbsp;&nbsp;Series 2010 (BAM) | &nbsp;&nbsp;Series 2010 (BAM) |
| &nbsp;&nbsp;04/01/2032 | &nbsp;&nbsp;5.876% |  | 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;260241 |
| &nbsp;&nbsp;**Special Non Property Tax 0.0%** | &nbsp;&nbsp;**Special Non Property Tax 0.0%** | &nbsp;&nbsp;**Special Non Property Tax 0.0%** | &nbsp;&nbsp;**Special Non Property Tax 0.0%** | &nbsp;&nbsp;**Special Non Property Tax 0.0%** |
| &nbsp;&nbsp;State Board of Administration Finance Corp. | &nbsp;&nbsp;State Board of Administration Finance Corp. | &nbsp;&nbsp;State Board of Administration Finance Corp. | &nbsp;&nbsp;State Board of Administration Finance Corp. | &nbsp;&nbsp;State Board of Administration Finance Corp. |
| &nbsp;&nbsp;Revenue Bonds | &nbsp;&nbsp;Revenue Bonds | &nbsp;&nbsp;Revenue Bonds | &nbsp;&nbsp;Revenue Bonds | &nbsp;&nbsp;Revenue Bonds |
| &nbsp;&nbsp;Taxable | &nbsp;&nbsp;Taxable | &nbsp;&nbsp;Taxable | &nbsp;&nbsp;Taxable | &nbsp;&nbsp;Taxable |
| &nbsp;&nbsp;Series 2020A | &nbsp;&nbsp;Series 2020A | &nbsp;&nbsp;Series 2020A | &nbsp;&nbsp;Series 2020A | &nbsp;&nbsp;Series 2020A |
| &nbsp;&nbsp;07/01/2030 | &nbsp;&nbsp;2.154% |  | &nbsp;&nbsp;40000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32278 |
| &nbsp;&nbsp;**Transportation 0.0%** | &nbsp;&nbsp;**Transportation 0.0%** | &nbsp;&nbsp;**Transportation 0.0%** | &nbsp;&nbsp;**Transportation 0.0%** | &nbsp;&nbsp;**Transportation 0.0%** |
| &nbsp;&nbsp;Metropolitan Transportation Authority | &nbsp;&nbsp;Metropolitan Transportation Authority | &nbsp;&nbsp;Metropolitan Transportation Authority | &nbsp;&nbsp;Metropolitan Transportation Authority | &nbsp;&nbsp;Metropolitan Transportation Authority |
| &nbsp;&nbsp;Revenue Bonds | &nbsp;&nbsp;Revenue Bonds | &nbsp;&nbsp;Revenue Bonds | &nbsp;&nbsp;Revenue Bonds | &nbsp;&nbsp;Revenue Bonds |
| &nbsp;&nbsp;Series 2010 (BAM) | &nbsp;&nbsp;Series 2010 (BAM) | &nbsp;&nbsp;Series 2010 (BAM) | &nbsp;&nbsp;Series 2010 (BAM) | &nbsp;&nbsp;Series 2010 (BAM) |
| &nbsp;&nbsp;11/15/2031 | &nbsp;&nbsp;6.548% |  | 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;258609 |
| &nbsp;&nbsp;Total Municipal Bonds<br> (Cost $707,236) | &nbsp;&nbsp;Total Municipal Bonds<br> (Cost $707,236) | &nbsp;&nbsp;Total Municipal Bonds<br> (Cost $707,236) | &nbsp;&nbsp;Total Municipal Bonds<br> (Cost $707,236) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**616353** |

---

22 Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Debt 0.0%** | &nbsp;&nbsp;**Preferred Debt 0.0%** | &nbsp;&nbsp;**Preferred Debt 0.0%** | &nbsp;&nbsp;**Preferred Debt 0.0%** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | &nbsp;&nbsp;**Shares** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**Banking 0.0%** | &nbsp;&nbsp;**Banking 0.0%** | &nbsp;&nbsp;**Banking 0.0%** | &nbsp;&nbsp;**Banking 0.0%** |
| &nbsp;&nbsp;Wells Fargo & Co.<sup>(l)</sup> | &nbsp;&nbsp;Wells Fargo & Co.<sup>(l)</sup> | &nbsp;&nbsp;Wells Fargo & Co.<sup>(l)</sup> | &nbsp;&nbsp;Wells Fargo & Co.<sup>(l)</sup> |
| &nbsp;&nbsp;12/31/2049 | &nbsp;&nbsp;5.850% | &nbsp;&nbsp;7885 | &nbsp;&nbsp;183090 |
| &nbsp;&nbsp;Total Preferred Debt<br> (Cost $206,354) | &nbsp;&nbsp;Total Preferred Debt<br> (Cost $206,354) | &nbsp;&nbsp;Total Preferred Debt<br> (Cost $206,354) | &nbsp;&nbsp;**183090** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Stocks 0.1%** | &nbsp;&nbsp;**Preferred Stocks 0.1%** | &nbsp;&nbsp;**Preferred Stocks 0.1%** | &nbsp;&nbsp;**Preferred Stocks 0.1%** |
| &nbsp;&nbsp;**Issuer** |  | &nbsp;&nbsp;**Shares** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**Financials 0.1%** | &nbsp;&nbsp;**Financials 0.1%** | &nbsp;&nbsp;**Financials 0.1%** | &nbsp;&nbsp;**Financials 0.1%** |
| &nbsp;&nbsp;**Banks 0.1%** | &nbsp;&nbsp;**Banks 0.1%** | &nbsp;&nbsp;**Banks 0.1%** | &nbsp;&nbsp;**Banks 0.1%** |
| &nbsp;&nbsp;U.S. Bancorp<sup>(l)</sup> | &nbsp;&nbsp;5.099% | &nbsp;&nbsp;&nbsp;&nbsp;260 | &nbsp;&nbsp;220714 |
| &nbsp;&nbsp;Valley National Bancorp<sup>(l)</sup> | &nbsp;&nbsp;7.252% | &nbsp;&nbsp;6350 | &nbsp;&nbsp;162433 |
| &nbsp;&nbsp;Total |  |  | &nbsp;&nbsp;383147 |
| &nbsp;&nbsp;**Capital Markets 0.0%** | &nbsp;&nbsp;**Capital Markets 0.0%** | &nbsp;&nbsp;**Capital Markets 0.0%** | &nbsp;&nbsp;**Capital Markets 0.0%** |
| &nbsp;&nbsp;Stifel Financial Corp. | &nbsp;&nbsp;4.500% | &nbsp;&nbsp;7350 | &nbsp;&nbsp;131859 |
| &nbsp;&nbsp;**Total Financials** | &nbsp;&nbsp;**Total Financials** | &nbsp;&nbsp;**Total Financials** | &nbsp;&nbsp;**515006** |
| &nbsp;&nbsp;Total Preferred Stocks<br> (Cost $591,714) | &nbsp;&nbsp;Total Preferred Stocks<br> (Cost $591,714) | &nbsp;&nbsp;Total Preferred Stocks<br> (Cost $591,714) | &nbsp;&nbsp;**515006** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Agency 5.3%** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Agency 5.3%** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Agency 5.3%** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Agency 5.3%** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Federal Home Loan Mortgage Corp. | &nbsp;&nbsp;Federal Home Loan Mortgage Corp. | &nbsp;&nbsp;Federal Home Loan Mortgage Corp. | &nbsp;&nbsp;Federal Home Loan Mortgage Corp. |
| &nbsp;&nbsp;08/01/2052 | &nbsp;&nbsp;4.500% | 343101 | &nbsp;&nbsp;334199 |
| &nbsp;&nbsp;Federal Home Loan Mortgage Corp.<sup>(b)</sup> | &nbsp;&nbsp;Federal Home Loan Mortgage Corp.<sup>(b)</sup> | &nbsp;&nbsp;Federal Home Loan Mortgage Corp.<sup>(b)</sup> | &nbsp;&nbsp;Federal Home Loan Mortgage Corp.<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 204919 Class FP | &nbsp;&nbsp;CMO Series 204919 Class FP | &nbsp;&nbsp;CMO Series 204919 Class FP | &nbsp;&nbsp;CMO Series 204919 Class FP |
| &nbsp;&nbsp;1-month USD LIBOR + 0.450%<br> Floor 0.450%, Cap 6.500%<br> 09/25/2049 | &nbsp;&nbsp;4.466% | 147067 | &nbsp;&nbsp;142598 |
| &nbsp;&nbsp;Federal National Mortgage Association | &nbsp;&nbsp;Federal National Mortgage Association | &nbsp;&nbsp;Federal National Mortgage Association | &nbsp;&nbsp;Federal National Mortgage Association |
| &nbsp;&nbsp;09/01/2052 | &nbsp;&nbsp;4.500% | 532723 | &nbsp;&nbsp;521871 |
| &nbsp;&nbsp;Federal National Mortgage Association<sup>(b)</sup> | &nbsp;&nbsp;Federal National Mortgage Association<sup>(b)</sup> | &nbsp;&nbsp;Federal National Mortgage Association<sup>(b)</sup> | &nbsp;&nbsp;Federal National Mortgage Association<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2012-56 Class FK | &nbsp;&nbsp;CMO Series 2012-56 Class FK | &nbsp;&nbsp;CMO Series 2012-56 Class FK | &nbsp;&nbsp;CMO Series 2012-56 Class FK |
| &nbsp;&nbsp;1-month USD LIBOR + 0.450%<br> Floor 0.450%, Cap 6.500%<br> 06/25/2042 | &nbsp;&nbsp;4.466% | &nbsp;&nbsp;91689 | &nbsp;&nbsp;&nbsp;&nbsp;89623 |
| &nbsp;&nbsp;CMO Series 2013-5 Class GF | &nbsp;&nbsp;CMO Series 2013-5 Class GF | &nbsp;&nbsp;CMO Series 2013-5 Class GF | &nbsp;&nbsp;CMO Series 2013-5 Class GF |
| &nbsp;&nbsp;1-month USD LIBOR + 1.100%<br> Floor 1.100%, Cap 5.000%<br> 10/25/2042 | &nbsp;&nbsp;5.000% | 234783 | &nbsp;&nbsp;219510 |
| &nbsp;&nbsp;CMO Series 2019-33 Class FN | &nbsp;&nbsp;CMO Series 2019-33 Class FN | &nbsp;&nbsp;CMO Series 2019-33 Class FN | &nbsp;&nbsp;CMO Series 2019-33 Class FN |
| &nbsp;&nbsp;1-month USD LIBOR + 0.400%<br> Floor 0.400%, Cap 6.500%<br> 07/25/2049 | &nbsp;&nbsp;4.416% | 179942 | &nbsp;&nbsp;177508 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Agency (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Government National Mortgage Association<sup>(d)</sup> | &nbsp;&nbsp;Government National Mortgage Association<sup>(d)</sup> | &nbsp;&nbsp;Government National Mortgage Association<sup>(d)</sup> | &nbsp;&nbsp;Government National Mortgage Association<sup>(d)</sup> |
| &nbsp;&nbsp;CMO Series 2017-136 Class IO | &nbsp;&nbsp;CMO Series 2017-136 Class IO | &nbsp;&nbsp;CMO Series 2017-136 Class IO | &nbsp;&nbsp;CMO Series 2017-136 Class IO |
| &nbsp;&nbsp;09/20/2047 | &nbsp;&nbsp;5.000% | &nbsp;&nbsp;&nbsp;626253 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;118486 |
| &nbsp;&nbsp;CMO Series 2018-63 Class IO | &nbsp;&nbsp;CMO Series 2018-63 Class IO | &nbsp;&nbsp;CMO Series 2018-63 Class IO | &nbsp;&nbsp;CMO Series 2018-63 Class IO |
| &nbsp;&nbsp;09/20/2047 | &nbsp;&nbsp;4.000% | &nbsp;&nbsp;&nbsp;825784 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;133295 |
| &nbsp;&nbsp;Government National Mortgage Association<sup>(b)</sup> | &nbsp;&nbsp;Government National Mortgage Association<sup>(b)</sup> | &nbsp;&nbsp;Government National Mortgage Association<sup>(b)</sup> | &nbsp;&nbsp;Government National Mortgage Association<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2019-86 Class FE | &nbsp;&nbsp;CMO Series 2019-86 Class FE | &nbsp;&nbsp;CMO Series 2019-86 Class FE | &nbsp;&nbsp;CMO Series 2019-86 Class FE |
| &nbsp;&nbsp;1-month USD LIBOR + 0.400%<br> Floor 0.400%, Cap 6.500%<br> 07/20/2049 | &nbsp;&nbsp;4.339% | &nbsp;&nbsp;&nbsp;188882 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;185919 |
| &nbsp;&nbsp;Government National Mortgage Association<sup>(c)</sup> | &nbsp;&nbsp;Government National Mortgage Association<sup>(c)</sup> | &nbsp;&nbsp;Government National Mortgage Association<sup>(c)</sup> | &nbsp;&nbsp;Government National Mortgage Association<sup>(c)</sup> |
| &nbsp;&nbsp;CMO Series 2020-133 Class FA | &nbsp;&nbsp;CMO Series 2020-133 Class FA | &nbsp;&nbsp;CMO Series 2020-133 Class FA | &nbsp;&nbsp;CMO Series 2020-133 Class FA |
| &nbsp;&nbsp;02/20/2049 | &nbsp;&nbsp;3.857% | &nbsp;&nbsp;&nbsp;135396 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;134865 |
| &nbsp;&nbsp;Uniform Mortgage-Backed Security TBA<sup>(n)</sup> | &nbsp;&nbsp;Uniform Mortgage-Backed Security TBA<sup>(n)</sup> | &nbsp;&nbsp;Uniform Mortgage-Backed Security TBA<sup>(n)</sup> | &nbsp;&nbsp;Uniform Mortgage-Backed Security TBA<sup>(n)</sup> |
| &nbsp;&nbsp;01/13/2052 | &nbsp;&nbsp;2.000% | 5225000 | &nbsp;&nbsp;&nbsp;&nbsp;4307768 |
| &nbsp;&nbsp;01/13/2052 | &nbsp;&nbsp;2.500% | 8275000 | &nbsp;&nbsp;&nbsp;&nbsp;7084499 |
| &nbsp;&nbsp;12/13/2052 | &nbsp;&nbsp;3.000% | 4525000 | &nbsp;&nbsp;&nbsp;&nbsp;4004398 |
| &nbsp;&nbsp;12/13/2052 | &nbsp;&nbsp;4.000% | &nbsp;&nbsp;&nbsp;775000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;732829 |
| &nbsp;&nbsp;12/13/2052 | &nbsp;&nbsp;4.500% | 4275000 | &nbsp;&nbsp;&nbsp;&nbsp;4160777 |
| &nbsp;&nbsp;12/13/2052 | &nbsp;&nbsp;5.000% | 3590000 | &nbsp;&nbsp;&nbsp;&nbsp;3572050 |
| &nbsp;&nbsp;12/13/2052 | &nbsp;&nbsp;5.500% | 1410000 | &nbsp;&nbsp;&nbsp;&nbsp;1426007 |
| &nbsp;&nbsp;Total Residential Mortgage-Backed Securities - Agency<br> (Cost $26,964,973) | &nbsp;&nbsp;Total Residential Mortgage-Backed Securities - Agency<br> (Cost $26,964,973) | &nbsp;&nbsp;Total Residential Mortgage-Backed Securities - Agency<br> (Cost $26,964,973) | &nbsp;&nbsp;**27346202** |
| &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency 6.8%** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency 6.8%** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency 6.8%** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency 6.8%** |
| &nbsp;&nbsp;ABFC Trust<sup>(b)</sup> | &nbsp;&nbsp;ABFC Trust<sup>(b)</sup> | &nbsp;&nbsp;ABFC Trust<sup>(b)</sup> | &nbsp;&nbsp;ABFC Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2007-WMC1 Class A1A | &nbsp;&nbsp;CMO Series 2007-WMC1 Class A1A | &nbsp;&nbsp;CMO Series 2007-WMC1 Class A1A | &nbsp;&nbsp;CMO Series 2007-WMC1 Class A1A |
| &nbsp;&nbsp;1-month USD LIBOR + 1.250%<br> Floor 1.250%<br> 06/25/2037 | &nbsp;&nbsp;5.266% | &nbsp;&nbsp;&nbsp;658700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;469065 |
| &nbsp;&nbsp;Adjustable Rate Mortgage Trust<sup>(b)</sup> | &nbsp;&nbsp;Adjustable Rate Mortgage Trust<sup>(b)</sup> | &nbsp;&nbsp;Adjustable Rate Mortgage Trust<sup>(b)</sup> | &nbsp;&nbsp;Adjustable Rate Mortgage Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2005-9 Class 5A3 | &nbsp;&nbsp;CMO Series 2005-9 Class 5A3 | &nbsp;&nbsp;CMO Series 2005-9 Class 5A3 | &nbsp;&nbsp;CMO Series 2005-9 Class 5A3 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.640%<br> Floor 0.320%, Cap 11.000%<br> 11/25/2035 | &nbsp;&nbsp;4.656% | &nbsp;&nbsp;&nbsp;116342 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;112825 |
| &nbsp;&nbsp;Alternative Loan Trust<sup>(c)</sup> | &nbsp;&nbsp;Alternative Loan Trust<sup>(c)</sup> | &nbsp;&nbsp;Alternative Loan Trust<sup>(c)</sup> | &nbsp;&nbsp;Alternative Loan Trust<sup>(c)</sup> |
| &nbsp;&nbsp;CMO Series 2005-43 Class 1A | &nbsp;&nbsp;CMO Series 2005-43 Class 1A | &nbsp;&nbsp;CMO Series 2005-43 Class 1A | &nbsp;&nbsp;CMO Series 2005-43 Class 1A |
| &nbsp;&nbsp;10/25/2035 | &nbsp;&nbsp;3.603% | &nbsp;&nbsp;&nbsp;205880 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;177996 |
| &nbsp;&nbsp;Alternative Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Alternative Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Alternative Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Alternative Loan Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2007-OH3 Class A1B | &nbsp;&nbsp;CMO Series 2007-OH3 Class A1B | &nbsp;&nbsp;CMO Series 2007-OH3 Class A1B | &nbsp;&nbsp;CMO Series 2007-OH3 Class A1B |
| &nbsp;&nbsp;1-month USD LIBOR + 0.440%<br> Floor 0.440%, Cap 10.000%<br> 09/25/2047 | &nbsp;&nbsp;4.456% | &nbsp;&nbsp;&nbsp;465016 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;387214 |
| &nbsp;&nbsp;American Home Mortgage Investment Trust<sup>(b)</sup> | &nbsp;&nbsp;American Home Mortgage Investment Trust<sup>(b)</sup> | &nbsp;&nbsp;American Home Mortgage Investment Trust<sup>(b)</sup> | &nbsp;&nbsp;American Home Mortgage Investment Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2005-1 Class 6A | &nbsp;&nbsp;CMO Series 2005-1 Class 6A | &nbsp;&nbsp;CMO Series 2005-1 Class 6A | &nbsp;&nbsp;CMO Series 2005-1 Class 6A |
| &nbsp;&nbsp;6-month USD LIBOR + 2.000%<br> Floor 2.000%<br> 06/25/2045 | &nbsp;&nbsp;7.209% | &nbsp;&nbsp;&nbsp;108533 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;106450 |
| &nbsp;&nbsp;Arroyo Mortgage Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Arroyo Mortgage Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Arroyo Mortgage Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Arroyo Mortgage Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;CMO Series 2019-1 Class A1 | &nbsp;&nbsp;CMO Series 2019-1 Class A1 | &nbsp;&nbsp;CMO Series 2019-1 Class A1 | &nbsp;&nbsp;CMO Series 2019-1 Class A1 |
| &nbsp;&nbsp;01/25/2049 | &nbsp;&nbsp;3.805% | &nbsp;&nbsp;&nbsp;&nbsp;64229 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59195 |

---

Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022<br> 23

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Banc of America Funding Trust<sup>(b)</sup> | &nbsp;&nbsp;Banc of America Funding Trust<sup>(b)</sup> | &nbsp;&nbsp;Banc of America Funding Trust<sup>(b)</sup> | &nbsp;&nbsp;Banc of America Funding Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2005-B Class 3M1 | &nbsp;&nbsp;CMO Series 2005-B Class 3M1 | &nbsp;&nbsp;CMO Series 2005-B Class 3M1 | &nbsp;&nbsp;CMO Series 2005-B Class 3M1 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.675%<br> Floor 0.450%, Cap 11.000%<br> 04/20/2035 | &nbsp;&nbsp;4.614% | 191924 | &nbsp;&nbsp;188027 |
| &nbsp;&nbsp;Banc of America Funding Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Banc of America Funding Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Banc of America Funding Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Banc of America Funding Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;Subordinated CMO Series 2014-R6 Class 2A13 | &nbsp;&nbsp;Subordinated CMO Series 2014-R6 Class 2A13 | &nbsp;&nbsp;Subordinated CMO Series 2014-R6 Class 2A13 | &nbsp;&nbsp;Subordinated CMO Series 2014-R6 Class 2A13 |
| &nbsp;&nbsp;07/26/2036 | &nbsp;&nbsp;3.846% | 590581 | &nbsp;&nbsp;563677 |
| &nbsp;&nbsp;Bear Stearns Alt-A Trust<sup>(b)</sup> | &nbsp;&nbsp;Bear Stearns Alt-A Trust<sup>(b)</sup> | &nbsp;&nbsp;Bear Stearns Alt-A Trust<sup>(b)</sup> | &nbsp;&nbsp;Bear Stearns Alt-A Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2004-6 Class M1 | &nbsp;&nbsp;CMO Series 2004-6 Class M1 | &nbsp;&nbsp;CMO Series 2004-6 Class M1 | &nbsp;&nbsp;CMO Series 2004-6 Class M1 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.825%<br> Floor 0.825%, Cap 11.500%<br> 07/25/2034 | &nbsp;&nbsp;4.841% | 221023 | &nbsp;&nbsp;221349 |
| &nbsp;&nbsp;Bear Stearns Mortgage Funding Trust<sup>(b)</sup> | &nbsp;&nbsp;Bear Stearns Mortgage Funding Trust<sup>(b)</sup> | &nbsp;&nbsp;Bear Stearns Mortgage Funding Trust<sup>(b)</sup> | &nbsp;&nbsp;Bear Stearns Mortgage Funding Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2006-AR3 Class 1A1 | &nbsp;&nbsp;CMO Series 2006-AR3 Class 1A1 | &nbsp;&nbsp;CMO Series 2006-AR3 Class 1A1 | &nbsp;&nbsp;CMO Series 2006-AR3 Class 1A1 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.180%<br> Floor 0.180%, Cap 10.500%<br> 10/25/2036 | &nbsp;&nbsp;4.224% | 295427 | &nbsp;&nbsp;240272 |
| &nbsp;&nbsp;CMO Series 2006-AR4 Class A1 | &nbsp;&nbsp;CMO Series 2006-AR4 Class A1 | &nbsp;&nbsp;CMO Series 2006-AR4 Class A1 | &nbsp;&nbsp;CMO Series 2006-AR4 Class A1 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.210%<br> Floor 0.210%, Cap 10.500%<br> 12/25/2036 | &nbsp;&nbsp;4.254% | 401771 | &nbsp;&nbsp;353921 |
| &nbsp;&nbsp;CMO Series 2007-AR3 Class 21A1 | &nbsp;&nbsp;CMO Series 2007-AR3 Class 21A1 | &nbsp;&nbsp;CMO Series 2007-AR3 Class 21A1 | &nbsp;&nbsp;CMO Series 2007-AR3 Class 21A1 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.150%<br> Floor 0.150%, Cap 10.500%<br> 04/25/2037 | &nbsp;&nbsp;4.194% | 318281 | &nbsp;&nbsp;271063 |
| &nbsp;&nbsp;Centex Home Equity Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Centex Home Equity Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Centex Home Equity Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Centex Home Equity Loan Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2005-A Class M1 | &nbsp;&nbsp;CMO Series 2005-A Class M1 | &nbsp;&nbsp;CMO Series 2005-A Class M1 | &nbsp;&nbsp;CMO Series 2005-A Class M1 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.720%<br> Floor 0.480%<br> 01/25/2035 | &nbsp;&nbsp;4.764% | 289039 | &nbsp;&nbsp;284166 |
| &nbsp;&nbsp;CMO Series 2005-D Class M4 | &nbsp;&nbsp;CMO Series 2005-D Class M4 | &nbsp;&nbsp;CMO Series 2005-D Class M4 | &nbsp;&nbsp;CMO Series 2005-D Class M4 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.915%<br> Floor 0.610%<br> 10/25/2035 | &nbsp;&nbsp;4.959% | 437677 | &nbsp;&nbsp;435728 |
| &nbsp;&nbsp;CIM Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;CIM Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;CIM Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;CIM Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;CMO Series 2021-R3 Class A1A | &nbsp;&nbsp;CMO Series 2021-R3 Class A1A | &nbsp;&nbsp;CMO Series 2021-R3 Class A1A | &nbsp;&nbsp;CMO Series 2021-R3 Class A1A |
| &nbsp;&nbsp;06/25/2057 | &nbsp;&nbsp;1.951% | 468300 | &nbsp;&nbsp;419208 |
| &nbsp;&nbsp;Citigroup Mortgage Loan Trust, Inc.<sup>(c)</sup> | &nbsp;&nbsp;Citigroup Mortgage Loan Trust, Inc.<sup>(c)</sup> | &nbsp;&nbsp;Citigroup Mortgage Loan Trust, Inc.<sup>(c)</sup> | &nbsp;&nbsp;Citigroup Mortgage Loan Trust, Inc.<sup>(c)</sup> |
| &nbsp;&nbsp;CMO Series 2006-AR2 Class 1A1 | &nbsp;&nbsp;CMO Series 2006-AR2 Class 1A1 | &nbsp;&nbsp;CMO Series 2006-AR2 Class 1A1 | &nbsp;&nbsp;CMO Series 2006-AR2 Class 1A1 |
| &nbsp;&nbsp;03/25/2036 | &nbsp;&nbsp;3.160% | 250163 | &nbsp;&nbsp;195850 |
| &nbsp;&nbsp;Citigroup Mortgage Loan Trust, Inc.<sup>(b)</sup> | &nbsp;&nbsp;Citigroup Mortgage Loan Trust, Inc.<sup>(b)</sup> | &nbsp;&nbsp;Citigroup Mortgage Loan Trust, Inc.<sup>(b)</sup> | &nbsp;&nbsp;Citigroup Mortgage Loan Trust, Inc.<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2006-WFH3 Class M2 | &nbsp;&nbsp;CMO Series 2006-WFH3 Class M2 | &nbsp;&nbsp;CMO Series 2006-WFH3 Class M2 | &nbsp;&nbsp;CMO Series 2006-WFH3 Class M2 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.450%<br> Floor 0.450%<br> 10/25/2036 | &nbsp;&nbsp;4.466% | 323176 | &nbsp;&nbsp;318676 |
| &nbsp;&nbsp;COLT Mortgage Loan Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;COLT Mortgage Loan Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;COLT Mortgage Loan Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;COLT Mortgage Loan Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;CMO Series 2022-5 Class A1 | &nbsp;&nbsp;CMO Series 2022-5 Class A1 | &nbsp;&nbsp;CMO Series 2022-5 Class A1 | &nbsp;&nbsp;CMO Series 2022-5 Class A1 |
| &nbsp;&nbsp;04/25/2067 | &nbsp;&nbsp;4.550% | &nbsp;&nbsp;93246 | &nbsp;&nbsp;&nbsp;&nbsp;88562 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Connecticut Avenue Securities Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;Connecticut Avenue Securities Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;Connecticut Avenue Securities Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;Connecticut Avenue Securities Trust<sup>(a),(b)</sup> |
| &nbsp;&nbsp;CMO Series 2022-R01 Class 1M1 | &nbsp;&nbsp;CMO Series 2022-R01 Class 1M1 | &nbsp;&nbsp;CMO Series 2022-R01 Class 1M1 | &nbsp;&nbsp;CMO Series 2022-R01 Class 1M1 |
| &nbsp;&nbsp;30-day Average SOFR + 1.000%<br> 12/25/2041 | &nbsp;&nbsp;4.521% | &nbsp;&nbsp;&nbsp;&nbsp;50006 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49102 |
| &nbsp;&nbsp;CMO Series 2022-R03 Class 1M1 | &nbsp;&nbsp;CMO Series 2022-R03 Class 1M1 | &nbsp;&nbsp;CMO Series 2022-R03 Class 1M1 | &nbsp;&nbsp;CMO Series 2022-R03 Class 1M1 |
| &nbsp;&nbsp;30-day Average SOFR + 2.100%<br> 03/25/2042 | &nbsp;&nbsp;5.621% | &nbsp;&nbsp;&nbsp;&nbsp;24498 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24205 |
| &nbsp;&nbsp;CMO Series 2022-R03 Class 1M2 | &nbsp;&nbsp;CMO Series 2022-R03 Class 1M2 | &nbsp;&nbsp;CMO Series 2022-R03 Class 1M2 | &nbsp;&nbsp;CMO Series 2022-R03 Class 1M2 |
| &nbsp;&nbsp;30-day Average SOFR + 3.500%<br> 03/25/2042 | &nbsp;&nbsp;7.021% | &nbsp;&nbsp;&nbsp;500000 | &nbsp;&nbsp;&nbsp;&nbsp;490980 |
| &nbsp;&nbsp;CMO Series 2022-R04 Class 1M1 | &nbsp;&nbsp;CMO Series 2022-R04 Class 1M1 | &nbsp;&nbsp;CMO Series 2022-R04 Class 1M1 | &nbsp;&nbsp;CMO Series 2022-R04 Class 1M1 |
| &nbsp;&nbsp;30-day Average SOFR + 2.000%<br> 03/25/2042 | &nbsp;&nbsp;5.521% | &nbsp;&nbsp;&nbsp;&nbsp;44865 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44469 |
| &nbsp;&nbsp;CMO Series 2022-R05 Class 2M2 | &nbsp;&nbsp;CMO Series 2022-R05 Class 2M2 | &nbsp;&nbsp;CMO Series 2022-R05 Class 2M2 | &nbsp;&nbsp;CMO Series 2022-R05 Class 2M2 |
| &nbsp;&nbsp;30-day Average SOFR + 3.000%<br> 04/25/2042 | &nbsp;&nbsp;6.521% | &nbsp;&nbsp;&nbsp;455000 | &nbsp;&nbsp;&nbsp;&nbsp;426534 |
| &nbsp;&nbsp;CMO Series 2022-R06 Class 1M1 | &nbsp;&nbsp;CMO Series 2022-R06 Class 1M1 | &nbsp;&nbsp;CMO Series 2022-R06 Class 1M1 | &nbsp;&nbsp;CMO Series 2022-R06 Class 1M1 |
| &nbsp;&nbsp;30-day Average SOFR + 2.750%<br> 05/25/2042 | &nbsp;&nbsp;6.271% | &nbsp;&nbsp;&nbsp;&nbsp;87627 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;87946 |
| &nbsp;&nbsp;CMO Series 2022-R09 Class 2M1 | &nbsp;&nbsp;CMO Series 2022-R09 Class 2M1 | &nbsp;&nbsp;CMO Series 2022-R09 Class 2M1 | &nbsp;&nbsp;CMO Series 2022-R09 Class 2M1 |
| &nbsp;&nbsp;30-day Average SOFR + 2.500%<br> 09/25/2042 | &nbsp;&nbsp;5.525% | &nbsp;&nbsp;&nbsp;183581 | &nbsp;&nbsp;&nbsp;&nbsp;182734 |
| &nbsp;&nbsp;Subordinated CMO Series 2022-R01 Class 1B1 | &nbsp;&nbsp;Subordinated CMO Series 2022-R01 Class 1B1 | &nbsp;&nbsp;Subordinated CMO Series 2022-R01 Class 1B1 | &nbsp;&nbsp;Subordinated CMO Series 2022-R01 Class 1B1 |
| &nbsp;&nbsp;30-day Average SOFR + 3.150%<br> 12/25/2041 | &nbsp;&nbsp;6.671% | &nbsp;&nbsp;&nbsp;511000 | &nbsp;&nbsp;&nbsp;&nbsp;467964 |
| &nbsp;&nbsp;Countrywide Asset-Backed Certificates<sup>(b)</sup> | &nbsp;&nbsp;Countrywide Asset-Backed Certificates<sup>(b)</sup> | &nbsp;&nbsp;Countrywide Asset-Backed Certificates<sup>(b)</sup> | &nbsp;&nbsp;Countrywide Asset-Backed Certificates<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2007-13 Class 2A1 | &nbsp;&nbsp;CMO Series 2007-13 Class 2A1 | &nbsp;&nbsp;CMO Series 2007-13 Class 2A1 | &nbsp;&nbsp;CMO Series 2007-13 Class 2A1 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.900%<br> Floor 0.900%<br> 10/25/2047 | &nbsp;&nbsp;4.916% | &nbsp;&nbsp;&nbsp;143404 | &nbsp;&nbsp;&nbsp;&nbsp;131300 |
| &nbsp;&nbsp;CMO Series 2007-13 Class 2A2 | &nbsp;&nbsp;CMO Series 2007-13 Class 2A2 | &nbsp;&nbsp;CMO Series 2007-13 Class 2A2 | &nbsp;&nbsp;CMO Series 2007-13 Class 2A2 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.800%<br> Floor 0.800%<br> 10/25/2047 | &nbsp;&nbsp;4.816% | &nbsp;&nbsp;&nbsp;285069 | &nbsp;&nbsp;&nbsp;&nbsp;261015 |
| &nbsp;&nbsp;Credit Suisse Mortgage Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Credit Suisse Mortgage Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Credit Suisse Mortgage Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Credit Suisse Mortgage Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;CMO Series 2019-NQM1 Class A1 | &nbsp;&nbsp;CMO Series 2019-NQM1 Class A1 | &nbsp;&nbsp;CMO Series 2019-NQM1 Class A1 | &nbsp;&nbsp;CMO Series 2019-NQM1 Class A1 |
| &nbsp;&nbsp;10/25/2059 | &nbsp;&nbsp;2.656% | &nbsp;&nbsp;&nbsp;&nbsp;19726 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18647 |
| &nbsp;&nbsp;CSMC Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;CSMC Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;CSMC Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;CSMC Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;CMO Series 2021-RPL4 Class A1 | &nbsp;&nbsp;CMO Series 2021-RPL4 Class A1 | &nbsp;&nbsp;CMO Series 2021-RPL4 Class A1 | &nbsp;&nbsp;CMO Series 2021-RPL4 Class A1 |
| &nbsp;&nbsp;12/27/2060 | &nbsp;&nbsp;1.796% | 1380097 | &nbsp;&nbsp;1216555 |
| &nbsp;&nbsp;CWABS Asset-Backed Certificates Trust<sup>(b)</sup> | &nbsp;&nbsp;CWABS Asset-Backed Certificates Trust<sup>(b)</sup> | &nbsp;&nbsp;CWABS Asset-Backed Certificates Trust<sup>(b)</sup> | &nbsp;&nbsp;CWABS Asset-Backed Certificates Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2004-10 Class MV4 | &nbsp;&nbsp;CMO Series 2004-10 Class MV4 | &nbsp;&nbsp;CMO Series 2004-10 Class MV4 | &nbsp;&nbsp;CMO Series 2004-10 Class MV4 |
| &nbsp;&nbsp;1-month USD LIBOR + 1.575%<br> Floor 1.575%<br> 12/25/2034 | &nbsp;&nbsp;5.591% | &nbsp;&nbsp;&nbsp;912003 | &nbsp;&nbsp;&nbsp;&nbsp;823772 |
| &nbsp;&nbsp;CMO Series 2005-14 Class M2 | &nbsp;&nbsp;CMO Series 2005-14 Class M2 | &nbsp;&nbsp;CMO Series 2005-14 Class M2 | &nbsp;&nbsp;CMO Series 2005-14 Class M2 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.705%<br> Floor 0.470%<br> 04/25/2036 | &nbsp;&nbsp;4.721% | &nbsp;&nbsp;&nbsp;&nbsp;37109 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37036 |

---

24 Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;CMO Series 2005-17 Class MV1 | &nbsp;&nbsp;CMO Series 2005-17 Class MV1 | &nbsp;&nbsp;CMO Series 2005-17 Class MV1 | &nbsp;&nbsp;CMO Series 2005-17 Class MV1 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.460%<br> Floor 0.460%<br> 05/25/2036 | &nbsp;&nbsp;4.706% | 264983 | &nbsp;&nbsp;261171 |
| &nbsp;&nbsp;First Franklin Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;First Franklin Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;First Franklin Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;First Franklin Mortgage Loan Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2006-FF4 Class A3 | &nbsp;&nbsp;CMO Series 2006-FF4 Class A3 | &nbsp;&nbsp;CMO Series 2006-FF4 Class A3 | &nbsp;&nbsp;CMO Series 2006-FF4 Class A3 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.280%<br> Floor 0.560%<br> 03/25/2036 | &nbsp;&nbsp;4.324% | 134883 | &nbsp;&nbsp;133113 |
| &nbsp;&nbsp;First Horizon Mortgage Pass-Through Trust<sup>(c)</sup> | &nbsp;&nbsp;First Horizon Mortgage Pass-Through Trust<sup>(c)</sup> | &nbsp;&nbsp;First Horizon Mortgage Pass-Through Trust<sup>(c)</sup> | &nbsp;&nbsp;First Horizon Mortgage Pass-Through Trust<sup>(c)</sup> |
| &nbsp;&nbsp;CMO Series 2005-AR4 Class 2A1 | &nbsp;&nbsp;CMO Series 2005-AR4 Class 2A1 | &nbsp;&nbsp;CMO Series 2005-AR4 Class 2A1 | &nbsp;&nbsp;CMO Series 2005-AR4 Class 2A1 |
| &nbsp;&nbsp;10/25/2035 | &nbsp;&nbsp;3.931% | 141083 | &nbsp;&nbsp;130431 |
| &nbsp;&nbsp;First NLC Trust<sup>(b)</sup> | &nbsp;&nbsp;First NLC Trust<sup>(b)</sup> | &nbsp;&nbsp;First NLC Trust<sup>(b)</sup> | &nbsp;&nbsp;First NLC Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2005-4 Class A4 | &nbsp;&nbsp;CMO Series 2005-4 Class A4 | &nbsp;&nbsp;CMO Series 2005-4 Class A4 | &nbsp;&nbsp;CMO Series 2005-4 Class A4 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.780%<br> Floor 0.390%, Cap 14.000%<br> 02/25/2036 | &nbsp;&nbsp;4.796% | 289468 | &nbsp;&nbsp;279184 |
| &nbsp;&nbsp;Freddie Mac STACR REMIC Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;Freddie Mac STACR REMIC Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;Freddie Mac STACR REMIC Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;Freddie Mac STACR REMIC Trust<sup>(a),(b)</sup> |
| &nbsp;&nbsp;CMO Series 2022-DNA3 Class M1A | &nbsp;&nbsp;CMO Series 2022-DNA3 Class M1A | &nbsp;&nbsp;CMO Series 2022-DNA3 Class M1A | &nbsp;&nbsp;CMO Series 2022-DNA3 Class M1A |
| &nbsp;&nbsp;30-day Average SOFR + 2.000%<br> 04/25/2042 | &nbsp;&nbsp;5.521% | 165752 | &nbsp;&nbsp;163795 |
| &nbsp;&nbsp;CMO Series 2022-DNA4 Class M1A | &nbsp;&nbsp;CMO Series 2022-DNA4 Class M1A | &nbsp;&nbsp;CMO Series 2022-DNA4 Class M1A | &nbsp;&nbsp;CMO Series 2022-DNA4 Class M1A |
| &nbsp;&nbsp;30-day Average SOFR + 2.200%<br> 05/25/2042 | &nbsp;&nbsp;5.721% | 201543 | &nbsp;&nbsp;200321 |
| &nbsp;&nbsp;CMO Series 2022-DNA4 Class M1B | &nbsp;&nbsp;CMO Series 2022-DNA4 Class M1B | &nbsp;&nbsp;CMO Series 2022-DNA4 Class M1B | &nbsp;&nbsp;CMO Series 2022-DNA4 Class M1B |
| &nbsp;&nbsp;30-day Average SOFR + 3.350%<br> 05/25/2042 | &nbsp;&nbsp;6.871% | 285000 | &nbsp;&nbsp;279474 |
| &nbsp;&nbsp;CMO Series 2022-DNA7 Class M1A | &nbsp;&nbsp;CMO Series 2022-DNA7 Class M1A | &nbsp;&nbsp;CMO Series 2022-DNA7 Class M1A | &nbsp;&nbsp;CMO Series 2022-DNA7 Class M1A |
| &nbsp;&nbsp;30-day Average SOFR + 2.500%<br> 03/25/2052 | &nbsp;&nbsp;6.021% | 157474 | &nbsp;&nbsp;157131 |
| &nbsp;&nbsp;CMO Series 2022-HQA1 Class M1B | &nbsp;&nbsp;CMO Series 2022-HQA1 Class M1B | &nbsp;&nbsp;CMO Series 2022-HQA1 Class M1B | &nbsp;&nbsp;CMO Series 2022-HQA1 Class M1B |
| &nbsp;&nbsp;30-day Average SOFR + 3.500%<br> 03/25/2042 | &nbsp;&nbsp;7.021% | &nbsp;&nbsp;90000 | &nbsp;&nbsp;&nbsp;&nbsp;87512 |
| &nbsp;&nbsp;CMO Series 2022-HQA3 Class M1B | &nbsp;&nbsp;CMO Series 2022-HQA3 Class M1B | &nbsp;&nbsp;CMO Series 2022-HQA3 Class M1B | &nbsp;&nbsp;CMO Series 2022-HQA3 Class M1B |
| &nbsp;&nbsp;30-day Average SOFR + 3.550%<br> 08/25/2042 | &nbsp;&nbsp;7.071% | 130000 | &nbsp;&nbsp;123143 |
| &nbsp;&nbsp;Subordinated CMO Series 2022-DNA6 Class M1A | &nbsp;&nbsp;Subordinated CMO Series 2022-DNA6 Class M1A | &nbsp;&nbsp;Subordinated CMO Series 2022-DNA6 Class M1A | &nbsp;&nbsp;Subordinated CMO Series 2022-DNA6 Class M1A |
| &nbsp;&nbsp;30-day Average SOFR + 2.150%<br> 09/25/2042 | &nbsp;&nbsp;5.671% | 200176 | &nbsp;&nbsp;199426 |
| &nbsp;&nbsp;GCAT Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;GCAT Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;GCAT Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;GCAT Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;CMO Series 2022-NQM4 Class A1 | &nbsp;&nbsp;CMO Series 2022-NQM4 Class A1 | &nbsp;&nbsp;CMO Series 2022-NQM4 Class A1 | &nbsp;&nbsp;CMO Series 2022-NQM4 Class A1 |
| &nbsp;&nbsp;08/25/2067 | &nbsp;&nbsp;5.269% | &nbsp;&nbsp;97894 | &nbsp;&nbsp;&nbsp;&nbsp;96233 |
| &nbsp;&nbsp;GE-WMC Asset-Backed Pass-Through Certificates<sup>(b)</sup> | &nbsp;&nbsp;GE-WMC Asset-Backed Pass-Through Certificates<sup>(b)</sup> | &nbsp;&nbsp;GE-WMC Asset-Backed Pass-Through Certificates<sup>(b)</sup> | &nbsp;&nbsp;GE-WMC Asset-Backed Pass-Through Certificates<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2005-1 Class M1 | &nbsp;&nbsp;CMO Series 2005-1 Class M1 | &nbsp;&nbsp;CMO Series 2005-1 Class M1 | &nbsp;&nbsp;CMO Series 2005-1 Class M1 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.660%<br> Floor 0.660%<br> 10/25/2035 | &nbsp;&nbsp;4.704% | 341735 | &nbsp;&nbsp;319114 |
| &nbsp;&nbsp;GMACM Mortgage Loan Trust<sup>(c)</sup> | &nbsp;&nbsp;GMACM Mortgage Loan Trust<sup>(c)</sup> | &nbsp;&nbsp;GMACM Mortgage Loan Trust<sup>(c)</sup> | &nbsp;&nbsp;GMACM Mortgage Loan Trust<sup>(c)</sup> |
| &nbsp;&nbsp;CMO Series 2006-AR1 Class 1A1 | &nbsp;&nbsp;CMO Series 2006-AR1 Class 1A1 | &nbsp;&nbsp;CMO Series 2006-AR1 Class 1A1 | &nbsp;&nbsp;CMO Series 2006-AR1 Class 1A1 |
| &nbsp;&nbsp;04/19/2036 | &nbsp;&nbsp;2.984% | 421467 | &nbsp;&nbsp;313627 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;GS Mortgage-Backed Securities Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;GS Mortgage-Backed Securities Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;GS Mortgage-Backed Securities Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;GS Mortgage-Backed Securities Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;CMO Series 2020-RPL1 Class M2 | &nbsp;&nbsp;CMO Series 2020-RPL1 Class M2 | &nbsp;&nbsp;CMO Series 2020-RPL1 Class M2 | &nbsp;&nbsp;CMO Series 2020-RPL1 Class M2 |
| &nbsp;&nbsp;07/25/2059 | &nbsp;&nbsp;3.832% | &nbsp;&nbsp;&nbsp;800000 | &nbsp;&nbsp;630572 |
| &nbsp;&nbsp;GSAMP Trust<sup>(b)</sup> | &nbsp;&nbsp;GSAMP Trust<sup>(b)</sup> | &nbsp;&nbsp;GSAMP Trust<sup>(b)</sup> | &nbsp;&nbsp;GSAMP Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2005-WMC3 Class A2C | &nbsp;&nbsp;CMO Series 2005-WMC3 Class A2C | &nbsp;&nbsp;CMO Series 2005-WMC3 Class A2C | &nbsp;&nbsp;CMO Series 2005-WMC3 Class A2C |
| &nbsp;&nbsp;1-month USD LIBOR + 0.660%<br> Floor 0.330%<br> 12/25/2035 | &nbsp;&nbsp;4.704% | &nbsp;&nbsp;&nbsp;810000 | &nbsp;&nbsp;781677 |
| &nbsp;&nbsp;CMO Series 2006-HE7 Class A2D | &nbsp;&nbsp;CMO Series 2006-HE7 Class A2D | &nbsp;&nbsp;CMO Series 2006-HE7 Class A2D | &nbsp;&nbsp;CMO Series 2006-HE7 Class A2D |
| &nbsp;&nbsp;1-month USD LIBOR + 0.230%<br> Floor 0.230%<br> 10/25/2046 | &nbsp;&nbsp;4.504% | &nbsp;&nbsp;&nbsp;141997 | &nbsp;&nbsp;139504 |
| &nbsp;&nbsp;CMO Series 2007-FM2 Class A1 | &nbsp;&nbsp;CMO Series 2007-FM2 Class A1 | &nbsp;&nbsp;CMO Series 2007-FM2 Class A1 | &nbsp;&nbsp;CMO Series 2007-FM2 Class A1 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.140%<br> Floor 0.140%<br> 01/25/2037 | &nbsp;&nbsp;4.184% | &nbsp;&nbsp;&nbsp;792944 | &nbsp;&nbsp;467506 |
| &nbsp;&nbsp;HarborView Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;HarborView Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;HarborView Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;HarborView Mortgage Loan Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2007-6 Class 1A1A | &nbsp;&nbsp;CMO Series 2007-6 Class 1A1A | &nbsp;&nbsp;CMO Series 2007-6 Class 1A1A | &nbsp;&nbsp;CMO Series 2007-6 Class 1A1A |
| &nbsp;&nbsp;1-month USD LIBOR + 0.200%<br> Floor 0.200%, Cap 10.500%<br> 08/19/2037 | &nbsp;&nbsp;4.139% | &nbsp;&nbsp;&nbsp;495648 | &nbsp;&nbsp;407219 |
| &nbsp;&nbsp;Home Equity Mortgage Loan Asset-Backed Trust<sup>(b)</sup> | &nbsp;&nbsp;Home Equity Mortgage Loan Asset-Backed Trust<sup>(b)</sup> | &nbsp;&nbsp;Home Equity Mortgage Loan Asset-Backed Trust<sup>(b)</sup> | &nbsp;&nbsp;Home Equity Mortgage Loan Asset-Backed Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2005-D Class AII4 | &nbsp;&nbsp;CMO Series 2005-D Class AII4 | &nbsp;&nbsp;CMO Series 2005-D Class AII4 | &nbsp;&nbsp;CMO Series 2005-D Class AII4 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.700%<br> Floor 0.350%<br> 03/25/2036 | &nbsp;&nbsp;4.744% | &nbsp;&nbsp;&nbsp;&nbsp;98150 | &nbsp;&nbsp;&nbsp;&nbsp;96885 |
| &nbsp;&nbsp;HSI Asset Securitization Corp. Trust<sup>(b)</sup> | &nbsp;&nbsp;HSI Asset Securitization Corp. Trust<sup>(b)</sup> | &nbsp;&nbsp;HSI Asset Securitization Corp. Trust<sup>(b)</sup> | &nbsp;&nbsp;HSI Asset Securitization Corp. Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2005-I1 Class 2A4 | &nbsp;&nbsp;CMO Series 2005-I1 Class 2A4 | &nbsp;&nbsp;CMO Series 2005-I1 Class 2A4 | &nbsp;&nbsp;CMO Series 2005-I1 Class 2A4 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.780%<br> Floor 0.390%<br> 11/25/2035 | &nbsp;&nbsp;4.824% | &nbsp;&nbsp;&nbsp;599161 | &nbsp;&nbsp;524923 |
| &nbsp;&nbsp;CMO Series 2006-HE2 Class 1A | &nbsp;&nbsp;CMO Series 2006-HE2 Class 1A | &nbsp;&nbsp;CMO Series 2006-HE2 Class 1A | &nbsp;&nbsp;CMO Series 2006-HE2 Class 1A |
| &nbsp;&nbsp;1-month USD LIBOR + 0.260%<br> Floor 0.260%<br> 12/25/2036 | &nbsp;&nbsp;4.304% | 1208774 | &nbsp;&nbsp;500416 |
| &nbsp;&nbsp;Impac CMB Trust<sup>(b)</sup> | &nbsp;&nbsp;Impac CMB Trust<sup>(b)</sup> | &nbsp;&nbsp;Impac CMB Trust<sup>(b)</sup> | &nbsp;&nbsp;Impac CMB Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2004-8 Class 2A1 (FGIC) | &nbsp;&nbsp;CMO Series 2004-8 Class 2A1 (FGIC) | &nbsp;&nbsp;CMO Series 2004-8 Class 2A1 (FGIC) | &nbsp;&nbsp;CMO Series 2004-8 Class 2A1 (FGIC) |
| &nbsp;&nbsp;1-month USD LIBOR + 0.700%<br> Floor 0.700%, Cap 11.000%<br> 10/25/2034 | &nbsp;&nbsp;4.716% | &nbsp;&nbsp;&nbsp;240066 | &nbsp;&nbsp;235443 |
| &nbsp;&nbsp;Impac Secured Assets Trust<sup>(b)</sup> | &nbsp;&nbsp;Impac Secured Assets Trust<sup>(b)</sup> | &nbsp;&nbsp;Impac Secured Assets Trust<sup>(b)</sup> | &nbsp;&nbsp;Impac Secured Assets Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2006-5 Class 1A1C | &nbsp;&nbsp;CMO Series 2006-5 Class 1A1C | &nbsp;&nbsp;CMO Series 2006-5 Class 1A1C | &nbsp;&nbsp;CMO Series 2006-5 Class 1A1C |
| &nbsp;&nbsp;1-month USD LIBOR + 0.540%<br> Floor 0.270%, Cap 11.500%<br> 02/25/2037 | &nbsp;&nbsp;4.556% | &nbsp;&nbsp;&nbsp;559047 | &nbsp;&nbsp;495067 |
| &nbsp;&nbsp;IndyMac INDX Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;IndyMac INDX Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;IndyMac INDX Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;IndyMac INDX Mortgage Loan Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2006-AR2 Class 1A1A | &nbsp;&nbsp;CMO Series 2006-AR2 Class 1A1A | &nbsp;&nbsp;CMO Series 2006-AR2 Class 1A1A | &nbsp;&nbsp;CMO Series 2006-AR2 Class 1A1A |
| &nbsp;&nbsp;1-month USD LIBOR + 0.440%<br> Floor 0.220%<br> 04/25/2046 | &nbsp;&nbsp;4.484% | &nbsp;&nbsp;&nbsp;710020 | &nbsp;&nbsp;575853 |

---

Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022<br> 25

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;CMO Series 2006-AR2 Class 1A1B | &nbsp;&nbsp;CMO Series 2006-AR2 Class 1A1B | &nbsp;&nbsp;CMO Series 2006-AR2 Class 1A1B | &nbsp;&nbsp;CMO Series 2006-AR2 Class 1A1B |
| &nbsp;&nbsp;1-month USD LIBOR + 0.420%<br> Floor 0.420%<br> 04/25/2046 | &nbsp;&nbsp;4.464% | &nbsp;&nbsp;&nbsp;654527 | &nbsp;&nbsp;530592 |
| &nbsp;&nbsp;JPMorgan Alternative Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;JPMorgan Alternative Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;JPMorgan Alternative Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;JPMorgan Alternative Loan Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2006-A1 Class 1A1 | &nbsp;&nbsp;CMO Series 2006-A1 Class 1A1 | &nbsp;&nbsp;CMO Series 2006-A1 Class 1A1 | &nbsp;&nbsp;CMO Series 2006-A1 Class 1A1 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.460%<br> Floor 0.230%, Cap 11.500%<br> 03/25/2036 | &nbsp;&nbsp;4.476% | &nbsp;&nbsp;&nbsp;482352 | &nbsp;&nbsp;446510 |
| &nbsp;&nbsp;CMO Series 2007-S1 Class A2 | &nbsp;&nbsp;CMO Series 2007-S1 Class A2 | &nbsp;&nbsp;CMO Series 2007-S1 Class A2 | &nbsp;&nbsp;CMO Series 2007-S1 Class A2 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.680%<br> Floor 0.340%, Cap 11.500%<br> 04/25/2047 | &nbsp;&nbsp;4.696% | &nbsp;&nbsp;&nbsp;164774 | &nbsp;&nbsp;155726 |
| &nbsp;&nbsp;JPMorgan Mortgage Acquisition Trust<sup>(b)</sup> | &nbsp;&nbsp;JPMorgan Mortgage Acquisition Trust<sup>(b)</sup> | &nbsp;&nbsp;JPMorgan Mortgage Acquisition Trust<sup>(b)</sup> | &nbsp;&nbsp;JPMorgan Mortgage Acquisition Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2006-FRE1 Class M1 | &nbsp;&nbsp;CMO Series 2006-FRE1 Class M1 | &nbsp;&nbsp;CMO Series 2006-FRE1 Class M1 | &nbsp;&nbsp;CMO Series 2006-FRE1 Class M1 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.585%<br> Floor 0.585%<br> 05/25/2035 | &nbsp;&nbsp;4.629% | &nbsp;&nbsp;&nbsp;277060 | &nbsp;&nbsp;268177 |
| &nbsp;&nbsp;CMO Series 2007-HE1 Class AV4 | &nbsp;&nbsp;CMO Series 2007-HE1 Class AV4 | &nbsp;&nbsp;CMO Series 2007-HE1 Class AV4 | &nbsp;&nbsp;CMO Series 2007-HE1 Class AV4 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.280%<br> Floor 0.280%<br> 03/25/2047 | &nbsp;&nbsp;4.324% | 1103000 | &nbsp;&nbsp;992740 |
| &nbsp;&nbsp;Legacy Mortgage Asset Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Legacy Mortgage Asset Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Legacy Mortgage Asset Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Legacy Mortgage Asset Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;CMO Series 2020-GS2 Class A1 | &nbsp;&nbsp;CMO Series 2020-GS2 Class A1 | &nbsp;&nbsp;CMO Series 2020-GS2 Class A1 | &nbsp;&nbsp;CMO Series 2020-GS2 Class A1 |
| &nbsp;&nbsp;03/25/2060 | &nbsp;&nbsp;2.750% | &nbsp;&nbsp;&nbsp;671030 | &nbsp;&nbsp;646862 |
| &nbsp;&nbsp;Lehman Mortgage Trust | &nbsp;&nbsp;Lehman Mortgage Trust | &nbsp;&nbsp;Lehman Mortgage Trust | &nbsp;&nbsp;Lehman Mortgage Trust |
| &nbsp;&nbsp;CMO Series 2006-1 Class 1A5 | &nbsp;&nbsp;CMO Series 2006-1 Class 1A5 | &nbsp;&nbsp;CMO Series 2006-1 Class 1A5 | &nbsp;&nbsp;CMO Series 2006-1 Class 1A5 |
| &nbsp;&nbsp;02/25/2036 | &nbsp;&nbsp;5.500% | &nbsp;&nbsp;&nbsp;529023 | &nbsp;&nbsp;262671 |
| &nbsp;&nbsp;Lehman XS Trust<sup>(b)</sup> | &nbsp;&nbsp;Lehman XS Trust<sup>(b)</sup> | &nbsp;&nbsp;Lehman XS Trust<sup>(b)</sup> | &nbsp;&nbsp;Lehman XS Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2006-15 Class A4 | &nbsp;&nbsp;CMO Series 2006-15 Class A4 | &nbsp;&nbsp;CMO Series 2006-15 Class A4 | &nbsp;&nbsp;CMO Series 2006-15 Class A4 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.340%<br> Floor 0.170%<br> 10/25/2036 | &nbsp;&nbsp;4.356% | &nbsp;&nbsp;&nbsp;490904 | &nbsp;&nbsp;436712 |
| &nbsp;&nbsp;CMO Series 2006-2N Class 2A1 | &nbsp;&nbsp;CMO Series 2006-2N Class 2A1 | &nbsp;&nbsp;CMO Series 2006-2N Class 2A1 | &nbsp;&nbsp;CMO Series 2006-2N Class 2A1 |
| &nbsp;&nbsp;1-year MTA + 1.010%<br> Floor 1.010%<br> 02/25/2036 | &nbsp;&nbsp;4.069% | &nbsp;&nbsp;&nbsp;472951 | &nbsp;&nbsp;400117 |
| &nbsp;&nbsp;CMO Series 2007-16N Class 2A2 | &nbsp;&nbsp;CMO Series 2007-16N Class 2A2 | &nbsp;&nbsp;CMO Series 2007-16N Class 2A2 | &nbsp;&nbsp;CMO Series 2007-16N Class 2A2 |
| &nbsp;&nbsp;1-month USD LIBOR + 1.700%<br> Floor 1.700%<br> 09/25/2047 | &nbsp;&nbsp;5.716% | &nbsp;&nbsp;&nbsp;565441 | &nbsp;&nbsp;464185 |
| &nbsp;&nbsp;Long Beach Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Long Beach Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Long Beach Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Long Beach Mortgage Loan Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2006-10 Class 2A3 | &nbsp;&nbsp;CMO Series 2006-10 Class 2A3 | &nbsp;&nbsp;CMO Series 2006-10 Class 2A3 | &nbsp;&nbsp;CMO Series 2006-10 Class 2A3 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.160%<br> Floor 0.160%<br> 11/25/2036 | &nbsp;&nbsp;4.176% | 1594724 | &nbsp;&nbsp;481582 |
| &nbsp;&nbsp;CMO Series 2006-4 Class 1A | &nbsp;&nbsp;CMO Series 2006-4 Class 1A | &nbsp;&nbsp;CMO Series 2006-4 Class 1A | &nbsp;&nbsp;CMO Series 2006-4 Class 1A |
| &nbsp;&nbsp;1-month USD LIBOR + 0.300%<br> Floor 0.300%<br> 05/25/2036 | &nbsp;&nbsp;4.316% | 1022248 | &nbsp;&nbsp;580552 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Mastr Asset Backed Securities Trust<sup>(b)</sup> | &nbsp;&nbsp;Mastr Asset Backed Securities Trust<sup>(b)</sup> | &nbsp;&nbsp;Mastr Asset Backed Securities Trust<sup>(b)</sup> | &nbsp;&nbsp;Mastr Asset Backed Securities Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2005-WF1 Class M6 | &nbsp;&nbsp;CMO Series 2005-WF1 Class M6 | &nbsp;&nbsp;CMO Series 2005-WF1 Class M6 | &nbsp;&nbsp;CMO Series 2005-WF1 Class M6 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.990%<br> Floor 0.660%<br> 06/25/2035 | &nbsp;&nbsp;5.006% | &nbsp;&nbsp;&nbsp;672400 | &nbsp;&nbsp;651073 |
| &nbsp;&nbsp;Morgan Stanley ABS Capital I, Inc. Trust<sup>(b)</sup> | &nbsp;&nbsp;Morgan Stanley ABS Capital I, Inc. Trust<sup>(b)</sup> | &nbsp;&nbsp;Morgan Stanley ABS Capital I, Inc. Trust<sup>(b)</sup> | &nbsp;&nbsp;Morgan Stanley ABS Capital I, Inc. Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2005-WMC1 Class M3 | &nbsp;&nbsp;CMO Series 2005-WMC1 Class M3 | &nbsp;&nbsp;CMO Series 2005-WMC1 Class M3 | &nbsp;&nbsp;CMO Series 2005-WMC1 Class M3 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.780%<br> Floor 0.780%<br> 01/25/2035 | &nbsp;&nbsp;4.824% | &nbsp;&nbsp;&nbsp;288766 | &nbsp;&nbsp;274820 |
| &nbsp;&nbsp;CMO Series 2007-HE2 Class A2B | &nbsp;&nbsp;CMO Series 2007-HE2 Class A2B | &nbsp;&nbsp;CMO Series 2007-HE2 Class A2B | &nbsp;&nbsp;CMO Series 2007-HE2 Class A2B |
| &nbsp;&nbsp;1-month USD LIBOR + 0.090%<br> Floor 0.090%<br> 01/25/2037 | &nbsp;&nbsp;4.134% | 1246763 | &nbsp;&nbsp;599326 |
| &nbsp;&nbsp;CMO Series 2007-NC3 Class A2D | &nbsp;&nbsp;CMO Series 2007-NC3 Class A2D | &nbsp;&nbsp;CMO Series 2007-NC3 Class A2D | &nbsp;&nbsp;CMO Series 2007-NC3 Class A2D |
| &nbsp;&nbsp;1-month USD LIBOR + 0.260%<br> Floor 0.260%<br> 05/25/2037 | &nbsp;&nbsp;4.304% | &nbsp;&nbsp;&nbsp;710834 | &nbsp;&nbsp;488708 |
| &nbsp;&nbsp;Morgan Stanley Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Morgan Stanley Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Morgan Stanley Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Morgan Stanley Mortgage Loan Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2005-5AR Class 1M6 | &nbsp;&nbsp;CMO Series 2005-5AR Class 1M6 | &nbsp;&nbsp;CMO Series 2005-5AR Class 1M6 | &nbsp;&nbsp;CMO Series 2005-5AR Class 1M6 |
| &nbsp;&nbsp;1-month USD LIBOR + 1.250%<br> Floor 0.750%<br> 09/25/2035 | &nbsp;&nbsp;5.266% | &nbsp;&nbsp;&nbsp;500000 | &nbsp;&nbsp;466716 |
| &nbsp;&nbsp;NMLT Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;NMLT Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;NMLT Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;NMLT Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;CMO Series 2021-INV1 Class A1 | &nbsp;&nbsp;CMO Series 2021-INV1 Class A1 | &nbsp;&nbsp;CMO Series 2021-INV1 Class A1 | &nbsp;&nbsp;CMO Series 2021-INV1 Class A1 |
| &nbsp;&nbsp;05/25/2056 | &nbsp;&nbsp;1.185% | &nbsp;&nbsp;&nbsp;834766 | &nbsp;&nbsp;665776 |
| &nbsp;&nbsp;Nomura Resecuritization Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Nomura Resecuritization Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Nomura Resecuritization Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Nomura Resecuritization Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;CMO Series 2014-3R Class 3A9 | &nbsp;&nbsp;CMO Series 2014-3R Class 3A9 | &nbsp;&nbsp;CMO Series 2014-3R Class 3A9 | &nbsp;&nbsp;CMO Series 2014-3R Class 3A9 |
| &nbsp;&nbsp;11/26/2035 | &nbsp;&nbsp;3.604% | &nbsp;&nbsp;&nbsp;&nbsp;24642 | &nbsp;&nbsp;&nbsp;&nbsp;24498 |
| &nbsp;&nbsp;OBX Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;OBX Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;OBX Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;OBX Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;CMO Series 2021-NQM3 Class A1 | &nbsp;&nbsp;CMO Series 2021-NQM3 Class A1 | &nbsp;&nbsp;CMO Series 2021-NQM3 Class A1 | &nbsp;&nbsp;CMO Series 2021-NQM3 Class A1 |
| &nbsp;&nbsp;07/25/2061 | &nbsp;&nbsp;1.054% | &nbsp;&nbsp;&nbsp;644741 | &nbsp;&nbsp;483790 |
| &nbsp;&nbsp;Option One Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Option One Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Option One Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Option One Mortgage Loan Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2005-2 Class M1 | &nbsp;&nbsp;CMO Series 2005-2 Class M1 | &nbsp;&nbsp;CMO Series 2005-2 Class M1 | &nbsp;&nbsp;CMO Series 2005-2 Class M1 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.660%<br> Floor 0.660%<br> 05/25/2035 | &nbsp;&nbsp;4.676% | &nbsp;&nbsp;&nbsp;399219 | &nbsp;&nbsp;394337 |
| &nbsp;&nbsp;CMO Series 2007-5 Class 2A2 | &nbsp;&nbsp;CMO Series 2007-5 Class 2A2 | &nbsp;&nbsp;CMO Series 2007-5 Class 2A2 | &nbsp;&nbsp;CMO Series 2007-5 Class 2A2 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.170%<br> Floor 0.170%<br> 05/25/2037 | &nbsp;&nbsp;4.186% | &nbsp;&nbsp;&nbsp;892797 | &nbsp;&nbsp;476456 |
| &nbsp;&nbsp;Preston Ridge Partners Mortgage Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Preston Ridge Partners Mortgage Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Preston Ridge Partners Mortgage Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Preston Ridge Partners Mortgage Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;CMO Series 2022-4 Class A2 | &nbsp;&nbsp;CMO Series 2022-4 Class A2 | &nbsp;&nbsp;CMO Series 2022-4 Class A2 | &nbsp;&nbsp;CMO Series 2022-4 Class A2 |
| &nbsp;&nbsp;08/25/2027 | &nbsp;&nbsp;5.000% | &nbsp;&nbsp;&nbsp;615000 | &nbsp;&nbsp;550298 |
| &nbsp;&nbsp;Pretium Mortgage Credit Partners LLC<sup>(a),(c)</sup> | &nbsp;&nbsp;Pretium Mortgage Credit Partners LLC<sup>(a),(c)</sup> | &nbsp;&nbsp;Pretium Mortgage Credit Partners LLC<sup>(a),(c)</sup> | &nbsp;&nbsp;Pretium Mortgage Credit Partners LLC<sup>(a),(c)</sup> |
| &nbsp;&nbsp;CMO Series 2022-RN2 Class A2 | &nbsp;&nbsp;CMO Series 2022-RN2 Class A2 | &nbsp;&nbsp;CMO Series 2022-RN2 Class A2 | &nbsp;&nbsp;CMO Series 2022-RN2 Class A2 |
| &nbsp;&nbsp;06/25/2052 | &nbsp;&nbsp;6.500% | &nbsp;&nbsp;&nbsp;720000 | &nbsp;&nbsp;651830 |

---

26 Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;RALI Series Trust<sup>(b)</sup> | &nbsp;&nbsp;RALI Series Trust<sup>(b)</sup> | &nbsp;&nbsp;RALI Series Trust<sup>(b)</sup> | &nbsp;&nbsp;RALI Series Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2006-QA6 Class A3 | &nbsp;&nbsp;CMO Series 2006-QA6 Class A3 | &nbsp;&nbsp;CMO Series 2006-QA6 Class A3 | &nbsp;&nbsp;CMO Series 2006-QA6 Class A3 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.380%<br> Floor 0.190%<br> 07/25/2036 | &nbsp;&nbsp;4.424% | 335992 | &nbsp;&nbsp;289530 |
| &nbsp;&nbsp;CMO Series 2007-QH6 Class A1 | &nbsp;&nbsp;CMO Series 2007-QH6 Class A1 | &nbsp;&nbsp;CMO Series 2007-QH6 Class A1 | &nbsp;&nbsp;CMO Series 2007-QH6 Class A1 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.190%<br> Floor 0.190%<br> 07/25/2037 | &nbsp;&nbsp;4.424% | 316322 | &nbsp;&nbsp;282600 |
| &nbsp;&nbsp;RALI Trust<sup>(b)</sup> | &nbsp;&nbsp;RALI Trust<sup>(b)</sup> | &nbsp;&nbsp;RALI Trust<sup>(b)</sup> | &nbsp;&nbsp;RALI Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2006-QO10 Class A1 | &nbsp;&nbsp;CMO Series 2006-QO10 Class A1 | &nbsp;&nbsp;CMO Series 2006-QO10 Class A1 | &nbsp;&nbsp;CMO Series 2006-QO10 Class A1 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.320%<br> Floor 0.160%<br> 01/25/2037 | &nbsp;&nbsp;4.364% | 614536 | &nbsp;&nbsp;504747 |
| &nbsp;&nbsp;RAMP Trust<sup>(b)</sup> | &nbsp;&nbsp;RAMP Trust<sup>(b)</sup> | &nbsp;&nbsp;RAMP Trust<sup>(b)</sup> | &nbsp;&nbsp;RAMP Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2006-RZ2 Class M1 | &nbsp;&nbsp;CMO Series 2006-RZ2 Class M1 | &nbsp;&nbsp;CMO Series 2006-RZ2 Class M1 | &nbsp;&nbsp;CMO Series 2006-RZ2 Class M1 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.495%<br> Floor 0.330%, Cap 14.000%<br> 05/25/2036 | &nbsp;&nbsp;4.539% | 549964 | &nbsp;&nbsp;534439 |
| &nbsp;&nbsp;RFMSI Trust | &nbsp;&nbsp;RFMSI Trust | &nbsp;&nbsp;RFMSI Trust | &nbsp;&nbsp;RFMSI Trust |
| &nbsp;&nbsp;CMO Series 2006-S10 Class 1A1 | &nbsp;&nbsp;CMO Series 2006-S10 Class 1A1 | &nbsp;&nbsp;CMO Series 2006-S10 Class 1A1 | &nbsp;&nbsp;CMO Series 2006-S10 Class 1A1 |
| &nbsp;&nbsp;10/25/2036 | &nbsp;&nbsp;6.000% | 581348 | &nbsp;&nbsp;458004 |
| &nbsp;&nbsp;Soundview Home Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Soundview Home Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Soundview Home Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Soundview Home Loan Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2006-OPT5 Class 1A1 | &nbsp;&nbsp;CMO Series 2006-OPT5 Class 1A1 | &nbsp;&nbsp;CMO Series 2006-OPT5 Class 1A1 | &nbsp;&nbsp;CMO Series 2006-OPT5 Class 1A1 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.140%<br> Floor 0.140%<br> 07/25/2036 | &nbsp;&nbsp;4.296% | 326923 | &nbsp;&nbsp;308532 |
| &nbsp;&nbsp;Structured Adjustable Rate Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Structured Adjustable Rate Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Structured Adjustable Rate Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Structured Adjustable Rate Mortgage Loan Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2005-19XS Class 2A1 | &nbsp;&nbsp;CMO Series 2005-19XS Class 2A1 | &nbsp;&nbsp;CMO Series 2005-19XS Class 2A1 | &nbsp;&nbsp;CMO Series 2005-19XS Class 2A1 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.300%<br> Floor 0.300%<br> 10/25/2035 | &nbsp;&nbsp;4.316% | &nbsp;&nbsp;&nbsp;&nbsp;5217 | &nbsp;&nbsp;&nbsp;&nbsp;5267 |
| &nbsp;&nbsp;Series 2007-4 Class 1A2 | &nbsp;&nbsp;Series 2007-4 Class 1A2 | &nbsp;&nbsp;Series 2007-4 Class 1A2 | &nbsp;&nbsp;Series 2007-4 Class 1A2 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.440%<br> Floor 0.220%<br> 05/25/2037 | &nbsp;&nbsp;4.456% | 391537 | &nbsp;&nbsp;336980 |
| &nbsp;&nbsp;Structured Asset Investment Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Structured Asset Investment Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Structured Asset Investment Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Structured Asset Investment Loan Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2004-6 Class A3 | &nbsp;&nbsp;CMO Series 2004-6 Class A3 | &nbsp;&nbsp;CMO Series 2004-6 Class A3 | &nbsp;&nbsp;CMO Series 2004-6 Class A3 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.800%<br> Floor 0.800%<br> 07/25/2034 | &nbsp;&nbsp;4.816% | 378602 | &nbsp;&nbsp;361290 |
| &nbsp;&nbsp;Structured Asset Mortgage Investments II Trust<sup>(b)</sup> | &nbsp;&nbsp;Structured Asset Mortgage Investments II Trust<sup>(b)</sup> | &nbsp;&nbsp;Structured Asset Mortgage Investments II Trust<sup>(b)</sup> | &nbsp;&nbsp;Structured Asset Mortgage Investments II Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2006-AR8 Class A1A | &nbsp;&nbsp;CMO Series 2006-AR8 Class A1A | &nbsp;&nbsp;CMO Series 2006-AR8 Class A1A | &nbsp;&nbsp;CMO Series 2006-AR8 Class A1A |
| &nbsp;&nbsp;1-month USD LIBOR + 0.400%<br> Floor 0.200%, Cap 10.500%<br> 10/25/2036 | &nbsp;&nbsp;4.416% | 472422 | &nbsp;&nbsp;422339 |
| &nbsp;&nbsp;Structured Asset Securities Corp Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Structured Asset Securities Corp Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Structured Asset Securities Corp Mortgage Loan Trust<sup>(b)</sup> | &nbsp;&nbsp;Structured Asset Securities Corp Mortgage Loan Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2005-2XS Class M1 | &nbsp;&nbsp;CMO Series 2005-2XS Class M1 | &nbsp;&nbsp;CMO Series 2005-2XS Class M1 | &nbsp;&nbsp;CMO Series 2005-2XS Class M1 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.705%<br> Floor 0.470%, Cap 11.000%<br> 02/25/2035 | &nbsp;&nbsp;4.721% | 756186 | &nbsp;&nbsp;753423 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** | &nbsp;&nbsp;**Residential Mortgage-Backed Securities - Non-Agency (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Thornburg Mortgage Securities Trust<sup>(b)</sup> | &nbsp;&nbsp;Thornburg Mortgage Securities Trust<sup>(b)</sup> | &nbsp;&nbsp;Thornburg Mortgage Securities Trust<sup>(b)</sup> | &nbsp;&nbsp;Thornburg Mortgage Securities Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2004-3 Class A | &nbsp;&nbsp;CMO Series 2004-3 Class A | &nbsp;&nbsp;CMO Series 2004-3 Class A | &nbsp;&nbsp;CMO Series 2004-3 Class A |
| &nbsp;&nbsp;1-month USD LIBOR + 0.740%<br> Floor 0.370%, Cap 11.000%<br> 09/25/2034 | &nbsp;&nbsp;4.756% | &nbsp;&nbsp;&nbsp;344522 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;310389 |
| &nbsp;&nbsp;Towd Point Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;Towd Point Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;Towd Point Mortgage Trust<sup>(a),(b)</sup> | &nbsp;&nbsp;Towd Point Mortgage Trust<sup>(a),(b)</sup> |
| &nbsp;&nbsp;CMO Series 2017-5 Class A1 | &nbsp;&nbsp;CMO Series 2017-5 Class A1 | &nbsp;&nbsp;CMO Series 2017-5 Class A1 | &nbsp;&nbsp;CMO Series 2017-5 Class A1 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.600%<br> 02/25/2057 | &nbsp;&nbsp;4.616% | &nbsp;&nbsp;&nbsp;&nbsp;95605 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94057 |
| &nbsp;&nbsp;Towd Point Mortgage Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Towd Point Mortgage Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Towd Point Mortgage Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Towd Point Mortgage Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;Subordinated CMO Series 2017-2 Class B1 | &nbsp;&nbsp;Subordinated CMO Series 2017-2 Class B1 | &nbsp;&nbsp;Subordinated CMO Series 2017-2 Class B1 | &nbsp;&nbsp;Subordinated CMO Series 2017-2 Class B1 |
| &nbsp;&nbsp;04/25/2057 | &nbsp;&nbsp;4.075% | &nbsp;&nbsp;&nbsp;760000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;683898 |
| &nbsp;&nbsp;Verus Securitization Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Verus Securitization Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Verus Securitization Trust<sup>(a),(c)</sup> | &nbsp;&nbsp;Verus Securitization Trust<sup>(a),(c)</sup> |
| &nbsp;&nbsp;CMO Series 2022-1 Class A1 | &nbsp;&nbsp;CMO Series 2022-1 Class A1 | &nbsp;&nbsp;CMO Series 2022-1 Class A1 | &nbsp;&nbsp;CMO Series 2022-1 Class A1 |
| &nbsp;&nbsp;01/25/2067 | &nbsp;&nbsp;2.724% | &nbsp;&nbsp;&nbsp;165109 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;142750 |
| &nbsp;&nbsp;CMO Series 2022-4 Class A2 | &nbsp;&nbsp;CMO Series 2022-4 Class A2 | &nbsp;&nbsp;CMO Series 2022-4 Class A2 | &nbsp;&nbsp;CMO Series 2022-4 Class A2 |
| &nbsp;&nbsp;04/25/2067 | &nbsp;&nbsp;4.740% | &nbsp;&nbsp;&nbsp;177656 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;164625 |
| &nbsp;&nbsp;CMO Series 2022-8 Class A3 | &nbsp;&nbsp;CMO Series 2022-8 Class A3 | &nbsp;&nbsp;CMO Series 2022-8 Class A3 | &nbsp;&nbsp;CMO Series 2022-8 Class A3 |
| &nbsp;&nbsp;09/25/2067 | &nbsp;&nbsp;6.127% | &nbsp;&nbsp;&nbsp;&nbsp;98880 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;95197 |
| &nbsp;&nbsp;CMO Series 2022-INV1 Class A1 | &nbsp;&nbsp;CMO Series 2022-INV1 Class A1 | &nbsp;&nbsp;CMO Series 2022-INV1 Class A1 | &nbsp;&nbsp;CMO Series 2022-INV1 Class A1 |
| &nbsp;&nbsp;08/25/2067 | &nbsp;&nbsp;5.041% | &nbsp;&nbsp;&nbsp;&nbsp;97245 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94176 |
| &nbsp;&nbsp;WaMu Asset-Backed Certificates Trust<sup>(b)</sup> | &nbsp;&nbsp;WaMu Asset-Backed Certificates Trust<sup>(b)</sup> | &nbsp;&nbsp;WaMu Asset-Backed Certificates Trust<sup>(b)</sup> | &nbsp;&nbsp;WaMu Asset-Backed Certificates Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2007-HE1 Class 2A4 | &nbsp;&nbsp;CMO Series 2007-HE1 Class 2A4 | &nbsp;&nbsp;CMO Series 2007-HE1 Class 2A4 | &nbsp;&nbsp;CMO Series 2007-HE1 Class 2A4 |
| &nbsp;&nbsp;1-month USD LIBOR + 0.230%<br> Floor 0.230%<br> 01/25/2037 | &nbsp;&nbsp;4.246% | 1154625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;555791 |
| &nbsp;&nbsp;WaMu Mortgage Pass-Through Certificates Trust<sup>(b)</sup> | &nbsp;&nbsp;WaMu Mortgage Pass-Through Certificates Trust<sup>(b)</sup> | &nbsp;&nbsp;WaMu Mortgage Pass-Through Certificates Trust<sup>(b)</sup> | &nbsp;&nbsp;WaMu Mortgage Pass-Through Certificates Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2007-OA4 Class 1A | &nbsp;&nbsp;CMO Series 2007-OA4 Class 1A | &nbsp;&nbsp;CMO Series 2007-OA4 Class 1A | &nbsp;&nbsp;CMO Series 2007-OA4 Class 1A |
| &nbsp;&nbsp;1-year MTA + 0.770%<br> Floor 0.770%<br> 05/25/2047 | &nbsp;&nbsp;2.819% | &nbsp;&nbsp;&nbsp;585977 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;458574 |
| &nbsp;&nbsp;Washington Mutual Mortgage Pass-Through Certificates WMALT Trust<sup>(b)</sup> | &nbsp;&nbsp;Washington Mutual Mortgage Pass-Through Certificates WMALT Trust<sup>(b)</sup> | &nbsp;&nbsp;Washington Mutual Mortgage Pass-Through Certificates WMALT Trust<sup>(b)</sup> | &nbsp;&nbsp;Washington Mutual Mortgage Pass-Through Certificates WMALT Trust<sup>(b)</sup> |
| &nbsp;&nbsp;CMO Series 2006-AR2 Class A1A | &nbsp;&nbsp;CMO Series 2006-AR2 Class A1A | &nbsp;&nbsp;CMO Series 2006-AR2 Class A1A | &nbsp;&nbsp;CMO Series 2006-AR2 Class A1A |
| &nbsp;&nbsp;1-year MTA + 0.940%<br> Floor 0.940%<br> 04/25/2046 | &nbsp;&nbsp;2.989% | &nbsp;&nbsp;&nbsp;223866 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;181637 |
| &nbsp;&nbsp;Total Residential Mortgage-Backed Securities - Non-Agency<br> (Cost $37,999,560) | &nbsp;&nbsp;Total Residential Mortgage-Backed Securities - Non-Agency<br> (Cost $37,999,560) | &nbsp;&nbsp;Total Residential Mortgage-Backed Securities - Non-Agency<br> (Cost $37,999,560) | &nbsp;&nbsp;**35186542** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Rights 0.0%** | &nbsp;&nbsp;**Rights 0.0%** | &nbsp;&nbsp;**Rights 0.0%** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Shares** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**Health Care 0.0%** | &nbsp;&nbsp;**Health Care 0.0%** | &nbsp;&nbsp;**Health Care 0.0%** |
| &nbsp;&nbsp;**Pharmaceuticals 0.0%** | &nbsp;&nbsp;**Pharmaceuticals 0.0%** | &nbsp;&nbsp;**Pharmaceuticals 0.0%** |
| &nbsp;&nbsp;Zogenix, Inc. CVR<sup>(e),(f),(g)</sup> | &nbsp;&nbsp;29926 | &nbsp;&nbsp;21825 |
| &nbsp;&nbsp;**Total Health Care** | &nbsp;&nbsp;**Total Health Care** | &nbsp;&nbsp;**21825** |
| &nbsp;&nbsp;Total Rights<br> (Cost $—) | &nbsp;&nbsp;Total Rights<br> (Cost $—) | &nbsp;&nbsp;**21825** |

---

Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022<br> 27

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Senior Loans 0.2%** | &nbsp;&nbsp;**Senior Loans 0.2%** | &nbsp;&nbsp;**Senior Loans 0.2%** | &nbsp;&nbsp;**Senior Loans 0.2%** |
| &nbsp;&nbsp;**Borrower** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**Airlines 0.1%** | &nbsp;&nbsp;**Airlines 0.1%** | &nbsp;&nbsp;**Airlines 0.1%** | &nbsp;&nbsp;**Airlines 0.1%** |
| &nbsp;&nbsp;AAdvantage Loyalty IP Ltd./American Airlines, Inc.<sup>(b),(p)</sup> | &nbsp;&nbsp;AAdvantage Loyalty IP Ltd./American Airlines, Inc.<sup>(b),(p)</sup> | &nbsp;&nbsp;AAdvantage Loyalty IP Ltd./American Airlines, Inc.<sup>(b),(p)</sup> | &nbsp;&nbsp;AAdvantage Loyalty IP Ltd./American Airlines, Inc.<sup>(b),(p)</sup> |
| &nbsp;&nbsp;Term Loan | &nbsp;&nbsp;Term Loan | &nbsp;&nbsp;Term Loan | &nbsp;&nbsp;Term Loan |
| &nbsp;&nbsp;1-month USD LIBOR + 4.750%<br> Floor 0.750%<br> 04/20/2028 | &nbsp;&nbsp;8.993% | 105000 | &nbsp;&nbsp;104269 |
| &nbsp;&nbsp;Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.<sup>(b),(p)</sup> | &nbsp;&nbsp;Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.<sup>(b),(p)</sup> | &nbsp;&nbsp;Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.<sup>(b),(p)</sup> | &nbsp;&nbsp;Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.<sup>(b),(p)</sup> |
| &nbsp;&nbsp;Term Loan | &nbsp;&nbsp;Term Loan | &nbsp;&nbsp;Term Loan | &nbsp;&nbsp;Term Loan |
| &nbsp;&nbsp;1-month USD LIBOR + 5.250%<br> Floor 1.000%<br> 06/21/2027 | &nbsp;&nbsp;8.777% | 237500 | &nbsp;&nbsp;244031 |
| &nbsp;&nbsp;United AirLines, Inc.<sup>(b),(p)</sup> | &nbsp;&nbsp;United AirLines, Inc.<sup>(b),(p)</sup> | &nbsp;&nbsp;United AirLines, Inc.<sup>(b),(p)</sup> | &nbsp;&nbsp;United AirLines, Inc.<sup>(b),(p)</sup> |
| &nbsp;&nbsp;Tranche B Term Loan | &nbsp;&nbsp;Tranche B Term Loan | &nbsp;&nbsp;Tranche B Term Loan | &nbsp;&nbsp;Tranche B Term Loan |
| &nbsp;&nbsp;3-month USD LIBOR + 3.750%<br> Floor 0.750%<br> 04/21/2028 | &nbsp;&nbsp;8.108% | 359321 | &nbsp;&nbsp;354316 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**702616** |
| &nbsp;&nbsp;**Consumer Cyclical Services 0.0%** | &nbsp;&nbsp;**Consumer Cyclical Services 0.0%** | &nbsp;&nbsp;**Consumer Cyclical Services 0.0%** | &nbsp;&nbsp;**Consumer Cyclical Services 0.0%** |
| &nbsp;&nbsp;APX Group, Inc.<sup>(b),(p)</sup> | &nbsp;&nbsp;APX Group, Inc.<sup>(b),(p)</sup> | &nbsp;&nbsp;APX Group, Inc.<sup>(b),(p)</sup> | &nbsp;&nbsp;APX Group, Inc.<sup>(b),(p)</sup> |
| &nbsp;&nbsp;Term Loan | &nbsp;&nbsp;Term Loan | &nbsp;&nbsp;Term Loan | &nbsp;&nbsp;Term Loan |
| &nbsp;&nbsp;1-month USD LIBOR + 3.250%<br> Floor 0.500%<br> 07/10/2028 | &nbsp;&nbsp;6.736% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;86 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;82 |
| &nbsp;&nbsp;**Gaming 0.0%** | &nbsp;&nbsp;**Gaming 0.0%** | &nbsp;&nbsp;**Gaming 0.0%** | &nbsp;&nbsp;**Gaming 0.0%** |
| &nbsp;&nbsp;Bally's Corp.<sup>(b),(p)</sup> | &nbsp;&nbsp;Bally's Corp.<sup>(b),(p)</sup> | &nbsp;&nbsp;Bally's Corp.<sup>(b),(p)</sup> | &nbsp;&nbsp;Bally's Corp.<sup>(b),(p)</sup> |
| &nbsp;&nbsp;Tranche B Term Loan | &nbsp;&nbsp;Tranche B Term Loan | &nbsp;&nbsp;Tranche B Term Loan | &nbsp;&nbsp;Tranche B Term Loan |
| &nbsp;&nbsp;1-month USD LIBOR + 3.250%<br> Floor 0.500%<br> 10/02/2028 | &nbsp;&nbsp;7.129% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;90 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;86 |
| &nbsp;&nbsp;**Media and Entertainment 0.0%** | &nbsp;&nbsp;**Media and Entertainment 0.0%** | &nbsp;&nbsp;**Media and Entertainment 0.0%** | &nbsp;&nbsp;**Media and Entertainment 0.0%** |
| &nbsp;&nbsp;AP Core Holdings II LLC<sup>(b),(p)</sup> | &nbsp;&nbsp;AP Core Holdings II LLC<sup>(b),(p)</sup> | &nbsp;&nbsp;AP Core Holdings II LLC<sup>(b),(p)</sup> | &nbsp;&nbsp;AP Core Holdings II LLC<sup>(b),(p)</sup> |
| &nbsp;&nbsp;Tranche B2 1st Lien Term Loan | &nbsp;&nbsp;Tranche B2 1st Lien Term Loan | &nbsp;&nbsp;Tranche B2 1st Lien Term Loan | &nbsp;&nbsp;Tranche B2 1st Lien Term Loan |
| &nbsp;&nbsp;1-month USD LIBOR + 5.500%<br> Floor 0.750%<br> 09/01/2027 | &nbsp;&nbsp;9.571% | &nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;44208 |
| &nbsp;&nbsp;**Pharmaceuticals 0.0%** | &nbsp;&nbsp;**Pharmaceuticals 0.0%** | &nbsp;&nbsp;**Pharmaceuticals 0.0%** | &nbsp;&nbsp;**Pharmaceuticals 0.0%** |
| &nbsp;&nbsp;Jazz Pharmaceuticals PLC<sup>(b),(p)</sup> | &nbsp;&nbsp;Jazz Pharmaceuticals PLC<sup>(b),(p)</sup> | &nbsp;&nbsp;Jazz Pharmaceuticals PLC<sup>(b),(p)</sup> | &nbsp;&nbsp;Jazz Pharmaceuticals PLC<sup>(b),(p)</sup> |
| &nbsp;&nbsp;Term Loan | &nbsp;&nbsp;Term Loan | &nbsp;&nbsp;Term Loan | &nbsp;&nbsp;Term Loan |
| &nbsp;&nbsp;1-month USD LIBOR + 3.500%<br> Floor 0.500%<br> 05/05/2028 | &nbsp;&nbsp;7.571% | &nbsp;&nbsp;&nbsp;&nbsp;7019 | &nbsp;&nbsp;&nbsp;&nbsp;6958 |
| &nbsp;&nbsp;**Restaurants 0.1%** | &nbsp;&nbsp;**Restaurants 0.1%** | &nbsp;&nbsp;**Restaurants 0.1%** | &nbsp;&nbsp;**Restaurants 0.1%** |
| &nbsp;&nbsp;1011778 BC ULC<sup>(b),(p)</sup> | &nbsp;&nbsp;1011778 BC ULC<sup>(b),(p)</sup> | &nbsp;&nbsp;1011778 BC ULC<sup>(b),(p)</sup> | &nbsp;&nbsp;1011778 BC ULC<sup>(b),(p)</sup> |
| &nbsp;&nbsp;Tranche B4 Term Loan | &nbsp;&nbsp;Tranche B4 Term Loan | &nbsp;&nbsp;Tranche B4 Term Loan | &nbsp;&nbsp;Tranche B4 Term Loan |
| &nbsp;&nbsp;3-month USD LIBOR + 1.750%<br> 11/19/2026 | &nbsp;&nbsp;5.900% | &nbsp;&nbsp;93086 | &nbsp;&nbsp;&nbsp;&nbsp;91223 |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Senior Loans (continued)** | &nbsp;&nbsp;**Senior Loans (continued)** | &nbsp;&nbsp;**Senior Loans (continued)** | &nbsp;&nbsp;**Senior Loans (continued)** |
| &nbsp;&nbsp;**Borrower** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;KFC Holding Co./Yum! Brands<sup>(b),(p)</sup> | &nbsp;&nbsp;KFC Holding Co./Yum! Brands<sup>(b),(p)</sup> | &nbsp;&nbsp;KFC Holding Co./Yum! Brands<sup>(b),(p)</sup> | &nbsp;&nbsp;KFC Holding Co./Yum! Brands<sup>(b),(p)</sup> |
| &nbsp;&nbsp;Tranche B Term Loan | &nbsp;&nbsp;Tranche B Term Loan | &nbsp;&nbsp;Tranche B Term Loan | &nbsp;&nbsp;Tranche B Term Loan |
| &nbsp;&nbsp;1-month USD LIBOR + 1.750%<br> 03/15/2028 | &nbsp;&nbsp;5.661% | &nbsp;&nbsp;&nbsp;294110 | &nbsp;&nbsp;&nbsp;&nbsp;289593 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;&nbsp;&nbsp;**380816** |
| &nbsp;&nbsp;**Retailers 0.0%** | &nbsp;&nbsp;**Retailers 0.0%** | &nbsp;&nbsp;**Retailers 0.0%** | &nbsp;&nbsp;**Retailers 0.0%** |
| &nbsp;&nbsp;Restoration Hardware, Inc.<sup>(b),(p)</sup> | &nbsp;&nbsp;Restoration Hardware, Inc.<sup>(b),(p)</sup> | &nbsp;&nbsp;Restoration Hardware, Inc.<sup>(b),(p)</sup> | &nbsp;&nbsp;Restoration Hardware, Inc.<sup>(b),(p)</sup> |
| &nbsp;&nbsp;Term Loan | &nbsp;&nbsp;Term Loan | &nbsp;&nbsp;Term Loan | &nbsp;&nbsp;Term Loan |
| &nbsp;&nbsp;1-month USD LIBOR + 2.500%<br> Floor 0.500%<br> 10/20/2028 | &nbsp;&nbsp;6.571% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;219 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;206 |
| &nbsp;&nbsp;**Wirelines 0.0%** | &nbsp;&nbsp;**Wirelines 0.0%** | &nbsp;&nbsp;**Wirelines 0.0%** | &nbsp;&nbsp;**Wirelines 0.0%** |
| &nbsp;&nbsp;Patagonia Holdco LLC<sup>(b),(p)</sup> | &nbsp;&nbsp;Patagonia Holdco LLC<sup>(b),(p)</sup> | &nbsp;&nbsp;Patagonia Holdco LLC<sup>(b),(p)</sup> | &nbsp;&nbsp;Patagonia Holdco LLC<sup>(b),(p)</sup> |
| &nbsp;&nbsp;Term Loan | &nbsp;&nbsp;Term Loan | &nbsp;&nbsp;Term Loan | &nbsp;&nbsp;Term Loan |
| &nbsp;&nbsp;1-month Term SOFR + 5.750%<br> Floor 0.500%<br> 08/01/2029 | &nbsp;&nbsp;9.960% | &nbsp;&nbsp;&nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39875 |
| &nbsp;&nbsp;Total Senior Loans<br> (Cost $1,192,766) | &nbsp;&nbsp;Total Senior Loans<br> (Cost $1,192,766) | &nbsp;&nbsp;Total Senior Loans<br> (Cost $1,192,766) | &nbsp;&nbsp;**1174847** |
| &nbsp;&nbsp;**Treasury Bills 0.4%** | &nbsp;&nbsp;**Treasury Bills 0.4%** | &nbsp;&nbsp;**Treasury Bills 0.4%** | &nbsp;&nbsp;**Treasury Bills 0.4%** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Yield** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**United States 0.4%** | &nbsp;&nbsp;**United States 0.4%** | &nbsp;&nbsp;**United States 0.4%** | &nbsp;&nbsp;**United States 0.4%** |
| &nbsp;&nbsp;U.S. Treasury Bills | &nbsp;&nbsp;U.S. Treasury Bills | &nbsp;&nbsp;U.S. Treasury Bills | &nbsp;&nbsp;U.S. Treasury Bills |
| &nbsp;&nbsp;04/20/2023 | &nbsp;&nbsp;4.460% | 1355000 | &nbsp;&nbsp;1332048 |
| &nbsp;&nbsp;07/13/2023 | &nbsp;&nbsp;4.550% | &nbsp;&nbsp;&nbsp;500000 | &nbsp;&nbsp;&nbsp;&nbsp;486361 |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**1818409** |
| &nbsp;&nbsp;Total Treasury Bills<br> (Cost $1,822,421) | &nbsp;&nbsp;Total Treasury Bills<br> (Cost $1,822,421) | &nbsp;&nbsp;Total Treasury Bills<br> (Cost $1,822,421) | &nbsp;&nbsp;**1818409** |
| &nbsp;&nbsp;**U.S. Government & Agency Obligations 0.1%** | &nbsp;&nbsp;**U.S. Government & Agency Obligations 0.1%** | &nbsp;&nbsp;**U.S. Government & Agency Obligations 0.1%** | &nbsp;&nbsp;**U.S. Government & Agency Obligations 0.1%** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Federal Home Loan Banks | &nbsp;&nbsp;Federal Home Loan Banks | &nbsp;&nbsp;Federal Home Loan Banks | &nbsp;&nbsp;Federal Home Loan Banks |
| &nbsp;&nbsp;09/04/2024 | &nbsp;&nbsp;1.610% | &nbsp;&nbsp;&nbsp;400000 | &nbsp;&nbsp;&nbsp;&nbsp;378731 |
| &nbsp;&nbsp;Total U.S. Government & Agency Obligations<br> (Cost $400,000) | &nbsp;&nbsp;Total U.S. Government & Agency Obligations<br> (Cost $400,000) | &nbsp;&nbsp;Total U.S. Government & Agency Obligations<br> (Cost $400,000) | &nbsp;&nbsp;&nbsp;&nbsp;**378731** |
| &nbsp;&nbsp;**U.S. Treasury Obligations 1.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations 1.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations 1.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations 1.7%** |
| &nbsp;&nbsp;U.S. Treasury | &nbsp;&nbsp;U.S. Treasury | &nbsp;&nbsp;U.S. Treasury | &nbsp;&nbsp;U.S. Treasury |
| &nbsp;&nbsp;02/28/2026 | &nbsp;&nbsp;0.500% | &nbsp;&nbsp;&nbsp;230000 | &nbsp;&nbsp;&nbsp;&nbsp;205347 |
| &nbsp;&nbsp;01/31/2027 | &nbsp;&nbsp;1.500% | 1050000 | &nbsp;&nbsp;&nbsp;&nbsp;952957 |
| &nbsp;&nbsp;05/31/2027 | &nbsp;&nbsp;2.625% | &nbsp;&nbsp;&nbsp;230000 | &nbsp;&nbsp;&nbsp;&nbsp;218356 |
| &nbsp;&nbsp;03/31/2029 | &nbsp;&nbsp;2.375% | &nbsp;&nbsp;&nbsp;345000 | &nbsp;&nbsp;&nbsp;&nbsp;317562 |
| &nbsp;&nbsp;02/15/2032 | &nbsp;&nbsp;1.875% | &nbsp;&nbsp;&nbsp;661000 | &nbsp;&nbsp;&nbsp;&nbsp;569596 |
| &nbsp;&nbsp;05/15/2032 | &nbsp;&nbsp;2.875% | 2620000 | &nbsp;&nbsp;2457069 |
| &nbsp;&nbsp;08/15/2032 | &nbsp;&nbsp;2.750% | 1065000 | &nbsp;&nbsp;&nbsp;&nbsp;986955 |

---

28 Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations (continued)** | &nbsp;&nbsp;**U.S. Treasury Obligations (continued)** | &nbsp;&nbsp;**U.S. Treasury Obligations (continued)** | &nbsp;&nbsp;**U.S. Treasury Obligations (continued)** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Coupon<br> Rate** | **Principal<br> Amount ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;02/15/2042 | &nbsp;&nbsp;2.375% | 1165000 | &nbsp;&nbsp;&nbsp;&nbsp;906880 |
| &nbsp;&nbsp;02/15/2049 | &nbsp;&nbsp;3.000% | 1410000 | &nbsp;&nbsp;1196077 |
| &nbsp;&nbsp;02/15/2050 | &nbsp;&nbsp;2.000% | &nbsp;&nbsp;&nbsp;890000 | &nbsp;&nbsp;&nbsp;&nbsp;607842 |
| &nbsp;&nbsp;08/15/2052 | &nbsp;&nbsp;3.000% | &nbsp;&nbsp;&nbsp;280000 | &nbsp;&nbsp;&nbsp;&nbsp;239925 |
| &nbsp;&nbsp;Total U.S. Treasury Obligations<br> (Cost $9,280,939) | &nbsp;&nbsp;Total U.S. Treasury Obligations<br> (Cost $9,280,939) | &nbsp;&nbsp;Total U.S. Treasury Obligations<br> (Cost $9,280,939) | &nbsp;&nbsp;**8658566** |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp;**Options Purchased Calls 0.0%** | &nbsp;&nbsp;**Options Purchased Calls 0.0%** |
|  | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;(Cost $130,547) | &nbsp;&nbsp;**82039** |
| &nbsp;&nbsp;**Options Purchased Puts 0.0%** | &nbsp;&nbsp;**Options Purchased Puts 0.0%** |
| &nbsp;&nbsp;(Cost $90,917) | &nbsp;&nbsp;&nbsp;&nbsp;**7928** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds 38.6%** | &nbsp;&nbsp;**Money Market Funds 38.6%** | &nbsp;&nbsp;**Money Market Funds 38.6%** |
|  | &nbsp;&nbsp;**Shares** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Columbia Short-Term Cash Fund, 3.989%<sup>(q),(r)</sup> | &nbsp;&nbsp;200518126 | &nbsp;&nbsp;200437919 |
| &nbsp;&nbsp;Total Money Market Funds<br> (Cost $200,424,909) | &nbsp;&nbsp;Total Money Market Funds<br> (Cost $200,424,909) | &nbsp;&nbsp;**200437919** |
| &nbsp;&nbsp;Total Investments in Securities<br> (Cost $550,416,408) | &nbsp;&nbsp;Total Investments in Securities<br> (Cost $550,416,408) | &nbsp;&nbsp;**525666937** |

---

---

| | | |
|:---|:---|:---|
| **Investments in Securities Sold Short** | **Investments in Securities Sold Short** | **Investments in Securities Sold Short** |
| &nbsp;&nbsp;**Common Stocks (0.5)%** | &nbsp;&nbsp;**Common Stocks (0.5)%** | &nbsp;&nbsp;**Common Stocks (0.5)%** |
| &nbsp;&nbsp;**Issuer** | &nbsp;&nbsp;**Shares** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;**Financials (0.0)%** | &nbsp;&nbsp;**Financials (0.0)%** | &nbsp;&nbsp;**Financials (0.0)%** |
| &nbsp;&nbsp;**Capital Markets (0.0)%** | &nbsp;&nbsp;**Capital Markets (0.0)%** | &nbsp;&nbsp;**Capital Markets (0.0)%** |
| &nbsp;&nbsp;IntercontinentalExchange Group, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;(879) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(95204) |
| &nbsp;&nbsp;**Total Financials** | &nbsp;&nbsp;**Total Financials** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(95204)** |
| &nbsp;&nbsp;**Information Technology (0.5)%** | &nbsp;&nbsp;**Information Technology (0.5)%** | &nbsp;&nbsp;**Information Technology (0.5)%** |
| &nbsp;&nbsp;**Semiconductors & Semiconductor Equipment (0.5)%** | &nbsp;&nbsp;**Semiconductors & Semiconductor Equipment (0.5)%** | &nbsp;&nbsp;**Semiconductors & Semiconductor Equipment (0.5)%** |
| &nbsp;&nbsp;Broadcom, Inc. | &nbsp;&nbsp;(3464) | &nbsp;&nbsp;&nbsp;&nbsp;(1908768) |
| &nbsp;&nbsp;MaxLinear, Inc.<sup>(f)</sup> | &nbsp;&nbsp;(8446) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(309124) |
| &nbsp;&nbsp;Total |  | &nbsp;&nbsp;&nbsp;&nbsp;(2217892) |
| &nbsp;&nbsp;**Total Information Technology** | &nbsp;&nbsp;**Total Information Technology** | &nbsp;&nbsp;&nbsp;&nbsp;**(2217892)** |
| &nbsp;&nbsp;Total Common Stocks<br> (Proceeds $2,180,763) | &nbsp;&nbsp;Total Common Stocks<br> (Proceeds $2,180,763) | &nbsp;&nbsp;&nbsp;&nbsp;**(2313096)** |
| &nbsp;&nbsp;Total Investments in Securities Sold Short<br> (Proceeds $2,180,763) | &nbsp;&nbsp;Total Investments in Securities Sold Short<br> (Proceeds $2,180,763) | &nbsp;&nbsp;&nbsp;&nbsp;**(2313096)** |
| &nbsp;&nbsp;**Total Investments in Securities, Net of Securities Sold Short** | &nbsp;&nbsp;**Total Investments in Securities, Net of Securities Sold Short** | &nbsp;&nbsp;**523353841** |
| &nbsp;&nbsp;**Other Assets & Liabilities, Net** |  | &nbsp;&nbsp;&nbsp;&nbsp;**(4221954)** |
| &nbsp;&nbsp;**Net Assets** | &nbsp;&nbsp;**Net Assets** | &nbsp;&nbsp;**519131887** |

---

At November 30, 2022, securities and/or cash totaling $23,000,518 were pledged as collateral.

#### Investments in derivatives<br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Forward foreign currency exchange contracts** | &nbsp;&nbsp;**Forward foreign currency exchange contracts** | &nbsp;&nbsp;**Forward foreign currency exchange contracts** | &nbsp;&nbsp;**Forward foreign currency exchange contracts** | &nbsp;&nbsp;**Forward foreign currency exchange contracts** | &nbsp;&nbsp;**Forward foreign currency exchange contracts** |
| &nbsp;&nbsp;**Currency to<br> be sold** | &nbsp;&nbsp;&nbsp;&nbsp;**Currency to<br> be purchased** | &nbsp;&nbsp;&nbsp;&nbsp;**Counterparty** | **Settlement<br> date** | &nbsp;&nbsp;&nbsp;&nbsp;**Unrealized<br> appreciation ($)** | &nbsp;&nbsp;&nbsp;&nbsp;**Unrealized<br> depreciation ($)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,934,717 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,987,459 USD | &nbsp;&nbsp;&nbsp;&nbsp;ANZ Securities | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(8670) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;211,785 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;325,030 AUD | &nbsp;&nbsp;&nbsp;&nbsp;ANZ Securities | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9293 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250,466 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37,202,389 JPY | &nbsp;&nbsp;&nbsp;&nbsp;ANZ Securities | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20712 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;369,076 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;326,703 GBP | &nbsp;&nbsp;&nbsp;&nbsp;Barclays | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8826 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;366,667 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;368,331 USD | &nbsp;&nbsp;&nbsp;&nbsp;Barclays | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(14752) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;536,561 SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;378,559 USD | &nbsp;&nbsp;&nbsp;&nbsp;Barclays | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(15878) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;646,085 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;875,580 CAD | &nbsp;&nbsp;&nbsp;&nbsp;Barclays | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5342 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;761,330 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;764,441 EUR | &nbsp;&nbsp;&nbsp;&nbsp;Barclays | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37339 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;387,682 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;533,541 SGD | &nbsp;&nbsp;&nbsp;&nbsp;Barclays | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4534 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;146,401 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;93,494 USD | &nbsp;&nbsp;&nbsp;&nbsp;BNY Capital Markets | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(6085) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,239,762 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,646,286 USD | &nbsp;&nbsp;&nbsp;&nbsp;CIBC | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(20086) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;329,154 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;369,076 EUR | &nbsp;&nbsp;&nbsp;&nbsp;CIBC | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(11785) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;90,206,231 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;634,058 USD | &nbsp;&nbsp;&nbsp;&nbsp;CIBC | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(23478) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,100,072 SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;778,391 USD | &nbsp;&nbsp;&nbsp;&nbsp;CIBC | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(30292) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,178,361 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,344,077 CAD | &nbsp;&nbsp;&nbsp;&nbsp;CIBC | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53611 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;917,433 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,223,330 CAD | &nbsp;&nbsp;&nbsp;&nbsp;CIBC | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(7282) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64,704 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,268,354 MXN | &nbsp;&nbsp;&nbsp;&nbsp;CIBC | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;478 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;264,759 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;365,789 SGD | &nbsp;&nbsp;&nbsp;&nbsp;CIBC | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;47,815 USD | &nbsp;&nbsp;&nbsp;&nbsp;Citi | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3198) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,095,175 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,538,138 USD | &nbsp;&nbsp;&nbsp;&nbsp;Citi | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(20662) |

---

Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022<br> 29

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** |
| &nbsp;&nbsp;**Currency to<br> be sold** | &nbsp;&nbsp;&nbsp;&nbsp;**Currency to<br> be purchased** | &nbsp;&nbsp;&nbsp;&nbsp;**Counterparty** | **Settlement<br> date** | &nbsp;&nbsp;&nbsp;&nbsp;**Unrealized<br> appreciation ($)** | &nbsp;&nbsp;&nbsp;&nbsp;**Unrealized<br> depreciation ($)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;551,112 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;544,829 USD | &nbsp;&nbsp;&nbsp;&nbsp;Citi | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(30958) |
| &nbsp;&nbsp;&nbsp;&nbsp;126,836,827 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;872,142 USD | &nbsp;&nbsp;&nbsp;&nbsp;Citi | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(52404) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;78,196 NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72,500 AUD | &nbsp;&nbsp;&nbsp;&nbsp;Citi | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;781,433 NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;476,415 USD | &nbsp;&nbsp;&nbsp;&nbsp;Citi | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(16349) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;422,355 SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;295,337 USD | &nbsp;&nbsp;&nbsp;&nbsp;Citi | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(15144) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;727,766 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;997,550 CAD | &nbsp;&nbsp;&nbsp;&nbsp;Citi | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14406 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;405,397 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;361,875 GBP | &nbsp;&nbsp;&nbsp;&nbsp;Citi | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31494 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;193,841 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;267,279 SGD | &nbsp;&nbsp;&nbsp;&nbsp;Citi | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2641 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;187,920,165 CLP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/05/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(10923) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;180,875,525 CLP | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/05/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3016 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;181,190,305 CLP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/14/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3065) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;177,735,015 CLP | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/14/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(807) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6,916,218 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;559,494,291 INR | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/15/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(45472) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,300,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;5,727,813,963 KRW | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/15/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64394 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;529,747 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16,280,810 TWD | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/15/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;275 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27,562,550 TWD | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/15/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2701) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;89,258,297 CLP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/16/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) |
| &nbsp;&nbsp;&nbsp;&nbsp;386,292,916 INR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,748,106 USD | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/16/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;145,315,530 INR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,784,344 USD | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/16/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(179) |
| &nbsp;&nbsp;3,822,820,780 KRW | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,900,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/16/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(13953) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;239,921 TWD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7,815 USD | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/16/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;673,644 TWD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21,932 USD | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/16/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(9) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;90,069,703 CLP | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/16/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;910 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,316,232 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;106,941,951 INR | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/16/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2949) |
| &nbsp;&nbsp;&nbsp;&nbsp;177,855,307 CLP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/19/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;838 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94,399,643 CLP | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/19/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5708 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;89,239,847 CLP | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/19/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(70) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,500,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;121,538,572 INR | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/19/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(7445) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;794,577,730 KRW | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/19/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6353 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6,133,275 TWD | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/19/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94,434,933 CLP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/21/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(5713) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;92,683,817 CLP | &nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank | 12/21/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3753 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,196,600 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,651,530 USD | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs | 12/15/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18131 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;382,100 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;280,235 USD | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs | 12/15/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3896) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9,162,300 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9,196,207 USD | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs | 12/15/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(349794) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,774,500 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5,489,524 USD | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs | 12/15/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(268087) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;479,200 SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45,940 USD | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs | 12/15/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27,381,400 SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,563,500 USD | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs | 12/15/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(46652) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;77,967 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;103,500 CAD | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs | 12/15/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1004) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,574,292 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,508,100 EUR | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs | 12/15/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;122599 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;802,010 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;718,400 GBP | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs | 12/15/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64315 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;163,173 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,791,900 SEK | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs | 12/15/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7641 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,728,161 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17,895,700 SEK | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs | 12/15/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(22240) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75,000 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7,860,135 JPY | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1495 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,001,187 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;732,997 USD | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(11882) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;369,087 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;327,447 GBP | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9713 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150,000 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24,184,470 JPY | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4808) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7,781,730 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75,000 CAD | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(923) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;673,490 SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;478,165 USD | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(16930) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;558,244 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;837,789 AUD | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11601 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,550,822 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,121,438 CAD | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27518 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250,146 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35,725,801 JPY | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10269 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;384,884 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;545,108 SGD | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15834 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;95,241 USD | &nbsp;&nbsp;&nbsp;&nbsp;HSBC | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(6786) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;484,049 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;360,625 USD | &nbsp;&nbsp;&nbsp;&nbsp;HSBC | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;495 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,699,145 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,250,788 USD | &nbsp;&nbsp;&nbsp;&nbsp;HSBC | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(13367) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;743,461 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;657,445 GBP | &nbsp;&nbsp;&nbsp;&nbsp;HSBC | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16982 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,142,003 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,175,961 USD | &nbsp;&nbsp;&nbsp;&nbsp;HSBC | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(106722) |

---

30 Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** |
| &nbsp;&nbsp;**Currency to<br> be sold** | &nbsp;&nbsp;&nbsp;&nbsp;**Currency to<br> be purchased** | &nbsp;&nbsp;&nbsp;&nbsp;**Counterparty** | **Settlement<br> date** | &nbsp;&nbsp;&nbsp;&nbsp;**Unrealized<br> appreciation ($)** | &nbsp;&nbsp;&nbsp;&nbsp;**Unrealized<br> depreciation ($)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;361,875 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;404,680 USD | &nbsp;&nbsp;&nbsp;&nbsp;HSBC | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(32211) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,361,267 MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;66,402 USD | &nbsp;&nbsp;&nbsp;&nbsp;HSBC | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3554) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,032,318 NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;198,270 EUR | &nbsp;&nbsp;&nbsp;&nbsp;HSBC | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;411 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,064,136 SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,450,354 USD | &nbsp;&nbsp;&nbsp;&nbsp;HSBC | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(67030) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;862,417 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,180,187 CAD | &nbsp;&nbsp;&nbsp;&nbsp;HSBC | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15636 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;360,125 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;360,625 EUR | &nbsp;&nbsp;&nbsp;&nbsp;HSBC | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16647 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;546,239 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;522,517 EUR | &nbsp;&nbsp;&nbsp;&nbsp;HSBC | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(327) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250,466 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;36,483,377 JPY | &nbsp;&nbsp;&nbsp;&nbsp;HSBC | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15471 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;739,136,100 INR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8,900,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/05/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(176380) |
| &nbsp;&nbsp;6,092,558,200 KRW | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,300,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/05/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(324842) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8,900,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;733,847,657 INR | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/05/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;111439 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,300,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;5,901,761,999 KRW | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/05/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;180010 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15,200,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13,676,709 CAD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(150757) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;577,441 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;375,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1641) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,315,233 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750,000 GBP | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11203 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,000,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94,372,260 JPY | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4934 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,600,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;428,213,030 JPY | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(20048) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,400,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,632,090 NZD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29406 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,700,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,503,350 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(8509) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7,199,608 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8,000,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;78349 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;862,466 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;625,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9403 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,000,000 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;209,447,516 JPY | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30702 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,800,000 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,868,208 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,224,444 CHF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,250,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6476 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500,000 CHF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;74,035,642 JPY | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7742 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,000,000 CHF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,200,099 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27805 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21,814,886 CNH | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,100,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3080 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,308,726 CNH | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(11682) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,160,533 AUD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,375,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,667,348 CAD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(43317) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6,250,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6,114,950 CHF | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(40068) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;613,734 GBP | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11132 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40,878,510 HUF | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(273) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;87,056,094 JPY | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6207 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7,767,966 NOK | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8177 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;942,501 PLN | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1613 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,250,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13,576,817 SEK | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(8003) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,000,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,124,998 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2018 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,750,000 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6,561,202 AUD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(66174) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250,000 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;285,005 CHF | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;625,000 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;694,382 CHF | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(19147) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,077,961 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,500,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(66860) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;375,000 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62,060,085 JPY | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2361) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,000,000 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,366,920 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(43985) |
| &nbsp;&nbsp;&nbsp;&nbsp;122,599,161 HUF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;910 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;117,523,518 HUF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1504 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6,846,578 ILS | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,000,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(7128) |
| &nbsp;&nbsp;&nbsp;&nbsp;429,078,294 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,600,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13778 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;507,395,556 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5,400,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(10599) |
| &nbsp;&nbsp;&nbsp;&nbsp;502,598,400 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,800,000 CAD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(73136) |
| &nbsp;&nbsp;&nbsp;&nbsp;184,988,900 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,250,000 CHF | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(18628) |
| &nbsp;&nbsp;&nbsp;&nbsp;376,816,128 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,600,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(23802) |
| &nbsp;&nbsp;&nbsp;&nbsp;287,861,770 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,750,000 GBP | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23715 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;83,578,850 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500,000 GBP | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2881) |
| &nbsp;&nbsp;&nbsp;&nbsp;513,193,200 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6,000,000 NZD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62584 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;350,000,000 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,517,263 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(18814) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16,000,000 MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;825,539 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3133) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40,140,600 NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,875,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(42871) |

---

Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022<br> 31

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** |
| &nbsp;&nbsp;**Currency to<br> be sold** | &nbsp;&nbsp;&nbsp;&nbsp;**Currency to<br> be purchased** | &nbsp;&nbsp;&nbsp;&nbsp;**Counterparty** | **Settlement<br> date** | &nbsp;&nbsp;&nbsp;&nbsp;**Unrealized<br> appreciation ($)** | &nbsp;&nbsp;&nbsp;&nbsp;**Unrealized<br> depreciation ($)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6,000,000 NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6,296,014 SEK | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(9649) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29,825,530 NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,000,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(29111) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14,951,892 NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13,600,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(189776) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,400,000 NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;207,417,484 JPY | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(9526) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,700,000 NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,283,381 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(48326) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,830,173 PLN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(5434) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11,298,617 PLN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,500,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(15208) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;68,945,816 SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6,375,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69006 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42,996,113 SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41,000,000 NOK | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;68473 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32,171,133 SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,100,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35589 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,218,713 SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;400,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1847) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8,783,374 SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6,400,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(54911) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65,912,270 TRY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,300,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(229320) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;474,240 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;976 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;532,382 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500,000 CHF | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3666) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,600,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11,464,999 CNH | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27613 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;651,265 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;625,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(644) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;445,202 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;375,000 GBP | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6842 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,706,988 ILS | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;417 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;358,996 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50,000,000 JPY | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3301 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5,064,382 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;98,500,000 MXN | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37131 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,800,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27,861,989 NOK | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29692 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;432,341 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700,000 NZD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8793 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;400,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,812,498 PLN | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3484 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6,258,464 SEK | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3860) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,400,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,921,328 SGD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11986 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,300,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62,737,983 TRY | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8,631,882 ZAR | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(580) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46,496,640 ZAR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,700,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/06/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9814 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;734,418,477 INR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8,900,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(118739) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8,900,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;725,197,404 INR | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5503 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;5,901,153,590 KRW | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,300,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/14/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(194779) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,300,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;5,677,407,779 KRW | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/14/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24357 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;563,739,823 INR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6,916,218 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/15/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(6664) |
| &nbsp;&nbsp;5,677,462,000 KRW | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,300,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/15/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(26027) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44,295,480 TWD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,429,747 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/15/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(12292) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5,216,218 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;427,358,705 INR | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/16/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31890 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,900,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;3,886,496,162 KRW | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/16/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62489 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29,747 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;922,645 TWD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/16/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;304 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;161,716,143 INR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,983,782 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/19/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2174) |
| &nbsp;&nbsp;3,886,530,410 KRW | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,900,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/19/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(65862) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75,249,370 TWD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,429,747 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/19/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(24588) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;483,782 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39,617,606 INR | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/19/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2742 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,300,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;3,110,393,156 KRW | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/19/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;73581 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,429,747 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44,253,458 TWD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/19/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;427,620,335 INR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5,216,218 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/23/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(35272) |
| &nbsp;&nbsp;3,110,267,943 KRW | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,300,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/23/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(77053) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5,216,218 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;426,863,164 INR | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/23/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25974 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39,646,859 INR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;483,782 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/27/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3119) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;483,782 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39,568,986 INR | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/27/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2163 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;427,062,200 INR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5,216,218 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 12/30/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(28587) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39,589,574 INR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;483,782 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 01/03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2344) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,095,080 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;804,281 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(10453) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,241,900 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,227,505 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(69999) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;653,838 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;738,153 EUR | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(18174) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24,666,450 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150,000 GBP | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1295 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;113,492,829 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;782,578 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(44700) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;967,767 MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49,284 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(450) |

---

32 Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** |
| &nbsp;&nbsp;**Currency to<br> be sold** | &nbsp;&nbsp;&nbsp;&nbsp;**Currency to<br> be purchased** | &nbsp;&nbsp;&nbsp;&nbsp;**Counterparty** | **Settlement<br> date** | &nbsp;&nbsp;&nbsp;&nbsp;**Unrealized<br> appreciation ($)** | &nbsp;&nbsp;&nbsp;&nbsp;**Unrealized<br> depreciation ($)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,034,981 NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;198,270 EUR | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,321,219 NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;416,366 EUR | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4563) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,032,932 SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,427,400 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(67046) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,035,335 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,414,714 CAD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17205 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;184,933 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;248,442 CAD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(94) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;318,217 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;330,099 EUR | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26661 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;723,594 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;651,375 GBP | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62809 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;371,875 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;55,710,593 JPY | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34214 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;766,174 NOK | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2938 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;581,522 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;802,421 SGD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8352 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;68,821,896 TRY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,500,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 02/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(35355) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11,805,887 TRY | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan | 02/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6464 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,278,514 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;840,910 USD | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(28706) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;534,297 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;398,066 USD | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;552 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,125,740 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;822,576 USD | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(14969) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;365,961 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;323,877 GBP | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8669 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72,500 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,479,261 MXN | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;274 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;861,636 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;857,138 USD | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(43076) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,634,287 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,864,422 EUR | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(25170) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;765,514 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;885,285 USD | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(38918) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;290,875 MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14,808 USD | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(140) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;548,623 NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75,000 CAD | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(9) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7,274,928 NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;724,681 USD | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(15354) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;429,590 NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;256,061 USD | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(14834) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;146,031 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;225,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7009 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,218,344 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,682,962 CAD | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33771 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;837,589 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;855,526 EUR | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56242 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;545,989 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;522,517 EUR | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(77) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14,508 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13,475 GBP | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1761 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;482,080 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;71,820,812 JPY | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41440 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;373,487 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;613,906 NZD | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13636 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,534,515 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,173,687 SGD | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63402 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64,575 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;88,732 SGD | &nbsp;&nbsp;&nbsp;&nbsp;National Australia Bank | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;653 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,178,282 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;881,833 USD | &nbsp;&nbsp;&nbsp;&nbsp;RBC Capital Markets | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5197 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,284,744 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,406,654 USD | &nbsp;&nbsp;&nbsp;&nbsp;RBC Capital Markets | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(37180) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;522,517 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;549,779 USD | &nbsp;&nbsp;&nbsp;&nbsp;RBC Capital Markets | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3867 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;322,385 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;365,961 EUR | &nbsp;&nbsp;&nbsp;&nbsp;RBC Capital Markets | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(6868) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7,816,650 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75,000 CAD | &nbsp;&nbsp;&nbsp;&nbsp;RBC Capital Markets | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1178) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;54,970,748 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;371,875 USD | &nbsp;&nbsp;&nbsp;&nbsp;RBC Capital Markets | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(28821) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21,322,720 MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,040,885 USD | &nbsp;&nbsp;&nbsp;&nbsp;RBC Capital Markets | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(54903) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;937,393 NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;563,874 USD | &nbsp;&nbsp;&nbsp;&nbsp;RBC Capital Markets | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(27236) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;525,302 SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;369,969 USD | &nbsp;&nbsp;&nbsp;&nbsp;RBC Capital Markets | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(16190) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,476,551 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,023,414 CAD | &nbsp;&nbsp;&nbsp;&nbsp;RBC Capital Markets | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28859 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;532,394 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;710,910 CAD | &nbsp;&nbsp;&nbsp;&nbsp;RBC Capital Markets | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3481) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;384,884 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;547,608 SGD | &nbsp;&nbsp;&nbsp;&nbsp;RBC Capital Markets | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17672 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48,125 USD | &nbsp;&nbsp;&nbsp;&nbsp;Standard Chartered | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2889) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72,500 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7,617,212 JPY | &nbsp;&nbsp;&nbsp;&nbsp;Standard Chartered | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1584 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,493,530 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,091,250 USD | &nbsp;&nbsp;&nbsp;&nbsp;Standard Chartered | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(19929) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;366,667 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;367,948 USD | &nbsp;&nbsp;&nbsp;&nbsp;Standard Chartered | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(15136) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;651,375 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;714,663 USD | &nbsp;&nbsp;&nbsp;&nbsp;Standard Chartered | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(71740) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7,563,674 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72,500 CAD | &nbsp;&nbsp;&nbsp;&nbsp;Standard Chartered | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1194) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,091,948 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;953,333 GBP | &nbsp;&nbsp;&nbsp;&nbsp;Standard Chartered | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59008 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48,545 USD | &nbsp;&nbsp;&nbsp;&nbsp;State Street | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2468) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;426,345 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;317,559 USD | &nbsp;&nbsp;&nbsp;&nbsp;State Street | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;360 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,972,632 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,444,001 USD | &nbsp;&nbsp;&nbsp;&nbsp;State Street | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(23628) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;721,250 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;725,997 USD | &nbsp;&nbsp;&nbsp;&nbsp;State Street | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(27547) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;321,817 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;365,961 EUR | &nbsp;&nbsp;&nbsp;&nbsp;State Street | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(6182) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;36,476,944 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250,121 USD | &nbsp;&nbsp;&nbsp;&nbsp;State Street | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(15768) |

---

Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022<br> 33

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** | &nbsp;&nbsp;**Forward foreign currency exchange contracts (continued)** |
| &nbsp;&nbsp;**Currency to<br> be sold** | &nbsp;&nbsp;&nbsp;&nbsp;**Currency to<br> be purchased** | &nbsp;&nbsp;&nbsp;&nbsp;**Counterparty** | **Settlement<br> date** | &nbsp;&nbsp;&nbsp;&nbsp;**Unrealized<br> appreciation ($)** | &nbsp;&nbsp;&nbsp;&nbsp;**Unrealized<br> depreciation ($)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,488,860 MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72,500 EUR | &nbsp;&nbsp;&nbsp;&nbsp;State Street | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(767) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;528,457 SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;369,171 USD | &nbsp;&nbsp;&nbsp;&nbsp;State Street | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(19308) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46,760 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;State Street | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4254 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;875,368 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,198,075 CAD | &nbsp;&nbsp;&nbsp;&nbsp;State Street | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15994 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;622,341 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;91,307,218 JPY | &nbsp;&nbsp;&nbsp;&nbsp;State Street | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;577,176 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;816,989 SGD | &nbsp;&nbsp;&nbsp;&nbsp;State Street | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23407 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75,000 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7,782,667 JPY | &nbsp;&nbsp;&nbsp;&nbsp;UBS | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;930 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;361,489 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;263,934 USD | &nbsp;&nbsp;&nbsp;&nbsp;UBS | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(5012) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,642,911 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4,668,626 USD | &nbsp;&nbsp;&nbsp;&nbsp;UBS | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(182166) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;36,231,451 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250,121 USD | &nbsp;&nbsp;&nbsp;&nbsp;UBS | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(13979) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;776,389 NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;UBS | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3977) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,115,613 NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;651,985 USD | &nbsp;&nbsp;&nbsp;&nbsp;UBS | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(51510) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;552,328 SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;392,923 USD | &nbsp;&nbsp;&nbsp;&nbsp;UBS | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(13103) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;323,043 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;438,147 CAD | &nbsp;&nbsp;&nbsp;&nbsp;UBS | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2937 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;360,625 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;479,447 CAD | &nbsp;&nbsp;&nbsp;&nbsp;UBS | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3919) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;718,907 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;721,250 EUR | &nbsp;&nbsp;&nbsp;&nbsp;UBS | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34636 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;547,382 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;522,517 EUR | &nbsp;&nbsp;&nbsp;&nbsp;UBS | 01/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1470) |
| &nbsp;&nbsp;Total |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;2564270 | &nbsp;&nbsp;&nbsp;&nbsp;(4800556) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Long futures contracts** | &nbsp;&nbsp;**Long futures contracts** | &nbsp;&nbsp;**Long futures contracts** | &nbsp;&nbsp;**Long futures contracts** | &nbsp;&nbsp;**Long futures contracts** | &nbsp;&nbsp;**Long futures contracts** | &nbsp;&nbsp;**Long futures contracts** |
| &nbsp;&nbsp;**Description** | **Number of<br> contracts** | &nbsp;&nbsp;&nbsp;&nbsp;**Expiration<br> date** | &nbsp;&nbsp;&nbsp;&nbsp;**Trading<br> currency** | &nbsp;&nbsp;&nbsp;&nbsp;**Notional<br> amount** | &nbsp;&nbsp;&nbsp;&nbsp;**Value/Unrealized<br> appreciation ($)** | &nbsp;&nbsp;&nbsp;&nbsp;**Value/Unrealized<br> depreciation ($)** |
| &nbsp;&nbsp;3-Month Copper | 2 | &nbsp;&nbsp;&nbsp;&nbsp;02/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;411950 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12943 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;3-Month Nickel | 2 | &nbsp;&nbsp;&nbsp;&nbsp;02/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;323844 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7878 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;90-Day AUD Bank Bill | 9 | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8922339 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Amsterdam Index | 7 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1014510 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19477 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Amsterdam Index | 4 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;579720 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3475 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Brazilian Real | 10 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;190750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6063 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Brent Crude | 8 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;695760 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(62431) |
| &nbsp;&nbsp;CAC40 Index | 29 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1953585 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31722 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;CAC40 Index | 13 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;875745 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13056 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Class III Milk | 1 | &nbsp;&nbsp;&nbsp;&nbsp;01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39660 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2982) |
| &nbsp;&nbsp;Cocoa | 1 | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24980 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;58 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Cocoa | 2 | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(313) |
| &nbsp;&nbsp;Cocoa | 1 | &nbsp;&nbsp;&nbsp;&nbsp;05/2023 | &nbsp;&nbsp;&nbsp;&nbsp;GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;427 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Cocoa | 1 | &nbsp;&nbsp;&nbsp;&nbsp;07/2023 | &nbsp;&nbsp;&nbsp;&nbsp;GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;228 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Copper | 1 | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;93450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3248 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Corn | 12 | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;400200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(20199) |
| &nbsp;&nbsp;Corn | 15 | &nbsp;&nbsp;&nbsp;&nbsp;12/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;454875 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(845) |
| &nbsp;&nbsp;DAX Index | 5 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1802250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21425 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;DAX Index | 2 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;720900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3547 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;DAX Index Mini | 2 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;144180 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1247 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;DJIA Index E-mini | 6 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1037970 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;36197 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;DJIA Index E-mini | 5 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;864975 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11509 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Energy Select Sector Index E-mini | 2 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;190260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12837 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Euro STOXX 50 Index | 55 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2180750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53922 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Euro STOXX 50 Index | 29 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1149850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;47968 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Euro STOXX 50 Index | 2 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;76100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2337 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Euro STOXX Banks Index | 68 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;323170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26227 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;FCOJ-A | 2 | &nbsp;&nbsp;&nbsp;&nbsp;01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3109) |
| &nbsp;&nbsp;FTSE 100 Index | 53 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4027470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;93273 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;FTSE 100 Index | 23 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1747770 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33802 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;FTSE Taiwan Index | 2 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;104040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;418 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;FTSE/JSE Top 40 Index | 13 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;ZAR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8951280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15974 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;FTSE/JSE Top 40 Index | 8 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;ZAR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5508480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12566 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;FTSE/MIB Index | 13 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1601145 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48346 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;FTSE/MIB Index | 17 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2093805 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35929 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |

---

34 Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Long futures contracts (continued)** | &nbsp;&nbsp;**Long futures contracts (continued)** | &nbsp;&nbsp;**Long futures contracts (continued)** | &nbsp;&nbsp;**Long futures contracts (continued)** | &nbsp;&nbsp;**Long futures contracts (continued)** | &nbsp;&nbsp;**Long futures contracts (continued)** | &nbsp;&nbsp;**Long futures contracts (continued)** |
| &nbsp;&nbsp;**Description** | **Number of<br> contracts** | &nbsp;&nbsp;&nbsp;&nbsp;**Expiration<br> date** | &nbsp;&nbsp;&nbsp;&nbsp;**Trading<br> currency** | &nbsp;&nbsp;&nbsp;&nbsp;**Notional<br> amount** | &nbsp;&nbsp;&nbsp;&nbsp;**Value/Unrealized<br> appreciation ($)** | &nbsp;&nbsp;&nbsp;&nbsp;**Value/Unrealized<br> depreciation ($)** |
| &nbsp;&nbsp;FTSE/MIB Index Mini | 3 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;73899 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2817 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Gas Oil | 7 | &nbsp;&nbsp;&nbsp;&nbsp;01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;654150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(30374) |
| &nbsp;&nbsp;Gold | 1 | &nbsp;&nbsp;&nbsp;&nbsp;08/2023 | &nbsp;&nbsp;&nbsp;&nbsp;JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7802000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1212) |
| &nbsp;&nbsp;Gold | 4 | &nbsp;&nbsp;&nbsp;&nbsp;10/2023 | &nbsp;&nbsp;&nbsp;&nbsp;JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31192000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4818) |
| &nbsp;&nbsp;IBEX 35 Index | 19 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1587374 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7018 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;IBEX 35 Index | 5 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;417730 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6202 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Japanese Yen | 1 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;90806 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1173 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Lean Hogs | 1 | &nbsp;&nbsp;&nbsp;&nbsp;02/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1493) |
| &nbsp;&nbsp;Live Cattle | 9 | &nbsp;&nbsp;&nbsp;&nbsp;02/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;560430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4060 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Live Cattle | 24 | &nbsp;&nbsp;&nbsp;&nbsp;02/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1494480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2576 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Live Cattle | 1 | &nbsp;&nbsp;&nbsp;&nbsp;04/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63710 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;628 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Live Cattle | 1 | &nbsp;&nbsp;&nbsp;&nbsp;06/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;768 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Long Gilt | 1 | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;104990 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(591) |
| &nbsp;&nbsp;Materials Select Sector Index E-mini | 1 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;87520 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1509 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Mexican Peso | 260 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6713200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;208774 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Mexican Peso | 1 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25820 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;163 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;MSCI EAFE Index | 3 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;296970 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2766 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;MSCI Emerging Markets Index | 6 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;294750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(353) |
| &nbsp;&nbsp;NASDAQ 100 Index E-mini | 1 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;240845 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3339 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;NASDAQ 100 Index Micro E-mini | 1 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24085 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;705 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Natural Gas | 1 | &nbsp;&nbsp;&nbsp;&nbsp;01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;68180 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3832) |
| &nbsp;&nbsp;Natural Gas | 2 | &nbsp;&nbsp;&nbsp;&nbsp;02/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;123560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3643) |
| &nbsp;&nbsp;Natural Gas | 4 | &nbsp;&nbsp;&nbsp;&nbsp;09/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;214000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5774 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Nickel | 1 | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;162192 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8832 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Nikkei 225 Index | 1 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;141875 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2073 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Nikkei 225 Index | 7 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;JPY | &nbsp;&nbsp;&nbsp;&nbsp;196280000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1072) |
| &nbsp;&nbsp;Nikkei 225 Index | 9 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;JPY | &nbsp;&nbsp;&nbsp;&nbsp;126225000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1191) |
| &nbsp;&nbsp;Nikkei 225 Index | 8 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;JPY | &nbsp;&nbsp;&nbsp;&nbsp;224320000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1850) |
| &nbsp;&nbsp;Nikkei 225 Index Mini | 83 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;JPY | &nbsp;&nbsp;&nbsp;&nbsp;232732000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2583) |
| &nbsp;&nbsp;NY Harbor ULSD Heat Oil | 5 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;706335 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(23068) |
| &nbsp;&nbsp;NY Harbor ULSD Heat Oil | 2 | &nbsp;&nbsp;&nbsp;&nbsp;01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;276721 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2864) |
| &nbsp;&nbsp;OMXS30 Index | 37 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7776475 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2445 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;OMXS30 Index | 31 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6515425 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(948) |
| &nbsp;&nbsp;Platinum | 6 | &nbsp;&nbsp;&nbsp;&nbsp;01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;311790 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6114 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Platinum | 3 | &nbsp;&nbsp;&nbsp;&nbsp;01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;155895 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;915 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Platinum | 2 | &nbsp;&nbsp;&nbsp;&nbsp;10/2023 | &nbsp;&nbsp;&nbsp;&nbsp;JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4369000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(485) |
| &nbsp;&nbsp;RBOB Gasoline | 6 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600944 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(41674) |
| &nbsp;&nbsp;Real Estate Select Sector Index E-mini | 1 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;774 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Rough Rice | 2 | &nbsp;&nbsp;&nbsp;&nbsp;01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;71240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(804) |
| &nbsp;&nbsp;Russell 2000 Index E-mini | 3 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;283125 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3956 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Russell 2000 Index Micro E-Mini | 1 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9438 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;122 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;S&P Mid 400 Index E-mini | 2 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;515960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18727 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;S&P Mid 400 Index E-mini | 1 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;257980 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3382 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;S&P/TSX 60 Index | 7 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1736420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8903 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;S&P/TSX 60 Index | 1 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;248060 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1657 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;SGX CNX Nifty Index | 29 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1097157 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22913 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Soybean | 3 | &nbsp;&nbsp;&nbsp;&nbsp;01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;220425 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;694 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Soybean | 10 | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;737750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23333 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Soybean | 3 | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;221325 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1081 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Soybean | 1 | &nbsp;&nbsp;&nbsp;&nbsp;05/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;74138 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;473 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Soybean | 1 | &nbsp;&nbsp;&nbsp;&nbsp;11/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69950 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;185 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Soybean Meal | 10 | &nbsp;&nbsp;&nbsp;&nbsp;01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;417800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9418 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Soybean Meal | 19 | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;790400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24376 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Soybean Meal | 2 | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;83200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1916 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Soybean Oil | 10 | &nbsp;&nbsp;&nbsp;&nbsp;01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;431280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;704 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Soybean Oil | 26 | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1096368 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14781 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Soybean Oil | 3 | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;126504 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2304 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Soybean Oil | 2 | &nbsp;&nbsp;&nbsp;&nbsp;05/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;82536 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |

---

Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022<br> 35

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Long futures contracts (continued)** | &nbsp;&nbsp;**Long futures contracts (continued)** | &nbsp;&nbsp;**Long futures contracts (continued)** | &nbsp;&nbsp;**Long futures contracts (continued)** | &nbsp;&nbsp;**Long futures contracts (continued)** | &nbsp;&nbsp;**Long futures contracts (continued)** | &nbsp;&nbsp;**Long futures contracts (continued)** |
| &nbsp;&nbsp;**Description** | **Number of<br> contracts** | &nbsp;&nbsp;&nbsp;&nbsp;**Expiration<br> date** | &nbsp;&nbsp;&nbsp;&nbsp;**Trading<br> currency** | &nbsp;&nbsp;&nbsp;&nbsp;**Notional<br> amount** | &nbsp;&nbsp;&nbsp;&nbsp;**Value/Unrealized<br> appreciation ($)** | &nbsp;&nbsp;&nbsp;&nbsp;**Value/Unrealized<br> depreciation ($)** |
| &nbsp;&nbsp;Soybean Oil | 9 | &nbsp;&nbsp;&nbsp;&nbsp;12/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;346680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2920 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;SPI 200 Index | 32 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5847200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45474 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;SPI 200 Index | 10 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1827250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23905 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;STOXX Europe 600 Bank Index | 4 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1442 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;STOXX Europe 600 Index | 19 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;418570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11802 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;STOXX Europe 600 Index | 25 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;550750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3084 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Sugar #11 | 23 | &nbsp;&nbsp;&nbsp;&nbsp;02/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;505669 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1316 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Sugar #11 | 81 | &nbsp;&nbsp;&nbsp;&nbsp;02/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1780834 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(34089) |
| &nbsp;&nbsp;Sugar #11 | 2 | &nbsp;&nbsp;&nbsp;&nbsp;04/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41574 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(352) |
| &nbsp;&nbsp;Sugar #11 | 1 | &nbsp;&nbsp;&nbsp;&nbsp;06/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20082 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(13) |
| &nbsp;&nbsp;Swiss Franc | 1 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;132531 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(470) |
| &nbsp;&nbsp;Technology Select Sector Index E-mini | 1 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;136860 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7549 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Thai SET50 Index | 129 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;THB | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25665840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11568 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;TOPIX Index | 11 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;JPY | &nbsp;&nbsp;&nbsp;&nbsp;218900000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11404 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;TOPIX Index | 19 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;JPY | &nbsp;&nbsp;&nbsp;&nbsp;378100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Topix Index Mini | 5 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9950000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1753 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;U.S. Dollar Index | 3 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;317691 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(14325) |
| &nbsp;&nbsp;U.S. Treasury 2-Year Note | 94 | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19303781 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48984 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;U.S. Treasury 5-Year Note | 290 | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31485391 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;165465 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;U.S. Treasury Ultra Bond | 2 | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;272563 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1627) |
| &nbsp;&nbsp;White Sugar #5 | 2 | &nbsp;&nbsp;&nbsp;&nbsp;02/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53920 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(272) |
| &nbsp;&nbsp;White Sugar #5 | 1 | &nbsp;&nbsp;&nbsp;&nbsp;04/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(51) |
| &nbsp;&nbsp;Yen Denominated Nikkei 225 Index | 6 | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;85110000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9212 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Total |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;1311632 | &nbsp;&nbsp;&nbsp;&nbsp;(263933) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Short futures contracts** | &nbsp;&nbsp;**Short futures contracts** | &nbsp;&nbsp;**Short futures contracts** | &nbsp;&nbsp;**Short futures contracts** | &nbsp;&nbsp;**Short futures contracts** | &nbsp;&nbsp;**Short futures contracts** | &nbsp;&nbsp;**Short futures contracts** |
| &nbsp;&nbsp;**Description** | **Number of<br> contracts** | &nbsp;&nbsp;&nbsp;&nbsp;**Expiration<br> date** | &nbsp;&nbsp;&nbsp;&nbsp;**Trading<br> currency** | &nbsp;&nbsp;&nbsp;&nbsp;**Notional<br> amount** | &nbsp;&nbsp;&nbsp;&nbsp;**Value/Unrealized<br> appreciation ($)** | &nbsp;&nbsp;&nbsp;&nbsp;**Value/Unrealized<br> depreciation ($)** |
| &nbsp;&nbsp;1-Month SOFR | (1) | &nbsp;&nbsp;&nbsp;&nbsp;04/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(396386) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;207 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;1-Month SOFR | (2) | &nbsp;&nbsp;&nbsp;&nbsp;04/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(792772) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(295) |
| &nbsp;&nbsp;30-Year Euro-Buxl | (7) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1108100) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(107252) |
| &nbsp;&nbsp;3-Month Aluminum | (2) | &nbsp;&nbsp;&nbsp;&nbsp;02/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(123875) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(6365) |
| &nbsp;&nbsp;3-Month Euro Euribor | (138) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(33525375) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(39728) |
| &nbsp;&nbsp;3-Month Euro Euribor | (18) | &nbsp;&nbsp;&nbsp;&nbsp;06/2023 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4364775) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17060 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;3-Month Euro Euribor | (3) | &nbsp;&nbsp;&nbsp;&nbsp;09/2023 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(727350) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1571 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;3-Month Euro Euribor | (3) | &nbsp;&nbsp;&nbsp;&nbsp;09/2024 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(730088) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3748 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;3-Month Euro Euribor | (2) | &nbsp;&nbsp;&nbsp;&nbsp;12/2024 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(487150) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;325 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;3-Month Euro Euribor | (1) | &nbsp;&nbsp;&nbsp;&nbsp;12/2024 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(243575) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(399) |
| &nbsp;&nbsp;3-Month Euro Euribor | (4) | &nbsp;&nbsp;&nbsp;&nbsp;06/2025 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(975300) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5351 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;3-Month Euro Euribor | (1) | &nbsp;&nbsp;&nbsp;&nbsp;12/2025 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(243913) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1397) |
| &nbsp;&nbsp;3-Month Lead | (1) | &nbsp;&nbsp;&nbsp;&nbsp;02/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(54825) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1678) |
| &nbsp;&nbsp;3-Month SOFR | (228) | &nbsp;&nbsp;&nbsp;&nbsp;06/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(54198450) | &nbsp;&nbsp;&nbsp;&nbsp;186338 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;3-Month SOFR | (15) | &nbsp;&nbsp;&nbsp;&nbsp;09/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3565688) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34630 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;3-Month SOFR | (11) | &nbsp;&nbsp;&nbsp;&nbsp;12/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2619650) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4798 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;3-Month SONIA | (32) | &nbsp;&nbsp;&nbsp;&nbsp;06/2023 | &nbsp;&nbsp;&nbsp;&nbsp;GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(7646800) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(109256) |
| &nbsp;&nbsp;3-Month Zinc | (2) | &nbsp;&nbsp;&nbsp;&nbsp;02/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(151875) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(5930) |
| &nbsp;&nbsp;Australian 10-Year Bond | (32) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3861106) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(31956) |
| &nbsp;&nbsp;Australian 10-Year Bond | (28) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3378468) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(34237) |
| &nbsp;&nbsp;Australian 3-Year Bond | (58) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(6264491) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(6148) |
| &nbsp;&nbsp;Australian Dollar | (64) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4348160) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(129440) |
| &nbsp;&nbsp;Banker's Acceptance | (34) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(8090300) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1256 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Brazilian Real | (1) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(19075) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(617) |
| &nbsp;&nbsp;Brent Crude | (1) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(86970) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1551) |
| &nbsp;&nbsp;Brent Crude | (3) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(260910) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(5253) |
| &nbsp;&nbsp;Brent Crude | (4) | &nbsp;&nbsp;&nbsp;&nbsp;01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(347960) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(10454) |
| &nbsp;&nbsp;Brent Crude | (2) | &nbsp;&nbsp;&nbsp;&nbsp;02/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(173660) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(5372) |
| &nbsp;&nbsp;Brent Crude | (4) | &nbsp;&nbsp;&nbsp;&nbsp;10/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(334080) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4524) |

---

36 Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Short futures contracts (continued)** | &nbsp;&nbsp;**Short futures contracts (continued)** | &nbsp;&nbsp;**Short futures contracts (continued)** | &nbsp;&nbsp;**Short futures contracts (continued)** | &nbsp;&nbsp;**Short futures contracts (continued)** | &nbsp;&nbsp;**Short futures contracts (continued)** | &nbsp;&nbsp;**Short futures contracts (continued)** |
| &nbsp;&nbsp;**Description** | **Number of<br> contracts** | &nbsp;&nbsp;&nbsp;&nbsp;**Expiration<br> date** | &nbsp;&nbsp;&nbsp;&nbsp;**Trading<br> currency** | &nbsp;&nbsp;&nbsp;&nbsp;**Notional<br> amount** | &nbsp;&nbsp;&nbsp;&nbsp;**Value/Unrealized<br> appreciation ($)** | &nbsp;&nbsp;&nbsp;&nbsp;**Value/Unrealized<br> depreciation ($)** |
| &nbsp;&nbsp;British Pound | (32) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2412800) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(72497) |
| &nbsp;&nbsp;Canadian Dollar | (98) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(7293650) | &nbsp;&nbsp;&nbsp;&nbsp;159564 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Canadian Dollar | (1) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(74425) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;693 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Canadian Government 10-Year Bond | (35) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4400900) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(7112) |
| &nbsp;&nbsp;Canadian Government 10-Year Bond | (14) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1760360) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(8460) |
| &nbsp;&nbsp;Canadian Government 5-Year Bond | (1) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(112440) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(139) |
| &nbsp;&nbsp;Canola | (5) | &nbsp;&nbsp;&nbsp;&nbsp;01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(84550) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(576) |
| &nbsp;&nbsp;Canola | (1) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(16876) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Cocoa | (10) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(249800) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(17627) |
| &nbsp;&nbsp;Coffee | (3) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(191138) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(7113) |
| &nbsp;&nbsp;Coffee | (25) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1592813) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(35218) |
| &nbsp;&nbsp;Coffee | (1) | &nbsp;&nbsp;&nbsp;&nbsp;05/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(63806) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3152) |
| &nbsp;&nbsp;Copper | (9) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(841050) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1783 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Corn | (14) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(466900) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2332 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Corn | (8) | &nbsp;&nbsp;&nbsp;&nbsp;05/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(266100) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1467) |
| &nbsp;&nbsp;Corn | (1) | &nbsp;&nbsp;&nbsp;&nbsp;07/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(32988) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(227) |
| &nbsp;&nbsp;Cotton | (1) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(42305) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2042) |
| &nbsp;&nbsp;Cotton | (12) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(507660) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(29146) |
| &nbsp;&nbsp;Crude Oil E-mini | (4) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(161100) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4005) |
| &nbsp;&nbsp;Crude Palm Oil | (3) | &nbsp;&nbsp;&nbsp;&nbsp;02/2023 | &nbsp;&nbsp;&nbsp;&nbsp;MYR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(317550) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(6059) |
| &nbsp;&nbsp;Crude Palm Oil | (1) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;MYR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(106275) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2088) |
| &nbsp;&nbsp;Crude Palm Oil | (1) | &nbsp;&nbsp;&nbsp;&nbsp;04/2023 | &nbsp;&nbsp;&nbsp;&nbsp;MYR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(105800) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2018) |
| &nbsp;&nbsp;Euro FX | (1) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(65181) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3182) |
| &nbsp;&nbsp;Euro FX | (1) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(130356) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(6552) |
| &nbsp;&nbsp;Euro FX | (32) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4171400) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(111045) |
| &nbsp;&nbsp;Euro FX Micro E-mini | (3) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(39107) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1979) |
| &nbsp;&nbsp;Euro-Bobl | (63) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(7561890) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;61376 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Euro-Bobl | (8) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(960240) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22833 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Euro-Bobl | (38) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4561140) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(19605) |
| &nbsp;&nbsp;Euro-BTP | (3) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(357900) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(9711) |
| &nbsp;&nbsp;Euro-BTP | (10) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1193000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(37652) |
| &nbsp;&nbsp;Euro-Bund | (25) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3522000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Euro-Bund | (2) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(281760) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7917 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Euro-Bund | (21) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2958480) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;929 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Euro-Buxl 30-Year | (1) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(158300) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(13082) |
| &nbsp;&nbsp;Eurodollar 90-Day | (18) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4267800) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;84412 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Eurodollar 90-Day | (17) | &nbsp;&nbsp;&nbsp;&nbsp;06/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4030275) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3886) |
| &nbsp;&nbsp;Eurodollar 90-Day | (4) | &nbsp;&nbsp;&nbsp;&nbsp;09/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(950000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5757 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Eurodollar 90-Day | (8) | &nbsp;&nbsp;&nbsp;&nbsp;12/2024 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1931400) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(6211) |
| &nbsp;&nbsp;Eurodollar 90-Day | (5) | &nbsp;&nbsp;&nbsp;&nbsp;06/2025 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1208750) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Eurodollar 90-Day | (1) | &nbsp;&nbsp;&nbsp;&nbsp;12/2026 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(241725) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1364) |
| &nbsp;&nbsp;Euro-OAT | (37) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(5052350) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(34939) |
| &nbsp;&nbsp;Euro-OAT | (34) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4642700) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(70362) |
| &nbsp;&nbsp;Euro-Schatz | (284) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(30325520) | &nbsp;&nbsp;&nbsp;&nbsp;103667 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Euro-Schatz | (142) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(15162760) | &nbsp;&nbsp;&nbsp;&nbsp;101424 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;FTSE China A50 Index | (23) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(291985) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(17235) |
| &nbsp;&nbsp;FTSE China A50 Index | (137) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1739215) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(66926) |
| &nbsp;&nbsp;FTSE Taiwan Index | (1) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(52020) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(92) |
| &nbsp;&nbsp;Gas Oil | (2) | &nbsp;&nbsp;&nbsp;&nbsp;01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(186900) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(7227) |
| &nbsp;&nbsp;Gas Oil | (1) | &nbsp;&nbsp;&nbsp;&nbsp;02/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(92075) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2626) |
| &nbsp;&nbsp;Gas Oil | (1) | &nbsp;&nbsp;&nbsp;&nbsp;04/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(88025) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(126) |
| &nbsp;&nbsp;Gold 100 oz. | (9) | &nbsp;&nbsp;&nbsp;&nbsp;02/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1583910) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22422 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Gold 100 oz. | (10) | &nbsp;&nbsp;&nbsp;&nbsp;02/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1759900) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1877) |
| &nbsp;&nbsp;Gold 100 oz. | (1) | &nbsp;&nbsp;&nbsp;&nbsp;04/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(177510) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(242) |
| &nbsp;&nbsp;Indian Rupee | (43) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1055306) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(7729) |
| &nbsp;&nbsp;Japanese 10-Year Government Bond | (4) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(594880000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3244 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Japanese 10-Year Government Bond | (1) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(148720000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2576) |
| &nbsp;&nbsp;Japanese Yen | (97) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(8808206) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(315313) |

---

Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022<br> 37

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Short futures contracts (continued)** | &nbsp;&nbsp;**Short futures contracts (continued)** | &nbsp;&nbsp;**Short futures contracts (continued)** | &nbsp;&nbsp;**Short futures contracts (continued)** | &nbsp;&nbsp;**Short futures contracts (continued)** | &nbsp;&nbsp;**Short futures contracts (continued)** | &nbsp;&nbsp;**Short futures contracts (continued)** |
| &nbsp;&nbsp;**Description** | **Number of<br> contracts** | &nbsp;&nbsp;&nbsp;&nbsp;**Expiration<br> date** | &nbsp;&nbsp;&nbsp;&nbsp;**Trading<br> currency** | &nbsp;&nbsp;&nbsp;&nbsp;**Notional<br> amount** | &nbsp;&nbsp;&nbsp;&nbsp;**Value/Unrealized<br> appreciation ($)** | &nbsp;&nbsp;&nbsp;&nbsp;**Value/Unrealized<br> depreciation ($)** |
| &nbsp;&nbsp;Korea 3-Year Bond | (155) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;KRW | &nbsp;&nbsp;&nbsp;&nbsp;(16065750000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(60293) |
| &nbsp;&nbsp;Lean Hogs | (1) | &nbsp;&nbsp;&nbsp;&nbsp;04/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(36260) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(202) |
| &nbsp;&nbsp;Long Gilt | (15) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1574850) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(13719) |
| &nbsp;&nbsp;Lumber | (2) | &nbsp;&nbsp;&nbsp;&nbsp;01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(94468) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;73 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Maize | (2) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(30050) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;191 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Milling Wheat | (10) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(158000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1491 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Milling Wheat | (4) | &nbsp;&nbsp;&nbsp;&nbsp;05/2023 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(62900) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;796 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;MSCI EAFE Index | (5) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(494950) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(23786) |
| &nbsp;&nbsp;MSCI Emerging Markets Index | (31) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1522875) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(195126) |
| &nbsp;&nbsp;MSCI Singapore Index | (9) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(267255) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1257) |
| &nbsp;&nbsp;MSCI Singapore Index | (10) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(296950) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2511) |
| &nbsp;&nbsp;NASDAQ 100 Index E-mini | (4) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(963380) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4460) |
| &nbsp;&nbsp;Natural Gas | (1) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(69300) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2258 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Natural Gas E-mini | (1) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(17325) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;624 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;New Zealand Dollar | (32) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2016160) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(182693) |
| &nbsp;&nbsp;Norwegian Krone | (11) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2236960) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(154385) |
| &nbsp;&nbsp;Primary Aluminum | (6) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(372000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(22992) |
| &nbsp;&nbsp;Rapeseed | (5) | &nbsp;&nbsp;&nbsp;&nbsp;01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(149938) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Rapeseed | (1) | &nbsp;&nbsp;&nbsp;&nbsp;04/2023 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(30050) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;931 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;RBOB Gasoline | (1) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(100157) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(690) |
| &nbsp;&nbsp;RBOB Gasoline | (3) | &nbsp;&nbsp;&nbsp;&nbsp;01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(300195) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(9875) |
| &nbsp;&nbsp;RBOB Gasoline | (1) | &nbsp;&nbsp;&nbsp;&nbsp;02/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(100645) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(5394) |
| &nbsp;&nbsp;Robusta Coffee | (1) | &nbsp;&nbsp;&nbsp;&nbsp;01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(18870) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(71) |
| &nbsp;&nbsp;Russell 2000 Index E-mini | (3) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(283125) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(29571) |
| &nbsp;&nbsp;S&P 500 Index E-mini | (1) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(204063) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4401) |
| &nbsp;&nbsp;S&P 500 Index E-mini | (3) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(612188) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(66849) |
| &nbsp;&nbsp;SGX TSI Iron Ore China 62% | (2) | &nbsp;&nbsp;&nbsp;&nbsp;01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(19952) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(36) |
| &nbsp;&nbsp;SGX TSI Iron Ore China 62% | (16) | &nbsp;&nbsp;&nbsp;&nbsp;01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(159616) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(18180) |
| &nbsp;&nbsp;Short Term Euro-BTP | (37) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3954930) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(23872) |
| &nbsp;&nbsp;Short Term Euro-BTP | (34) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3634260) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(46857) |
| &nbsp;&nbsp;Silver | (1) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(108905) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1557) |
| &nbsp;&nbsp;South African Rand | (92) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2672600) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(32158) |
| &nbsp;&nbsp;Swedish Krona | (14) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2668400) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(111416) |
| &nbsp;&nbsp;Swiss Franc | (7) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(927719) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(9472) |
| &nbsp;&nbsp;U.S. Long Bond | (3) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(381000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1645) |
| &nbsp;&nbsp;U.S. Long Bond | (2) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(254000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2205) |
| &nbsp;&nbsp;U.S. Long Bond | (41) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(5207000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(71692) |
| &nbsp;&nbsp;U.S. Treasury 10-Year Note | (41) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4653500) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(25144) |
| &nbsp;&nbsp;U.S. Treasury 10-Year Note | (78) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(8853000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(72023) |
| &nbsp;&nbsp;U.S. Treasury 2-Year Note | (77) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(15812672) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(42327) |
| &nbsp;&nbsp;U.S. Treasury 2-Year Note | (265) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(54420235) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(133971) |
| &nbsp;&nbsp;U.S. Treasury 5-Year Note | (61) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(6622789) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(33951) |
| &nbsp;&nbsp;U.S. Treasury 5-Year Note | (134) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(14548422) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(54509) |
| &nbsp;&nbsp;U.S. Treasury Ultra 10-Year Note | (32) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3829000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(31652) |
| &nbsp;&nbsp;U.S. Treasury Ultra 10-Year Note | (46) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(5504188) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(54883) |
| &nbsp;&nbsp;U.S. Treasury Ultra 10-Year Note | (163) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(19503969) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(171332) |
| &nbsp;&nbsp;U.S. Treasury Ultra Bond | (23) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3134469) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(44500) |
| &nbsp;&nbsp;U.S. Treasury Ultra Bond | (44) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(5996375) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(98980) |
| &nbsp;&nbsp;Wheat | (10) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(397750) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18278 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Wheat | (4) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(179950) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7804 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Wheat | (4) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(159100) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3223) |
| &nbsp;&nbsp;Wheat | (1) | &nbsp;&nbsp;&nbsp;&nbsp;05/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(40300) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Wheat | (1) | &nbsp;&nbsp;&nbsp;&nbsp;05/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(44650) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2148 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Wheat | (7) | &nbsp;&nbsp;&nbsp;&nbsp;12/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(288488) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7272 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;WIG 20 Index | (5) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;PLN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(174000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(6851) |
| &nbsp;&nbsp;WTI Crude | (4) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(322200) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(11474) |
| &nbsp;&nbsp;WTI Crude | (5) | &nbsp;&nbsp;&nbsp;&nbsp;12/2022 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(402750) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(6748) |
| &nbsp;&nbsp;WTI Crude | (3) | &nbsp;&nbsp;&nbsp;&nbsp;01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(241980) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(7225) |

---

38 Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Short futures contracts (continued)** | &nbsp;&nbsp;**Short futures contracts (continued)** | &nbsp;&nbsp;**Short futures contracts (continued)** | &nbsp;&nbsp;**Short futures contracts (continued)** | &nbsp;&nbsp;**Short futures contracts (continued)** | &nbsp;&nbsp;**Short futures contracts (continued)** | &nbsp;&nbsp;**Short futures contracts (continued)** |
| &nbsp;&nbsp;**Description** | **Number of<br> contracts** | &nbsp;&nbsp;&nbsp;&nbsp;**Expiration<br> date** | &nbsp;&nbsp;&nbsp;&nbsp;**Trading<br> currency** | &nbsp;&nbsp;&nbsp;&nbsp;**Notional<br> amount** | &nbsp;&nbsp;&nbsp;&nbsp;**Value/Unrealized<br> appreciation ($)** | &nbsp;&nbsp;&nbsp;&nbsp;**Value/Unrealized<br> depreciation ($)** |
| &nbsp;&nbsp;WTI Crude | (3) | &nbsp;&nbsp;&nbsp;&nbsp;02/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(242250) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(9605) |
| &nbsp;&nbsp;WTI Crude | (2) | &nbsp;&nbsp;&nbsp;&nbsp;11/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(155840) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(5033) |
| &nbsp;&nbsp;Zinc | (2) | &nbsp;&nbsp;&nbsp;&nbsp;03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(151825) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(6942) |
| &nbsp;&nbsp;Total |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;932088 | &nbsp;&nbsp;&nbsp;&nbsp;(3360075) |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Call option contracts purchased** | &nbsp;&nbsp;**Call option contracts purchased** | &nbsp;&nbsp;**Call option contracts purchased** | &nbsp;&nbsp;**Call option contracts purchased** | &nbsp;&nbsp;**Call option contracts purchased** | &nbsp;&nbsp;**Call option contracts purchased** | &nbsp;&nbsp;**Call option contracts purchased** | &nbsp;&nbsp;**Call option contracts purchased** | &nbsp;&nbsp;**Call option contracts purchased** |
| &nbsp;&nbsp;**Description** | **Counterparty** | &nbsp;&nbsp;**Trading<br> currency** | &nbsp;&nbsp;**Notional<br> amount** | &nbsp;&nbsp;**Number of<br> contracts** | &nbsp;&nbsp;**Exercise<br> price/Rate** | &nbsp;&nbsp;**Expiration<br> date** | &nbsp;&nbsp;**Cost ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Broadcom, Inc. | Goldman Sachs | &nbsp;&nbsp;USD | &nbsp;&nbsp;1157163 | &nbsp;&nbsp;&nbsp;&nbsp;21 | &nbsp;&nbsp;550.00 | &nbsp;&nbsp;12/16/2022 | &nbsp;&nbsp;&nbsp;&nbsp;74485 | &nbsp;&nbsp;39270 |
| &nbsp;&nbsp;Broadcom, Inc. | Goldman Sachs | &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;330618 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6 | &nbsp;&nbsp;520.00 | &nbsp;&nbsp;12/16/2022 | &nbsp;&nbsp;&nbsp;&nbsp;21311 | &nbsp;&nbsp;23190 |
| &nbsp;&nbsp;Broadcom, Inc. | Goldman Sachs | &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;165309 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 | &nbsp;&nbsp;500.00 | &nbsp;&nbsp;12/16/2022 | &nbsp;&nbsp;&nbsp;&nbsp;10146 | &nbsp;&nbsp;16290 |
| &nbsp;&nbsp;ironSource Ltd. | Goldman Sachs | &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;78364 | &nbsp;&nbsp;286 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00 | &nbsp;&nbsp;12/16/2022 | &nbsp;&nbsp;&nbsp;&nbsp;24605 | &nbsp;&nbsp;&nbsp;&nbsp;3289 |
| &nbsp;&nbsp;Total |  |  |  |  |  |  | &nbsp;&nbsp;130547 | &nbsp;&nbsp;82039 |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Put option contracts purchased** | &nbsp;&nbsp;**Put option contracts purchased** | &nbsp;&nbsp;**Put option contracts purchased** | &nbsp;&nbsp;**Put option contracts purchased** | &nbsp;&nbsp;**Put option contracts purchased** | &nbsp;&nbsp;**Put option contracts purchased** | &nbsp;&nbsp;**Put option contracts purchased** | &nbsp;&nbsp;**Put option contracts purchased** | &nbsp;&nbsp;**Put option contracts purchased** |
| &nbsp;&nbsp;**Description** | **Counterparty** | &nbsp;&nbsp;**Trading<br> currency** | &nbsp;&nbsp;**Notional<br> amount** | &nbsp;&nbsp;**Number of<br> contracts** | &nbsp;&nbsp;**Exercise<br> price/Rate** | &nbsp;&nbsp;**Expiration<br> date** | &nbsp;&nbsp;**Cost ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Momentive Global, Inc. | Goldman Sachs | &nbsp;&nbsp;USD | &nbsp;&nbsp;838201 | &nbsp;&nbsp;1057 | &nbsp;&nbsp;&nbsp;&nbsp;6.00 | &nbsp;&nbsp;12/16/2022 | &nbsp;&nbsp;82078 | &nbsp;&nbsp;7928 |
| &nbsp;&nbsp;Tenneco, Inc.<sup>†,††</sup> | Goldman Sachs | &nbsp;&nbsp;USD | &nbsp;&nbsp;569715 | &nbsp;&nbsp;&nbsp;&nbsp;285 | &nbsp;&nbsp;10.00 | &nbsp;&nbsp;01/20/2023 | &nbsp;&nbsp;&nbsp;&nbsp;8839 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Total |  |  |  |  |  |  | &nbsp;&nbsp;90917 | &nbsp;&nbsp;7928 |

---

---

| | |
|:---|:---|
| † | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At November 30, 2022, the total value of these option contracts amounted to $0, which represents less than 0.01% of total net assets. |
| †† | Valuation based on significant unobservable inputs. |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Put option contracts written** | &nbsp;&nbsp;**Put option contracts written** | &nbsp;&nbsp;**Put option contracts written** | &nbsp;&nbsp;**Put option contracts written** | &nbsp;&nbsp;**Put option contracts written** | &nbsp;&nbsp;**Put option contracts written** | &nbsp;&nbsp;**Put option contracts written** | &nbsp;&nbsp;**Put option contracts written** | &nbsp;&nbsp;**Put option contracts written** |
| &nbsp;&nbsp;**Description** | **Counterparty** | &nbsp;&nbsp;**Trading<br> currency** | &nbsp;&nbsp;**Notional<br> amount** | &nbsp;&nbsp;**Number of<br> contracts** | &nbsp;&nbsp;**Exercise<br> price/Rate** | &nbsp;&nbsp;**Expiration<br> date** | &nbsp;&nbsp;**Premium<br> received ($)** | &nbsp;&nbsp;**Value ($)** |
| &nbsp;&nbsp;Tenneco, Inc.<sup>†,††</sup> | Goldman Sachs | &nbsp;&nbsp;USD | &nbsp;&nbsp;7996 | &nbsp;&nbsp;(4) | &nbsp;&nbsp;5.00 | &nbsp;&nbsp;01/20/2023 | &nbsp;&nbsp;(13) | &nbsp;&nbsp;— |

---

---

| | |
|:---|:---|
| † | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At November 30, 2022, the total value of these option contracts amounted to $0, which represents less than 0.01% of total net assets. |
| †† | Valuation based on significant unobservable inputs. |

---

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Cleared interest rate swap contracts** | &nbsp;&nbsp;**Cleared interest rate swap contracts** | &nbsp;&nbsp;**Cleared interest rate swap contracts** | &nbsp;&nbsp;**Cleared interest rate swap contracts** | &nbsp;&nbsp;**Cleared interest rate swap contracts** | &nbsp;&nbsp;**Cleared interest rate swap contracts** | &nbsp;&nbsp;**Cleared interest rate swap contracts** | &nbsp;&nbsp;**Cleared interest rate swap contracts** | &nbsp;&nbsp;**Cleared interest rate swap contracts** | &nbsp;&nbsp;**Cleared interest rate swap contracts** | &nbsp;&nbsp;**Cleared interest rate swap contracts** | &nbsp;&nbsp;**Cleared interest rate swap contracts** |
| &nbsp;&nbsp;**Fund receives** | **Fund pays** | **Payment<br> frequency** | **Counterparty** | **Maturity<br> date** | **Notional<br> currency** | **Notional<br> amount** | **Value<br> ($)** | **Upfront<br> payments<br> ($)** | **Upfront<br> receipts<br> ($)** | **Unrealized<br> appreciation<br> ($)** | **Unrealized<br> depreciation<br> ($)** |
| &nbsp;&nbsp;Fixed rate of 1.390% | 3-Month USD LIBOR | Receives SemiAnnually, Pays Quarterly | Citi | 09/28/2025 | USD | 12000000 | (564584) |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | (564584) |
| &nbsp;&nbsp;3-Month USD LIBOR | Fixed rate of 1.870% | Receives Quarterly, Pays SemiAnnually | Citi | 09/28/2053 | USD | &nbsp;&nbsp;&nbsp;1000000 | &nbsp;&nbsp;262250 |  |  | 262250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;Total |  |  |  |  |  |  | (302334) |  |  | 262250 | (564584) |

---

Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022<br> 39

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Total return swap contracts** | &nbsp;&nbsp;**Total return swap contracts** | &nbsp;&nbsp;**Total return swap contracts** | &nbsp;&nbsp;**Total return swap contracts** | &nbsp;&nbsp;**Total return swap contracts** | &nbsp;&nbsp;**Total return swap contracts** | &nbsp;&nbsp;**Total return swap contracts** | &nbsp;&nbsp;**Total return swap contracts** | &nbsp;&nbsp;**Total return swap contracts** | &nbsp;&nbsp;**Total return swap contracts** | &nbsp;&nbsp;**Total return swap contracts** | &nbsp;&nbsp;**Total return swap contracts** | &nbsp;&nbsp;**Total return swap contracts** |
| &nbsp;&nbsp;**Fund receives** | **Fund pays** | **Payment<br> frequency** | **Counterparty** | **Maturity<br> date** | **Notional<br> currency** | **Notional<br> amount** | **Value<br> ($)** | **Periodic<br> payments<br> receivable<br> (payable)<br> ($)** | **Upfront<br> payments<br> ($)** | **Upfront<br> receipts<br> ($)** | **Unrealized<br> appreciation<br> ($)** | **Unrealized<br> depreciation<br> ($)** |
| &nbsp;&nbsp;Total return on Distell Group Holdings Ltd. | 1-Month ZAR JIBAR plus 1.500% | Monthly | Goldman Sachs | 11/15/2023 | ZAR | &nbsp;&nbsp;&nbsp;484221 | &nbsp;&nbsp;&nbsp;5 | &nbsp;&nbsp;&nbsp;&nbsp;(79) |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;(74) |
| &nbsp;&nbsp;Total return on Distell Group Holdings Ltd. | 1-Month ZAR JIBAR plus 1.500% | Monthly | Goldman Sachs | 11/15/2023 | ZAR | 1504701 | 15 | &nbsp;&nbsp;&nbsp;(243) |  |  |  | &nbsp;&nbsp;&nbsp;(228) |
| &nbsp;&nbsp;Total return on Distell Group Holdings Ltd. | 1-Month ZAR JIBAR plus 1.500% | Monthly | Goldman Sachs | 11/15/2023 | ZAR | 4787557 | 48 | &nbsp;&nbsp;&nbsp;(779) |  |  |  | &nbsp;&nbsp;&nbsp;(731) |
| &nbsp;&nbsp;Total |  |  |  |  |  |  | 68 | (1101) |  |  |  | (1033) |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Reference index and values for swap contracts as of period end** | &nbsp;&nbsp;**Reference index and values for swap contracts as of period end** | &nbsp;&nbsp;**Reference index and values for swap contracts as of period end** |
| &nbsp;&nbsp;**Reference index** |  | **Reference rate** |
| &nbsp;&nbsp;1-Month ZAR JIBAR | Johannesburg Interbank Average Rate | 7.017% |
| &nbsp;&nbsp;3-Month USD LIBOR | London Interbank Offered Rate | 4.779% |

---

#### Notes to Consolidated Portfolio of Investments
(a) Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A
eligible securities, which are often sold only to qualified institutional buyers. At November 30, 2022, the total value of these securities amounted to $84,980,654, which represents 16.37% of total net assets.

(b) Variable rate security. The interest rate shown was the current rate as of November 30, 2022.

(c) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The
interest rate shown was the current rate as of November 30, 2022.

(d) Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans.

(e) Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At November 30, 2022, the total value of these securities amounted to
$13,163,028, which represents 2.54% of total net assets.

(f) Non-income producing investment.

(g) Valuation based on significant unobservable inputs.

(h) This security or a portion of this security has been pledged as collateral in connection with derivative contracts.

(i) This security or a portion of this security has been pledged as collateral in connection with investments sold short.

(j) Zero coupon bond.

(k) Principal amounts are denominated in United States Dollars unless otherwise noted.

(l) Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then
increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of November 30, 2022.

(m) Represents a security in default.

(n) Represents a security purchased on a when-issued basis.

(o) Principal and interest may not be guaranteed by a governmental entity.

(p) The stated interest rate represents the weighted average interest rate at November 30, 2022 of contracts within the senior loan facility. Interest rates on contracts are primarily
determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending
rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed.
Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining
maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan.

(q) The rate shown is the seven-day current annualized yield at November 30, 2022.

40 Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

#### Notes to Consolidated Portfolio of Investments (continued)<br>
**(r)** **As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company's outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended November 30, 2022 are as follows:** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Affiliated issuers** | **Beginning<br> of period($)** | &nbsp;&nbsp;**Purchases($)** | &nbsp;&nbsp;**Sales($)** | &nbsp;&nbsp;**Net change in<br> unrealized<br> appreciation<br> (depreciation)($)** | &nbsp;&nbsp;**End of<br> period($)** | &nbsp;&nbsp;**Realized gain<br> (loss)($)** | &nbsp;&nbsp;**Dividends($)** | &nbsp;&nbsp;**End of<br> period shares** |
| &nbsp;&nbsp;Columbia Short-Term Cash Fund, 3.989% | &nbsp;&nbsp;Columbia Short-Term Cash Fund, 3.989% | &nbsp;&nbsp;Columbia Short-Term Cash Fund, 3.989% | &nbsp;&nbsp;Columbia Short-Term Cash Fund, 3.989% | &nbsp;&nbsp;Columbia Short-Term Cash Fund, 3.989% | &nbsp;&nbsp;Columbia Short-Term Cash Fund, 3.989% | &nbsp;&nbsp;Columbia Short-Term Cash Fund, 3.989% | &nbsp;&nbsp;Columbia Short-Term Cash Fund, 3.989% | &nbsp;&nbsp;Columbia Short-Term Cash Fund, 3.989% |
|  | 186518946 | &nbsp;&nbsp;133048734 | &nbsp;&nbsp;(119151994) | &nbsp;&nbsp;22233 | &nbsp;&nbsp;200437919 | &nbsp;&nbsp;(2465) | &nbsp;&nbsp;1539821 | &nbsp;&nbsp;200518126 |

---

#### Abbreviation Legend

---

| | |
|:---|:---|
| ADR | &nbsp;&nbsp;American Depositary Receipt |
| BAM | &nbsp;&nbsp;Build America Mutual Assurance Co. |
| BNY | &nbsp;&nbsp;Bank of New York |
| CMO | &nbsp;&nbsp;Collateralized Mortgage Obligation |
| CVR | &nbsp;&nbsp;Contingent Value Rights |
| FGIC | &nbsp;&nbsp;Financial Guaranty Insurance Corporation |
| FHLMC | &nbsp;&nbsp;Federal Home Loan Mortgage Corporation |
| LIBOR | &nbsp;&nbsp;London Interbank Offered Rate |
| MTA | &nbsp;&nbsp;Monthly Treasury Average |
| NIBOR | &nbsp;&nbsp;Norwegian Interbank Offered Rate |
| SOFR | &nbsp;&nbsp;Secured Overnight Financing Rate |
| TBA | &nbsp;&nbsp;To Be Announced |

---

#### Currency Legend

---

| | |
|:---|:---|
| AUD | &nbsp;&nbsp;Australian Dollar |
| BRL | &nbsp;&nbsp;Brazilian Real |
| CAD | &nbsp;&nbsp;Canada Dollar |
| CHF | &nbsp;&nbsp;Swiss Franc |
| CLP | &nbsp;&nbsp;Chilean Peso |
| CNH | &nbsp;&nbsp;Yuan Offshore Renminbi |
| COP | &nbsp;&nbsp;Colombian Peso |
| EUR | &nbsp;&nbsp;Euro |
| GBP | &nbsp;&nbsp;British Pound |
| HUF | &nbsp;&nbsp;Hungarian Forint |
| IDR | &nbsp;&nbsp;Indonesian Rupiah |
| ILS | &nbsp;&nbsp;Israeli Shekel |
| INR | &nbsp;&nbsp;Indian Rupee |
| JPY | &nbsp;&nbsp;Japanese Yen |
| KRW | &nbsp;&nbsp;South Korean Won |
| MXN | &nbsp;&nbsp;Mexican Peso |
| MYR | &nbsp;&nbsp;Malaysian Ringgit |
| NOK | &nbsp;&nbsp;Norwegian Krone |
| NZD | &nbsp;&nbsp;New Zealand Dollar |
| PHP | &nbsp;&nbsp;Philippine Peso |
| PLN | &nbsp;&nbsp;Polish Zloty |
| SEK | &nbsp;&nbsp;Swedish Krona |
| SGD | &nbsp;&nbsp;Singapore Dollar |
| THB | &nbsp;&nbsp;Thailand Baht |

---

Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022<br> 41

------

Consolidated Portfolio of Investments (continued)<br> Multi-Manager Alternative Strategies Fund, November 30, 2022 (Unaudited)

#### Currency Legend (continued)<br>

---

| | |
|:---|:---|
| **TRY** | &nbsp;&nbsp;**Turkish Lira** |
| **TWD** | &nbsp;&nbsp;**New Taiwan Dollar** |
| **USD** | &nbsp;&nbsp;**US Dollar** |
| **ZAR** | &nbsp;&nbsp;**South African Rand** |

---

#### Investments are valued using policies described in the Notes to Consolidated Financial Statements in the most recent shareholder report.
42 Multi-Manager Alternative Strategies Fund \| First Quarter Report 2022

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------

You may at any time request, free of charge, to receive a paper copy of this report by calling 800.345.6611.

1QT100_08_N01_(01/23)

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Columbia Funds Series Trust I

- **b. Investment Company Act file number:** 811-04367

- **c. CIK number of Registrant:** 0000773757

- **d. LEI of Registrant:** 549300W5GIE6ZOZOTD82

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

  - **Street Address 1:** 290 Congress Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 800-345-6611

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

- **a. Name of Series:** Multi-Manager Alternative Strategies Fund

- **b. EDGAR series identifier (if any):** S000036207

- **c. LEI of Series:** 8Z4K1FUQRPCJYKZNOK04

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

- **a. Date of fiscal year-end:** 2023-08-31

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $569764101.55

**Total Liabilities:** $50739226.53

**Net Assets:** $519024875.02

**Amount of Assets Invested in Other Investment Companies:** $12634489.49

**Delayed Delivery Securities:** $35863019.19

**Stand-by Commitments:** $45245.00

**Cash Not Reported:** $132916.94

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 18790.171400000000 | **1-Year:** 1975.011400000000 | **5-Year:** 10860.867900000000 | **10-Year:** 19517.563700000000 | **30-Year:** 12398.966200000000

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

- **3-Month:** -7835.587500000000 | **1-Year:** -4052.104800000000 | **5-Year:** 9925.379100000000 | **10-Year:** 11663.368800000000 | **30-Year:** 12793.323900000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000179757 | 0.92%                | 0.00%                | -1.21%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1573490.00             | $-9508137.53                               |
| Month 2  | $-332909.56              | $1692332.57                                |
| Month 3  | $-1255950.97             | $7241798.65                                |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| JPMorgan                                                         | WHEAT KCBT FUTURE MAR 23                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -4 | NC      | $7803.58      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | WHEAT KCBT FUTURE MAY 23                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $2147.77      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                     | INTELSAT JACKSON SERIES A CVR               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |        612 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                     | INTELSAT JACKSON SERIES B CVR               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |        612 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| INTELSAT EMERGENCE SA                                            | INSTELSAT EMERGENCE SA F+                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |       5853 | NS      | $145593.38    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | LME PRI ALUM MAR 23                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         -6 | NC      | $-22992.13    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LUMBER FUTURE JAN 23                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -2 | NC      | $72.58        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LIVE CATTLE FEB 23                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          9 | NC      | $4060.43      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LIVE CATTLE FEB 23                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         24 | NC      | $2575.82      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LIVE CATTLE APR 23                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          1 | NC      | $627.79       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LIVE CATTLE JUN 23                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          1 | NC      | $767.79       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LEAN HOGS FEB 23                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |          1 | NC      | $-1493.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | LEAN HOGS FEB 23                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $-232.13      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | LEAN HOGS APR 23                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $-202.13      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME ALUMINIUM 3M ROLLING FORWARD            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |         -2 | NC      | $-6364.86     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME COPPER 3M ROLLING FORWARD               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |          2 | NC      | $12943.39     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME NICKEL 3M ROLLING FORWARD               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |          2 | NC      | $7877.72      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME LEAD 3M ROLLING FORWARD                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |         -1 | NC      | $-2015.64     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | LME ZINC 3M ROLLING FORWARD                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -2 | NC      | $-5930.36     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LME NICKEL MAR 23                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |          1 | NC      | $8831.52      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LME ZINC MAR 23                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         -2 | NC      | $-6941.96     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| QATAR ENERGY                                                     | QATAR PETROLEUM                             | CUSIP: M8180AAD0<br>LEI: N/A                  | Long             | DBT              | NUSS              | QA        |     200000 | PA      | $167281.55    | 0.03%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN POSEIDON LTD                                          | TRANSOCEAN POSEIDON LTD                     | CUSIP: 89383JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     153125 | PA      | $148889.96    | 0.03%             | 2027-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | MSCI EMER MKT INDEX (ICE) DEC 22            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |         -1 | NC      | $-366.30      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | MSCI EMER MKT INDEX (ICE) DEC 22            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |        -31 | NC      | $-195125.14   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| TRAVEL + LEISURE CO                                              | TRAVEL + LEISURE CO                         | CUSIP: 894164AA0<br>LEI: T4VNTWMFQ7JQB65L7T35 | Long             | DBT              | CORP              | US        |     190000 | PA      | $155153.47    | 0.03%             | 2029-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TREEHOUSE FOODS INC                                              | TREEHOUSE FOODS INC                         | CUSIP: 89469AAD6<br>LEI: 5493007M7EVHE470Q576 | Long             | DBT              | CORP              | US        |     160000 | PA      | $136661.58    | 0.03%             | 2028-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES TAH_17-SFR2                                | TAH_17-SFR2                                 | CUSIP: 89613FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     375000 | PA      | $362284.50    | 0.07%             | 2036-01-17      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| TRITON WATER HOLDINGS INC                                        | TRITON WATER HOLDINGS INC                   | CUSIP: 89680EAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $155759.02    | 0.03%             | 2029-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | MSCI EAFE INDEX DEC 22                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |          3 | NC      | $2765.71      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | MSCI EAFE INDEX DEC 22                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |         -6 | NC      | $-28543.44    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | AU        |   -1278514 | OU      | $-28706.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | CA        |    -534297 | OU      | $552.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRIVIUM PACKAGING FINANCE BV                                     | TRIVIUM PACKAGING FINANCE BV                | CUSIP: 89686QAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     140000 | PA      | $131428.71    | 0.03%             | 2026-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TURKEY (REPUBLIC OF)                                             | TURKEY (REPUBLIC OF)                        | CUSIP: 900123CA6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     240000 | PA      | $240155.79    | 0.05%             | 2023-03-23      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | CA        |   -1125740 | OU      | $-14969.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | BRITISH POUND                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | GB        |     323877 | OU      | $8669.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 2020 Cash Mandatory Exchangeable Trust                           | SOFTBANK/TMUS                               | CUSIP: 901375105<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        320 | NS      | $393094.40    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LIBERTY STREET TRUST LBTY_16-225                                 | LBTY_16-225L                                | CUSIP: 902055AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $122687.00    | 0.02%             | 2036-02-10      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | MEXICAN PESO                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | MX        |    1479261 | OU      | $274.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | XX        |    -861636 | OU      | $-43076.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| US BANCORP                                                       | US Bancorp                                  | CUSIP: 902973866<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | EP               | CORP              | US        |        260 | NS      | $220714.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| US BANCORP                                                       | US BANCORP                                  | CUSIP: 902973BC9<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     185000 | PA      | $147799.80    | 0.03%             | 2049-12-31      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | XX        |    1864422 | OU      | $-25170.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | GB        |    -765514 | OU      | $-38917.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | MX        |    -290875 | OU      | $-140.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | NO        |   -7274928 | OU      | $-15354.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2010-1 PASS THROUGH TRUSTS                     | US AIRWAYS 2010-1A PTT                      | CUSIP: 90345KAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     128784 | PA      | $127698.52    | 0.02%             | 2023-04-22      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                            | UBER TECHNOLOGIES INC                       | CUSIP: 90353TAC4<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     145000 | PA      | $147187.62    | 0.03%             | 2026-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                            | UBER TECHNOLOGIES INC                       | CUSIP: 90353TAJ9<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     225000 | PA      | $190791.38    | 0.04%             | 2025-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNIFRAX ESCROW ISSUER CORP                                       | UNIFRAX ESCROW ISSUER CORP                  | CUSIP: 90473LAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     155000 | PA      | $103629.04    | 0.02%             | 2029-09-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORPORATION                                        | UNION PACIFIC CORPORATION                   | CUSIP: 907818FY9<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |      75000 | PA      | $61057.89     | 0.01%             | 2042-02-14      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MEXICO (UNITED MEXICAN STATES) (GOVERNMENT)                      | MEXICO (UNITED MEXICAN STATES)              | CUSIP: 91087BAM2<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |     475000 | PA      | $396076.99    | 0.08%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS (NORTH AMERICA) INC                               | UNITED RENTALS NA INC                       | CUSIP: 911363AM1<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     235000 | PA      | $202156.96    | 0.04%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS (NORTH AMERICA) INC                               | UNITED RENTALS NA INC                       | CUSIP: 911365BG8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     205000 | PA      | $195716.03    | 0.04%             | 2028-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS (NORTH AMERICA) INC                               | UNITED RENTALS NA INC                       | CUSIP: 911365BN3<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     140000 | PA      | $121626.02    | 0.02%             | 2030-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS (NORTH AMERICA) INC                               | UNITED RENTALS NA INC                       | CUSIP: 911365BQ6<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     170000 | PA      | $170943.51    | 0.03%             | 2029-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | NZ        |    -429590 | OU      | $-14833.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | AUSTRALIA DOLLAR                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | AU        |     225000 | OU      | $7009.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BILL                               | CUSIP: 912796V48<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1355000 | PA      | $1332047.82   | 0.26%             | 2023-04-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BILL                               | CUSIP: 912796XQ7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     500000 | PA      | $486361.03    | 0.09%             | 2023-07-13      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                               | CUSIP: 912810SF6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1410000 | PA      | $1196076.56   | 0.23%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                               | CUSIP: 912810SL3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     890000 | PA      | $607842.19    | 0.12%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                               | CUSIP: 912810TF5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1165000 | PA      | $906879.69    | 0.17%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                               | CUSIP: 912810TJ7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     280000 | PA      | $239925.00    | 0.05%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                               | CUSIP: 912828Z78<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1050000 | PA      | $952957.04    | 0.18%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                               | CUSIP: 91282CBQ3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     230000 | PA      | $205346.88    | 0.04%             | 2026-02-28      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CANADIAN DOLLAR                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | CA        |    1682962 | OU      | $33770.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | XX        |     855526 | OU      | $56241.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                               | CUSIP: 91282CDY4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     661000 | PA      | $569596.09    | 0.11%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                               | CUSIP: 91282CEE7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     345000 | PA      | $317561.72    | 0.06%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | XX        |     522517 | OU      | $-76.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | BRITISH POUND                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | GB        |      13475 | OU      | $1760.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                               | CUSIP: 91282CEP2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    2620000 | PA      | $2457068.75   | 0.47%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                               | CUSIP: 91282CET4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     230000 | PA      | $218356.25    | 0.04%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                               | CUSIP: 91282CFF3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1065000 | PA      | $986955.47    | 0.19%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                           | UNITEDHEALTH GROUP INC                      | CUSIP: 91324PEB4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     100000 | PA      | $94129.88     | 0.02%             | 2024-05-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | JAPANESE YEN                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | JP        |   71820812 | OU      | $41440.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | NEW ZEALAND DOLLAR                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | NZ        |     613906 | OU      | $13635.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| URUGUAY (ORIENTAL REPUBLIC OF)                                   | URUGUAY (THE REPUBLIC OF)                   | CUSIP: 917288BK7<br>LEI: N/A                  | Long             | DBT              | NUSS              | UY        |     325000 | PA      | $324998.42    | 0.06%             | 2031-01-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| USERTESTING INC                                                  | UserTesting Inc                             | CUSIP: 91734E101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     195496 | NS      | $1450580.32   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SINGAPORE DOLLAR                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | SG        |    2173687 | OU      | $63402.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| National Australia Bank                                          | SINGAPORE DOLLAR                            | CUSIP: 000000000<br>LEI: 254900CF468MXKD7PW65 | N/A              | DFE              | CORP              | SG        |      88732 | OU      | $653.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| USA COMPRESSION PARTNERS LP                                      | USA COMP PART LP/USA COMP FIN               | CUSIP: 91740PAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $144406.98    | 0.03%             | 2026-04-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| VMC FINANCE LLC VMC_21-FL4                                       | VMC_21-FL4                                  | CUSIP: 91835RAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     299000 | PA      | $280736.57    | 0.05%             | 2036-06-16      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | NATURAL GAS JAN 23                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $2258.40      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | NATURAL GAS FEB 23                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          1 | NC      | $-3831.60     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| VTR FINANCE NV                                                   | VTR FINANCE BV                              | CUSIP: 918374AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     200000 | PA      | $87046.54     | 0.02%             | 2028-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| VZ SECURED FINANCING BV                                          | VZ SECURED FINANCING BV                     | CUSIP: 91845AAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     165000 | PA      | $136449.68    | 0.03%             | 2032-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | NATURAL GAS MAR 23                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          2 | NC      | $-3643.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | NATURAL GAS OCT 23                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          4 | NC      | $5773.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VALLEY NTL BANCORP                                               | Valley National Bancorp                     | CUSIP: 919794305<br>LEI: 549300ET52S1UBIB9762 | Long             | EP               | CORP              | US        |       6350 | NS      | $162433.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| VANTAGE DATA CENTERS ISSUER LLC VDC_20-1                         | VDC_20-1A                                   | CUSIP: 92212KAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     395000 | PA      | $344497.16    | 0.07%             | 2045-09-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                                   | VAR ENERGI ASA                              | CUSIP: 92212WAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | NO        |     200000 | PA      | $205983.02    | 0.04%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                | VENTURE GLOBAL CALCASIEU PASS LLC           | CUSIP: 92328MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     225000 | PA      | $196259.80    | 0.04%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                       | VERIZON COMMUNICATIONS INC                  | CUSIP: 92343VGF5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      58000 | PA      | $55144.03     | 0.01%             | 2024-03-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_22-8                            | VERUS_22-8                                  | CUSIP: 924922AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      98880 | PA      | $95196.58     | 0.02%             | 2067-09-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | YEN DENOM NIKKEI 225 (CME) DEC 22           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |          6 | NC      | $9211.66      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | NIKKEI 225 (SGX) DEC 22                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | SG        |          9 | NC      | $-1191.34     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_22-4                            | VERUS_22-4                                  | CUSIP: 92538NAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     177656 | PA      | $164624.75    | 0.03%             | 2067-04-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_22-1                            | VERUS_22-1                                  | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     165109 | PA      | $142750.13    | 0.03%             | 2067-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | NIKKEI 225 (OSE) DEC 22                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | JP        |          8 | NC      | $-1849.95     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | NIKKEI 225 (OSE) DEC 22                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | JP        |          6 | NC      | $-1936.60     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_22-INV1                         | VERUS_22-INV1                               | CUSIP: 92539JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      97245 | PA      | $94175.75     | 0.02%             | 2067-08-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                 | Paramount Global                            | CUSIP: 92556H305<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | EP               | CORP              | US        |       2100 | NS      | $64692.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | NIKKEI 225 MINI DEC 22                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | JP        |         83 | NC      | $-2582.67     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | NOK/USD FUTURE (CME) DEC 22                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |        -11 | NC      | $-154384.63   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | NASDAQ 100 E-MINI DEC 22                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |          1 | NC      | $3338.62      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | NASDAQ 100 E-MINI DEC 22                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |         -4 | NC      | $-4459.59     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI PROPERTIES LP / VICI NOTE CO           | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     185000 | PA      | $167561.64    | 0.03%             | 2029-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI PROPERTIES LP / VICI NOTE CO           | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      10000 | PA      | $9031.03      | 0.00%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI PROPERTIES LP / VICI NOTE CO           | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     190000 | PA      | $166035.54    | 0.03%             | 2030-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI PROPERTIES LP/VICI NOTE CO             | CUSIP: 92564RAF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      75000 | PA      | $74413.16     | 0.01%             | 2024-05-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI PROPERTIES LP/VICI NOTE CO             | CUSIP: 92564RAH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      30000 | PA      | $28136.41     | 0.01%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI PROPERTIES LP/VICI NOTE CO             | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      55000 | PA      | $53599.26     | 0.01%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | NZD/USD FUTURE (CME) DEC 22                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |        -32 | NC      | $-182693.18   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | NIKKEI 225 (CME) DEC 22                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |          1 | NC      | $2072.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EURO-OAT DEC 22                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | DE        |        -34 | NC      | $-70361.92    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | EURO-OAT DEC 22                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | DE        |        -38 | NC      | $-34024.36    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | EURO-BOBL DEC 22                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | DE        |         -8 | NC      | $22832.66     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | EURO-BOBL DEC 22                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | DE        |        -38 | NC      | $-19604.89    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | EURO-BOBL DEC 22                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | DE        |        -63 | NC      | $61376.49     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | MXN/USD FUTURE (CME) DEC 22                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $163.30       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JERSEY CTL PWR & LT CO                                           | JERSEY CENTRAL POWER & LIGHT CO             | CUSIP: 476556DB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     330000 | PA      | $325591.49    | 0.06%             | 2024-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORPORATION 2020-1 PASS THROUGH TRUST JBLU_20-1  | JETBLUE 2020-1 CLASS A PT                   | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     347650 | PA      | $308037.83    | 0.06%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                         | CUSIP: 48128BAN1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      85000 | PA      | $71625.00     | 0.01%             | 2049-12-31      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                | KINDER MORGAN INC                           | CUSIP: 49456BAG6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     145000 | PA      | $138319.78    | 0.03%             | 2034-12-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| KNOWBE4 INC                                                      | KnowBe4 Inc                                 | CUSIP: 49926T104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      62670 | NS      | $1547322.30   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                             | KRAFT FOODS GROUP INC                       | CUSIP: 50076QAR7<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     220000 | PA      | $244057.73    | 0.05%             | 2039-01-26      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                             | KRAFT HEINZ FOODS CO                        | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     205000 | PA      | $172698.63    | 0.03%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                             | KRAFT HEINZ FOODS CO                        | CUSIP: 50077LAD8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     135000 | PA      | $127080.08    | 0.02%             | 2026-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                             | KRAFT HEINZ FOODS CO                        | CUSIP: 50077LAX4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     235000 | PA      | $210987.00    | 0.04%             | 2039-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE-ACES FNMA_16-M11                                       | FNMA_16-M11B                                | CUSIP: 3136AT5H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     523055 | PA      | $11614.70     | 0.00%             | 2039-07-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-33                                            | FNMA_19-33                                  | CUSIP: 3136B45N4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     179942 | PA      | $177508.08    | 0.03%             | 2049-07-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                             | KRAFT HEINZ FOODS CO                        | CUSIP: 50077LBC9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      80000 | PA      | $77192.66     | 0.01%             | 2027-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                             | KRAFT HEINZ FOODS CO                        | CUSIP: 50077LBF2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     300000 | PA      | $285017.60    | 0.05%             | 2031-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE-ACES FNMA_19-M29                                       | FNMA_19-M29                                 | CUSIP: 3136B7HP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    4300000 | PA      | $137234.50    | 0.03%             | 2029-03-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FHLMC_K035                                                       | FHLMC_K035                                  | CUSIP: 3137B5KY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3000000 | PA      | $35785.20     | 0.01%             | 2041-12-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PAS                                 | FHLMC_K039                                  | CUSIP: 3137BDCY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1520000 | PA      | $59293.53     | 0.01%             | 2042-08-25      | Variable      | 2.18%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PAS                                 | FHLMC_K043                                  | CUSIP: 3137BGK40<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3951044 | PA      | $124429.44    | 0.02%             | 2043-02-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| LHC GROUP                                                        | LHC Group Inc                               | CUSIP: 50187A107<br>LEI: 5299009NPLWAMRQYZX73 | Long             | EC               | CORP              | US        |      16971 | NS      | $2773231.11   | 0.53%             |  |  |  | No            |                  1 | On Loan: No      |
| LCM LTD PARTNERSHIP LCM_21A                                      | LCM_18-21A                                  | CUSIP: 50189CAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     106145 | PA      | $105353.09    | 0.02%             | 2028-04-20      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_K051                                           | FHLMC_K051                                  | CUSIP: 3137BM7E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2100000 | PA      | $81147.78     | 0.02%             | 2043-10-25      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PAS                                 | FHLMC_K057                                  | CUSIP: 3137BRQL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3722113 | PA      | $124713.51    | 0.02%             | 2026-07-25      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_KS06                                           | FHLMC_KS06                                  | CUSIP: 3137BS5P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2643784 | PA      | $69262.37     | 0.01%             | 2026-08-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PA                                  | FHLMC_K060                                  | CUSIP: 3137BTAF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1350000 | PA      | $83212.92     | 0.02%             | 2044-12-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| LCPR SENIOR SECURED FINANCING DAC                                | LCPR SENIOR SECURED FINANCING DAC           | CUSIP: 50201DAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     200000 | PA      | $168077.20    | 0.03%             | 2029-07-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST LMAT_20-GS2                          | LMAT_20-GS2                                 | CUSIP: 52475AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     671030 | PA      | $646861.86    | 0.12%             | 2060-03-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_Q004              | FHLMC_Q004                                  | CUSIP: 3137FARN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1506322 | PA      | $45851.70     | 0.01%             | 2044-05-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K728              | FHLMC_K728                                  | CUSIP: 3137FBTD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1975000 | PA      | $72240.96     | 0.01%             | 2045-11-25      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| LMT_06-1                                                         | LMT_06-1                                    | CUSIP: 52520MFB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     529023 | PA      | $262671.15    | 0.05%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LXS_06-2N                                                        | LXS_06-2N                                   | CUSIP: 525221HD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     472951 | PA      | $400116.61    | 0.08%             | 2036-02-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST LXS_06-15                                        | LXS_06-15                                   | CUSIP: 52523MAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     490904 | PA      | $436712.28    | 0.08%             | 2036-10-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST LXS_07-16N                                       | LXS_07-16N                                  | CUSIP: 52525BAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     565441 | PA      | $464185.47    | 0.09%             | 2047-09-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                            | LEVEL 3 FINANCING INC                       | CUSIP: 527298BN2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     275000 | PA      | $233231.37    | 0.04%             | 2027-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                            | LEVEL 3 FINANCING INC                       | CUSIP: 527298BQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      50000 | PA      | $38903.90     | 0.01%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_K732                                           | FHLMC_K732                                  | CUSIP: 3137FG7J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1350000 | PA      | $71067.65     | 0.01%             | 2046-05-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_KL05              | FHLMC_KL05                                  | CUSIP: 3137FNAP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2400000 | PA      | $125707.68    | 0.02%             | 2027-12-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS FHMS_K096        | FHLMC_K096                                  | CUSIP: 3137FNBB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3390000 | PA      | $345349.81    | 0.07%             | 2029-07-25      | Variable      | 2.11%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4919                                           | FHLMC_4919                                  | CUSIP: 3137FP5D3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     147067 | PA      | $142597.84    | 0.03%             | 2049-09-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES FHMS_KC07 | FHLMC_KC07                                  | CUSIP: 3137FQK93<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3918176 | PA      | $75476.21     | 0.01%             | 2026-09-25      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_19-P002             | FHLMC_19-P002                               | CUSIP: 3137FQKX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     705000 | PA      | $59484.94     | 0.01%             | 2033-07-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHLMC_KLU3             | FHLMC_KLU3                                  | CUSIP: 3137H0H76<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1595003 | PA      | $178821.99    | 0.03%             | 2031-01-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER                        | CUSIP: 3140XJGY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     532723 | PA      | $521871.17    | 0.10%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                            | LEVEL 3 FINANCING INC                       | CUSIP: 527298BR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     165000 | PA      | $130701.69    | 0.03%             | 2028-07-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                             | LEXINGTON REALTY TRUST                      | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |     135000 | PA      | $108021.45    | 0.02%             | 2030-09-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT LLC (NEVADA)                              | FERTITTA ENTERTAINMENT LLC                  | CUSIP: 31556TAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     250000 | PA      | $210374.17    | 0.04%             | 2030-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON CORP (TENNESSEE)                                   | First Horizon Corp                          | CUSIP: 320517105<br>LEI: TF3RXI1ZB1TQ30H9JV10 | Long             | EC               | CORP              | US        |     150591 | NS      | $3742186.35   | 0.72%             |  |  |  | No            |                  1 | On Loan: No      |
| LIBERTY BROADBAND CORP                                           | LIBERTY BROADBAND CORP                      | CUSIP: 530307AA5<br>LEI: 549300MIX43II8JLN536 | Long             | DBT              | CORP              | US        |     180000 | PA      | $174178.90    | 0.03%             | 2050-09-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| LIBERTY BROADBAND CORP                                           | LIBERTY BROADBAND CORP                      | CUSIP: 530307AC1<br>LEI: 549300MIX43II8JLN536 | Long             | DBT              | CORP              | US        |     270000 | PA      | $257512.50    | 0.05%             | 2050-09-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MORTGAGE PASS THROUGH TRUST FHASI_05-AR4           | FHASI_05-AR4                                | CUSIP: 32051GTX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     141083 | PA      | $130430.65    | 0.03%             | 2035-10-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST FNLC_05-4                                        | FNLC_05-4                                   | CUSIP: 32113JCG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     289468 | PA      | $279183.63    | 0.05%             | 2036-02-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| LIBERTY MEDIA CORP                                               | LIBERTY MEDIA CORP                          | CUSIP: 531229AK8<br>LEI: 549300ZKUTPIBZLWLL89 | Long             | DBT              | CORP              | US        |     105000 | PA      | $107236.50    | 0.02%             | 2050-12-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST LIFE_22-BMR2                       | LIFE_22-BMR2                                | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     285000 | PA      | $276433.01    | 0.05%             | 2039-05-15      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION LLC                                     | FIRSTENERGY TRANSMISSION LLC                | CUSIP: 33767BAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     229000 | PA      | $199413.80    | 0.04%             | 2028-09-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES FKH_20-SFR2                                       | FKH_20-SFR2                                 | CUSIP: 33767JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99055 | PA      | $87464.46     | 0.02%             | 2037-10-19      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST LIFE_22-BMR2                       | LIFE_22-BMR2                                | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     270000 | PA      | $259854.75    | 0.05%             | 2039-05-15      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST LIFE_22-BMR2                       | LIFE_22-BMR2                                | CUSIP: 53218DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     215000 | PA      | $204767.98    | 0.04%             | 2039-05-15      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                 | FIRSTENERGY CORPORATION                     | CUSIP: 337932AC1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     260000 | PA      | $292555.41    | 0.06%             | 2031-11-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                 | FIRSTENERGY CORPORATION                     | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     290000 | PA      | $273821.69    | 0.05%             | 2027-07-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMENT INC                                    | LIVE NATION ENTERTAINMENT INC               | CUSIP: 538034AR0<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |      70000 | PA      | $62304.48     | 0.01%             | 2027-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                         | LLOYDS BANKING GROUP PLC                    | CUSIP: 53944YAL7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $385779.40    | 0.07%             | 2025-07-09      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                         | LLOYDS BANKING GROUP PLC                    | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     330000 | PA      | $304035.28    | 0.06%             | 2033-08-11      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| LBMLT_06-4                                                       | LBMLT_06-4                                  | CUSIP: 54251MAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1022248 | PA      | $580552.41    | 0.11%             | 2036-05-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| STATE BOARD OF ADMINISTRATION FINANCE CORP                       | State Board of Administration Finance Corp  | CUSIP: 341271AF1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      40000 | PA      | $32278.08     | 0.01%             | 2030-07-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FONTAINEBLEAU MIAMI BEACH TRUST FMBT_19-FBLU                     | FTMB_19-FBLU                                | CUSIP: 34461LAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     435810 | PA      | $405600.96    | 0.08%             | 2036-12-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FONTAINEBLEAU MIAMI BEACH TRUST FMBT_19-FBLU                     | FMBT_19-FBLU                                | CUSIP: 34461LAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     310000 | PA      | $284800.07    | 0.05%             | 2036-12-10      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                               | FORD MOTOR COMPANY                          | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     135000 | PA      | $106993.40    | 0.02%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LBMLT_06-10                                                      | LBMLT_06-10                                 | CUSIP: 54251YAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1594724 | PA      | $481581.89    | 0.09%             | 2036-11-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| MC BRAZIL DOWNSTREAM TRADING SARL                                | MC BRAZIL DOWNSTREAM TRADING SARL           | CUSIP: 55292WAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     220000 | PA      | $182373.81    | 0.04%             | 2031-06-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT COMPANY LLC               | CUSIP: 345397B51<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $168218.36    | 0.03%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT COMPANY LLC               | CUSIP: 345397B69<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     275000 | PA      | $225209.99    | 0.04%             | 2031-06-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTERNATIONAL                                        | MGM RESORTS INTERNATIONAL                   | CUSIP: 552953CH2<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |      20000 | PA      | $17798.14     | 0.00%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                         | MSCI INC                                    | CUSIP: 55354GAK6<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     440000 | PA      | $372248.53    | 0.07%             | 2030-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT COMPANY LLC               | CUSIP: 345397C27<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $189259.40    | 0.04%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT COMPANY LLC               | CUSIP: 345397ZW6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $188165.18    | 0.04%             | 2026-08-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FORGEROCK INC                                                    | ForgeRock Inc                               | CUSIP: 34631B101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      81595 | NS      | $1774691.25   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| FORTERRA INC                                                     | Forterra Inc                                | CUSIP: 34960W106<br>LEI: 549300M8CB93DI1JD480 | Long             | EC               | CORP              | US        |      55377 | NS      | $1329048.00   | 0.26%             |  |  |  | No            |                  3 | On Loan: No      |
| MSCI INC                                                         | MSCI INC                                    | CUSIP: 55354GAL4<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     160000 | PA      | $139016.59    | 0.03%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                         | MSCI INC                                    | CUSIP: 55354GAM2<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     155000 | PA      | $129642.73    | 0.02%             | 2031-11-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_22-HQA3                      | STACR_22-HQA3                               | CUSIP: 35564KE47<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     130000 | PA      | $123143.05    | 0.02%             | 2042-08-25      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_22-DNA6                      | STACR_22-DNA6                               | CUSIP: 35564KH36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     200176 | PA      | $199425.99    | 0.04%             | 2042-09-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                         | MSCI INC                                    | CUSIP: 55354GAQ3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |      90000 | PA      | $70982.84     | 0.01%             | 2033-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MSDB TRUST MSDB_17-712F                                          | MSDB_17-712F                                | CUSIP: 55354JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     285000 | PA      | $253219.91    | 0.05%             | 2039-07-11      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_22-DNA7                      | STACR_22-DNA7                               | CUSIP: 35564KL31<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     157474 | PA      | $157131.28    | 0.03%             | 2052-03-25      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_22-HQA1                      | STACR_22-HQA1                               | CUSIP: 35564KTB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      90000 | PA      | $87512.22     | 0.02%             | 2042-03-25      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                         | AES Corp/The                                | CUSIP: 00130H204<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | EP               | CORP              | US        |       3400 | NS      | $348432.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR_22-DNA3                      | STACR_22-DNA3                               | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     165752 | PA      | $163795.42    | 0.03%             | 2042-04-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR_22-DNA4                      | STACR_22-DNA4                               | CUSIP: 35564KWS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     201543 | PA      | $200320.60    | 0.04%             | 2042-05-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR_22-DNA4                      | STACR_22-DNA4                               | CUSIP: 35564KWT2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     285000 | PA      | $279474.51    | 0.05%             | 2042-05-25      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                             | FREEPORT-MCMORAN INC                        | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     450000 | PA      | $404645.67    | 0.08%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                         | AES CORPORATION (THE)                       | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |      35000 | PA      | $31119.68     | 0.01%             | 2030-07-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO LTD AIMCO_20-11A                                       | AIMCO_20-11A                                | CUSIP: 00140NAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     400000 | PA      | $387622.80    | 0.07%             | 2034-10-17      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| MSCG TRUST MSCCG_18-SELF                                         | MSCCG_18-SELF                               | CUSIP: 55358PAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     342702 | PA      | $320103.48    | 0.06%             | 2037-10-15      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                                              | MACQUARIE GROUP LTD                         | CUSIP: 55607PAG0<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |     195000 | PA      | $149940.36    | 0.03%             | 2032-06-23      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                             | FREEPORT-MCMORAN INC                        | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     260000 | PA      | $239235.10    | 0.05%             | 2030-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FRESH MARKET INC                                                 | FRESH MARKET ESCROW                         | CUSIP: 358ESC010<br>LEI: 529900QM5ZSBEBR6CS58 | Long             | EC               | CORP              | US        |      90477 | NS      | $0.09         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| AMERICAN MONEY MANAGEMENT CORPOR                                 | AMMC_16-18A                                 | CUSIP: 001746AQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     250000 | PA      | $239874.75    | 0.05%             | 2031-05-26      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| AMERICAN MONEY MANAGEMENT CORPORATION AMMC_21-24                 | AMMC_21-24A                                 | CUSIP: 00177LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     350000 | PA      | $333149.25    | 0.06%             | 2035-01-20      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                                              | MACQUARIE GROUP LTD                         | CUSIP: 55608JAZ1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |     305000 | PA      | $234506.42    | 0.05%             | 2033-01-14      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                         | MAGALLANES INC                              | CUSIP: 55903VAN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     305000 | PA      | $243538.50    | 0.05%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T INC                                    | CUSIP: 00206RCP5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      35000 | PA      | $32124.85     | 0.01%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T INC                                    | CUSIP: 00206RCQ3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      40000 | PA      | $34938.96     | 0.01%             | 2046-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                         | MAGALLANES INC                              | CUSIP: 55903VAQ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     513000 | PA      | $397307.39    | 0.08%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| MICHAELS COMPANIES INC                                           | MAGIC MERGERCO INC                          | CUSIP: 55916AAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     315000 | PA      | $186216.12    | 0.04%             | 2029-05-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T INC                                    | CUSIP: 00206RDR0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      45000 | PA      | $44096.42     | 0.01%             | 2037-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T CORP                                   | CUSIP: 00206RMJ8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      77000 | PA      | $73064.90     | 0.01%             | 2024-03-25      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                             | FRONTIER COMMUNICATIONS CORP                | CUSIP: 35906ABF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $177990.08    | 0.03%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST GCAT_22-NQM4                                          | GCAT_22-NQM4                                | CUSIP: 36170HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      97894 | PA      | $96233.02     | 0.02%             | 2067-08-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T INC                                    | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     340000 | PA      | $267442.24    | 0.05%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T INC                                    | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     467000 | PA      | $339534.17    | 0.07%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AREIT CRE TRUST AREIT_19-CRE3                                    | AREIT_19-CRE3                               | CUSIP: 00217LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $484405.35    | 0.09%             | 2036-09-14      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                  | AMERICAN AIRLINES/AADVANTAGE                | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     215000 | PA      | $208967.98    | 0.04%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP                                                   | GLP CAPITAL LP / GLP FIN II INC             | CUSIP: 361841AH2<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |     395000 | PA      | $383832.69    | 0.07%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP                                                   | GLP CAPITAL LP / GLP FIN II INC             | CUSIP: 361841AK5<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |      80000 | PA      | $77939.36     | 0.02%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                  | AMERICAN AIRLINES/AADVANTAGE                | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     270000 | PA      | $252125.03    | 0.05%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                       | ABBVIE INC                                  | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     200000 | PA      | $189503.25    | 0.04%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MAGNACHIP SEMICONDUCTOR CORP                                     | MagnaChip Semiconductor Corp                | CUSIP: 55933J203<br>LEI: 529900P54J1ATLRBUV29 | Long             | EC               | CORP              | US        |      40326 | NS      | $408099.12    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| MARB BONDCO PLC                                                  | MARB BONDCO PLC                             | CUSIP: 566007AC4<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     200000 | PA      | $154954.67    | 0.03%             | 2031-01-29      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ABIOMED INC                                                      | ABIOMED Inc                                 | CUSIP: 003654100<br>LEI: 5493001EZN4ZTB4Z5887 | Long             | EC               | CORP              | US        |       5822 | NS      | $2199493.38   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| ACRISURE LLC                                                     | ACRISURE LLC/ACRISURE FINANCE INC           | CUSIP: 00489LAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $122791.26    | 0.02%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP                                                   | GLP CAPITAL LP / GLP FINANCING II           | CUSIP: 361841AL3<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |     130000 | PA      | $122646.09    | 0.02%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| MABS_05-WF1                                                      | MABS_05-WF1                                 | CUSIP: 57643LKB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     672400 | PA      | $651073.47    | 0.13%             | 2035-06-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                      | MATCH GROUP INC                             | CUSIP: 57665RAL0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $125221.88    | 0.02%             | 2030-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| H-FOOD HOLDINGS LLC                                              | H-FOOD HOLDINGS LLC                         | CUSIP: 577088AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     105000 | PA      | $61017.05     | 0.01%             | 2026-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MEDCO OAK TREE PTE LTD                                           | MEDCO OAK TREE PTE LTD                      | CUSIP: 58405FAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     440000 | PA      | $421387.07    | 0.08%             | 2026-05-14      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / ACRISURE FINANCE INC                              | ACRISURE LLC / ACRISURE FINANCE             | CUSIP: 00489LAH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      80000 | PA      | $64043.16     | 0.01%             | 2029-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ACTIVISION BLIZZARD INC                                          | Activision Blizzard Inc                     | CUSIP: 00507V109<br>LEI: 549300TPQQDBP9GNOF40 | Long             | EC               | CORP              | US        |      61759 | NS      | $4567078.05   | 0.88%             |  |  |  | No            |                  1 | On Loan: No      |
| MERCADOLIBRE INC                                                 | MERCADOLIBRE INC                            | CUSIP: 58733RAE2<br>LEI: 549300DKPDN9M5S8GB14 | Long             | DBT              | CORP              | US        |     200000 | PA      | $176802.42    | 0.03%             | 2026-01-14      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| METRONET INFRASTRUCTURE ISSUER LLC MNET_22-1                     | MNET_22-1A                                  | CUSIP: 59170JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     165000 | PA      | $166734.60    | 0.03%             | 2052-10-20      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| ARMT_05-9                                                        | ARMT_05-9                                   | CUSIP: 007036SH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     116342 | PA      | $112824.74    | 0.02%             | 2035-11-25      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| ADTALEM GLOBAL EDUCATION INC                                     | ADTALEM GLOBAL EDUCATION INC                | CUSIP: 00737WAA7<br>LEI: 549300Z467EZLMODV621 | Long             | DBT              | CORP              | US        |      84000 | PA      | $78472.62     | 0.02%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN TRANSPORTATION AUTHORITY                            | Metropolitan Transportation Authority       | CUSIP: 59259YCA5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     250000 | PA      | $258609.08    | 0.05%             | 2031-11-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| MIAMI DADE CNTY FL AVIATION REVENUE                              | County of Miami-Dade FL Aviation Revenue    | CUSIP: 59333P6L7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      85000 | PA      | $65224.50     | 0.01%             | 2035-10-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| AECOM                                                            | AECOM                                       | CUSIP: 00774CAB3<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | DBT              | CORP              | US        |     295000 | PA      | $286962.55    | 0.06%             | 2027-03-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST        | AERCAP IRELAND CAPITAL DAC/GLOBAL           | CUSIP: 00774MAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      75000 | PA      | $67069.85     | 0.01%             | 2028-01-23      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES HOLDINGS INC                                     | UNITED AIRLINES HOLDINGS TLB 5.25           | CUSIP: 59921PAB2<br>LEI: 98450079DA0B78DD6764 | Long             | LON              | CORP              | US        |     237500 | PA      | $244031.25    | 0.05%             | 2027-06-21      | Variable      | 8.78%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR S.A.                                      | MILLICOM INTL CELLULAR SA                   | CUSIP: 600814AR8<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $164500.14    | 0.03%             | 2031-04-27      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MODIVCARE ESCROW ISSUER INC                                      | MODIVCARE ESCROW ISSUER INC                 | CUSIP: 60783XAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      75000 | PA      | $63060.41     | 0.01%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                            | MOLINA HEALTHCARE INC                       | CUSIP: 60855RAJ9<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |     200000 | PA      | $181466.77    | 0.03%             | 2028-06-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                            | MOLINA HEALTHCARE INC                       | CUSIP: 60855RAK6<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |     225000 | PA      | $193471.98    | 0.04%             | 2030-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST        | AERCAP IRELAND CAP DAC/AERCAP               | CUSIP: 00774MAT2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     360000 | PA      | $343685.73    | 0.07%             | 2023-10-29      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST        | AERCAP IRELAND CAP/AERCAP GLOBAL            | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     344000 | PA      | $271765.61    | 0.05%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AEROJET ROCKETDYNE HOLDINGS INC                                  | Aerojet Rocketdyne Holdings Inc             | CUSIP: 007800105<br>LEI: 549300VULNLWHE8QWI76 | Long             | EC               | CORP              | US        |      38786 | NS      | $2016872.00   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Citi                                                             | US 2YR NOTE MAR 23                          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |         94 | NC      | $48983.65     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US 2YR NOTE MAR 23                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |        -77 | NC      | $-42326.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US 2YR NOTE MAR 23                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |       -258 | NC      | $-130551.12   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | FTSE TAIWAN DEC 22                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | SG        |          2 | NC      | $417.54       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | FTSE TAIWAN DEC 22                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | SG        |         -2 | NC      | $-183.06      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | US 10YR NOTE MAR 23                         | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |        -41 | NC      | $-25144.22    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US 10YR NOTE MAR 23                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |        -78 | NC      | $-72022.63    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                                              | JAPANESE YEN                                | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | JP        |    7782667 | OU      | $930.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS                                                              | US DOLLARS                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | CA        |    -361489 | OU      | $-5011.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS                                                              | US DOLLARS                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | XX        |   -4642911 | OU      | $-182166.20   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS                                                              | US DOLLARS                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | JP        |  -36231451 | OU      | $-13978.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS                                                              | US DOLLARS                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | NO        |    -776389 | OU      | $-3977.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS                                                              | US DOLLARS                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | NZ        |   -1115613 | OU      | $-51509.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS                                                              | US DOLLARS                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | SG        |    -552328 | OU      | $-13103.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS                                                              | CANADIAN DOLLAR                             | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | CA        |     438147 | OU      | $2936.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL CORPORATION                                | PINNACLE WEST CAPITAL CORP                  | CUSIP: 723484AH4<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |      85000 | PA      | $77264.39     | 0.01%             | 2025-06-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| KFC HOLDING CO                                                   | YUM! BRANDS INC TLB 1.75                    | CUSIP: 72584DAF1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     294110 | PA      | $289592.73    | 0.06%             | 2028-03-15      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| POPULAR INC                                                      | POPULAR INC                                 | CUSIP: 733174AK2<br>LEI: 5493008CARDZMVQ3LO89 | Long             | DBT              | CORP              | PR        |     370000 | PA      | $370754.73    | 0.07%             | 2023-09-14      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| POSHMARK INC                                                     | Poshmark Inc                                | CUSIP: 73739W104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      72120 | NS      | $1285899.60   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| POST HOLDINGS INC                                                | POST HOLDINGS INC                           | CUSIP: 737446AN4<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     315000 | PA      | $300472.91    | 0.06%             | 2028-01-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| UBS                                                              | CANADIAN DOLLAR                             | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | CA        |     479447 | OU      | $-3919.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS                                                              | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | XX        |     721250 | OU      | $34635.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                | POST HOLDINGS INC                           | CUSIP: 737446AP9<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     110000 | PA      | $101116.78    | 0.02%             | 2029-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                | POST HOLDINGS INC                           | CUSIP: 737446AR5<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     165000 | PA      | $139385.25    | 0.03%             | 2031-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS                                                              | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | XX        |     522517 | OU      | $-1470.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | EURO BUXL 30YR BOND DEC 22                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | DE        |         -1 | NC      | $-13082.08    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PREMIER ENTERTAINMENT SUB LLC                                    | PREMIER ENTERTAINMENT SUB LLC               | CUSIP: 74052HAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      59000 | PA      | $44934.56     | 0.01%             | 2031-09-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PRESTIGE BRANDS INC                                              | PRESTIGE BRANDS INC                         | CUSIP: 74112BAM7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     185000 | PA      | $156426.96    | 0.03%             | 2031-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE SERVICES INC                                    | PRIME HEALTHCARE SERVICES INC               | CUSIP: 74165HAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $128309.92    | 0.02%             | 2025-11-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_21-SFR9                          | PROG_21-SFR9                                | CUSIP: 74333QAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     910000 | PA      | $713649.85    | 0.14%             | 2040-11-17      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | EURO BUXL 30YR BOND DEC 22                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | DE        |         -7 | NC      | $-107252.34   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | US LONG BOND MAR 23                         | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |         -3 | NC      | $-1644.58     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US LONG BOND MAR 23                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |         -2 | NC      | $-2205.01     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US LONG BOND MAR 23                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |        -41 | NC      | $-71692.43    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MODIVCARE INC                                                    | PROVIDENCE SERVICE CORP                     | CUSIP: 743815AE2<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | DBT              | CORP              | US        |     158000 | PA      | $146138.44    | 0.03%             | 2025-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| INDONESIA ASAHAN ALUMINIUM PERSERO PT                            | INDONESIA ASAHAN ALUMINIUM TBK PT           | CUSIP: 74445PAE2<br>LEI: N/A                  | Long             | DBT              | NUSS              | ID        |     220000 | PA      | $216680.98    | 0.04%             | 2025-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DENTSPLY SIRONA INC                                              | DENTSPLY SIRONA INC                         | CUSIP: 24906PAA7<br>LEI: 9NHEHR1SOZCYXDO8HO28 | Long             | DBT              | CORP              | US        |     165000 | PA      | $137045.40    | 0.03%             | 2030-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC                                         | DIAMOND SPORTS GROUP LLC                    | CUSIP: 25277LAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     293000 | PA      | $45599.67     | 0.01%             | 2026-08-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Citi                                                             | US ULTRA 10YR NOTE MAR 23                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |       -163 | NC      | $-171331.57   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US ULTRA 10YR NOTE MAR 23                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |        -32 | NC      | $-31652.20    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| DIRECTV FINANCING LLC                                            | DIRECTV HOLDINGS LLC/DIRECTV FIN            | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $137608.10    | 0.03%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC (GOVERNMENT)                                  | DOMINICAN (REPUBLIC OF)                     | CUSIP: 25714PED6<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |     350000 | PA      | $298980.93    | 0.06%             | 2030-01-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DP WORLD CRESCENT LTD                                            | DP WORLD CRESCENT LTD                       | CUSIP: 26139PAB9<br>LEI: N/A                  | Long             | DBT              | NUSS              | KY        |     200000 | PA      | $196715.53    | 0.04%             | 2028-09-26      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| DROP_21-FILE                                                     | DROP_21-FILE                                | CUSIP: 26210YAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $367902.16    | 0.07%             | 2043-10-15      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| QATAR ENERGY                                                     | QATAR PETROLEUM                             | CUSIP: 74730DAC7<br>LEI: N/A                  | Long             | DBT              | NUSS              | QA        |     465000 | PA      | $388929.60    | 0.07%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC RALI_07-QH6                       | RALI_07-QH6                                 | CUSIP: 74922AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     316322 | PA      | $282599.78    | 0.05%             | 2037-07-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS RALI_06-QA6                           | RALI_06-QA6                                 | CUSIP: 74922MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     335992 | PA      | $289530.19    | 0.06%             | 2036-07-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SEC I RFMSI_06-S10                  | RFMSI_06-S10                                | CUSIP: 74958DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     581348 | PA      | $458003.71    | 0.09%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US ULTRA 10YR NOTE MAR 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |        -46 | NC      | $-54882.90    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CBOE VIX DEC 22                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |          1 | NC      | $-3179.66     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| DRYDEN CLO LTD DRSLF_20-85A                                      | DRSLF_20-85A                                | CUSIP: 26246BAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     800000 | PA      | $773854.40    | 0.15%             | 2035-10-15      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| DRYDEN 30 SENIOR LOAN FUND LLC DRSLF_13-30A                      | DRSLF_13-30A                                | CUSIP: 26249BAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     218596 | PA      | $215795.26    | 0.04%             | 2028-11-15      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                         | DUKE ENERGY PROGRESS LLC                    | CUSIP: 26442RAD3<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     225000 | PA      | $190274.64    | 0.04%             | 2044-12-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                         | EQT CORP                                    | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      69000 | PA      | $63969.21     | 0.01%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | RAPESEED FEB 23                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | FR        |         -4 | NC      | $4180.56      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EURO STOXX 50 DEC 22                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | DE        |         29 | NC      | $47967.80     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | EURO STOXX 50 DEC 22                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | DE        |         49 | NC      | $53262.85     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EQT CORP                                                         | EQT CORP                                    | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      40000 | PA      | $36976.08     | 0.01%             | 2026-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                         | EQT CORP                                    | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     625000 | PA      | $540284.08    | 0.10%             | 2031-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | STOXX 50 DEC 22                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | DE        |          2 | NC      | $2337.18      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | WHEAT MAR 23                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -9 | NC      | $18793.15     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EVO PAYMENTS INC                                                 | Evo Payments Inc                            | CUSIP: 26927E104<br>LEI: 549300Z5UL344C8KEC55 | Long             | EC               | CORP              | US        |      79433 | NS      | $2677686.43   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| ECOPETROL SA                                                     | ECOPETROL SA                                | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |      55000 | PA      | $37887.15     | 0.01%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | RAPESEED MAY 23                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | FR        |         -1 | NC      | $931.20       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | EURO-BTP (ITALY GOVT) DEC 22                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | DE        |         -3 | NC      | $-9711.31     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ECOPETROL SA                                                     | ECOPETROL SA                                | CUSIP: 279158AL3<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |      50000 | PA      | $46811.28     | 0.01%             | 2026-06-26      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                     | ECOPETROL SA                                | CUSIP: 279158AN9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |     110000 | PA      | $98345.41     | 0.02%             | 2030-04-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC R                                 | RALI_06-QO10                                | CUSIP: 751153AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     614536 | PA      | $504747.05    | 0.10%             | 2037-01-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODU                                 | RAMP_06-RZ2                                 | CUSIP: 75156UAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     549963 | PA      | $534438.56    | 0.10%             | 2036-05-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                     | ECOPETROL SA                                | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |     105000 | PA      | $79472.09     | 0.02%             | 2031-11-02      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SHAW COMMUNICATIONS INC.                                         | Shaw Communications Inc                     | CUSIP: 000000000<br>LEI: 549300SCT0RG6178CI40 | Long             | EC               | CORP              | CA        |      24667 | NS      | $673178.14    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| READYCAP COMMERCIAL MORTGAGE TRUST RCMT_20-FL4                   | RCMT_20-FL4                                 | CUSIP: 75575JAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $245727.53    | 0.05%             | 2035-02-25      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| REDE DOR FINANCE SARL                                            | REDE DOR FINANCE SARL                       | CUSIP: 75735GAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     200000 | PA      | $172413.06    | 0.03%             | 2030-01-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | EURO-BTP (ITALY GOVT) DEC 22                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | DE        |        -10 | NC      | $-37649.36    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | 90 D AUD BANK BILL RATE MAR 23              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | AU        |          9 | NC      | $399.82       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | WHEAT MAR 23                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         -4 | NC      | $-3222.64     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | WHEAT MAY 23                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $2260.35      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | E-MINI MATERIALS SELECT SECTOR DEC          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |          1 | NC      | $1508.62      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EMINI ENERGY SELECT SECTOR DEC 22           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |          2 | NC      | $12837.24     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | WHEAT DEC 23                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -7 | NC      | $7272.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | US ULTRA T-BOND MAR 23                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |          2 | NC      | $-1626.90     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EDGEWELL PERSONAL CARE CO                                        | EDGEWELL PERSONAL CARE CO                   | CUSIP: 28035QAA0<br>LEI: 549300CY8QZDL4Z3RU59 | Long             | DBT              | CORP              | US        |     150000 | PA      | $142658.34    | 0.03%             | 2028-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                        | ELDORADO RESORTS                            | CUSIP: 28470RAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     130000 | PA      | $130512.31    | 0.03%             | 2027-07-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | EMINI TECHNOLOGY SELECT SECTOR DEC          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |          1 | NC      | $7548.62      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | PLATINUM TCOM OCT 23                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          2 | NC      | $-485.37      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Citi                                                             | US ULTRA T-BOND MAR 23                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |        -44 | NC      | $-98979.67    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US ULTRA T-BOND MAR 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |        -24 | NC      | $-46484.97    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | JPN 10YR BOND (OSE) DEC 22                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | JP        |         -4 | NC      | $3244.40      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | JPN 10YR BOND (OSE) DEC 22                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | JP        |         -1 | NC      | $-2576.34     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                         | Electricite de France SA                    | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | EC               | NUSS              | FR        |     138115 | NS      | $1728586.21   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| EMBECTA CORP                                                     | EMBECTA CORP                                | CUSIP: 29082KAA3<br>LEI: 549300RPG8GXVDHNXZ62 | Long             | DBT              | CORP              | US        |     270000 | PA      | $230683.05    | 0.04%             | 2030-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | GOLD TCOM FUTURE AUG 23                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | JP        |          1 | NC      | $-1211.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | GOLD TCOM FUTURE OCT 23                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | JP        |          4 | NC      | $-4818.06     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | FCOJ-A FUTURE JAN 23                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |          3 | NC      | $-3869.10     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CANADIAN DOLLAR                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | AU        |  -15200000 | OU      | $-150756.71   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI (EMIRATE OF)                                           | ABU DHABI (EMIRATE OF)                      | CUSIP: 29135LAH3<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |     200000 | PA      | $186467.12    | 0.04%             | 2030-04-16      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| ABU DHABI (EMIRATE OF)                                           | ABU DHABI (EMIRATE OF)                      | CUSIP: 29135LAJ9<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |     200000 | PA      | $167656.26    | 0.03%             | 2050-04-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |     375000 | OU      | $-1641.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | BRITISH POUND                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | GB        |     750000 | OU      | $11203.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI (EMIRATE OF)                                           | ABU DHABI (EMIRATE OF)                      | CUSIP: 29135LAM2<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |     205000 | PA      | $169962.82    | 0.03%             | 2031-03-02      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                      | ENCANA CORPORATION                          | CUSIP: 292505AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     255000 | PA      | $262884.97    | 0.05%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA (REPUBLIC OF)                                            | ROMANIA (REPUBLIC OF)                       | CUSIP: X7360WBP6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     200000 | PA      | $160680.10    | 0.03%             | 2031-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | EMINI REAL ESTATE SELECT SECTO DEC          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |          1 | NC      | $773.62       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | JAPANESE YEN                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | AU        |   -1000000 | OU      | $4934.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | JAPANESE YEN                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | JP        |  333724040 | OU      | $-20047.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RENT-A-CENTER INC/TX                                             | RENT-A-CENTER INC/TX                        | CUSIP: 76009NAL4<br>LEI: 529900QUHE15UQNCCJ63 | Long             | DBT              | CORP              | US        |     200000 | PA      | $164941.14    | 0.03%             | 2029-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| RESOLUTE FOREST PRODUCTS                                         | Resolute Forest Products Inc                | CUSIP: 76117W109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      69098 | NS      | $1457967.80   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| REYNOLDS AMERICAN INC                                            | REYNOLDS AMERICAN INC                       | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |     510000 | PA      | $445058.69    | 0.09%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                     | ROCKIES EXPRESS PIPELINE LLC                | CUSIP: 77340RAM9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $83010.67     | 0.02%             | 2040-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                     | ROCKIES EXPRESS PIPELINE LLC                | CUSIP: 77340RAR8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $90194.40     | 0.02%             | 2029-07-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                     | ROCKIES EXPRESS PIPELINE LLC                | CUSIP: 77340RAT4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $85501.03     | 0.02%             | 2030-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ROGERS CORP                                                      | Rogers Corp                                 | CUSIP: 775133101<br>LEI: PW0CN80KNFR7RUOOKJ84 | Long             | EC               | CORP              | US        |      12336 | NS      | $1345117.44   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                      | ROYAL CARIBBEAN CRUISES LTD                 | CUSIP: 780153BG6<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     385000 | PA      | $315025.48    | 0.06%             | 2028-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                      | ROYAL CARIBBEAN CRUISES LTD                 | CUSIP: 780153BL5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      63000 | PA      | $64195.26     | 0.01%             | 2027-08-15      | Fixed         | 11.62%                | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                                     | SK HYNIX INC                                | CUSIP: 78392BAB3<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |     200000 | PA      | $173794.75    | 0.03%             | 2026-01-19      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | GASOLINE RBOB JAN 23                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |          6 | NC      | $-41674.26    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | GASOLINE RBOB JAN 23                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $-690.48      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | GASOLINE RBOB FEB 23                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -3 | NC      | $-9875.04     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | GASOLINE RBOB MAR 23                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $-5394.48     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | INR/USD FUTURE (SGX) DEC 22                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | IN        |        -41 | NC      | $-7560.40     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | AUST 10YR BOND DEC 22                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | AU        |        -28 | NC      | $-34236.63    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | NEW ZEALAND DOLLAR                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | AU        |   -2400000 | OU      | $29406.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | AU        |   -3700000 | OU      | $-8508.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                      | ENCANA CORPORATION                          | CUSIP: 292505AG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     130000 | PA      | $132776.91    | 0.03%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                     | ENBRIDGE INC                                | CUSIP: 29250NAZ8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     250000 | PA      | $220758.62    | 0.04%             | 2029-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | AUSTRALIA DOLLAR                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | AU        |    8000000 | OU      | $78349.18     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |     625000 | OU      | $9402.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                  | SBA TOWER TRUST                             | CUSIP: 78403DAZ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     240000 | PA      | $241065.89    | 0.05%             | 2028-01-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                   | S&P GLOBAL INC                              | CUSIP: 78409VAY0<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     245000 | PA      | $243856.79    | 0.05%             | 2028-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENCOMPASS HEALTH CORP                                            | ENCOMPASS HEALTH CORP                       | CUSIP: 29261AAE0<br>LEI: 549300FVRPM9DRQZRG64 | Long             | DBT              | CORP              | US        |     165000 | PA      | $142459.66    | 0.03%             | 2031-04-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ENERGIZER HOLDINGS INC                                           | ENERGIZER HOLDINGS INC                      | CUSIP: 29272WAF6<br>LEI: 5493000D6NN0V57UME20 | Long             | DBT              | CORP              | US        |     150000 | PA      | $143138.81    | 0.03%             | 2027-12-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | JAPANESE YEN                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CA        |   -2000000 | OU      | $30701.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    2868208 | OU      | $43020.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CA        |   -1095080 | OU      | $-10452.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |    1250000 | OU      | $6475.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SBA COMMUNICATIONS CORP                                          | SBA COMMUNICATIONS CORP                     | CUSIP: 78410GAD6<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              | CORP              | US        |     595000 | PA      | $549534.94    | 0.11%             | 2027-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SBA COMMUNICATIONS CORP                                          | SBA COMMUNICATIONS CORP                     | CUSIP: 78410GAG9<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              | CORP              | US        |     305000 | PA      | $255057.63    | 0.05%             | 2029-02-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | JAPANESE YEN                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CH        |    -500000 | OU      | $7741.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    3200099 | OU      | $27804.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SES GLOBAL AMERICAS HOLDINGS GP                                  | SES GLOBAL AMERICAS HLDG                    | CUSIP: 78413KAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     375000 | PA      | $292425.97    | 0.06%             | 2044-03-25      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| SFAVE COMMERCIAL MORTGAGE SECURITIES SFAVE_15-5AVE               | SFAVE_15-5AVE                               | CUSIP: 78413MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     425000 | PA      | $299217.38    | 0.06%             | 2043-01-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    3100000 | OU      | $3079.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CN        |   -4308726 | OU      | $-11682.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SFAVE COMMERCIAL MORTGAGE SECURITIES SFAVE_15-5AVE               | SFAVE_15-5AVE                               | CUSIP: 78413MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35000 | PA      | $24325.69     | 0.00%             | 2043-01-05      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| SFAVE COMMERCIAL MORTGAGE SECURITIES SFAVE_15-5AVE               | SFAVE_15-5AVE                               | CUSIP: 78413MAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     345000 | PA      | $210664.59    | 0.04%             | 2043-01-05      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | AUSTRALIA DOLLAR                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |    -750000 | OU      | $7118.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CANADIAN DOLLAR                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |   -3375000 | OU      | $-43316.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                               | ENERGY TRANSFER PARTNERS LP                 | CUSIP: 29273RBF5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     245000 | PA      | $209662.72    | 0.04%             | 2045-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                               | ENERGY TRANSFER LP                          | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     336000 | PA      | $245717.11    | 0.05%             | 2049-12-31      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | AUST 10YR BOND DEC 22                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | AU        |        -32 | NC      | $-31955.80    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SPI 200 DEC 22                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | AU        |         10 | NC      | $23905.01     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ENERGY TRANSFER LP                                               | ENERGY TRANSFER PARTNERS LP                 | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      92000 | PA      | $89240.93     | 0.02%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                               | ENERGY TRANSFER OPERATING LP                | CUSIP: 29278NAN3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      90000 | PA      | $90005.41     | 0.02%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SWISS FRANC                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |   -6250000 | OU      | $-40068.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | BRITISH POUND                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |    -700000 | OU      | $11131.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | SPI 200 DEC 22                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | AU        |         25 | NC      | $41531.66     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CAN 5YR BOND MAR 23                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | CA        |         -1 | NC      | $-139.08      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | JAPANESE YEN                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |    -600000 | OU      | $6206.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | NORWAY KRONA                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |    -750000 | OU      | $8177.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                               | ENERGY TRANSFER LP                          | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      12000 | PA      | $9889.80      | 0.00%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                               | ENERGY TRANSFER LP                          | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      80000 | PA      | $75655.39     | 0.01%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | POLISH ZLOTY                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |    -200000 | OU      | $1613.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SWEDISH KRONA                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |   -1250000 | OU      | $-8003.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2004-10                                   | SLMA_04-10                                  | CUSIP: 78442GND4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     293932 | PA      | $268226.00    | 0.05%             | 2040-01-25      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| SLMA_08-2                                                        | SLMA_08-2                                   | CUSIP: 784442AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     740000 | PA      | $568600.83    | 0.11%             | 2083-01-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FTSE CHINA A50 DEC 22                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | SG        |        -23 | NC      | $-17234.67    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | FTSE CHINA A50 DEC 22                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | SG        |       -137 | NC      | $-66925.54    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                | ENTERPRISE PRODUCTS OPERATING LLC           | CUSIP: 29379VBC6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      60000 | PA      | $55145.80     | 0.01%             | 2045-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TR                                 | CGCMT_16-P3                                 | CUSIP: 29429CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9022073 | PA      | $354809.26    | 0.07%             | 2049-04-15      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |   -3000000 | OU      | $2018.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |   -1241900 | OU      | $-69998.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SLMA_08-4                                                        | SLMA_08-4                                   | CUSIP: 78445AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     282268 | PA      | $280816.89    | 0.05%             | 2023-07-25      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST SLMA_08-7                                 | SLMA_08-7                                   | CUSIP: 78445FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $426936.80    | 0.08%             | 2083-07-26      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| EVERARC ESCROW SARL                                              | EVERARC ESCROW SARL                         | CUSIP: 29977LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     190000 | PA      | $151951.92    | 0.03%             | 2029-10-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EVERI HOLDINGS INC                                               | EVERI HOLDINGS INC                          | CUSIP: 30034TAA1<br>LEI: 5299006DK5S7BG10K532 | Long             | DBT              | CORP              | US        |     175000 | PA      | $152318.25    | 0.03%             | 2029-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SLMA_12-1                                                        | SLMA_12-1                                   | CUSIP: 78446WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     385137 | PA      | $371085.16    | 0.07%             | 2028-09-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST SLMA_12-7                                 | SLMA_12-7                                   | CUSIP: 78447KAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     550000 | PA      | $513692.47    | 0.10%             | 2043-09-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| ATLAS CORP (CANADA)                                              | Atlas Corp                                  | CUSIP: Y0436Q109<br>LEI: N/A                  | Long             | EC               | CORP              | MH        |      96558 | NS      | $1484096.46   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | AUST 3YR BOND DEC 22                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | AU        |        -58 | NC      | $-6147.78     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EXPORT-IMPORT BANK OF INDIA                                      | EXPORT-IMPORT BANK OF INDIA                 | CUSIP: 30216JAC9<br>LEI: N/A                  | Long             | DBT              | NUSS              | IN        |     200000 | PA      | $186717.98    | 0.04%             | 2028-02-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FMG RESOURCES (AUGUST 2006) PTY LTD                              | FMG RESOURCES (AUGUST 2006) PTY             | CUSIP: 30251GBC0<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |      65000 | PA      | $54757.73     | 0.01%             | 2031-04-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FTSE 100 INDEX DEC 22                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | GB        |         23 | NC      | $33801.73     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | FTSE 100 INDEX DEC 22                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | GB        |         50 | NC      | $91964.55     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS FHLMC_19-KF71    | FHLMC_19-KF71                               | CUSIP: 30314GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     308325 | PA      | $294408.68    | 0.06%             | 2029-10-25      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FS LUXEMBOURG SARL                                               | FS LUXEMBOURG SARL                          | CUSIP: 30315XAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     200000 | PA      | $201474.54    | 0.04%             | 2025-12-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | Momentive Global Inc                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |       1057 | NC      | $7927.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | Broadcom Inc                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |         21 | NC      | $39270.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | AUSTRALIA DOLLAR                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | GB        |   -3750000 | OU      | $-66173.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SWISS FRANC                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | GB        |    -625000 | OU      | $-19146.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STORAGEMART COMMERCIAL MORTGAGE TRUST SMRT_22-MINI               | SMRT_22-MINI                                | CUSIP: 78457JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     350000 | PA      | $320171.25    | 0.06%             | 2039-01-15      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| ST MARYS CEMENT INC                                              | ST MARYS CEMENT INC                         | CUSIP: 78478EAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     200000 | PA      | $201169.61    | 0.04%             | 2027-01-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAPITAL III                                     | FARMERS EXCHANGE CAPITAL III                | CUSIP: 30958QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     300000 | PA      | $280112.50    | 0.05%             | 2054-10-15      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                          | FHLB                                        | CUSIP: 3130AQV26<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     400000 | PA      | $378731.29    | 0.07%             | 2024-09-04      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| STARWOOD COMMERCIAL MORTGAGE TRUST STWD-19-FL1                   | STWD_19-FL1                                 | CUSIP: 78485WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     398000 | PA      | $378018.85    | 0.07%             | 2038-07-15      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| SABEY DATA CENTERS SDCP_20-1                                     | SDCP_20-1                                   | CUSIP: 78520EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     470000 | PA      | $438184.20    | 0.08%             | 2045-04-20      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS                             | CUSIP: 3133KPUH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     343101 | PA      | $334199.27    | 0.06%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-56                                            | FNMA_12-56                                  | CUSIP: 3136A6VQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      91689 | PA      | $89623.45     | 0.02%             | 2042-06-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| SANTA CLARA VY CALIF TRANSN AUTH                                 | Santa Clara Valley Transportation Authority | CUSIP: 80168NEP0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     250000 | PA      | $260241.15    | 0.05%             | 2032-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                  | SANTANDER UK GROUP HOLDINGS PLC             | CUSIP: 80281LAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |      90000 | PA      | $88267.10     | 0.02%             | 2024-11-15      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-5                                             | FNMA_13-5                                   | CUSIP: 3136ABG64<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     234783 | PA      | $219510.16    | 0.04%             | 2042-10-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE ACES FNMA_16-M4                                       | FNMA_16-M4                                  | CUSIP: 3136ARP44<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     339553 | PA      | $5479.63      | 0.00%             | 2039-01-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| ADVANCED DRAINAGE SYSTEMS INC                                    | ADVANCED DRAINAGE SYSTEMS INC               | CUSIP: 00790RAB0<br>LEI: 6QQTOZ5MF5DHM7K92I60 | Long             | DBT              | CORP              | US        |      70000 | PA      | $67575.90     | 0.01%             | 2030-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| AIR CANADA                                                       | AIR CANADA                                  | CUSIP: 008911BF5<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | DBT              | CORP              | CA        |     110000 | PA      | $132320.19    | 0.03%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                  | SANTANDER UK GROUP HOLDINGS PLC             | CUSIP: 80281LAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     300000 | PA      | $278593.59    | 0.05%             | 2025-03-15      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                  | SANTANDER UK GROUP HOLDINGS PLC             | CUSIP: 80281LAQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     110000 | PA      | $93085.45     | 0.02%             | 2027-06-14      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |    3500000 | OU      | $-66859.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |     738153 | OU      | $-18173.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK PLC                                                 | SANTANDER UK PLC                            | CUSIP: 80283LAA1<br>LEI: PTCQB104N23FMNK2RZ28 | Long             | DBT              | CORP              | GB        |     115000 | PA      | $113322.36    | 0.02%             | 2023-11-07      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007 SAST_07-2                      | SAST_07-2                                   | CUSIP: 80556YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     592971 | PA      | $413907.53    | 0.08%             | 2047-05-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                              | CHARLES SCHWAB CORPORATION (THE)            | CUSIP: 808513BT1<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     165000 | PA      | $130901.51    | 0.03%             | 2031-12-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| EW SCRIPPS CO                                                    | SCRIPPS ESCROW INC                          | CUSIP: 81104PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      30000 | PA      | $26946.24     | 0.01%             | 2027-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SCRIPPS ESCROW II INC                                            | SCRIPPS ESCROW II INC                       | CUSIP: 81105DAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     140000 | PA      | $114302.93    | 0.02%             | 2031-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORPORATION                                           | SEALED AIR CORPORATION                      | CUSIP: 81211KAX8<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |     357000 | PA      | $355997.62    | 0.07%             | 2025-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORPORATION                                           | SEALED AIR CORPORATION                      | CUSIP: 81211KBA7<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |     100000 | PA      | $92984.40     | 0.02%             | 2029-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SHINHAN FINANCIAL GROUP CO LTD                                   | SHINHAN FINANCIAL GROUP CO LTD              | CUSIP: 824596AA8<br>LEI: 988400EB8A6G49E5KO54 | Long             | DBT              | CORP              | KR        |     200000 | PA      | $168229.61    | 0.03%             | 2049-12-31      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| SIERRA WIRELESS INC                                              | Sierra Wireless Inc                         | CUSIP: 826516106<br>LEI: 549300E33RZ5BJ726L53 | Long             | EC               | CORP              | CA        |     115123 | NS      | $3376557.59   | 0.65%             |  |  |  | No            |                  1 | On Loan: No      |
| SIGNIFY HEALTH INC                                               | Signify Health Inc                          | CUSIP: 82671G100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      68103 | NS      | $1949107.86   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| SILICON MTN TEC                                                  | Silicon Motion Technology Corp              | CUSIP: 82706C108<br>LEI: 5299005RBVBZQJTYFC89 | Long             | EC               | CORP              | KY        |      21767 | NS      | $1373497.70   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| SIMMONS FOODS INC                                                | SIMMONS FOODS INC/SIMMONS PREP              | CUSIP: 82873MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     170000 | PA      | $140626.23    | 0.03%             | 2029-03-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MOMENTIVE GLOBAL INC                                             | Momentive Global Inc                        | CUSIP: 60878Y108<br>LEI: 549300PR9RG3VC9OH575 | Long             | EC               | CORP              | US        |     143016 | NS      | $1134116.88   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | JAPANESE YEN                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | GB        |    -375000 | OU      | $-2361.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | GB        |   -2000000 | OU      | $-43985.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SIMPAR FINANCE SARL                                              | SIMPAR FINANCE SARL                         | CUSIP: 82883AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     640000 | PA      | $91069.79     | 0.02%             | 2028-02-12      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                              | SIRIUS XM RADIO INC                         | CUSIP: 82967NBG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     255000 | PA      | $215173.82    | 0.04%             | 2030-07-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |     300000 | OU      | $910.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |     300000 | OU      | $1503.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST MSC_18-MP                         | MSC_18-MP                                   | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     315000 | PA      | $278154.92    | 0.05%             | 2040-07-11      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                              | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      85000 | PA      | $65136.51     | 0.01%             | 2032-04-28      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                            | AIR LEASE CORPORATION                       | CUSIP: 00912XBA1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     160000 | PA      | $151731.21    | 0.03%             | 2025-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                                      | AKER BP ASA                                 | CUSIP: 00973RAF0<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |     210000 | PA      | $186311.25    | 0.04%             | 2030-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I MSAC_05-WMC1                        | MSAC_05-WMC1                                | CUSIP: 61744CLW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     288766 | PA      | $274820.20    | 0.05%             | 2035-01-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                              | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     400000 | PA      | $311965.63    | 0.06%             | 2032-07-21      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| SKYMILES IP LTD                                                  | DELTA AIR LINES/SKYMILES IP LTD             | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     100000 | PA      | $97261.38     | 0.02%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SKYMILES IP LTD                                                  | DELTA AIR LINES/SKYMILES IP LTD             | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     734000 | PA      | $695461.84    | 0.13%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ADC_21-1A                                                        | ADC_21-1A                                   | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     388000 | PA      | $328296.89    | 0.06%             | 2046-08-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO XII ALLEG_20-1A                                      | ALLEG_20-1A                                 | CUSIP: 01750TAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $240526.50    | 0.05%             | 2032-01-21      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE LLC                                       | ALLIANT ENERGY FINANCE LLC                  | CUSIP: 01882YAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     305000 | PA      | $266709.68    | 0.05%             | 2032-03-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER   | ALLIANT HLDS INTERMED/ALLIANT HLDS          | CUSIP: 01883LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     155000 | PA      | $142893.41    | 0.03%             | 2027-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    2000000 | OU      | $-7127.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    8900000 | OU      | $-176379.92   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    8900000 | OU      | $-118738.95   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    6916218 | OU      | $-6664.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                              | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     100000 | PA      | $74191.51     | 0.01%             | 2036-09-16      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                              | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     205000 | PA      | $163048.02    | 0.03%             | 2032-10-20      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    1983782 | OU      | $-2173.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    5216218 | OU      | $-35272.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                              | CUSIP: 61747YES0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     345000 | PA      | $321126.38    | 0.06%             | 2037-04-20      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| MSM_05-5AR                                                       | MSM_05-5AR                                  | CUSIP: 61748HLN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | PA      | $466715.75    | 0.09%             | 2035-09-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |     483782 | OU      | $-3119.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    5216218 | OU      | $-28587.12    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ALLISON TRANSMISSION INC                                         | ALLISON TRANSMISSION INC                    | CUSIP: 019736AG2<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |     100000 | PA      | $83769.26     | 0.02%             | 2031-01-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                       | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    5225000 | PA      | $4307767.55   | 0.83%             | 2052-01-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC MSAC_07-HE2                           | MSAC_07-HE2                                 | CUSIP: 61753EAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1246763 | PA      | $599326.04    | 0.12%             | 2037-01-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC MSAC_07-NC3                           | MSAC_07-NC3                                 | CUSIP: 61755AAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     710834 | PA      | $488707.65    | 0.09%             | 2037-05-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | IN        |  -39589574 | OU      | $-2343.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | AUSTRALIA DOLLAR                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | AU        |    5400000 | OU      | $-10599.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CANADIAN DOLLAR                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CA        |    4800000 | OU      | $-73136.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SWISS FRANC                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CH        |    1250000 | OU      | $-18628.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                       | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    4625000 | PA      | $3959614.29   | 0.76%             | 2052-01-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                       | CUSIP: 01F0226C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3650000 | PA      | $3122175.80   | 0.60%             | 2052-12-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                       | CUSIP: 01F0306C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    4525000 | PA      | $4004398.12   | 0.77%             | 2052-12-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                       | CUSIP: 01F0406C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     775000 | PA      | $732829.10    | 0.14%             | 2052-12-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BAML TRUST MSBAM_                                 | MSBAM_16-C31                                | CUSIP: 61766RBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2159837 | PA      | $79935.77     | 0.02%             | 2049-11-15      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| MVW OWNER TRUST MVWOT_18-1A                                      | MVWOT_18-1A                                 | CUSIP: 62848BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27460 | PA      | $26543.54     | 0.01%             | 2036-01-21      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |    2600000 | OU      | $-23802.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | BRITISH POUND                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | GB        |    1750000 | OU      | $23714.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | BRITISH POUND                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | GB        |     500000 | OU      | $-2880.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | BRITISH POUND                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | GB        |     150000 | OU      | $1294.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NBM US HOLDINGS INC                                              | NBM US HOLDINGS INC                         | CUSIP: 62877VAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $198574.56    | 0.04%             | 2026-05-14      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NGL ENERGY OPERATING LLC (DELAWARE)                              | NGL ENERGY OPERATING/FIN CORP               | CUSIP: 62922LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     125000 | PA      | $112793.78    | 0.02%             | 2026-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                       | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    4275000 | PA      | $4160777.34   | 0.80%             | 2052-12-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                       | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3590000 | PA      | $3572050.00   | 0.69%             | 2052-12-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | NEW ZEALAND DOLLAR                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | NZ        |    6000000 | OU      | $62583.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    2517263 | OU      | $-18813.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                       | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1410000 | PA      | $1426006.56   | 0.27%             | 2052-12-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST CWALT_07-OH3                  | CWALT_07-OH3                                | CUSIP: 02151DAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     465016 | PA      | $387213.83    | 0.07%             | 2047-09-25      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| NOMURA NLT_21-INV1                                               | NLT_21-INV1                                 | CUSIP: 62923JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     834766 | PA      | $665775.67    | 0.13%             | 2056-05-25      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                      | NATIONWIDE BUILDING SOCIETY                 | CUSIP: 63861VAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     660000 | PA      | $654771.59    | 0.13%             | 2024-03-08      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                      | NATIONWIDE BUILDING SOCIETY                 | CUSIP: 63861VAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     100000 | PA      | $98563.47     | 0.02%             | 2024-08-01      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE MUT INS CO                                            | NATIONWIDE MUTUAL INSURANCE CO              | CUSIP: 638671AJ6<br>LEI: Z7LVXXWM8HZPKF5T2355 | Long             | DBT              | CORP              | US        |     450000 | PA      | $448737.19    | 0.09%             | 2024-12-15      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| ALTRA HOLDINGS INC                                               | Altra Industrial Motion Corp                | CUSIP: 02208R106<br>LEI: NQ0NIXPGW4YKG4MWM571 | Long             | EC               | CORP              | US        |      24638 | NS      | $1444279.56   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN AIRLINES 2016-2 PASS THROUGH TRUSTS                     | AMERICAN AIRLINES 16-2 AA PTT               | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     185500 | PA      | $161799.74    | 0.03%             | 2028-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| AADVANTAGE LOYALTY IP LTD                                        | AADVANTAGE LOYALTY TL 4.75                  | CUSIP: 02376CBJ3<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |     105000 | PA      | $104269.20    | 0.02%             | 2028-04-20      | Variable      | 8.99%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES GROUP INC                                      | AMERICAN AIRLINES GROUP INC                 | CUSIP: 02376RAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     375000 | PA      | $423937.50    | 0.08%             | 2025-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST NCMS_18-ALXA        | NCMS_18-ALXA                                | CUSIP: 63874GAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60000 | PA      | $46876.99     | 0.01%             | 2043-01-15      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST NCMS_20-2PAC        | NCMS_20-2PAC                                | CUSIP: 63875DAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     937398 | PA      | $22327.14     | 0.00%             | 2038-12-15      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | JP        | -113492829 | OU      | $-44699.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    4300000 | OU      | $-324842.65   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST NCMS_20-2PAC        | NCMS_20-2PAC                                | CUSIP: 63875DAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2665000 | PA      | $44472.99     | 0.01%             | 2038-12-15      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| NATURA COSMETICOS SA                                             | NATURA COSMETICOS SA                        | CUSIP: 63883KAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |     200000 | PA      | $157643.47    | 0.03%             | 2028-05-03      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                         | AMERICAN ASSETS TRUST LP                    | CUSIP: 02401LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     155000 | PA      | $125331.21    | 0.02%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER COMPANY INC.                             | AMERICAN ELEC PWR UNITS INC                 | CUSIP: 02557T307<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | EP               | CORP              | US        |       6600 | NS      | $346896.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| NATURA & CO LUXEMBOURG HOLDINGS SARL                             | NATURA & CO LUXEMBOURG HOLDINGS SA          | CUSIP: 63884WAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     200000 | PA      | $167680.22    | 0.03%             | 2029-04-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP NAVSL_14-1                                          | NAVSL_14-1                                  | CUSIP: 63938EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     372539 | PA      | $362424.49    | 0.07%             | 2031-06-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                         | AMERICAN EXPRESS COMPANY                    | CUSIP: 025816CH0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      85000 | PA      | $67437.62     | 0.01%             | 2049-12-31      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST AMXCA_22-2          | AMXCA_22-2                                  | CUSIP: 02582JJT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $97003.00     | 0.02%             | 2027-05-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| AHM_05-1                                                         | AHM_05-1                                    | CUSIP: 02660TDH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     108533 | PA      | $106450.22    | 0.02%             | 2045-06-25      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| AON CORP                                                         | AON CORP                                    | CUSIP: 037389BE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     230000 | PA      | $197315.99    | 0.04%             | 2030-05-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| ARCHAEA ENERGY INC                                               | Archaea Energy Inc                          | CUSIP: 03940F103<br>LEI: 549300ZBE567NNMH7V89 | Long             | EC               | CORP              | US        |     119862 | NS      | $3109220.28   | 0.60%             |  |  |  | No            |                  1 | On Loan: No      |
| ARCHROCK PARTNERS LP / ARCHROCK                                  | ARCHROCK PARTNERS LP/ARCHROCK FIN           | CUSIP: 03959KAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     153000 | PA      | $142086.38    | 0.03%             | 2028-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                      | NETFLIX INC                                 | CUSIP: 64110LAL0<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     285000 | PA      | $289046.38    | 0.06%             | 2025-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| NEW YORK AND PRESBYTERIAN HOSPITAL                               | NEW YORK AND PRESBYTERIAN HOSPITAL          | CUSIP: 649322AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     390000 | PA      | $331905.80    | 0.06%             | 2036-08-01      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                | NEWELL RUBBERMAID INC                       | CUSIP: 651229AY2<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     185000 | PA      | $143818.45    | 0.03%             | 2046-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NEWS CORP                                                        | NEWS CORP                                   | CUSIP: 65249BAA7<br>LEI: 549300ITS31QK8VRBQ14 | Long             | DBT              | CORP              | US        |     370000 | PA      | $328818.08    | 0.06%             | 2029-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY INC                                               | NextEra Energy Inc                          | CUSIP: 65339F713<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      12750 | NS      | $628447.50    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY INC                                               | NEXTERA ENERGY INC                          | CUSIP: 65339F739<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       3800 | NS      | $191748.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK PWR CORP                                          | NIAGARA MOHAWK POWER CORPORATION            | CUSIP: 65364UAS5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     220000 | PA      | $220853.51    | 0.04%             | 2052-09-16      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST NM                                 | NMRR_14-3R                                  | CUSIP: 65540LBF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      24642 | PA      | $24497.81     | 0.00%             | 2035-11-26      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO                                                | NSTAR ELECTRIC CO                           | CUSIP: 67021CAM9<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |     520000 | PA      | $490428.87    | 0.09%             | 2027-05-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| OAK HILL CREDIT PARTNERS OAKC_20-7A                              | OAKC_20-7A                                  | CUSIP: 67098WAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     475000 | PA      | $464011.35    | 0.09%             | 2037-02-24      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| ARDAGH PACKAGING FINANCE PLC/ARD                                 | ARDAGH PACKAGING FIN PLC/HLDGS USA          | CUSIP: 03969AAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     235000 | PA      | $177196.28    | 0.03%             | 2027-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING FINANCE PLC                               | ARDAGH METAL PACKAGING FIN/FIN PLC          | CUSIP: 03969YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     220000 | PA      | $186068.36    | 0.04%             | 2028-09-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AREIT_20-CRE4                                                    | AREIT_20-CRE4                               | CUSIP: 04002RAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     365000 | PA      | $351888.29    | 0.07%             | 2037-04-15      | Variable      | 8.14%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST ARRW_19-1                                  | ARRW_19-1                                   | CUSIP: 042859AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      64229 | PA      | $59194.66     | 0.01%             | 2049-01-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERTIFICATES ABFC_07-WMC1                   | ABFC_07-WMC1                                | CUSIP: 04545EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     658700 | PA      | $469064.59    | 0.09%             | 2037-06-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| ASSUREDPARTNERS INC                                              | ASSUREDPARTNERS INC                         | CUSIP: 04624VAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      85000 | PA      | $72216.92     | 0.01%             | 2029-01-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| OCP CLO LTD OCP_21-21A                                           | OCP_21-21A                                  | CUSIP: 671000AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     300000 | PA      | $285855.90    | 0.06%             | 2034-07-20      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC OBX_21-NQM3                             | OBX_21-NQM3                                 | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     644741 | PA      | $483790.44    | 0.09%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                            | ATHENE GLOBAL FUNDING                       | CUSIP: 04685A3C3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     395000 | PA      | $321617.05    | 0.06%             | 2028-08-19      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                            | ATHENE GLOBAL FUNDING                       | CUSIP: 04685A3L3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      95000 | PA      | $85225.77     | 0.02%             | 2027-03-08      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| ATLAS AIR WORLDWIDE HLDGS INC                                    | Atlas Air Worldwide Holdings Inc            | CUSIP: 049164205<br>LEI: 549300R0A2TUVCYZB465 | Long             | EC               | CORP              | US        |      27701 | NS      | $2791429.77   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| ATLANTIA SPA                                                     | Atlantia SpA                                | CUSIP: 000000000<br>LEI: 8156008DEC771409C487 | Long             | EC               | CORP              | IT        |      38836 | NS      | $927659.98    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| OCCU AUTO RECEIVABLES TRUST OCCU_22-1                            | OCCU_22-1                                   | CUSIP: 67115YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $150834.62    | 0.03%             | 2027-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                 | OCCIDENTAL PETROLEUM CORPORATION            | CUSIP: 674599CH6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      55000 | PA      | $51788.79     | 0.01%             | 2026-04-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| AVALARA INC                                                      | Avalara Inc                                 | CUSIP: 05338G106<br>LEI: 549300Q16CMW239SS315 | Long             | EC               | CORP              | US        |      36601 | NS      | $3422193.50   | 0.66%             |  |  |  | No            |                  3 | On Loan: No      |
| AVEO PHARMACEUTICALS INC                                         | AVEO Pharmaceuticals Inc                    | CUSIP: 053588307<br>LEI: 529900PLC55DUQO4CR76 | Long             | EC               | CORP              | US        |      39205 | NS      | $586114.75    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                      | AVOLON HOLDINGS FUNDING LTD                 | CUSIP: 05401AAF8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      45000 | PA      | $42842.57     | 0.01%             | 2024-07-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                      | AVOLON HOLDINGS FUNDING LTD                 | CUSIP: 05401AAH4<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     195000 | PA      | $179048.78    | 0.03%             | 2025-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                      | AVOLON HOLDINGS FUNDING LTD                 | CUSIP: 05401AAR2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     199000 | PA      | $160011.20    | 0.03%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| AVEVA GROUP PLC                                                  | AVEVA Group PLC                             | CUSIP: 000000000<br>LEI: 213800XHATUM2LFMKG16 | Long             | EC               | CORP              | GB        |      34125 | NS      | $1324258.48   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                 | OCCIDENTAL PETROLEUM CORPORATION            | CUSIP: 674599CR4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     100000 | PA      | $91956.91     | 0.02%             | 2026-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                 | OCCIDENTAL PETROLEUM CORPORATION            | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      75000 | PA      | $81467.82     | 0.02%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                 | OCCIDENTAL PETROLEUM CORPORATION            | CUSIP: 674599DG7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     285000 | PA      | $144174.06    | 0.03%             | 2036-10-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                 | OCCIDENTAL PETROLEUM CORPORATION            | CUSIP: 674599ED3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     235000 | PA      | $245245.66    | 0.05%             | 2030-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                 | OCCIDENTAL PETROLEUM CORPORATION            | CUSIP: 674599EF8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     170000 | PA      | $172558.50    | 0.03%             | 2031-01-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| 180 MEDICAL INC                                                  | 180 MEDICAL INC                             | CUSIP: 682357AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     160000 | PA      | $136792.08    | 0.03%             | 2029-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| 1011778 BC UNLIMITED LIABILITY CO                                | RESTAURANT BRANDS                           | CUSIP: 68245XAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     205000 | PA      | $183272.59    | 0.04%             | 2028-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GMACM_06-AR1                                                     | GMACM_06-AR1                                | CUSIP: 36185MDN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     421467 | PA      | $313626.69    | 0.06%             | 2036-04-19      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST GSAMP_07-FM2                                         | GSAMP_07-FM2                                | CUSIP: 3622MHAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     792944 | PA      | $467506.28    | 0.09%             | 2037-01-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MORTGAGE LOAN ASSET BACKED CERTIFICATES FFML_06-F | FFML_06-FF4                                 | CUSIP: 362334FT6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     134883 | PA      | $133113.47    | 0.03%             | 2036-03-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST GSAMP_05-WMC3                                        | GSAMP_05-WMC3                               | CUSIP: 362341L56<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     810000 | PA      | $781677.46    | 0.15%             | 2035-12-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST GSAMP_06-HE7                                         | GSAMP_06-HE7                                | CUSIP: 36245EAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     141997 | PA      | $139503.92    | 0.03%             | 2046-10-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST GSMS_20-UPTN                        | GSMS_20-UPTN                                | CUSIP: 36258PAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1750000 | PA      | $11794.65     | 0.00%             | 2037-02-10      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE_BACKED SECURITIES GSMBS_20-RPL1                      | GSMBS_20-RPL1                               | CUSIP: 36260AAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     800000 | PA      | $630572.00    | 0.12%             | 2059-07-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS BIDCO LTD                                 | GALAXY PIPELINE ASSETS BIDCO LTD            | CUSIP: 36321PAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |     184932 | PA      | $156341.94    | 0.03%             | 2034-03-31      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                      | GARTNER INC                                 | CUSIP: 366651AE7<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     140000 | PA      | $121115.48    | 0.02%             | 2030-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GE-WMC MORTGAGE SECURITIES LLC GEWMC_05-1                        | GEWMC_05-1                                  | CUSIP: 367910AE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     341735 | PA      | $319114.29    | 0.06%             | 2035-10-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                              | GENERAL ELECTRIC CAPITAL CORP               | CUSIP: 36962GXZ2<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |      27000 | PA      | $30604.30     | 0.01%             | 2032-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                | General Motors Co                           | CUSIP: 37045V100<br>LEI: 54930070NSV60J38I987 | Long             | EC               | CORP              | US        |       2667 | NS      | $108173.52    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| GENERAL MOTORS FINANCIAL CO INC                                  | GENERAL MOTORS FINANCIAL CO INC             | CUSIP: 37045XCD6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     250000 | PA      | $241330.91    | 0.05%             | 2024-11-07      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL CO INC                                  | GENERAL MOTORS FINANCIAL CO INC             | CUSIP: 37045XDM5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     220000 | PA      | $203232.01    | 0.04%             | 2024-10-15      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| GLOBAL PARTNERS LP                                               | GLOBAL PARTNERS LP/GLP FIN                  | CUSIP: 37954FAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $135429.35    | 0.03%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| GLOBO COMUNICACOES E PARTICIPACOES SA                            | GLOBO COMUNICACOES E PARTICIPACOES          | CUSIP: 37959DAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |     200000 | PA      | $164664.29    | 0.03%             | 2032-01-14      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC                     | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     970000 | PA      | $749670.78    | 0.14%             | 2032-01-27      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC                     | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     230000 | PA      | $181921.18    | 0.04%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC                     | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     500000 | PA      | $401263.56    | 0.08%             | 2032-10-21      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO LTD GOCAP_21-54A                      | GOCAP_21-54A                                | CUSIP: 381743AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     450000 | PA      | $429664.05    | 0.08%             | 2033-08-05      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_12-4               | GNMA_12-4                                   | CUSIP: 38378BBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2070830 | PA      | $20.71        | 0.00%             | 2052-05-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASS                                 | GNMA_14-103                                 | CUSIP: 38378XDR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1072421 | PA      | $8789.67      | 0.00%             | 2055-05-16      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_17-136             | GNMA_17-136                                 | CUSIP: 38380HJF0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     626253 | PA      | $118485.74    | 0.02%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-63              | GNMA_18-63                                  | CUSIP: 38380WUG2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     825784 | PA      | $133294.84    | 0.03%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-86              | GNMA_19-86                                  | CUSIP: 38381WH50<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     188882 | PA      | $185919.16    | 0.04%             | 2049-07-20      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-133             | GNMA_20-133                                 | CUSIP: 38382JB47<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     135396 | PA      | $134864.61    | 0.03%             | 2049-02-20      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| GRACECHURCH MORTGAGE FINANCE PLC GRACE_20-GRCE                   | GRACE_20-GRCE                               | CUSIP: 38406JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $378840.00    | 0.07%             | 2040-12-10      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| SIEMENS GAMESA RENEWABLE ENERGY SA                               | Siemens Gamesa Renewable Energy SA          | CUSIP: 000000000<br>LEI: 9598004BR8D81D3M1D64 | Long             | EC               | CORP              | ES        |      68193 | NS      | $1285002.18   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERNATIONAL LLC                              | GRAPHIC PACKAGING INTERNATIONAL             | CUSIP: 38869AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      75000 | PA      | $69961.38     | 0.01%             | 2027-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GRAY ESCROW II INC                                               | GRAY ESCROW II INC                          | CUSIP: 389286AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $114422.15    | 0.02%             | 2031-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORPORATI G                                 | GT_96-9                                     | CUSIP: 393505QZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140325 | PA      | $139797.77    | 0.03%             | 2027-08-15      | Variable      | 7.63%                 | No            |                  2 | On Loan: No      |
| GREENKO DUTCH BV                                                 | GREENKO DUTCH BV                            | CUSIP: 39530LAD2<br>LEI: N/A                  | Long             | DBT              | NUSS              | NL        |     191000 | PA      | $164941.07    | 0.03%             | 2026-03-29      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GREENKO SOLAR MAURITIUS LTD                                      | GREENKO SOLAR MAURITIUS LTD                 | CUSIP: 39530VAA6<br>LEI: N/A                  | Long             | DBT              | NUSS              | MU        |     200000 | PA      | $188384.37    | 0.04%             | 2025-01-29      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GREENKO WIND PROJECTS (MAURITIUS) LTD                            | GREENKO WIND PROJECTS (MAURITIUS)           | CUSIP: 39531JAA2<br>LEI: N/A                  | Long             | DBT              | NUSS              | MU        |     205000 | PA      | $192283.76    | 0.04%             | 2025-04-06      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GRIFOLS ESCROW ISSUER SAU                                        | GRIFOLS ESCROW ISSUER SAU                   | CUSIP: 39843UAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | ES        |     245000 | PA      | $204948.79    | 0.04%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                     | CUSIP: 404119BR9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     295000 | PA      | $294580.68    | 0.06%             | 2025-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                     | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      84000 | PA      | $76011.14     | 0.01%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                     | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     403000 | PA      | $369532.23    | 0.07%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                     | CUSIP: 404119BZ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     230000 | PA      | $201984.11    | 0.04%             | 2049-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                     | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     854000 | PA      | $739593.35    | 0.14%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                     | CUSIP: 404119CG2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     335000 | PA      | $269495.64    | 0.05%             | 2052-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                     | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99948.02     | 0.02%             | 2028-09-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                | HSBC HOLDINGS PLC                           | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     590000 | PA      | $490186.81    | 0.09%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                | HSBC HOLDINGS PLC                           | CUSIP: 404280CM9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     125000 | PA      | $107148.17    | 0.02%             | 2027-05-24      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                | HSBC HOLDINGS PLC                           | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     410000 | PA      | $317514.08    | 0.06%             | 2032-05-24      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                | HSBC HOLDINGS PLC                           | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     215000 | PA      | $173682.45    | 0.03%             | 2029-08-17      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                | HSBC HOLDINGS PLC                           | CUSIP: 404280DF3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      25000 | PA      | $23650.37     | 0.00%             | 2028-06-09      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| HASC_05-I1                                                       | HASC_05-I1                                  | CUSIP: 40430HCN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     599161 | PA      | $524923.18    | 0.10%             | 2035-11-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HEALTH                                       | HACKENSACK MERIDIAN HEALTH                  | CUSIP: 404530AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     300000 | PA      | $258690.72    | 0.05%             | 2057-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST HVMLT_07-6                        | HVMLT_07-6                                  | CUSIP: 41165BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     495648 | PA      | $407218.74    | 0.08%             | 2037-08-19      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                    | HEALTHCARE TRUST OF AMERICA HOLDIN          | CUSIP: 42225UAF1<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |      45000 | PA      | $42045.01     | 0.01%             | 2027-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                    | HEALTHCARE TRUST OF AMERICA HLDGS           | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |      35000 | PA      | $29570.69     | 0.01%             | 2030-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                    | HEALTHCARE TRUST OF AMERICA HLDGS           | CUSIP: 42225UAH7<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |     175000 | PA      | $133943.02    | 0.03%             | 2031-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                    | HEALTHCARE REALTY HOLDINGS LP               | CUSIP: 42225UAK0<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |       5000 | PA      | $4470.52      | 0.00%             | 2028-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                    | HEALTHCARE REALTY HOLDINGS LP               | CUSIP: 42225UAL8<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |      40000 | PA      | $30937.42     | 0.01%             | 2030-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                             | H.J. HEINZ FINANCE COMPANY                  | CUSIP: 42307TAH1<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      35000 | PA      | $39369.03     | 0.01%             | 2039-08-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| HERTZ CORPORATION (THE)                                          | HERTZ CORPORATION (THE)                     | CUSIP: 428040DB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     255000 | PA      | $201761.83    | 0.04%             | 2029-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING COMPANY INC                            | HILTON DOMESTIC OPERATING COMPANY           | CUSIP: 432833AF8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     161000 | PA      | $149001.42    | 0.03%             | 2030-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI PROPERTIES LP/VICI NOTE CO             | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      45000 | PA      | $41200.92     | 0.01%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI PROPERTIES LP/VICI NOTE CO             | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      35000 | PA      | $30898.97     | 0.01%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI PROPERTIES LP                          | CUSIP: 925650AD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     335000 | PA      | $312721.81    | 0.06%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI PROPERTIES LP                          | CUSIP: 925650AE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      70000 | PA      | $63335.99     | 0.01%             | 2052-05-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA FINANCE PLC                                         | VIRGIN MEDIA FINANCE PLC                    | CUSIP: 92769VAJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     200000 | PA      | $163710.29    | 0.03%             | 2030-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                                 | VIRGIN MEDIA SECURED FINANCE PLC            | CUSIP: 92769XAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     225000 | PA      | $205350.70    | 0.04%             | 2029-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                                 | VIRGIN MEDIA SECURED FINANCE PLC            | CUSIP: 92769XAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     200000 | PA      | $167286.00    | 0.03%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                                       | VMware Inc                                  | CUSIP: 928563402<br>LEI: 549300BUDHS3LRWBE814 | Long             | EC               | CORP              | US        |      27517 | NS      | $3343040.33   | 0.64%             |  |  |  | No            |                  1 | On Loan: No      |
| VODAFONE GROUP PLC                                               | VODAFONE GROUP PLC                          | CUSIP: 92857WBM1<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |     230000 | PA      | $207557.86    | 0.04%             | 2048-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                                               | VODAFONE GROUP PLC                          | CUSIP: 92857WBS8<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |      20000 | PA      | $17171.72     | 0.00%             | 2049-06-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I PLC                                       | VMED O2 UK FINANCING I PLC                  | CUSIP: 92858RAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     430000 | PA      | $345123.10    | 0.07%             | 2031-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WMG Acquisition                                                  | WMG ACQUISITION CORP                        | CUSIP: 92933BAR5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     410000 | PA      | $340048.42    | 0.07%             | 2031-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WFRBS_14-C24                                                     | WFRBS_14-C24                                | CUSIP: 92939KAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2370759 | PA      | $29152.51     | 0.01%             | 2047-11-15      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                             | WEC ENERGY GROUP INC                        | CUSIP: 92939UAF3<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |      77000 | PA      | $72878.09     | 0.01%             | 2024-03-15      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| WMHE_07-HE1                                                      | WMHE_07-HE1                                 | CUSIP: 933631AE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1154625 | PA      | $555790.67    | 0.11%             | 2037-01-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| WAMU_07-OA4                                                      | WAMU_07-OA4                                 | CUSIP: 93364CAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     585976 | PA      | $458574.35    | 0.09%             | 2047-05-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| WASH MULTIFAMILY ACQUISITION INC                                 | WASH MULTIFAMILY ACQUISITION INC            | CUSIP: 93710WAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     145000 | PA      | $136059.75    | 0.03%             | 2026-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-                                 | WMALT_06-AR2                                | CUSIP: 93934FMN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     223866 | PA      | $181637.14    | 0.03%             | 2046-04-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| WASTE PRO USA INC                                                | WASTE PRO USA INC                           | CUSIP: 94107JAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     250000 | PA      | $230771.80    | 0.04%             | 2026-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | Wells Fargo & Co                            | CUSIP: 949746556<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             |  | CORP              | US        |       7885 | NS      | $183089.70    | 0.04%             | 2049-12-31      | Variable      | 5.85%                 | No            |                  1 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY                       | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     375000 | PA      | $314389.31    | 0.06%             | 2031-02-11      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY                       | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     160000 | PA      | $141449.10    | 0.03%             | 2028-06-02      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY                       | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     540000 | PA      | $461713.89    | 0.09%             | 2033-03-02      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY                       | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     195000 | PA      | $187894.25    | 0.04%             | 2033-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_19-JDWR               | WFCM_19-JDWR                                | CUSIP: 95002NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     425000 | PA      | $358644.20    | 0.07%             | 2031-09-15      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                          | WESTERN MIDSTREAM OPERATING LP              | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     225000 | PA      | $201042.45    | 0.04%             | 2030-02-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| WESTLAKE CORP                                                    | WESTLAKE CHEMICAL CORP                      | CUSIP: 960413AX0<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |     115000 | PA      | $106649.82    | 0.02%             | 2024-08-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| TRAVEL + LEISURE CO                                              | WYNDHAM DESTINATIONS INC                    | CUSIP: 98310WAS7<br>LEI: T4VNTWMFQ7JQB65L7T35 | Long             | DBT              | CORP              | US        |     150000 | PA      | $147212.61    | 0.03%             | 2026-07-31      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| WYNDHAM HOTELS & RESORTS INC                                     | WYNDHAM HOTELS & RESORTS INC                | CUSIP: 98311AAB1<br>LEI: 549300FE3MQ4RVXXC673 | Long             | DBT              | CORP              | US        |     135000 | PA      | $121510.61    | 0.02%             | 2028-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| YUM! BRANDS INC.                                                 | YUM! BRANDS INC                             | CUSIP: 988498AL5<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |     360000 | PA      | $328390.56    | 0.06%             | 2030-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| YUM! BRANDS INC.                                                 | YUM! BRANDS INC                             | CUSIP: 988498AN1<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |     475000 | PA      | $399277.37    | 0.08%             | 2031-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| YUM! BRANDS INC.                                                 | YUM! BRANDS INC                             | CUSIP: 988498AP6<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |     195000 | PA      | $175036.20    | 0.03%             | 2032-01-31      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ZENDESK INC                                                      | Zendesk Inc                                 | CUSIP: 98936J101<br>LEI: 549300SLI6BN94BKKO36 | Long             | EC               | CORP              | US        |      59288 | NS      | $4594820.00   | 0.89%             |  |  |  | No            |                  3 | On Loan: No      |
| ZIMMER BIOMET HOLDINGS INC                                       | ZIMMER BIOMET HOLDINGS INC                  | CUSIP: 98956PAU6<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |     110000 | PA      | $102113.89    | 0.02%             | 2024-11-22      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| ZOGENIX INC                                                      | ZOGENIX INC CVR                             | CUSIP: 000000000<br>LEI: 54930089H3HF4C32SK78 | Long             | EC               | CORP              | US        |      29926 | NS      | $21825.03     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Morgan Stanley                                                   | AUD/USD FUTURE (CME) DEC 22                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |        -64 | NC      | $-129439.57   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | FTSE/JSE TOP 40 DEC 22                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | ZA        |          8 | NC      | $12565.79     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | FTSE/JSE TOP 40 DEC 22                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | ZA        |         13 | NC      | $15974.16     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ANZ Securities                                                   | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 54930002PP1OBF1UXP39 | N/A              | DFE              | CORP              | AU        |   -2934717 | OU      | $-8669.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Securities                                                   | AUSTRALIA DOLLAR                            | CUSIP: 000000000<br>LEI: 54930002PP1OBF1UXP39 | N/A              | DFE              | CORP              | AU        |     325030 | OU      | $9292.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANZ Securities                                                   | JAPANESE YEN                                | CUSIP: 000000000<br>LEI: 54930002PP1OBF1UXP39 | N/A              | DFE              | CORP              | JP        |   37202389 | OU      | $20711.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWEDISH ORPHAN BIOVITRUM AB                                      | Swedish Orphan Biovitrum AB                 | CUSIP: 000000000<br>LEI: 549300124Y3MQI87PT35 | Long             | EC               | CORP              | SE        |      35768 | NS      | $773810.93    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA (REPUBLIC OF)                                          | INDONESIA (REPUBLIC OF)                     | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 2322000000 | PA      | $156747.62    | 0.03%             | 2026-09-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| INDONESIA (REPUBLIC OF)                                          | INDONESIA (REPUBLIC OF)                     | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  773000000 | PA      | $47549.60     | 0.01%             | 2028-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| COLOMBIA (REPUBLIC OF)                                           | COLOMBIA (REPUBLIC OF)                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | CO        | 1249000000 | PA      | $251608.95    | 0.05%             | 2024-07-24      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| MEXICO (UNITED MEXICAN STATES) (GOVERNMENT)                      | MEXICO (UNITED MEXICAN STATES)              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |    9670000 | PA      | $459110.35    | 0.09%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| INDONESIA (REPUBLIC OF)                                          | INDONESIA (REPUBLIC OF)                     | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 2025000000 | PA      | $124889.09    | 0.02%             | 2033-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| QUEBEC (PROVINCE OF)                                             | QUEBEC (PROVINCE OF)                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | MUN               | CA        |     325000 | PA      | $239199.49    | 0.05%             | 2023-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MEDICLINIC INTERNATIONAL PLC                                     | Mediclinic International PLC                | CUSIP: 000000000<br>LEI: 2138002S5BSBIZTD5I60 | Long             | EC               | CORP              | GB        |     172965 | NS      | $1031415.26   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMMIT INDUSTRIAL INCOME REIT                                    | Summit Industrial Income REIT               | CUSIP: 000000000<br>LEI: 2549002JNRHTJ9H0MR86 | Long             | EC               | CORP              | CA        |      21777 | NS      | $365068.10    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| ONTARIO (PROVINCE OF)                                            | ONTARIO (PROVINCE OF)                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | MUN               | CA        |     215000 | PA      | $145158.19    | 0.03%             | 2045-06-02      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| MALAYSIA (GOVERNMENT OF)                                         | MALAYSIA (GOVERNMENT)                       | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    1223000 | PA      | $264632.73    | 0.05%             | 2033-04-15      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | BANK ACCEPT MAR 23                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | CA        |        -32 | NC      | $1455.79      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | GOLD 100 OZ APR 23                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $-241.65      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | JAPANESE YEN                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | JP        |    7860135 | OU      | $1494.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | US DOLLARS                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | CA        |   -2196600 | OU      | $18131.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | US DOLLARS                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | CA        |    -382100 | OU      | $-3895.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | US DOLLARS                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | CA        |   -1001187 | OU      | $-11881.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | BRITISH POUND                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | GB        |     327447 | OU      | $9712.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | US DOLLARS                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | XX        |   -9029600 | OU      | $-348589.52   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | JAPANESE YEN                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | JP        |   24184470 | OU      | $-4807.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | US DOLLARS                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | GB        |   -4774500 | OU      | $-268087.01   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | CANADIAN DOLLAR                             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | CA        |      75000 | OU      | $-923.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | US DOLLARS                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | SE        |    -479200 | OU      | $259.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | US DOLLARS                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | SE        |  -27106000 | OU      | $-46336.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | US DOLLARS                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | SG        |    -673490 | OU      | $-16930.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | AUSTRALIA DOLLAR                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | AU        |     837789 | OU      | $11601.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | CANADIAN DOLLAR                             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | CA        |     103500 | OU      | $-1003.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | CANADIAN DOLLAR                             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | CA        |    2121438 | OU      | $27517.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | XX        |    4508100 | OU      | $122599.22    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | BRITISH POUND                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | GB        |     718400 | OU      | $64314.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | JAPANESE YEN                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | JP        |   35725801 | OU      | $10268.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | SWEDISH KRONA                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | SE        |    1791900 | OU      | $7641.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | SWEDISH KRONA                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | SE        |   17895700 | OU      | $-22240.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | SINGAPORE DOLLAR                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | SG        |     545108 | OU      | $15834.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | DAX INDEX DEC 22                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | DE        |          2 | NC      | $3547.19      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | DAX INDEX DEC 22                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | DE        |          4 | NC      | $21849.89     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | COPPER MAR 23                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |          1 | NC      | $3248.35      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | COPPER MAR 23                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         -9 | NC      | $1783.30      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | NY HARBOR ULSD (HEAT OIL) JAN 23            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |          5 | NC      | $-23067.49    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | NY HARBOR ULSD (HEAT OIL) FEB 23            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          2 | NC      | $-2863.56     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC                                                             | US DOLLARS                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | AU        |    -150000 | OU      | $-6785.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC                                                             | US DOLLARS                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | CA        |    -484049 | OU      | $494.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC                                                             | US DOLLARS                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | CA        |   -1699146 | OU      | $-13367.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC                                                             | BRITISH POUND                               | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | GB        |     657445 | OU      | $16982.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC                                                             | US DOLLARS                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | XX        |   -3142003 | OU      | $-106721.76   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC                                                             | US DOLLARS                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | GB        |    -361875 | OU      | $-32211.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC                                                             | US DOLLARS                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | MX        |   -1361267 | OU      | $-3554.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC                                                             | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | XX        |     198270 | OU      | $411.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC                                                             | US DOLLARS                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | SG        |   -2064136 | OU      | $-67030.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC                                                             | CANADIAN DOLLAR                             | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | CA        |    1180187 | OU      | $15636.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC                                                             | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | XX        |     360625 | OU      | $16646.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC                                                             | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | XX        |     522517 | OU      | $-327.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC                                                             | JAPANESE YEN                                | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | JP        |   36483377 | OU      | $15470.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | MICRO E-MINI NASDAQ 100 DEC 22              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |          1 | NC      | $705.10       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | MICRO E-MINI RUSSELL 2000 DEC 22            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |          1 | NC      | $122.10       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | IBEX 35 INDEX DEC 22                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | ES        |          5 | NC      | $6202.16      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HILTON DOMESTIC OPERATING COMPANY INC                            | HILTON DOMESTIC OPERATING CO                | CUSIP: 432833AN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     280000 | PA      | $230483.01    | 0.04%             | 2032-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HOME CAPITAL GROUP INC                                           | Home Capital Group Inc                      | CUSIP: 000000000<br>LEI: 529900BYMJZJJLBC8L85 | Long             | EC               | CORP              | CA        |      23301 | NS      | $739659.29    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | IBEX 35 INDEX DEC 22                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | ES        |         17 | NC      | $6582.74      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SGX CNX NIFTY ETS DEC 22                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | SG        |         28 | NC      | $22611.28     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HOME PARTNERS OF AMERICA TRUST HPA_19-1                          | HPA_19-1                                    | CUSIP: 43731QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80947 | PA      | $70954.55     | 0.01%             | 2039-09-17      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                         | HOST HOTELS & RESORTS LP                    | CUSIP: 44107TAY2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     165000 | PA      | $140032.02    | 0.03%             | 2029-12-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                         | HOST HOTELS & RESORTS LP                    | CUSIP: 44107TAZ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     115000 | PA      | $95882.75     | 0.02%             | 2030-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOUGHTON MIFFLIN HARCOURT CO                                     | Houghton Mifflin Harcourt Co                | CUSIP: 44157R109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     180721 | NS      | $3795141.00   | 0.73%             |  |  |  | No            |                  3 | On Loan: No      |
| HSI ASSET SECURITIZATION HASC_06                                 | HASC_06-HE2                                 | CUSIP: 44328BAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1208774 | PA      | $500416.21    | 0.10%             | 2036-12-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                     | HUDSON PACIFIC PROPERTIES LP                | CUSIP: 44409MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     160000 | PA      | $137122.12    | 0.03%             | 2027-11-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                     | HUDSON PACIFIC PROPERTIES LP                | CUSIP: 44409MAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      35000 | PA      | $33367.96     | 0.01%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HUDSON YARDS HY_19-55HY                                          | HY_19-55HY                                  | CUSIP: 44421MAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85000 | PA      | $57992.85     | 0.01%             | 2041-12-10      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                | HYATT HOTELS CORP                           | CUSIP: 448579AJ1<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     256000 | PA      | $254287.70    | 0.05%             | 2030-04-23      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| IMAGO BIOSCIENCES INC                                            | Imago Biosciences Inc                       | CUSIP: 45250K107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      10269 | NS      | $366500.61    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| IMM_04-8                                                         | IMM_04-8                                    | CUSIP: 45254NKR7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     240066 | PA      | $235443.28    | 0.05%             | 2034-10-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP IMSA_06-5                              | IMSA_06-5                                   | CUSIP: 45257EAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     559047 | PA      | $495067.05    | 0.10%             | 2037-02-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| INDIAN RAILWAY FINANCE CORP LTD                                  | INDIAN RAILWAY FINANCE CORP LTD             | CUSIP: 45434L2A1<br>LEI: 335800F2JHSOGXQEBY56 | Long             | DBT              | NUSS              | IN        |     200000 | PA      | $175305.58    | 0.03%             | 2030-02-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| INDONESIA (REPUBLIC OF)                                          | INDONESIA (REPUBLIC OF)                     | CUSIP: 455780CS3<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     200000 | PA      | $188748.49    | 0.04%             | 2030-10-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| INDONESIA (REPUBLIC OF)                                          | INDONESIA (REPUBLIC OF)                     | CUSIP: 455780CW4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     200000 | PA      | $143520.48    | 0.03%             | 2051-03-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| INABS_05-D                                                       | INABS_05-D                                  | CUSIP: 456606JN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      98150 | PA      | $96884.78     | 0.02%             | 2036-03-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TRUST INDX_06-AR2                     | INDX_06-AR2                                 | CUSIP: 45661EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     710020 | PA      | $575853.45    | 0.11%             | 2046-04-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TRUST INDX_06-AR2                     | INDX_06-AR2                                 | CUSIP: 45661EAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     654527 | PA      | $530592.23    | 0.10%             | 2046-04-25      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                     | INTELSAT JACKSON HOLDINGS SA                | CUSIP: 45824TBC8<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     248000 | PA      | $228237.07    | 0.04%             | 2030-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                    | INTERCONTINENTAL EXCHANGE INC               | CUSIP: 45866FAN4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     175000 | PA      | $134473.16    | 0.03%             | 2032-09-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                     | ESC CB144A INTELSAT JA                      | CUSIP: 458ESCAB6<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |     362000 | NS      | $0.36         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                     | ESC CO INTELSAT JA                          | CUSIP: 458ESCAC4<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |     248000 | NS      | $0.25         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| INTL BANK FOR RECONSTRUCT                                        | INTL BANK RECON & DEVELOPMENT               | CUSIP: 459058KF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $103567.66    | 0.02%             | 2027-01-19      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                              | INTESA SANPAOLO SPA                         | CUSIP: 46115HBQ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     200000 | PA      | $146646.07    | 0.03%             | 2032-06-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| INTOWN MORTGAGE TRUST TOWN_22-STAY                               | TOWN_22-STAY                                | CUSIP: 46117NAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $147182.86    | 0.03%             | 2037-08-15      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| IROBOT CORP                                                      | iRobot Corp                                 | CUSIP: 462726100<br>LEI: 5493009PRNKOUKBAT390 | Long             | EC               | CORP              | US        |      37537 | NS      | $1955302.33   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| ITALY (REPUBLIC OF)                                              | REPUBLIC OF ITALY GOVERNMENT INTER          | CUSIP: 465410CA4<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     200000 | PA      | $173982.45    | 0.03%             | 2026-02-17      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS                                                     | ITC HOLDINGS CORP                           | CUSIP: 465685AP0<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |     150000 | PA      | $138086.57    | 0.03%             | 2027-11-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA                                                   | JBS USA LUX SA/JBS FOOD CO/JBS FIN          | CUSIP: 46590XAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     400000 | PA      | $332894.53    | 0.06%             | 2031-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA                                                   | JBS USA LUX SA/JBS FOOD CO/JBS USA          | CUSIP: 46590XAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     170000 | PA      | $164893.58    | 0.03%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA                                                   | JBS USA LUX SA/JBS FOOD CO/JBS USA          | CUSIP: 46590XAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |      75000 | PA      | $73531.45     | 0.01%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA                                                   | JBS USA LUX SA/JBS FOOD/JBS FIN             | CUSIP: 46590XAT3<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     200000 | PA      | $165829.02    | 0.03%             | 2032-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| 321 HENDERSON RECEIVABLES LLC HENDR_10-3A                        | HENDR_10-3A                                 | CUSIP: 46616MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     283820 | PA      | $275439.08    | 0.05%             | 2048-12-15      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION CORP JPMAC_06-FRE1                | JPMAC_06-FRE1                               | CUSIP: 46626LFN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     277060 | PA      | $268177.31    | 0.05%             | 2035-05-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| JPALT_07-S1                                                      | JPALT_07-S1                                 | CUSIP: 466275AB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     164774 | PA      | $155725.78    | 0.03%             | 2047-04-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST JPALT_06-A1                     | JPALT_06-A1                                 | CUSIP: 46627MCS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     482352 | PA      | $446510.21    | 0.09%             | 2036-03-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION CORP JPMAC_07-HE1                 | JPMAC_07-HE1                                | CUSIP: 46630KAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1103000 | PA      | $992739.82    | 0.19%             | 2047-03-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST JPMCC_22-NL | JPMCC_22-NLP                                | CUSIP: 466317AU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230000 | PA      | $197981.36    | 0.04%             | 2037-04-15      | Variable      | 8.80%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST JPMCC_12-LC | JPMCC_12-LC9                                | CUSIP: 46639EAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     177084 | PA      | $3.22         | 0.00%             | 2047-12-15      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| JPMBB_14-C21                                                     | JPMBB_14-C21                                | CUSIP: 46642EBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     829280 | PA      | $8860.44      | 0.00%             | 2047-08-15      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| JPMBB_14-C23                                                     | JPMBB_14-C23                                | CUSIP: 46643ABG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2545935 | PA      | $19808.90     | 0.00%             | 2047-09-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| JPMBB_14-C26                                                     | JPMBB_14-C26                                | CUSIP: 46643TBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4923455 | PA      | $68876.19     | 0.01%             | 2048-01-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                         | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     105000 | PA      | $89172.11     | 0.02%             | 2030-10-15      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                         | CUSIP: 46647PBS4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     235000 | PA      | $225788.12    | 0.04%             | 2024-09-16      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO.                        | CUSIP: 46647PBT2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     235000 | PA      | $207243.10    | 0.04%             | 2026-11-19      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                         | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     180000 | PA      | $138692.57    | 0.03%             | 2031-11-19      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                         | CUSIP: 46647PBY1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     250000 | PA      | $234536.28    | 0.05%             | 2025-02-16      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                         | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     285000 | PA      | $251452.74    | 0.05%             | 2027-04-22      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | J P MORGAN & CO INC                         | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     340000 | PA      | $276211.00    | 0.05%             | 2032-04-22      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                         | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     425000 | PA      | $386382.74    | 0.07%             | 2028-02-24      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST JPMCC_19-OSB | JPMCC_19-OSB                                | CUSIP: 46651EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     375000 | PA      | $329140.80    | 0.06%             | 2039-06-05      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRUST                                 | SVHE_06-OPT5                                | CUSIP: 83612CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     326922 | PA      | $308532.26    | 0.06%             | 2036-07-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA (REPUBLIC OF)                                       | SOUTH AFRICA (REPUBLIC OF)                  | CUSIP: 836205BA1<br>LEI: N/A                  | Long             | DBT              | NUSS              | ZA        |     300000 | PA      | $273500.91    | 0.05%             | 2029-09-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| SOUTH JERSEY IND INC                                             | South Jersey Industries Inc                 | CUSIP: 838518108<br>LEI: 549300DJYWYT5VXLFA46 | Long             | EC               | CORP              | US        |      88488 | NS      | $3070533.60   | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTHERN COMPANY (THE)                                           | SOUTHERN CO                                 | CUSIP: 842587CV7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     184000 | PA      | $174807.60    | 0.03%             | 2026-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO                                            | SOUTHWEST AIRLINES CO                       | CUSIP: 844741BG2<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |     205000 | PA      | $266090.00    | 0.05%             | 2025-05-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELECTRIC POWER COMPANY                              | SOUTHWESTERN ELECTRIC POWER CO              | CUSIP: 845437BT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      85000 | PA      | $57577.26     | 0.01%             | 2051-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                           | SOUTHWESTERN ENERGY COMPANY                 | CUSIP: 845467AL3<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |       4000 | PA      | $3959.66      | 0.00%             | 2025-01-23      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                                              | SPECTRUM BRANDS HOLDINGS INC                | CUSIP: 84762LAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     165000 | PA      | $141587.06    | 0.03%             | 2030-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                       | SPRINT CORP                                 | CUSIP: 85207UAF2<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |     193000 | PA      | $196591.19    | 0.04%             | 2023-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM CO LLC                                           | SPRINT SPECTRUM CO I/ II /III/ LLC          | CUSIP: 85208NAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     506250 | PA      | $498895.74    | 0.10%             | 2025-03-20      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM CO LLC                                           | SPRINT SPECTRUM CO I/ II /III/ LLC          | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     125000 | PA      | $123032.01    | 0.02%             | 2028-03-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST INC                                      | STARWOOD PROPERTY TRUST INC                 | CUSIP: 85571BAY1<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |      80000 | PA      | $72007.43     | 0.01%             | 2027-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| POLAND  (REPUBLIC OF)                                            | POLAND (REPUBLIC OF)                        | CUSIP: 857524AE2<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      28000 | PA      | $29642.20     | 0.01%             | 2032-11-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| STIFEL FINL CORP                                                 | Stifel Financial Corp                       | CUSIP: 860630862<br>LEI: 549300E5F07FE5GHJX84 | Long             | EP               | CORP              | US        |       7350 | NS      | $131859.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| STORE CAPITAL CORP                                               | STORE Capital Corp                          | CUSIP: 862121100<br>LEI: 5493004EA6C9IHDZ7N66 | Long             | EC               | CORP              | US        |     114398 | NS      | $3649296.20   | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MOR SARM_05-19XS                      | SARM_05-19XS                                | CUSIP: 863579YU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       5217 | PA      | $5267.01      | 0.00%             | 2035-10-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST SAIL_04-6                 | SAIL_04-6                                   | CUSIP: 86358EJS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     378602 | PA      | $361290.30    | 0.07%             | 2034-07-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORPORATION SASC_05-2XS              | SASC_05-2XS                                 | CUSIP: 86359B2K6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     756186 | PA      | $753423.47    | 0.15%             | 2035-02-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| SAMI_06-AR8                                                      | SAMI_06-AR8                                 | CUSIP: 86361WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     472422 | PA      | $422338.78    | 0.08%             | 2036-10-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST SARM_07-4         | SARM_07-4                                   | CUSIP: 86363LAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     391537 | PA      | $336980.41    | 0.06%             | 2037-05-25      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| STRYKER CORP                                                     | STRYKER CORPORATION                         | CUSIP: 863667BA8<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |     310000 | PA      | $284115.80    | 0.05%             | 2025-06-15      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| STRYKER CORP                                                     | STRYKER CORPORATION                         | CUSIP: 863667BB6<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |     109000 | PA      | $104115.24    | 0.02%             | 2023-12-01      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                        | SUNOCO LP                                   | CUSIP: 86765LAT4<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |     225000 | PA      | $196726.83    | 0.04%             | 2029-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                        | SUNOCO LP                                   | CUSIP: 86765LAZ0<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      47000 | PA      | $40809.90     | 0.01%             | 2030-04-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SWISS INSURED BRAZIL POWER FINANCE SARL                          | SWISS INSURED BRAZIL                        | CUSIP: 870880AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    1758850 | PA      | $302070.43    | 0.06%             | 2032-07-16      | Fixed         | 9.85%                 | No            |                  2 | On Loan: No      |
| SWITCH INC                                                       | Switch Inc                                  | CUSIP: 87105L104<br>LEI: 549300EZ98N5Y55J4X37 | Long             | EC               | CORP              | US        |      83160 | NS      | $2848230.00   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| TRITON INTERNAL FINANCE TIF_20-1                                 | TIF_20-1A                                   | CUSIP: 872480AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     181500 | PA      | $155288.96    | 0.03%             | 2045-08-20      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                            | CUSIP: 87264AAV7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     153000 | PA      | $148854.98    | 0.03%             | 2028-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                            | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       5000 | PA      | $4342.46      | 0.00%             | 2040-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| 1011778 BC UNLIMITED LIABILITY CO                                | 1011778 BC ULC/NEW RED FINANCE INC          | CUSIP: 68245XAM1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     655000 | PA      | $546671.98    | 0.11%             | 2030-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                            | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      20000 | PA      | $18950.52     | 0.00%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                            | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     283000 | PA      | $259863.75    | 0.05%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                            | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      90000 | PA      | $76624.99     | 0.01%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                            | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     125000 | PA      | $104178.19    | 0.02%             | 2031-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| 1011778 BC UNLIMITED LIABILITY CO                                | 1011778 BC ULC/NEW RED FINANCE INC          | CUSIP: 68245XAP4<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     445000 | PA      | $380730.56    | 0.07%             | 2029-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| 1LIFE HEALTHCARE INC                                             | 1Life Healthcare Inc                        | CUSIP: 68269G107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     157776 | NS      | $2680614.24   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| ONTARIO (PROVINCE OF)                                            | ONTARIO (PROVINCE OF)                       | CUSIP: 68333ZAC1<br>LEI: N/A                  | Long             | DBT              | MUN               | CA        |     375000 | PA      | $269716.82    | 0.05%             | 2028-06-02      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                                            | ONTARIO (PROVINCE OF)                       | CUSIP: 68333ZAN7<br>LEI: N/A                  | Long             | DBT              | MUN               | CA        |    1050000 | PA      | $656374.03    | 0.13%             | 2030-12-02      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                            | CUSIP: 87264ABU8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     304000 | PA      | $280368.21    | 0.05%             | 2026-04-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                            | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     105000 | PA      | $92845.97     | 0.02%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                            | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     175000 | PA      | $152111.06    | 0.03%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE US TRUST TMUST_22-1                                     | TMUST_22-1A                                 | CUSIP: 87267WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     180000 | PA      | $179339.18    | 0.03%             | 2028-05-22      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                                   | OPEN TEXT CORP                              | CUSIP: 683715AF3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      70000 | PA      | $70493.47     | 0.01%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST OOMLT_06-3                        | OPCTS_06-3                                  | CUSIP: 68389BAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     965129 | PA      | $634483.12    | 0.12%             | 2037-02-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| TACO BELL FUNDING BELL_16-1A                                     | BELL_16-1A                                  | CUSIP: 87342RAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     363825 | PA      | $349238.89    | 0.07%             | 2046-05-25      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| TAL ADVANTAGE LLC TAL_20-1A                                      | TAL_20-1A                                   | CUSIP: 87407RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     355350 | PA      | $307335.00    | 0.06%             | 2045-09-20      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| OOMLT_05-1                                                       | OOMLT_05-2                                  | CUSIP: 68389FHB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     399219 | PA      | $394336.54    | 0.08%             | 2035-05-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                               | ORACLE CORPORATION                          | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      55000 | PA      | $43612.37     | 0.01%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                               | ORACLE CORPORATION                          | CUSIP: 68389XBQ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     280000 | PA      | $208441.04    | 0.04%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                               | ORACLE CORPORATION                          | CUSIP: 68389XBU8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     100000 | PA      | $91406.61     | 0.02%             | 2027-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                               | ORACLE CORPORATION                          | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      60000 | PA      | $50247.61     | 0.01%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                               | ORACLE CORPORATION                          | CUSIP: 68389XCJ2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     200000 | PA      | $211155.80    | 0.04%             | 2032-11-09      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TEGNA INC                                                        | TEGNA Inc                                   | CUSIP: 87901J105<br>LEI: 549300YC5EDBGX85AO10 | Long             | EC               | CORP              | US        |     202425 | NS      | $3995869.50   | 0.77%             |  |  |  | No            |                  1 | On Loan: No      |
| TENCENT HOLDINGS LTD                                             | TENCENT HOLDINGS LTD                        | CUSIP: 88032WBB1<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $145961.36    | 0.03%             | 2041-04-22      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| OOMLT_07-5                                                       | OOMLT_07-5                                  | CUSIP: 68403HAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     892797 | PA      | $476456.23    | 0.09%             | 2037-05-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| OPTION CARE HEALTH INC                                           | OPTION CARE HEALTH INC                      | CUSIP: 68404LAA0<br>LEI: 549300DI3Q5ACSYJRI17 | Long             | DBT              | CORP              | US        |     160000 | PA      | $136411.16    | 0.03%             | 2029-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| TENET HLTHCR CORP                                                | TENET HEALTHCARE CORPORATION                | CUSIP: 88033GCS7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      22000 | PA      | $21528.18     | 0.00%             | 2024-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TEXTAINER MARINE CONTAINERS LIMITED TMCL_20-2                    | TMCL_20-2A                                  | CUSIP: 88315LAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     245375 | PA      | $210554.72    | 0.04%             | 2045-09-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO                                                     | ORGANON FINANCE 1 LLC                       | CUSIP: 68622TAB7<br>LEI: 549300AMCKY57OK2CO56 | Long             | DBT              | CORP              | US        |     185000 | PA      | $164141.27    | 0.03%             | 2031-04-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| OT MERGER CORP                                                   | OT MERGER CORP                              | CUSIP: 688777AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     240000 | PA      | $140605.32    | 0.03%             | 2029-10-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| TEXTAINER MARINE CONTAINERS IV LTD TMCL_20-3A                    | TMCL_20-3A                                  | CUSIP: 88315LAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     289020 | PA      | $254577.78    | 0.05%             | 2045-09-20      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| TEXTAINER MARINE CONTAINERS VII LTD TMCL_21-2A                   | TMCL_21-2A                                  | CUSIP: 88315LAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     676833 | PA      | $578003.14    | 0.11%             | 2046-04-20      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST TMST_04-3                    | TMST_04-3                                   | CUSIP: 885220FS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     344522 | PA      | $310389.34    | 0.06%             | 2034-09-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| TIBCO SOFTWARE INC                                               | TIBCO SOFTWARE INC                          | CUSIP: 88632QAE3<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |     105000 | PA      | $91832.64     | 0.02%             | 2029-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GROUP INC (THE)                           | PNC FINANCIAL SERVICES GROUP INC            | CUSIP: 693475BJ3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     140000 | PA      | $147104.63    | 0.03%             | 2033-10-28      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| PNM RESOURCES INC                                                | PNM Resources Inc                           | CUSIP: 69349H107<br>LEI: 5493003JOBJGLZSDDQ28 | Long             | EC               | CORP              | US        |      77993 | NS      | $3821657.00   | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| TIME WARNER CABLE LLC                                            | TIME WARNER CABLE INC                       | CUSIP: 88732JBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     195000 | PA      | $166793.19    | 0.03%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                        | TORONTO-DOMINION BANK/THE                   | CUSIP: 89117F8Z5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     230000 | PA      | $235894.78    | 0.05%             | 2082-10-31      | Variable      | 8.12%                 | No            |                  2 | On Loan: No      |
| TOTAL PLAY TELECOMUNICACIONES SA DE CV                           | TOTAL PLAY TELECOMUNICACIONES SA            | CUSIP: 89157FAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     210000 | PA      | $178664.77    | 0.03%             | 2025-11-12      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_17-5                              | TPMT_17-5                                   | CUSIP: 89169EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      95605 | PA      | $94057.00     | 0.02%             | 2057-02-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_22-4                  | PRPM_22-4                                   | CUSIP: 693588AB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     615000 | PA      | $550298.19    | 0.11%             | 2027-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| PERTAMINA PERSERO PT                                             | PT PERTAMINA (PERSERO)                      | CUSIP: 69370PAH4<br>LEI: N/A                  | Long             | DBT              | NUSS              | ID        |     200000 | PA      | $174159.28    | 0.03%             | 2030-08-25      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDONESIA PT                                            | FREEPORT INDONESIA PT                       | CUSIP: 69377FAA4<br>LEI: N/A                  | Long             | DBT              | NUSS              | ID        |     200000 | PA      | $193308.70    | 0.04%             | 2027-04-14      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC PRET_22-RN2                 | PRET_22-RN2                                 | CUSIP: 69377NAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     720000 | PA      | $651830.04    | 0.13%             | 2052-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF (GOVERNMENT)                                  | PANAMA (REPUBLIC OF)                        | CUSIP: 698299BK9<br>LEI: N/A                  | Long             | DBT              | NUSS              | PA        |     200000 | PA      | $174435.40    | 0.03%             | 2030-01-23      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF (GOVERNMENT)                                  | PANAMA (REPUBLIC OF)                        | CUSIP: 698299BN3<br>LEI: N/A                  | Long             | DBT              | NUSS              | PA        |     200000 | PA      | $151734.46    | 0.03%             | 2032-09-29      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_1                                 | TPMT_17-2                                   | CUSIP: 89173HAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     760000 | PA      | $683897.63    | 0.13%             | 2057-04-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES LTD                                        | TRANSCANADA PIPELINES LTD                   | CUSIP: 89352HBA6<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |     320000 | PA      | $299307.51    | 0.06%             | 2030-04-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES LTD                                        | TRANSCANADA PIPELINES LTD                   | CUSIP: 89352HBB4<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |     154000 | PA      | $142969.93    | 0.03%             | 2024-10-12      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| TRANSCONTINENTAL GAS PIPE LINE COMPANY LLC                       | TRANSCONTINENTAL GAS PIPE LINE CO           | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      80000 | PA      | $70319.58     | 0.01%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Park Aerospace                                                   | PARK AEROSPACE HOLDINGS LTD                 | CUSIP: 70014LAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      63000 | PA      | $61937.78     | 0.01%             | 2024-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Park Aerospace                                                   | PARK AEROSPACE HOLDINGS LTD                 | CUSIP: 70014LAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      45000 | PA      | $44795.26     | 0.01%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PARK AVENUE INSTITUTIONAL ADVISERS CLO PAIA_21-1A                | PAIA_21-1A                                  | CUSIP: 70015QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     250000 | PA      | $233532.75    | 0.04%             | 2034-01-20      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| PATAGONIA HOLDCO LLC                                             | PATAGONIA HOLDCO LLC TLB 5.75               | CUSIP: 70289FAD3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      70000 | PA      | $55825.00     | 0.01%             | 2029-08-01      | Variable      | 9.96%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                    | TRANSDIGM INC                               | CUSIP: 893647BP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     125000 | PA      | $109968.35    | 0.02%             | 2029-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TRANSMONTAIGNE PARTNERS LLC                                      | TRANSMONTAIGE PARTNERS LP / FIN CO          | CUSIP: 89376VAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     139000 | PA      | $120582.63    | 0.02%             | 2026-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| PENN ENTERTAINMENT INC                                           | PENN NATIONAL GAMING INC                    | CUSIP: 707569AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     185000 | PA      | $152449.57    | 0.03%             | 2029-07-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PERU (REPUBLIC OF)                                               | PERU (THE REPUBLIC OF)                      | CUSIP: 715638BU5<br>LEI: N/A                  | Long             | DBT              | NUSS              | PE        |     100000 | PA      | $97698.11     | 0.02%             | 2027-08-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN PROTEUS LTD                                           | TRANSOCEAN PROTEUS LTD                      | CUSIP: 893829AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      90000 | PA      | $87917.11     | 0.02%             | 2024-12-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PERU (REPUBLIC OF)                                               | PERU (REPUBLIC OF)                          | CUSIP: 715638DA7<br>LEI: N/A                  | Long             | DBT              | NUSS              | PE        |     165000 | PA      | $142378.06    | 0.03%             | 2030-06-20      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN PENERBIT SURAT BERHARGA SYARIAH NEGARA INDONESIA III  | PERUSAHAAN PENERBIT SURAT BERHARGA          | CUSIP: 71567PAH3<br>LEI: N/A                  | Long             | DBT              | NUSS              | ID        |     270000 | PA      | $265269.60    | 0.05%             | 2027-03-29      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGARA (PERSERO) PT                           | PERUSAHAAN LISTRIK NEGARA PT                | CUSIP: 71568PAC3<br>LEI: N/A                  | Long             | DBT              | NUSS              | ID        |     280000 | PA      | $265198.08    | 0.05%             | 2027-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | PETROLEOS MEXICANOS                         | CUSIP: 71654QCC4<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |     100000 | PA      | $63223.37     | 0.01%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | PETROLEOS MEXICANOS                         | CUSIP: 71654QCL4<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |      19000 | PA      | $11585.31     | 0.00%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | PETROLEOS MEXICANOS                         | CUSIP: 71654QDD1<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |     231000 | PA      | $158889.84    | 0.03%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | PETROLEOS MEXICANOS                         | CUSIP: 71654QDF6<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |      70000 | PA      | $44758.33     | 0.01%             | 2060-01-28      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LTD                                             | PETRONAS CAPITAL LTD                        | CUSIP: 71675CAB4<br>LEI: N/A                  | Long             | DBT              | NUSS              | MY        |     200000 | PA      | $167985.67    | 0.03%             | 2032-01-28      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| PETRORIO LUXEMBOURG SARL                                         | PETRORIO LUXEMBOURG SARL                    | CUSIP: 71677WAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     200000 | PA      | $190801.10    | 0.04%             | 2026-06-09      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES (REPUBLIC OF)                                        | PHILIPPINES (REPUBLIC OF)                   | CUSIP: 718286BM8<br>LEI: N/A                  | Long             | DBT              | NUSS              | PH        |   10000000 | PA      | $160388.57    | 0.03%             | 2036-01-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES (REPUBLIC OF)                                        | PHILIPPINES (REPUBLIC OF)                   | CUSIP: 718286CJ4<br>LEI: N/A                  | Long             | DBT              | NUSS              | PH        |     200000 | PA      | $173324.66    | 0.03%             | 2030-05-05      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| PHYSICIANS REALTY LP                                             | PHYSICIANS REALTY LP                        | CUSIP: 71951QAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      95000 | PA      | $75128.98     | 0.01%             | 2031-11-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| PIKE CORP                                                        | PIKE CORP                                   | CUSIP: 721283AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     175000 | PA      | $154938.40    | 0.03%             | 2028-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PILGRIMS PRIDE CORP                                              | PILGRIMS PRIDE CORP                         | CUSIP: 72147KAE8<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |     150000 | PA      | $148182.28    | 0.03%             | 2027-09-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PILGRIMS PRIDE CORP                                              | PILGRIMS PRIDE CORP                         | CUSIP: 72147KAF5<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |     150000 | PA      | $130355.51    | 0.03%             | 2031-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| COLOMBIA (REPUBLIC OF)                                           | COLOMBIA (REPUBLIC OF)                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | CO        |  414157000 | PA      | $73011.33     | 0.01%             | 2025-11-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NORDEA EIENDOMSKREDITT AS                                        | NORDEA EIENDOMSKREDITT AS                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | NO        |    2000000 | PA      | $203274.85    | 0.04%             | 2023-06-21      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| ALLERGAN FUNDING SCS                                             | ALLERGAN FUNDING SCS                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     100000 | PA      | $97414.67     | 0.02%             | 2028-11-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| IRELAND (GOVERNMENT)                                             | IRELAND (REPUBLIC OF)                       | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |      90000 | PA      | $87220.50     | 0.02%             | 2029-05-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| BMW FIN N.V.                                                     | BMW FINANCE NV                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |      75000 | PA      | $75586.77     | 0.01%             | 2024-11-14      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| KOMMUNALBANKEN AS                                                | KOMMUNALBANKEN AS                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | NO        |     184000 | PA      | $127563.89    | 0.02%             | 2024-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MICRO FOCUS INTERNATIONAL PLC                                    | Micro Focus International PLC               | CUSIP: 000000000<br>LEI: 213800F8E4X648142844 | Long             | EC               | CORP              | GB        |     141582 | NS      | $896368.76    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRIA (REPUBLIC OF)                                            | AUSTRIA (REPUBLIC OF)                       | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     160000 | PA      | $149179.43    | 0.03%             | 2029-02-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| INDONESIA (REPUBLIC OF)                                          | INDONESIA (REPUBLIC OF)                     | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 5915000000 | PA      | $377344.00    | 0.07%             | 2025-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SPAIN (KINGDOM OF)                                               | SPAIN (KINGDOM OF)                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | ES        |     330000 | PA      | $332178.46    | 0.06%             | 2024-07-30      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| QNB FINANCE LTD                                                  | QNB FINANCE LTD                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | KY        |     200000 | PA      | $195788.71    | 0.04%             | 2024-03-28      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | STOXX 600 BANK DEC 22                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | DE        |          4 | NC      | $1442.17      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHUBB INA HOLDINGS INC                                           | CHUBB INA HOLDINGS INC                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     180000 | PA      | $175634.40    | 0.03%             | 2024-12-15      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| MALAYSIA (GOVERNMENT OF)                                         | MALAYSIA (GOVERNMENT OF)                    | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     400000 | PA      | $86028.35     | 0.02%             | 2034-07-05      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| ENGIE SA                                                         | ENGIE SA                                    | CUSIP: 000000000<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $91905.74     | 0.02%             | 2027-06-21      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES (REPUBLIC OF)                                        | PHILIPPINES (REPUBLIC OF)                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | PH        |     305000 | PA      | $278223.94    | 0.05%             | 2027-05-17      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| INDIA (REPUBLIC OF)                                              | INDIA (REPUBLIC OF)                         | CUSIP: 000000000<br>LEI: 335800IV7VCDQGIOI391 | Long             | DBT              | NUSS              | IN        |    3500000 | PA      | $43158.32     | 0.01%             | 2026-04-08      | Fixed         | 7.27%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC HOLDINGS LLC                            | CUSIP: 126307AY3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      80000 | PA      | $62322.04     | 0.01%             | 2028-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BNY Capital Markets                                              | US DOLLARS                                  | CUSIP: 000000000<br>LEI: VJW2DOOHGDT6PR0ZRO63 | N/A              | DFE              | CORP              | AU        |    -146401 | OU      | $-6084.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA (REPUBLIC OF)                                          | INDONESIA (REPUBLIC OF)                     | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 1095000000 | PA      | $71865.25     | 0.01%             | 2035-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LTD                                         | SUNAC CHINA HOLDINGS LTD                    | CUSIP: 000000000<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $22913.85     | 0.00%             | 2025-01-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| E.ON SE                                                          | E.ON SE                                     | CUSIP: 000000000<br>LEI: Q9MAIUP40P25UFBFG033 | Long             | DBT              | CORP              | DE        |      65000 | PA      | $60518.38     | 0.01%             | 2027-09-29      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| CSAIL_15-C3                                                      | CSAIL_15-C3                                 | CUSIP: 12635FAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8992809 | PA      | $123904.72    | 0.02%             | 2048-08-15      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| CSN INOVA VENTURES                                               | CSN ISLANDS XI CORP                         | CUSIP: 12642KAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     215000 | PA      | $204132.22    | 0.04%             | 2028-01-28      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER                                                    | THERMO FISHER SCIENTIFIC INC                | CUSIP: 000000000<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |     105000 | PA      | $96258.03     | 0.02%             | 2028-03-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| PORTUGAL (REPUBLIC OF)                                           | PORTUGAL (REPUBLIC OF)                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | PT        |     440000 | PA      | $411389.21    | 0.08%             | 2032-07-16      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES CSMC_19-ICE4         | CSMC_19-ICE4                                | CUSIP: 12653VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     255000 | PA      | $251707.64    | 0.05%             | 2036-05-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_19-NQM1                        | CSMC_19-NQM1                                | CUSIP: 12655VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      19726 | PA      | $18647.39     | 0.00%             | 2059-10-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_21-B33                         | CSMC_21-B33                                 | CUSIP: 12658WAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     423000 | PA      | $325898.62    | 0.06%             | 2043-10-10      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST CSMC_21-980M                                          | CSMC_21-980M                                | CUSIP: 12659RAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6982000 | PA      | $221404.11    | 0.04%             | 2031-07-15      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_21-RPL4                        | CSMC_21-RPL4                                | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1380097 | PA      | $1216555.40   | 0.23%             | 2060-12-27      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS HEALTH CORP                             | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     305000 | PA      | $282467.35    | 0.05%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES CWL_05-14                  | CWL_05-14                                   | CUSIP: 126670LQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      37109 | PA      | $37036.02     | 0.01%             | 2036-04-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET_BACKED CERTIFI                                 | CWL_05-17                                   | CUSIP: 126670RD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     264983 | PA      | $261171.20    | 0.05%             | 2036-05-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| CWL_04-10                                                        | CWL_04-10                                   | CUSIP: 126673JW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     912003 | PA      | $823771.64    | 0.16%             | 2034-12-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| CWALT_05-43                                                      | CWALT_05-43                                 | CUSIP: 12667G5U3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     205880 | PA      | $177995.92    | 0.03%             | 2035-10-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES CWL_07-13                  | CWL_07-13                                   | CUSIP: 126698AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     143404 | PA      | $131299.52    | 0.03%             | 2047-10-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES CWL_07-13                  | CWL_07-13                                   | CUSIP: 126698AD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     285069 | PA      | $261015.41    | 0.05%             | 2047-10-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| MEXICO (UNITED MEXICAN STATES) (GOVERNMENT)                      | MEXICO (UNITED MEXICAN STATES)              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |    6690000 | PA      | $311036.03    | 0.06%             | 2025-03-06      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND LOCAL GOVERNMENT FUNDING AGENCY LTD                  | NEW ZEALAND LOCAL GOVERNMENT FUNDI          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | MUN               | NZ        |     160000 | PA      | $90143.22     | 0.02%             | 2026-04-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| C&W SENIOR FINANCING DAC                                         | C&W SENIOR FINANCING DAC                    | CUSIP: 12674TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     200000 | PA      | $178367.22    | 0.03%             | 2027-09-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CABLE ONE INC                                                    | CABLE ONE INC                               | CUSIP: 12685JAC9<br>LEI: 549300648QS85T0XSH18 | Long             | DBT              | CORP              | US        |     260000 | PA      | $209448.44    | 0.04%             | 2030-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JOHNSON CONTROLS INTERNATIONAL PLC                               | JOHNSON CONTROLS INTERNATIONAL PLC          | CUSIP: 000000000<br>LEI: 549300XQ6S1GYKGBL205 | Long             | DBT              | CORP              | IE        |     100000 | PA      | $90251.27     | 0.02%             | 2027-09-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                                   | UNITED KINGDOM OF GREAT BRITAIN AN          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |      80000 | PA      | $89914.98     | 0.02%             | 2025-01-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                        | CAESARS ENTERTAINMENT INC                   | CUSIP: 12769GAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      90000 | PA      | $75721.03     | 0.01%             | 2029-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CANADA (GOVERNMENT OF)                                           | CANADA (GOVERNMENT OF)                      | CUSIP: 135087J96<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     205000 | PA      | $146346.76    | 0.03%             | 2024-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC/THE                 | CUSIP: 000000000<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      14000 | PA      | $14588.10     | 0.00%             | 2025-03-27      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| QUEBEC (PROVINCE OF)                                             | QUEBEC (PROVINCE OF)                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | MUN               | CA        |     205000 | PA      | $200979.91    | 0.04%             | 2025-04-07      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| CANADA HOUSING TRUST NO.1                                        | CANADA HOUSING TRUST NO 1                   | CUSIP: 13509PHT3<br>LEI: N/A                  | Long             | DBT              | NUSS              | CA        |     415000 | PA      | $284000.20    | 0.05%             | 2026-06-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY LTD                                     | CANADIAN PACIFIC RAILWAY LTD                | CUSIP: 13645RBD5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      75000 | PA      | $69729.57     | 0.01%             | 2024-12-02      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| PORTUGAL (REPUBLIC OF)                                           | PORTUGAL (REPUBLIC OF)                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | PT        |      90000 | PA      | $86770.10     | 0.02%             | 2027-10-15      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I PLC                                       | VMED O2 UK FINANCING I PLC                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     160000 | PA      | $134500.82    | 0.03%             | 2031-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CANO HEALTH LLC                                                  | CANO HEALTH LLC                             | CUSIP: 13782CAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      90000 | PA      | $45512.38     | 0.01%             | 2028-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FIN CORP                                             | CAPITAL ONE FINANCIAL CORP                  | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     215000 | PA      | $186557.14    | 0.04%             | 2027-11-02      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| AIRBUS SE                                                        | AIRBUS SE                                   | CUSIP: 000000000<br>LEI: MINO79WLOO247M1IL051 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $94444.48     | 0.02%             | 2030-06-09      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                                            | JAPAN (GOVT OF) #151                        | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   30000000 | PA      | $216610.76    | 0.04%             | 2027-03-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                    | CARNIVAL CORPORATION                        | CUSIP: 143658BN1<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     255000 | PA      | $189608.19    | 0.04%             | 2027-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                    | CARNIVAL CORP                               | CUSIP: 143658BU5<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     330000 | PA      | $331650.00    | 0.06%             | 2027-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHINA AOYUAN GROUP LTD                                           | CHINA AOYUAN GROUP LTD                      | CUSIP: 000000000<br>LEI: 549300YSOKQO5QD6MP25 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $10077.13     | 0.00%             | 2024-02-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA (COMMONWEALTH OF)                                      | AUSTRALIA (COMMONWEALTH OF)                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AU        |     320000 | PA      | $196667.62    | 0.04%             | 2026-09-21      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CATALENT PHARMA SOLUTIONS INC                                    | CATALENT PHARMA SOLUTIONS INC               | CUSIP: 14879EAK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     260000 | PA      | $214504.18    | 0.04%             | 2030-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CEMEX SAB DE CV                                                  | CEMEX SAB DE CV                             | CUSIP: 151290BZ5<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |     205000 | PA      | $166922.69    | 0.03%             | 2031-07-11      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                     | CENTENE CORPORATION                         | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     115000 | PA      | $107977.48    | 0.02%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                     | CENTENE CORPORATION                         | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      55000 | PA      | $51123.66     | 0.01%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                     | CENTENE CORPORATION                         | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     495000 | PA      | $422427.27    | 0.08%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                     | CENTENE CORPORATION                         | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     390000 | PA      | $321816.94    | 0.06%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA (COMMONWEALTH OF)                                      | AUSTRALIA (COMMONWEALTH OF)                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AU        |     460000 | PA      | $295588.04    | 0.06%             | 2024-11-21      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| GREECE REPUBLIC OF (GOVERNMENT)                                  | GREECE (REPUBLIC OF)                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | GR        |     236000 | PA      | $233822.12    | 0.05%             | 2027-04-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                     | CENTENE CORPORATION                         | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     195000 | PA      | $154428.73    | 0.03%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                     | CENTENE CORPORATION                         | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     447000 | PA      | $377944.21    | 0.07%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA (COMMONWEALTH OF)                                      | AUSTRALIA (COMMONWEALTH OF)                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AU        |     295000 | PA      | $165098.86    | 0.03%             | 2030-12-21      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SPAIN (KINGDOM OF)                                               | SPAIN (KINGDOM OF)                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | ES        |     255000 | PA      | $245740.74    | 0.05%             | 2027-07-30      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC (ALBERTA)                                     | CENOVUS ENERGY INC                          | CUSIP: 15135UAF6<br>LEI: 549300EIRQ0Z2B9C1W06 | Long             | DBT              | CORP              | CA        |     403000 | PA      | $425848.22    | 0.08%             | 2039-11-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC (ALBERTA)                                     | CENOVUS ENERGY INC                          | CUSIP: 15135UAP4<br>LEI: 549300EIRQ0Z2B9C1W06 | Long             | DBT              | CORP              | CA        |     175000 | PA      | $162671.28    | 0.03%             | 2037-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC (ALBERTA)                                     | CENOVUS ENERGY INC                          | CUSIP: 15135UAR0<br>LEI: 549300EIRQ0Z2B9C1W06 | Long             | DBT              | CORP              | CA        |     175000 | PA      | $161802.56    | 0.03%             | 2047-06-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC (ALBERTA)                                     | CENOVUS ENERGY INC                          | CUSIP: 15135UAT6<br>LEI: 549300EIRQ0Z2B9C1W06 | Long             | DBT              | CORP              | CA        |     115000 | PA      | $81655.44     | 0.02%             | 2028-02-07      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                                   | UK CONV GILT                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     290000 | PA      | $336829.41    | 0.06%             | 2024-01-31      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA (COMMONWEALTH OF)                                      | AUSTRALIA (COMMONWEALTH OF)                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AU        |     295000 | PA      | $162211.35    | 0.03%             | 2031-11-21      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GREECE REPUBLIC OF (GOVERNMENT)                                  | GREECE (REPUBLIC OF)                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | GR        |     290000 | PA      | $252941.00    | 0.05%             | 2030-06-18      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                                              | ITALY (REPUBLIC OF)                         | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     285000 | PA      | $288407.51    | 0.06%             | 2025-07-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY CXHE_05-A                                     | CXHE_05-A                                   | CUSIP: 152314MH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     289039 | PA      | $284166.36    | 0.05%             | 2035-01-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY CXHE_05-D                                     | CXHE_05-D                                   | CUSIP: 152314PQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     437677 | PA      | $435727.62    | 0.08%             | 2035-10-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS    | CHARTER COMM OPT/OPT CAP                    | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      65000 | PA      | $53670.09     | 0.01%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS    | CHARTER COMM OPT/OPT CAP                    | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     320000 | PA      | $274389.59    | 0.05%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND (GOVERNMENT OF)                                      | NEW ZEALAND (GOVERNMENT OF)                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | NZ        |     975000 | PA      | $578526.68    | 0.11%             | 2024-05-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                                            | JAPAN (GOVT OF) #144                        | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  102050000 | PA      | $741151.48    | 0.14%             | 2025-06-20      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING                                 | CHARTER COMM OPT/OPT CAP                    | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     355000 | PA      | $281631.84    | 0.05%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING                                 | CHARTER COMM OPT/OPT CAP                    | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      50000 | PA      | $39613.39     | 0.01%             | 2031-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING                                 | CHARTER COMM OPT LLC/CAP                    | CUSIP: 161175BX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      20000 | PA      | $14956.33     | 0.00%             | 2032-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING                                 | CHARTER COMM OPT/OPT CAP                    | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     280000 | PA      | $225299.67    | 0.04%             | 2053-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND (GOVERNMENT OF)                                      | NEW ZEALAND (GOVERNMENT OF)                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | NZ        |     770000 | PA      | $424626.31    | 0.08%             | 2026-05-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                      | CHENIERE ENERGY PARTNERS LP                 | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     180000 | PA      | $165226.40    | 0.03%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                      | CHENIERE ENERGY PARTNERS LP                 | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     260000 | PA      | $227151.78    | 0.04%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHILE (REPUBLIC OF)                                              | CHILE (REPUBLIC OF)                         | CUSIP: 168863DN5<br>LEI: N/A                  | Long             | DBT              | NUSS              | CL        |     224000 | PA      | $188845.29    | 0.04%             | 2032-01-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA (KINGDOM OF)                                        | SAUDI ARABIA (KINGDOM OF)                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | SA        |     200000 | PA      | $190928.37    | 0.04%             | 2028-03-04      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CHOBANI LLC                                                      | CHOBANI LLC / CHOBANI FINANCE CORP          | CUSIP: 17027NAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $132710.84    | 0.03%             | 2028-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CHURCHILL DOWNS INC                                              | CHURCHILL DOWNS INCORPORATED                | CUSIP: 171484AE8<br>LEI: 529900FODTBQC8MIS994 | Long             | DBT              | CORP              | US        |      92000 | PA      | $84639.66     | 0.02%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                                 | CINEMARK USA INC                            | CUSIP: 172441BF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     160000 | PA      | $127807.92    | 0.02%             | 2028-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                               | CUSIP: 172967ML2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      80000 | PA      | $66547.40     | 0.01%             | 2031-01-29      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                               | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     355000 | PA      | $331202.66    | 0.06%             | 2031-03-31      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                               | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      95000 | PA      | $77950.03     | 0.02%             | 2031-06-03      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                               | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     220000 | PA      | $173601.99    | 0.03%             | 2032-11-03      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                               | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      80000 | PA      | $72779.15     | 0.01%             | 2028-02-24      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST CMLTI_06-AR2                       | CMLTI_06-AR2                                | CUSIP: 17307G6K9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     250163 | PA      | $195850.50    | 0.04%             | 2036-03-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| SWEDEN (KINGDOM OF)                                              | SWEDEN (KINGDOM OF)                         | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |     250000 | PA      | $258087.20    | 0.05%             | 2023-04-24      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| MALAYSIA (GOVERNMENT OF)                                         | MALAYSIA (GOVERNMENT)                       | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     970000 | PA      | $218422.30    | 0.04%             | 2025-03-14      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CBB INTERNATIONAL SUKUK CO 7 WLL                                 | CBB INTERNATIONAL SUKUK CO 7 SPC            | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | BH        |     200000 | PA      | $207064.65    | 0.04%             | 2025-10-05      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| NK KAZMUNAYGAZ AO                                                | KAZMUNAYGAS NATIONAL CO                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | KZ        |     215000 | PA      | $194486.81    | 0.04%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                              | AMERICAN TOWER CORPORATION                  | CUSIP: 000000000<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     100000 | PA      | $97983.17     | 0.02%             | 2026-05-22      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC                     | CUSIP: 000000000<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     173000 | PA      | $163164.41    | 0.03%             | 2028-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SE                                 | FIDELITY NATIONAL INFORMATION SERV          | CUSIP: 000000000<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |     205000 | PA      | $194876.35    | 0.04%             | 2027-05-21      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON EURO FINANCE SARL                               | BECTON DICKINSON AND COMPANY                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     255000 | PA      | $246363.66    | 0.05%             | 2026-06-04      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| BERK HATH FIN                                                    | BERKSHIRE HATHAWAY FINANCE CORP             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     125000 | PA      | $112402.83    | 0.02%             | 2039-06-19      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                       | FISERV INC                                  | CUSIP: 000000000<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     100000 | PA      | $93891.94     | 0.02%             | 2027-07-01      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| DH EUROPE FINANCE II SARL                                        | DH EUROPE FINANCE II SARL                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     335000 | PA      | $304170.47    | 0.06%             | 2028-03-18      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    4300000 | OU      | $-194778.86   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    4300000 | OU      | $-26027.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    2900000 | OU      | $-65861.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    2300000 | OU      | $-77053.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |     825539 | OU      | $-3133.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | MX        |    -967767 | OU      | $-449.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                             | NEW SOUTH WALES TREASURY CORP               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | MUN               | AU        |     330000 | PA      | $212927.70    | 0.04%             | 2025-03-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SE                                 | FIDELITY NATIONAL INFORMATION SERV          | CUSIP: 000000000<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |     100000 | PA      | $88591.75     | 0.02%             | 2028-12-03      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GRUPO GICSA SAB DE CV                                            | BANCO ACTINVER SA                           | CUSIP: 000000000<br>LEI: 529900XCOHY55E07FM34 | Long             | DBT              | CORP              | MX        |    3000000 | PA      | $85535.19     | 0.02%             | 2032-12-18      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| INTL BANK FOR RECONSTRUCT                                        | INTL BANK RECON & DEVELOPMENT               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     430000 | PA      | $305633.21    | 0.06%             | 2025-01-16      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY INC                                           | BERKSHIRE HATHAWAY INC                      | CUSIP: 000000000<br>LEI: 5493000C01ZX7D35SD85 | Long             | DBT              | CORP              | US        |     215000 | PA      | $208811.33    | 0.04%             | 2025-03-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| QATAR (STATE OF)                                                 | QATAR GOVT INTERNATIONAL BOND               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | QA        |     250000 | PA      | $241701.94    | 0.05%             | 2030-04-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CELLNEX TELECOM SA                                               | CELLNEX TELECOM SA                          | CUSIP: 000000000<br>LEI: 5493008T4YG3AQUI7P67 | Long             | DBT              | CORP              | ES        |     100000 | PA      | $87154.67     | 0.02%             | 2029-06-26      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FINANCE CORP                                       | INTERNATIONAL FINANCE CORP                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     270000 | PA      | $149673.68    | 0.03%             | 2025-09-10      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| EGYPT (ARAB REPUBLIC OF)                                         | EGYPT (ARAB REPUBLIC OF)                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | EG        |     200000 | PA      | $179488.80    | 0.03%             | 2025-10-06      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT COMPANY LLC               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $113781.49    | 0.02%             | 2024-06-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                              | UNITED AIRLINES INC TLB 3.75                | CUSIP: 000000000<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | LON              | CORP              | US        |     359321 | PA      | $354315.45    | 0.07%             | 2028-04-21      | Variable      | 8.11%                 | No            |                  2 | On Loan: No      |
| JAZZ FINANCING LUX SARL                                          | JAZZ PHARMACEUTICALS TLB 3.5                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |       7019 | PA      | $6957.97      | 0.00%             | 2028-05-05      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |    3875000 | OU      | $-42870.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |     198270 | OU      | $140.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |     416366 | OU      | $-4563.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SWEDISH KRONA                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | NO        |   -6000000 | OU      | $-9649.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    3000000 | OU      | $-29110.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | AUSTRALIA DOLLAR                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | AU        |   13600000 | OU      | $-189775.48   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | JAPANESE YEN                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | JP        |   15014400 | OU      | $-9525.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | NZ        |   -3700000 | OU      | $-48326.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |     600000 | OU      | $-5434.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    2500000 | OU      | $-15207.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |    6375000 | OU      | $69005.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | NORWAY KRONA                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | NO        |   31500000 | OU      | $65499.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA (REPUBLIC OF)                                          | INDONESIA (REPUBLIC OF)                     | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 6547000000 | PA      | $401189.24    | 0.08%             | 2032-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| APX GROUP INC                                                    | APX GROUP INC TLB 3.50                      | CUSIP: 000000000<br>LEI: 549300OMQVKPRU98OE64 | Long             | LON              | CORP              | US        |         86 | PA      | $81.56        | 0.00%             | 2028-07-10      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| AP CORE HOLDINGS II LLC                                          | VERIZON MEDIA TLB1 5.5                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      12000 | PA      | $10620.00     | 0.00%             | 2027-09-01      | Variable      | 9.57%                 | No            |                  2 | On Loan: No      |
| AP CORE HOLDINGS II LLC                                          | VERIZON MEDIA TLB2 5.5                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      50000 | PA      | $44208.50     | 0.01%             | 2027-09-01      | Variable      | 9.57%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    3100000 | OU      | $35588.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |     100000 | OU      | $-1078.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    6400000 | OU      | $-54911.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | SG        |   -2032932 | OU      | $-67045.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    3300000 | OU      | $-229319.50   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BALLYS CORP                                                      | BALLYS CORP TLB 3.25                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |         90 | PA      | $85.87        | 0.00%             | 2028-10-02      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| GUATEMALA REPUBLIC OF (GOVERNMENT)                               | GUATEMALA (REPUBLIC OF)                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | GT        |     242000 | PA      | $199437.56    | 0.04%             | 2033-10-07      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| RESTORATION HARDWARE INC.                                        | RH TLB 2.5                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |        219 | PA      | $206.00       | 0.00%             | 2028-10-20      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| SINGAPORE (REPUBLIC OF)                                          | SINGAPORE (REPUBLIC OF)                     | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |     515000 | PA      | $354618.25    | 0.07%             | 2026-11-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | TRSWAP: WI DGH SJ EQUITY11/15/2022          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | GB        |   -4787557 | OU      | $47.61        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | TRSWAP: WI:DGH ZA 11/15/2022                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | GB        |   -1504701 | OU      | $14.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | TRSWAP: WI DGH SJ EQUITY11/15/2022          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | GB        |    -484221 | OU      | $4.82         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KOREA (REPUBLIC OF)                                              | KOREA (REPUBLIC OF)                         | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 1095160000 | PA      | $789696.85    | 0.15%             | 2027-03-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEV BANK                                          | INTER-AMERICAN DEVELOPMENT BANK             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     138000 | PA      | $90302.96     | 0.02%             | 2026-01-29      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MALAYSIA (GOVERNMENT OF)                                         | MALAYSIA (GOVERNMENT)                       | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     375000 | PA      | $83147.11     | 0.02%             | 2028-06-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| CAVERION OYJ                                                     | Caverion Oyj                                | CUSIP: 000000000<br>LEI: 7437007ECQWVPCJIS695 | Long             | EC               | CORP              | FI        |      61430 | NS      | $444956.90    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays                                                         | BRITISH POUND                               | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | GB        |     326703 | OU      | $8825.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | XX        |    -366667 | OU      | $-14752.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | SG        |    -536561 | OU      | $-15877.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays                                                         | CANADIAN DOLLAR                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | CA        |     875580 | OU      | $5342.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays                                                         | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | XX        |     764441 | OU      | $37338.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays                                                         | SINGAPORE DOLLAR                            | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | SG        |     533541 | OU      | $4534.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SET50 FUTURES DEC 22                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | TH        |        129 | NC      | $11562.77     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                             | NEW SOUTH WALES TREASURY CORPORATI          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | MUN               | AU        |     325000 | PA      | $214115.03    | 0.04%             | 2027-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GREECE REPUBLIC OF (GOVERNMENT)                                  | GREECE REPUBLIC OF (GOVERNMENT)             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | GR        |     215000 | PA      | $229113.83    | 0.04%             | 2042-01-30      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| KOREA (REPUBLIC OF)                                              | KOREA (REPUBLIC OF)                         | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  316190000 | PA      | $225999.42    | 0.04%             | 2027-06-10      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| MALAYSIA (GOVERNMENT OF)                                         | MALAYSIA (GOVERNMENT)                       | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     405000 | PA      | $90940.92     | 0.02%             | 2026-11-30      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| NORWAY (KINGDOM OF)                                              | NORWAY (KINGDOM OF)                         | CUSIP: 000000000<br>LEI: 549300L0BT3FJTN9MX24 | Long             | DBT              | NUSS              | NO        |    3025000 | PA      | $289067.48    | 0.06%             | 2027-02-17      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BIFFA PLC                                                        | Biffa PLC                                   | CUSIP: 000000000<br>LEI: 2138008RB4WDK7HYYS91 | Long             | EC               | CORP              | GB        |     190052 | NS      | $934565.51    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| BNG BANK NV                                                      | BANK NEDERLANDSE GEMEENTEN NV               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | NL        |      85000 | PA      | $85333.49     | 0.02%             | 2024-06-07      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER                                                    | THERMO FISHER SCIENTIFIC INC                | CUSIP: 000000000<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100259.90    | 0.02%             | 2024-09-12      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                                         | EUROPEAN INVESTMENT BANK                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     115000 | PA      | $138803.93    | 0.03%             | 2023-06-29      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| PARAGUAY REPUBLIC OF (GOVERNMENT)                                | PARAGUAY (REPUBLIC OF)                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | PY        |     200000 | PA      | $197134.07    | 0.04%             | 2027-03-27      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                        | APPLE INC                                   | CUSIP: 000000000<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     175000 | PA      | $175061.95    | 0.03%             | 2025-05-24      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| INDONESIA (REPUBLIC OF)                                          | INDONESIA (REPUBLIC OF)                     | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 2298000000 | PA      | $161750.62    | 0.03%             | 2029-03-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                       | US BANCORP                                  | CUSIP: 000000000<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     500000 | PA      | $503508.55    | 0.10%             | 2024-06-07      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| INDONESIA (REPUBLIC OF)                                          | INDONESIA (REPUBLIC OF)                     | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     200000 | PA      | $203319.13    | 0.04%             | 2024-07-18      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MERRILL LYNCH LARGE LOAN INC BAMLL_18-PARK       | BAMLL_18-PARK                               | CUSIP: 05491YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95000 | PA      | $85956.58     | 0.02%             | 2038-08-10      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| BDS LTD BDS_20-FL6                                               | BDS_20-FL6                                  | CUSIP: 05492XAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     302000 | PA      | $298533.31    | 0.06%             | 2035-09-15      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST BFLD_20-EYP                                           | BFLD_20-EYP                                 | CUSIP: 05493AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     480000 | PA      | $451959.79    | 0.09%             | 2035-10-15      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| INDONESIA (REPUBLIC OF)                                          | INDONESIA (REPUBLIC OF)                     | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 1751000000 | PA      | $114405.62    | 0.02%             | 2038-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER                                                    | THERMO FISHER SCIENTIFIC INC                | CUSIP: 000000000<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |     125000 | PA      | $123815.41    | 0.02%             | 2026-01-23      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| BDS_21-FL8                                                       | BDS_21-FL8                                  | CUSIP: 05493JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     460342 | PA      | $447421.84    | 0.09%             | 2036-01-18      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                 | BAT CAPITAL CORP                            | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     100000 | PA      | $72566.61     | 0.01%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| OMAN SULTANATE OF (GOVERNMENT)                                   | OMAN GOVT INTL BOND                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | OM        |     200000 | PA      | $196737.71    | 0.04%             | 2028-01-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                 | BAT CAPITAL CORP                            | CUSIP: 05526DBV6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     140000 | PA      | $117859.83    | 0.02%             | 2052-03-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST BFLD_21-FPM                                           | BFLD_21-FPM                                 | CUSIP: 05554BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     288000 | PA      | $275538.53    | 0.05%             | 2038-06-15      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| BOCA COMMERCIAL MORTGAGE TRUST BOCA_22-BOCA                      | BOCA_22-BOCA                                | CUSIP: 05592LAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $95919.67     | 0.02%             | 2039-05-15      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_19-XL                            | BX_19-XL                                    | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     430593 | PA      | $423201.08    | 0.08%             | 2036-10-15      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| BX TRUST BX_19-OC11                                              | BX_19-OC11                                  | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     225000 | PA      | $190164.49    | 0.04%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BX TRUST BX_22-GPA                                               | BX_22-GPA                                   | CUSIP: 05608UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     195000 | PA      | $194144.65    | 0.04%             | 2039-10-15      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| BX TRUST BX_22-GPA                                               | BX_22-GPA                                   | CUSIP: 05608UAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120000 | PA      | $119097.89    | 0.02%             | 2039-10-15      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST BX_22-GPA                                               | BX_22-GPA                                   | CUSIP: 05608UAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80000 | PA      | $78897.65     | 0.02%             | 2039-10-15      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_21-LBA                           | BX_21-LBA                                   | CUSIP: 05609BAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     240000 | PA      | $215776.56    | 0.04%             | 2036-02-15      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_21-VOLT                          | BX_21-VOLT                                  | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     125000 | PA      | $119634.14    | 0.02%             | 2036-09-15      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_21-VOLT                          | BX_21-VOLT                                  | CUSIP: 05609VAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     245000 | PA      | $225888.09    | 0.04%             | 2036-09-15      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| BX TRUST BX_22-CLS                                               | BX_22-CLS                                   | CUSIP: 05609XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $148286.78    | 0.03%             | 2027-10-13      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                                        | BALL CORPORATION                            | CUSIP: 058498AV8<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |     250000 | PA      | $242555.66    | 0.05%             | 2026-03-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                                        | BALL CORPORATION                            | CUSIP: 058498AW6<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |     255000 | PA      | $207148.46    | 0.04%             | 2030-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                                        | BALL CORPORATION                            | CUSIP: 058498AY2<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |     285000 | PA      | $294814.41    | 0.06%             | 2028-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA FUNDING CORPORATION BAFC_05-B                    | BAFC_05-B                                   | CUSIP: 05946XSG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     191924 | PA      | $188027.02    | 0.04%             | 2035-04-20      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| BAFC_14-R6                                                       | BAFC_14-R6                                  | CUSIP: 05969KBB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     590581 | PA      | $563677.10    | 0.11%             | 2036-07-26      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                        | CUSIP: 060505GB4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      80000 | PA      | $68205.22     | 0.01%             | 2049-12-31      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                        | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     110000 | PA      | $103500.78    | 0.02%             | 2028-01-20      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                        | CUSIP: 06051GGT0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     345000 | PA      | $329141.87    | 0.06%             | 2025-10-01      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                        | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      50000 | PA      | $40565.12     | 0.01%             | 2032-04-22      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                        | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      50000 | PA      | $42148.99     | 0.01%             | 2029-06-14      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                        | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     700000 | PA      | $557476.57    | 0.11%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                          | BAYER US FINANCE II LLC                     | CUSIP: 07274NAJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $96979.93     | 0.02%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                    | Intercontinental Exchange Inc               | CUSIP: 45866F104<br>LEI: 5493000F4ZO33MV32P92 | Short            | EC               | CORP              | US        |       -879 | NS      | $-95204.49    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| MAXLINEAR INC                                                    | MaxLinear Inc                               | CUSIP: 57776J100<br>LEI: 549300EMOI0SM2IY4F64 | Short            | EC               | CORP              | US        |      -8446 | NS      | $-309123.60   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SUGAR #11 MAR 23                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         22 | NC      | $1609.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SUGAR #11 MAR 23                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         92 | NC      | $-35427.71    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SUGAR #11 MAY 23                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          2 | NC      | $-351.60      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SGX TSI IRON ORE CHINA 62% FUT JAN          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | SG        |         -2 | NC      | $-36.34       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SGX TSI IRON ORE CHINA 62% FUT JAN          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | SG        |        -18 | NC      | $-20452.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | ONE-MONTH SOFR FUTURE APR 23                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |         -1 | NC      | $206.95       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | ONE-MONTH SOFR FUTURE APR 23                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |         -2 | NC      | $-294.55      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SEK/USD FUTURE (CME) DEC 22                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |        -14 | NC      | $-111416.36   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | THREE MONTH SONIA (ICE) MAR 23              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | GB        |        -32 | NC      | $-109255.76   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | THREE-MONTH SOFR FUTURE MAR 23              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |       -222 | NC      | $187172.15    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | THREE-MONTH SOFR FUTURE JUN 23              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |        -15 | NC      | $34629.75     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | THREE-MONTH SOFR FUTURE SEP 23              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |        -11 | NC      | $4797.65      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CHF/USD FUTURE (CME) DEC 22                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-470.45      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | CHF/USD FUTURE (CME) DEC 22                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         -7 | NC      | $-9472.31     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SILVER MAR 23                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $-1556.65     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | SOYBEAN MEAL (CBT) JAN 23                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |          9 | NC      | $9110.65      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | SOYBEAN MEAL (CBT) MAR 23                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |          2 | NC      | $1915.70      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SOYBEAN MEAL (CBT) MAR 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         17 | NC      | $23729.74     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street                                                     | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | AU        |     -75000 | OU      | $-2468.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street                                                     | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | CA        |    -426345 | OU      | $360.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street                                                     | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | CA        |   -1972632 | OU      | $-23627.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street                                                     | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | XX        |    -721250 | OU      | $-27546.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street                                                     | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | XX        |     365961 | OU      | $-6182.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street                                                     | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | JP        |  -36476944 | OU      | $-15768.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street                                                     | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | XX        |      72500 | OU      | $-767.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street                                                     | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | SG        |    -528457 | OU      | $-19307.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street                                                     | AUSTRALIA DOLLAR                            | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | AU        |      75000 | OU      | $4253.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street                                                     | CANADIAN DOLLAR                             | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | CA        |    1198075 | OU      | $15994.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street                                                     | JAPANESE YEN                                | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | JP        |   91307218 | OU      | $43220.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street                                                     | SINGAPORE DOLLAR                            | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | SG        |     816989 | OU      | $23407.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered                                               | US DOLLARS                                  | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              | CORP              | AU        |     -75000 | OU      | $-2888.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered                                               | JAPANESE YEN                                | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              | CORP              | JP        |    7617212 | OU      | $1584.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered                                               | US DOLLARS                                  | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              | CORP              | CA        |   -1493530 | OU      | $-19928.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered                                               | US DOLLARS                                  | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              | CORP              | XX        |    -366667 | OU      | $-15135.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered                                               | US DOLLARS                                  | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              | CORP              | GB        |    -651375 | OU      | $-71740.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered                                               | CANADIAN DOLLAR                             | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              | CORP              | CA        |      72500 | OU      | $-1193.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered                                               | BRITISH POUND                               | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              | CORP              | GB        |     953333 | OU      | $59008.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FTSE/MIB INDEX DEC 22                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | IT        |         13 | NC      | $48346.10     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | FTSE/MIB INDEX DEC 22                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | IT        |         16 | NC      | $35967.47     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Citi                                                             | FSWP: USD 1.390000 28-SEP-2025              | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |   12000000 | OU      | $-564491.88   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | FSWP: USD 1.870000 28-SEP-2053              | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |    1000000 | OU      | $262295.99    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | FTSE/MIB MINI INDEX DEC 22                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | IT        |          3 | NC      | $2817.17      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | STOXX EUROPE 600 DEC 22                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | DE        |         19 | NC      | $11802.26     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | STOXX EUROPE 600 DEC 22                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | DE        |         25 | NC      | $3084.43      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | MINI TPX IDX DEC 22                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | JP        |          5 | NC      | $1752.92      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | TOPIX INDEX DEC 22                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | JP        |         12 | NC      | $13640.42     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | TOPIX INDEX DEC 22                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | JP        |         18 | NC      | $-205.05      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | KOREAN WON                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    -600000 | OU      | $6352.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TAIWAN NEW DOLLAR                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    -529747 | OU      | $274.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TAIWAN NEW DOLLAR                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    -900000 | OU      | $-2701.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TAIWAN NEW DOLLAR                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    -200000 | OU      | $43.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | COFFEE ROBUSTA JAN 23                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |         -1 | NC      | $-70.97       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | MINI-DAX FUTURE DEC 22                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | DE        |          2 | NC      | $1246.52      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | DJIA MINI e-CBOT DEC 22                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |          6 | NC      | $36196.72     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | DJIA MINI e-CBOT DEC 22                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |          5 | NC      | $11508.58     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | EURO-SCHATZ DEC 22                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | DE        |       -142 | NC      | $101424.27    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | EURO-SCHATZ DEC 22                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | DE        |       -284 | NC      | $103667.35    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | DOLLAR INDEX DEC 22                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          3 | NC      | $-14324.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | CRUDE OIL EMINI JAN 23                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |         -4 | NC      | $-4005.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EUR/USD FUTURE (CME) DEC 22                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         -1 | NC      | $-6551.70     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | EUR/USD FUTURE (CME) DEC 22                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |        -33 | NC      | $-114077.76   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EURO$90 DAY MAR 23                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |        -18 | NC      | $84411.76     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EURO$90 DAY JUN 23                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |        -17 | NC      | $-3886.36     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EURO$90 DAY JUN 25                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |         -5 | NC      | $12430.35     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EURO$90 DAY SEP 23                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |         -4 | NC      | $5756.78      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EURO$90 DAY DEC 24                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |         -8 | NC      | $-6211.44     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EURO$90 DAY DEC 26                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |         -1 | NC      | $-1363.93     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EUR/USD FUTURE (CME) DEC 22                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         -1 | NC      | $-3182.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | WTI CRUDE JAN 23                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |         -4 | NC      | $-11473.72    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | E-MINI NATURAL GAS JAN 23                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $624.40       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | KOREAN WON                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   -2900000 | OU      | $62489.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | KOREAN WON                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   -2300000 | OU      | $73581.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | MEXICAN PESO                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   -5064382 | OU      | $37130.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | NORWAY KRONA                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | NO        |   21291926 | OU      | $29691.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | NORWAY KRONA                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | NO        |     766174 | OU      | $2938.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | NEW ZEALAND DOLLAR                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | NZ        |     700000 | OU      | $8792.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | POLISH ZLOTY                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    -400000 | OU      | $3483.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SWEDISH KRONA                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    -600000 | OU      | $-3859.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SINGAPORE DOLLAR                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   -1400000 | OU      | $11985.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SINGAPORE DOLLAR                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | SG        |     802421 | OU      | $8352.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TURKISH LIRA                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   -3300000 | OU      | $59350.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TURKISH LIRA                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    -600000 | OU      | $6464.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TAIWAN NEW DOLLAR                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |     -29747 | OU      | $303.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | TAIWAN NEW DOLLAR                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   -1429747 | OU      | $13624.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SOUTH AFRICA COMM. RD                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    -500000 | OU      | $-579.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    2700000 | OU      | $9814.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | JPY/USD FUTURE (CME) DEC 22                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1173.30      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | JPY/USD FUTURE (CME) DEC 22                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |        -99 | NC      | $-320053.91   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COFFEE MAR 23                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -3 | NC      | $-7113.26     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | COFFEE MAR 23                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        -25 | NC      | $-35218.37    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COFFEE MAY 23                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $-3152.33     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | KOREA 3YR BOND DEC 22                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | KR        |       -155 | NC      | $-60292.79    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CRUDE PALM OIL FEB 23                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | MY        |         -3 | NC      | $-6058.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ISRAEL ELECTRIC CORP LTD                                         | ISRAEL ELECTRIC CORP LTD                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | IL        |     200000 | PA      | $175402.18    | 0.03%             | 2032-02-22      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| INDONESIA (REPUBLIC OF)                                          | INDONESIA (REPUBLIC OF)                     | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     100000 | PA      | $75468.09     | 0.01%             | 2033-03-12      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                              | AMERICAN TOWER CORPORATION                  | CUSIP: 000000000<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     100000 | PA      | $87422.93     | 0.02%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| INDIA (REPUBLIC OF)                                              | INDIA (REPUBLIC OF)                         | CUSIP: 000000000<br>LEI: 335800IV7VCDQGIOI391 | Long             | DBT              | NUSS              | IN        |    7990000 | PA      | $90656.93     | 0.02%             | 2031-07-12      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND (GOVERNMENT OF)                                      | NEW ZEALAND (GOVT OF)                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | NZ        |     280000 | PA      | $177821.01    | 0.03%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NORWAY (KINGDOM OF)                                              | NORWAY KINGDOM OF (GOVERNMENT)              | CUSIP: 000000000<br>LEI: 549300L0BT3FJTN9MX24 | Long             | DBT              | NUSS              | NO        |    2775000 | PA      | $258911.41    | 0.05%             | 2032-05-18      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| HUNGARY (GOVERNMENT)                                             | HUNGARY (REPUBLIC OF)                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | HU        |     200000 | PA      | $151373.72    | 0.03%             | 2031-09-22      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | SOYBEAN OIL JAN 23                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |          9 | NC      | $700.65       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | SOYBEAN OIL MAR 23                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |          3 | NC      | $2303.55      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SOYBEAN OIL MAR 23                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         23 | NC      | $16369.03     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | SOYBEAN OIL MAY 23                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |          2 | NC      | $679.70       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | SOYBEAN OIL DEC 23                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |          9 | NC      | $2919.77      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INDONESIA (REPUBLIC OF)                                          | INDONESIA (REPUBLIC OF)                     | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 1504000000 | PA      | $91422.16     | 0.02%             | 2027-04-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| KOMMUNALBANKEN AS                                                | KOMMUNALBANKEN AS                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | NO        |     280000 | PA      | $191448.77    | 0.04%             | 2025-07-16      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| INTL BANK FOR RECONSTRUCT                                        | INTL BANK RECON & DEVELOPMENT               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     170000 | PA      | $99386.41     | 0.02%             | 2026-11-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SINGAPORE AIRLINES LTD                                           | SINGAPORE AIRLINES LTD                      | CUSIP: 000000000<br>LEI: 549300ZG62N2599PWR15 | Long             | DBT              | CORP              | SG        |     200000 | PA      | $179108.34    | 0.03%             | 2029-01-19      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FINANCE CORP                                       | INTERNATIONAL FINANCE CORP                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     330000 | PA      | $222242.64    | 0.04%             | 2026-02-24      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | GBP/USD FUTURE (CME) DEC 22                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |        -32 | NC      | $-72497.04    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | BRL/USD FUTURE (CME) JAN 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          9 | NC      | $5745.91      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | BRL/USD FUTURE (CME) JAN 23                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         -1 | NC      | $-616.78      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MEXICO (UNITED MEXICAN STATES) (GOVERNMENT)                      | MEXICAN BONOS                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |   10590000 | PA      | $512865.82    | 0.10%             | 2027-06-03      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | SHORT EURO-BTP (ITALY GOVT) DEC 22          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | DE        |        -34 | NC      | $-46857.16    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SHORT EURO-BTP (ITALY GOVT) DEC 22          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | DE        |        -41 | NC      | $-26547.46    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| NORWAY (KINGDOM OF)                                              | NORWAY (KINGDOM OF)                         | CUSIP: 000000000<br>LEI: 549300L0BT3FJTN9MX24 | Long             | DBT              | NUSS              | NO        |    3815000 | PA      | $373438.48    | 0.07%             | 2025-03-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND LOCAL GOVERNMENT FUNDING AGENCY LTD                  | NEW ZEALAND LOCAL GOVERNMENT FUNDI          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | MUN               | NZ        |     285000 | PA      | $177269.56    | 0.03%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEV BANK                                          | INTER-AMERICAN DEVELOPMENT BANK             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     120000 | PA      | $79057.81     | 0.02%             | 2025-10-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | ironSource Ltd                              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | IL        |        286 | NC      | $3289.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | Broadcom Inc                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |          6 | NC      | $23190.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | Broadcom Inc                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |          3 | NC      | $16290.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | Tenneco Inc                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |         -4 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Goldman Sachs                                                    | Tenneco Inc                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |        285 | NC      | $0.03         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| JPMorgan                                                         | COTTON NO.2 MAR 23                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $-2042.33     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | COTTON NO.2 MAR 23                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        -12 | NC      | $-29146.14    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CIBC                                                             | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 2IGI19DL77OX0HC3ZE78 | N/A              | DFE              | CORP              | CA        |   -2239762 | OU      | $-20085.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIBC                                                             | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: 2IGI19DL77OX0HC3ZE78 | N/A              | DFE              | CORP              | XX        |     369076 | OU      | $-11785.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIBC                                                             | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 2IGI19DL77OX0HC3ZE78 | N/A              | DFE              | CORP              | JP        |  -90206231 | OU      | $-23478.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIBC                                                             | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 2IGI19DL77OX0HC3ZE78 | N/A              | DFE              | CORP              | SG        |   -1100072 | OU      | $-30292.12    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CIBC                                                             | CANADIAN DOLLAR                             | CUSIP: 000000000<br>LEI: 2IGI19DL77OX0HC3ZE78 | N/A              | DFE              | CORP              | CA        |    4344077 | OU      | $53610.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | MXN/USD FUTURE (CME) DEC 22                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |        260 | NC      | $208773.80    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | PLATINUM JAN 23                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          3 | NC      | $914.81       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | PLATINUM JAN 23                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |          6 | NC      | $6113.61      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | S&P/TSE 60 INDEX DEC 22                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | CA        |          1 | NC      | $1657.18      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | S&P/TSE 60 INDEX DEC 22                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | CA        |          6 | NC      | $8281.41      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COCOA FUTURE (LIFFE) MAR 23                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |          2 | NC      | $-312.77      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COCOA FUTURE (LIFFE) MAY 23                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |          1 | NC      | $426.56       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COCOA FUTURE (LIFFE) JUL 23                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |          1 | NC      | $227.64       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | OMXS30 INDEX DEC 22                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | SE        |         38 | NC      | $2514.89      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | OMXS30 INDEX DEC 22                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | SE        |         31 | NC      | $-948.36      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | GAS OIL JAN 23                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |          8 | NC      | $-34901.78    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | GAS OIL JAN 23                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |         -2 | NC      | $-7226.80     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | GAS OIL FEB 23                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |         -1 | NC      | $-2625.90     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | GAS OIL APR 23                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |         -1 | NC      | $-125.90      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | WHITE SUGAR (LIFFE) MAR 23                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |          2 | NC      | $-272.02      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | WHITE SUGAR (LIFFE) MAY 23                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |          1 | NC      | $-51.00       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | MSCI SING IX ETS DEC 22                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | SG        |        -10 | NC      | $-2511.09     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | MSCI SING IX ETS DEC 22                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | SG        |        -11 | NC      | $-1537.76     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NORDEA EIENDOMSKREDITT AS                                        | NORDEA EIENDOMSKREDITT AS                   | CUSIP: R5124EBD1<br>LEI: N/A                  | Long             | DBT              | CORP              | NO        |    2000000 | PA      | $203373.31    | 0.04%             | 2024-06-19      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | ZAR/USD FUTURE (CME) DEC 22                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |        -96 | NC      | $-32715.40    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| RBC Capital Markets                                              | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | N/A              | DFE              | CORP              | CA        |   -1178282 | OU      | $5196.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC Capital Markets                                              | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | N/A              | DFE              | CORP              | CA        |   -3284745 | OU      | $-37179.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC Capital Markets                                              | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | N/A              | DFE              | CORP              | XX        |    -522517 | OU      | $3867.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC Capital Markets                                              | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | N/A              | DFE              | CORP              | XX        |     365961 | OU      | $-6867.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC Capital Markets                                              | CANADIAN DOLLAR                             | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | N/A              | DFE              | CORP              | CA        |      75000 | OU      | $-1177.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC Capital Markets                                              | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | N/A              | DFE              | CORP              | JP        |  -54970748 | OU      | $-28820.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC Capital Markets                                              | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | N/A              | DFE              | CORP              | MX        |  -21322721 | OU      | $-54902.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC Capital Markets                                              | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | N/A              | DFE              | CORP              | NZ        |    -937393 | OU      | $-27236.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC Capital Markets                                              | US DOLLARS                                  | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | N/A              | DFE              | CORP              | SG        |    -525302 | OU      | $-16189.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC Capital Markets                                              | CANADIAN DOLLAR                             | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | N/A              | DFE              | CORP              | CA        |    2023414 | OU      | $28858.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC Capital Markets                                              | CANADIAN DOLLAR                             | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | N/A              | DFE              | CORP              | CA        |     710910 | OU      | $-3481.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC Capital Markets                                              | SINGAPORE DOLLAR                            | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | N/A              | DFE              | CORP              | SG        |     547608 | OU      | $17672.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | ROUGH RICE JAN 23                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          2 | NC      | $-804.46      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CANOLA (IFUS) FUTURE JAN 23                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | CA        |         -5 | NC      | $-575.88      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CANOLA (IFUS) FUTURE MAR 23                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | CA        |         -1 | NC      | $49.98        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | RUSSELL 2000 EMINI CME DEC 22               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |          2 | NC      | $2487.24      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | RUSSELL 2000 EMINI CME DEC 22               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |         -3 | NC      | $-29571.37    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | EURO-BUND DEC 22                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | DE        |         -2 | NC      | $7916.90      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EURO-BUND DEC 22                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | DE        |        -21 | NC      | $929.65       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | EURO-BUND DEC 22                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | DE        |        -25 | NC      | $38220.78     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SOYBEAN JAN 23                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -2 | NC      | $-2516.80     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SOYBEAN MAR 23                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          1 | NC      | $735.35       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SOYBEAN MAR 23                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |          8 | NC      | $23780.62     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SOYBEAN MAY 23                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          1 | NC      | $472.85       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | SOYBEAN NOV 23                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          1 | NC      | $185.35       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BROADCOM INC                                                     | Broadcom Inc                                | CUSIP: 11135F101<br>LEI: 549300WV6GIDOZJTV909 | Short            | EC               | CORP              | US        |      -3464 | NS      | $-1908767.92  | -0.37%            |  |  |  | No            |                  1 | On Loan: No      |
| BAYER US FINANCE II LLC                                          | BAYER US FINANCE II LLC                     | CUSIP: 07274NAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     289000 | PA      | $275140.92    | 0.05%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                          | BAYER US FINANCE II LLC                     | CUSIP: 07274NAN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     370000 | PA      | $322770.07    | 0.06%             | 2038-06-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BAYLOR SCOTT & WHITE HOLDINGS                                    | BAYLOR SCOTT & WHITE HOLDINGS               | CUSIP: 072863AE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     500000 | PA      | $462941.57    | 0.09%             | 2026-11-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BALTA_04-6                                                       | BALTA_04-6                                  | CUSIP: 07386HJX0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     221023 | PA      | $221348.69    | 0.04%             | 2034-07-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MORTGAGE FUNDING TR                                 | BSMF_06-AR3                                 | CUSIP: 07400HAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     295427 | PA      | $240271.53    | 0.05%             | 2036-10-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MORTGAGE FUNDING TR                                 | BSMF_06-AR4                                 | CUSIP: 07401JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     401771 | PA      | $353920.97    | 0.07%             | 2036-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| BSMF_07-AR3                                                      | BSMF_07-AR3                                 | CUSIP: 07401VAP6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     318281 | PA      | $271062.89    | 0.05%             | 2037-04-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| BECLE SAB DE CV                                                  | BECLE SAB DE CV                             | CUSIP: 07586PAA9<br>LEI: 529900JY55CZKMJLCE09 | Long             | DBT              | CORP              | MX        |     205000 | PA      | $160552.54    | 0.03%             | 2031-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND COMPANY                                     | BECTON DICKINSON AND COMPANY                | CUSIP: 075887406<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | EP               | CORP              | US        |       2200 | NS      | $109274.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BERRY GLOBAL ESCROW CORP                                         | BERRY GLOBAL ESCROW CORP                    | CUSIP: 085770AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      51000 | PA      | $48901.29     | 0.01%             | 2026-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL ESCROW CORP                                         | BERRY GLOBAL ESCROW CORP                    | CUSIP: 085770AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     125000 | PA      | $122287.46    | 0.02%             | 2027-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BLACK KNIGHT INC                                                 | Black Knight Inc                            | CUSIP: 09215C105<br>LEI: 549300TUSNXS3BFFML48 | Long             | EC               | CORP              | US        |       6199 | NS      | $384276.01    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| BLOOMIN BRANDS INC                                               | BLOOMIN BRANDS INC/OSI RESTAURANTS          | CUSIP: 094234AA9<br>LEI: E1UJ2GO305B5FXGV7N04 | Long             | DBT              | CORP              | US        |     160000 | PA      | $137496.64    | 0.03%             | 2029-04-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD BLUEM_17-1A                                 | BLUEM_17-1A                                 | CUSIP: 09629CAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     375000 | PA      | $358173.38    | 0.07%             | 2029-07-20      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                   | BNP PARIBAS SA                              | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     240000 | PA      | $220368.58    | 0.04%             | 2026-06-09      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                        | Boeing Co/The                               | CUSIP: 097023105<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EC               | CORP              | US        |       1186 | NS      | $212151.68    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| BOEING CO                                                        | BOEING CO                                   | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     300000 | PA      | $297251.46    | 0.06%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                        | BOEING CO                                   | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     550000 | PA      | $536585.26    | 0.10%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                        | BOEING CO                                   | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     300000 | PA      | $286234.62    | 0.06%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| BRASKEM IDESA SAPI                                               | BRASKEM IDESA SAPI                          | CUSIP: 10554NAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     200000 | PA      | $141323.67    | 0.03%             | 2032-02-20      | Fixed         | 6.99%                 | No            |                  2 | On Loan: No      |
| BRASKEM NETHERLANDS FINANCE BV                                   | BRASKEM NETHERLANDS FINANCE BV              | CUSIP: 10554TAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     200000 | PA      | $171025.26    | 0.03%             | 2030-01-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BRAZIL FEDERATIVE REPUBLIC OF (GOVERNMENT)                       | BRAZIL (FEDERATIVE REPUBLIC OF)             | CUSIP: 105756CC2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     400000 | PA      | $351655.34    | 0.07%             | 2030-06-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                     | BROADCOM INC                                | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      98000 | PA      | $74017.26     | 0.01%             | 2033-02-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                | BROWN & BROWN INC                           | CUSIP: 115236AF8<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     115000 | PA      | $95233.93     | 0.02%             | 2052-03-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BTRS HOLDINGS INC                                                | BTRS Holdings Inc                           | CUSIP: 11778X104<br>LEI: 549300K51KDPS5MBVB54 | Long             | EC               | CORP              | US        |     245860 | NS      | $2328294.20   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| BURLINGTON STORES INC                                            | BURLINGTON STORES INC                       | CUSIP: 122017AB2<br>LEI: 5299003Z37DVGKKC1W09 | Long             | DBT              | CORP              | US        |     225000 | PA      | $255656.25    | 0.05%             | 2025-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_21-CIP                           | BX_21-CIP                                   | CUSIP: 12434FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     115000 | PA      | $110533.06    | 0.02%             | 2038-12-15      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| CAMB COMMERCIAL MORTGAGE TRUST CAMB_19-LIFE                      | CAMB_19-LIFE                                | CUSIP: 12482HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $97874.12     | 0.02%             | 2037-12-15      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC/CCO HOLDINGS CAPITAL CORP                       | CCO HOLDINGS LLC/CAP CORP                   | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     295000 | PA      | $254063.99    | 0.05%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC/CCO HOLDINGS CAPITAL CORP                       | CCO HOLDINGS LLC/CAP CORP                   | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     265000 | PA      | $223256.64    | 0.04%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC/CCO HOLDINGS CAPITAL CORP                       | CCO HOLDINGS LLC/CAP CORP                   | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     395000 | PA      | $322554.16    | 0.06%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC/CCO HOLDINGS CAPITAL CORP                       | CCO HOLDINGS LLC/CAP CORP                   | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     115000 | PA      | $91270.73     | 0.02%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CDW LLC                                                          | CDW LLC / CDW FINANCE CORP                  | CUSIP: 12513GBD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      35000 | PA      | $31608.06     | 0.01%             | 2028-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_21-R3                                              | CIM_21-R3                                   | CUSIP: 12566LAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     468300 | PA      | $419207.80    | 0.08%             | 2057-06-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST COMM_14-UBS2                                 | COMM_14-UBS2                                | CUSIP: 12591UAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3767988 | PA      | $31957.81     | 0.01%             | 2047-03-10      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                                | CPPIB CAPITAL INC                           | CUSIP: 12593CAR2<br>LEI: N/A                  | Long             | DBT              | NUSS              | CA        |     155000 | PA      | $101929.99    | 0.02%             | 2031-12-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST COMM_20-SBX                                  | COMM_20-SBX                                 | CUSIP: 12598EAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11501000 | PA      | $178755.44    | 0.03%             | 2038-01-10      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST COMM_12-CR3                                  | COMM_12-CR3                                 | CUSIP: 12624PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     445178 | PA      | $17.27        | 0.00%             | 2045-10-15      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST COMM_12-CR4                                  | COMM_12-CR4                                 | CUSIP: 12624QAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     873402 | PA      | $32.93        | 0.00%             | 2045-10-15      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC HOLDINGS LLC                            | CUSIP: 126307AS6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     275000 | PA      | $246990.55    | 0.05%             | 2028-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    3500000 | OU      | $-35355.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    1429747 | OU      | $-12292.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    2429747 | OU      | $-24587.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | AUSTRALIA DOLLAR                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | AU        |     700000 | OU      | $976.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CANADIAN DOLLAR                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CA        |    1414714 | OU      | $17204.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CANADIAN DOLLAR                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | CA        |     248442 | OU      | $-93.55       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | SWISS FRANC                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    -532382 | OU      | $-3665.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CHINESE OFFSHORE YUAN (HONG KONG)           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   -1600000 | OU      | $27612.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |     625000 | OU      | $-643.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | EURO COUNTRIES                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | XX        |     330099 | OU      | $26661.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | BRITISH POUND                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | GB        |     375000 | OU      | $6842.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | BRITISH POUND                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | GB        |     651375 | OU      | $62808.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | ISRAELI SHEKEL                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    -500000 | OU      | $416.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | INDIAN RUPEE                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   -8900000 | OU      | $111439.35    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | INDIAN RUPEE                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   -8900000 | OU      | $5503.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | INDIAN RUPEE                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   -5216218 | OU      | $31890.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | INDIAN RUPEE                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    -483782 | OU      | $2742.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | INDIAN RUPEE                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   -5216218 | OU      | $25973.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | INDIAN RUPEE                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | IN        |   39568986 | OU      | $2163.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | JAPANESE YEN                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    -358996 | OU      | $3301.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | JAPANESE YEN                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | JP        |   55710593 | OU      | $34213.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | KOREAN WON                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   -4300000 | OU      | $180009.83    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | KOREAN WON                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   -4300000 | OU      | $24356.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CRUDE PALM OIL MAR 23                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | MY        |         -1 | NC      | $-2087.94     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CRUDE PALM OIL APR 23                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | MY        |         -1 | NC      | $-2017.49     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | WIG20(PLN20) INDEX DEC 22                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | PL        |         -5 | NC      | $-6850.39     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                  | QUEENSLAND TREASURY CORPORATION             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | MUN               | AU        |     290000 | PA      | $188624.69    | 0.04%             | 2027-08-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MEXICO (UNITED MEXICAN STATES) (GOVERNMENT)                      | MEXICO (UNITED MEXICAN STATES)              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |    5420000 | PA      | $250936.00    | 0.05%             | 2026-03-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NORWAY (KINGDOM OF)                                              | NORWAY (KINGDOM OF)                         | CUSIP: 000000000<br>LEI: 549300L0BT3FJTN9MX24 | Long             | DBT              | NUSS              | NO        |    1805000 | PA      | $173157.61    | 0.03%             | 2026-02-19      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MALAYSIA (GOVERNMENT OF)                                         | MALAYSIA (GOVERNMENT)                       | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     975000 | PA      | $221071.01    | 0.04%             | 2024-09-30      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| MALAYSIA (GOVERNMENT OF)                                         | MALAYSIA (GOVERNMENT)                       | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    1300000 | PA      | $291743.22    | 0.06%             | 2027-11-16      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| INDONESIA (REPUBLIC OF)                                          | INDONESIA (REPUBLIC OF)                     | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 4550000000 | PA      | $321003.42    | 0.06%             | 2031-05-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| ALLERGAN FUNDING SCS                                             | ALLERGAN FUNDING SCS                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     100000 | PA      | $100346.37    | 0.02%             | 2024-06-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| SOMFY SA                                                         | Somfy SA                                    | CUSIP: 000000000<br>LEI: 969500D830K8WFLKFS83 | Long             | EC               | CORP              | FR        |       2153 | NS      | $321286.56    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| HOMESERVE PLC                                                    | HomeServe PLC                               | CUSIP: 000000000<br>LEI: 213800EKBJTGNMXEDF11 | Long             | EC               | CORP              | GB        |      46010 | NS      | $658817.54    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA (REPUBLIC OF)                                          | INDONESIA (REPUBLIC OF)                     | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     225000 | PA      | $233723.82    | 0.05%             | 2023-06-14      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC                     | CUSIP: 000000000<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     186000 | PA      | $189076.06    | 0.04%             | 2024-05-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| NORDIC INVESTMENT BANK                                           | NORDIC INVESTMENT BANK                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | FI        |     980000 | PA      | $97169.07     | 0.02%             | 2024-04-10      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| ASIAN DEVELOPMENT BANK                                           | ASIAN DEVELOPMENT BANK                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | PH        |     135000 | PA      | $88665.15     | 0.02%             | 2026-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| QUEBEC (PROVINCE OF)                                             | QUEBEC (PROVINCE OF)                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | MUN               | CA        |     105000 | PA      | $123354.17    | 0.02%             | 2023-12-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | BRENT CRUDE OIL LAST DAY FEB 23             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $-1550.87     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CANADA HOUSING TRUST NO.1                                        | CANADA HOUSING TRUST NO.1                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | CA        |     465000 | PA      | $327772.29    | 0.06%             | 2025-12-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CORN MAR 23                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         12 | NC      | $-20199.38    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CORN MAR 23                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |        -14 | NC      | $2332.40      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CORN MAY 23                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -8 | NC      | $-1467.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CORN JUL 23                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $-227.15      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CORN DEC 23                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |         15 | NC      | $-844.75      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| 1011778 BC UNLIMITED LIABILITY CO                                | BURGER KING TLB4 1.75                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |      93085 | PA      | $91223.63     | 0.02%             | 2026-11-19      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | MILLING WHEAT MAR 23                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | FR        |        -10 | NC      | $1490.56      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | MILLING WHEAT MAY 23                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | FR        |         -4 | NC      | $796.08       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Citi                                                             | US DOLLARS                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | AU        |     -75000 | OU      | $-3197.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CA        |   -2095176 | OU      | $-20662.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |    -551112 | OU      | $-30957.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | JP        | -126836827 | OU      | $-52403.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | EURO STOXX BANK DEC 22                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | DE        |         68 | NC      | $26227.28     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | COCOA MAR 23                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          1 | NC      | $57.80        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Citi                                                             | AUSTRALIA DOLLAR                            | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | AU        |      72500 | OU      | $3.26         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NZ        |    -781433 | OU      | $-16349.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | US DOLLARS                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SG        |    -422355 | OU      | $-15143.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | CANADIAN DOLLAR                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CA        |     997550 | OU      | $14405.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | BRITISH POUND                               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | GB        |     361875 | OU      | $31493.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | SINGAPORE DOLLAR                            | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SG        |     267279 | OU      | $2641.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | COCOA MAR 23                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        -10 | NC      | $-17627.28    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CAD/USD FUTURE (CME) DEC 22                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         -1 | NC      | $693.30       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CIBC                                                             | CANADIAN DOLLAR                             | CUSIP: 000000000<br>LEI: 2IGI19DL77OX0HC3ZE78 | N/A              | DFE              | CORP              | CA        |    1223330 | OU      | $-7281.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIBC                                                             | MEXICAN PESO                                | CUSIP: 000000000<br>LEI: 2IGI19DL77OX0HC3ZE78 | N/A              | DFE              | CORP              | MX        |    1268354 | OU      | $477.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CAD/USD FUTURE (CME) DEC 22                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |        -98 | NC      | $159564.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CAC40 10 EURO DEC 22                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | FR        |         13 | NC      | $13055.69     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | CAC40 10 EURO DEC 22                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | FR        |         31 | NC      | $34278.82     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | WTI CRUDE JAN 23                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |         -5 | NC      | $-6748.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CIBC                                                             | SINGAPORE DOLLAR                            | CUSIP: 000000000<br>LEI: 2IGI19DL77OX0HC3ZE78 | N/A              | DFE              | CORP              | SG        |     365789 | OU      | $4139.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CLASS III MILK FUTURE DEC 22                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | US        |          1 | NC      | $-2982.13     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |     200000 | OU      | $-10922.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |     200000 | OU      | $-3065.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |     100000 | OU      | $-1.07        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |     200000 | OU      | $838.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | WTI CRUDE FEB 23                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |         -3 | NC      | $-7224.80     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | WTI CRUDE MAR 23                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |         -3 | NC      | $-9604.80     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | WTI CRUDE DEC 23                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |         -2 | NC      | $-5033.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CAN 10YR BOND MAR 23                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | CA        |        -35 | NC      | $-7111.92     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |     100000 | OU      | $-5712.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    4748106 | OU      | $4299.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CAN 10YR BOND MAR 23                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | CA        |        -16 | NC      | $-9680.85     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | BRENT CRUDE (ICE) FEB 23                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |          8 | NC      | $-62431.07    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    1784344 | OU      | $-179.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    2900000 | OU      | $-13952.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | BRENT CRUDE (ICE) FEB 23                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |         -3 | NC      | $-5252.70     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | BRENT CRUDE (ICE) MAR 23                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |         -4 | NC      | $-10453.60    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |       7815 | OU      | $0.70         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US DOLLARS                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |      21932 | OU      | $-8.76        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | BRENT CRUDE (ICE) APR 23                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |         -2 | NC      | $-5371.80     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | BRENT CRUDE (ICE) DEC 23                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |         -1 | NC      | $-2710.90     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CHILEAN PESO                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    -200000 | OU      | $3015.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CHILEAN PESO                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    -200000 | OU      | $-807.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | E-MICRO EUR/USD DEC 22                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         -3 | NC      | $-1979.39     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | CHILEAN PESO                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    -100000 | OU      | $910.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CHILEAN PESO                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    -100000 | OU      | $5708.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CHILEAN PESO                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    -100000 | OU      | $-69.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CHILEAN PESO                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    -100000 | OU      | $3752.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | INDIAN RUPEE                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   -6916218 | OU      | $-45472.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | INDIAN RUPEE                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   -1316232 | OU      | $-2949.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | INDIAN RUPEE                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   -1500000 | OU      | $-7444.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | KOREAN WON                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   -4300000 | OU      | $64393.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | AMSTERDAM INDEX DEC 22                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | NL        |          7 | NC      | $19476.92     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | AMSTERDAM INDEX DEC 22                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | NL        |          4 | NC      | $3474.98      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | MAIZE FUTURE MAR 23                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | FR        |         -3 | NC      | $1692.10      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | 3MO EURO EURIBOR MAR 23                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | GB        |       -138 | NC      | $-39727.63    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | 3MO EURO EURIBOR JUN 23                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |        -18 | NC      | $17059.73     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | 3MO EURO EURIBOR JUN 25                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |         -4 | NC      | $5350.84      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | 3MO EURO EURIBOR SEP 23                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |         -3 | NC      | $1571.10      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | 3MO EURO EURIBOR SEP 24                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |         -3 | NC      | $3748.06      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | 3MO EURO EURIBOR DEC 24                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |         -2 | NC      | $324.58       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | 3MO EURO EURIBOR DEC 24                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |         -1 | NC      | $-398.96      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | 3MO EURO EURIBOR DEC 25                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |         -1 | NC      | $-1397.47     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | S&P500 EMINI DEC 22                         | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |         -1 | NC      | $-4401.38     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | S&P500 EMINI DEC 22                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |         -3 | NC      | $-66849.22    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | S&P MID 400 EMINI DEC 22                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |          2 | NC      | $18727.24     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | S&P MID 400 EMINI DEC 22                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |          1 | NC      | $3382.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Citi                                                             | US 5YR NOTE MAR 23                          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |        290 | NC      | $165464.56    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | US 5YR NOTE MAR 23                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |        -61 | NC      | $-33951.04    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US 5YR NOTE MAR 23                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |       -134 | NC      | $-54508.99    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | VSTOXX MINI FUTURE DEC 22                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | DE        |         -1 | NC      | $175.52       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LONG GILT MAR 23                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | GB        |        -16 | NC      | $-14642.20    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MYOVANT SCIENCES LTD                                             | Myovant Sciences Ltd                        | CUSIP: G637AM102<br>LEI: N/A                  | Long             | EC               | CORP              | BM        |      55025 | NS      | $1477971.50   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | GOLD 100 OZ FEB 23                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |        -10 | NC      | $-1876.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | GOLD 100 OZ FEB 23                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         -9 | NC      | $22422.29     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                               | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     100000 | PA      | $85432.03     | 0.02%             | 2030-11-05      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC CMLTI_06-WFH3                  | CMLTI_06-WFH3                               | CUSIP: 17309QAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     323176 | PA      | $318676.15    | 0.06%             | 2036-10-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                               | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     665000 | PA      | $547065.40    | 0.11%             | 2033-01-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                             | CLEVELAND-CLIFFS INC                        | CUSIP: 185899AK7<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     400000 | PA      | $350960.09    | 0.07%             | 2029-03-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                             | CLEVELAND-CLIFFS INC                        | CUSIP: 185899AL5<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     170000 | PA      | $147574.42    | 0.03%             | 2031-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION HOLDINGS INC                              | NOVOLEX                                     | CUSIP: 18972EAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      75000 | PA      | $72410.36     | 0.01%             | 2029-04-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| COLOMBIA (REPUBLIC OF)                                           | COLOMBIA (REPUBLIC OF)                      | CUSIP: 195325CX1<br>LEI: N/A                  | Long             | DBT              | NUSS              | CO        |     400000 | PA      | $372669.75    | 0.07%             | 2026-01-28      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIA (REPUBLIC OF)                                           | COLOMBIA (REPUBLIC OF)                      | CUSIP: 195325DP7<br>LEI: N/A                  | Long             | DBT              | NUSS              | CO        |     200000 | PA      | $171975.15    | 0.03%             | 2029-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIA (REPUBLIC OF)                                           | COLOMBIA (REPUBLIC OF)                      | CUSIP: 195325DR3<br>LEI: N/A                  | Long             | DBT              | NUSS              | CO        |     200000 | PA      | $151211.50    | 0.03%             | 2030-01-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIA (REPUBLIC OF)                                           | COLOMBIA (REPUBLIC OF)                      | CUSIP: 195325DZ5<br>LEI: N/A                  | Long             | DBT              | NUSS              | CO        |     215000 | PA      | $154408.70    | 0.03%             | 2032-04-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_22-5                               | COLT_22-5                                   | CUSIP: 19688LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      93246 | PA      | $88561.62     | 0.02%             | 2067-04-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| COLUMBIA SHORT TERM CASH FUND                                    | COLUMBIA SHORT TERM CASH FUND               | CUSIP: 19766H239<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |  200518126 | NS      | $200437918.55 | 38.62%            |  |  |  | No            |                  1 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                     | CUSIP: 197677AJ6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     115000 | PA      | $120514.98    | 0.02%             | 2027-12-01      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                     | CUSIP: 19767QAQ8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     125000 | PA      | $130654.64    | 0.03%             | 2025-09-15      | Fixed         | 7.58%                 | No            |                  2 | On Loan: No      |
| COMERICA INCORPORATED                                            | COMERICA INCORPORATED                       | CUSIP: 200340AU1<br>LEI: I9Q57JVPWHHZ3ZGBW498 | Long             | DBT              | CORP              | US        |      95000 | PA      | $92189.77     | 0.02%             | 2049-12-31      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST COMM_13-LC6                                  | COMM_13-LC6                                 | CUSIP: 20048EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11750000 | PA      | $109.28       | 0.00%             | 2046-01-10      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST COMM_13-LC6                                  | COMM_13-LC6                                 | CUSIP: 20048EAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     204317 | PA      | $4.41         | 0.00%             | 2046-01-10      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST COMM_20-CBM                                  | COMM_20-CBM                                 | CUSIP: 20049AAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3134666 | PA      | $35366.55     | 0.01%             | 2037-02-10      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                              | COMMONSPIRIT HEALTH                         | CUSIP: 20268JAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      70000 | PA      | $56400.72     | 0.01%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                                    | COMMSCOPE INC                               | CUSIP: 203372AX5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |     160000 | PA      | $134737.92    | 0.03%             | 2029-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE - CAS_22-R09                                          | CAS_22-R09                                  | CUSIP: 20753DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     183581 | PA      | $182733.66    | 0.04%             | 2042-09-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R03                   | CAS_22-R03                                  | CUSIP: 20753XAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      24498 | PA      | $24204.51     | 0.00%             | 2042-03-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R03                   | CAS_22-R03                                  | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | PA      | $490979.75    | 0.09%             | 2042-03-25      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE - CAS CAS 22-R04                                      | CAS_22-R04                                  | CUSIP: 20753YCH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      44865 | PA      | $44469.01     | 0.01%             | 2042-03-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS_22-R05              | CAS_22-R05                                  | CUSIP: 20754DAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     455000 | PA      | $426534.24    | 0.08%             | 2042-04-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R01                   | CAS_22-R01                                  | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      50005 | PA      | $49102.10     | 0.01%             | 2041-12-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R01                   | CAS_22-R01                                  | CUSIP: 20754LAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     511000 | PA      | $467963.58    | 0.09%             | 2041-12-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R06                   | CAS_22-R06                                  | CUSIP: 20754NAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      87627 | PA      | $87945.80     | 0.02%             | 2042-05-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATIONS CORP CNF_01-4                    | CNF_01-4                                    | CUSIP: 20846QHZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     408546 | PA      | $400709.67    | 0.08%             | 2033-09-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC                                        | CONTINENTAL RESOURCES INC                   | CUSIP: 212015AT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     421000 | PA      | $398168.60    | 0.08%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC                                        | CONTINENTAL RESOURCES INC                   | CUSIP: 212015AV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     318000 | PA      | $242018.70    | 0.05%             | 2032-04-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| COLONY AMERICAN FINANCE LTD CAFL_19-1                            | CAFL_19-1                                   | CUSIP: 21872FAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     129862 | PA      | $4932.77      | 0.00%             | 2052-03-15      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| COLONY AMERICAN FINANCE LTD CAFL_19-3                            | CAFL_19-3                                   | CUSIP: 21872NAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     187590 | PA      | $7909.42      | 0.00%             | 2052-10-15      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| COLONY AMERICAN FINANCE LTD CAFL_20-1                            | CAFL_20-1                                   | CUSIP: 21872UAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     265000 | PA      | $231232.32    | 0.04%             | 2050-03-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| COLONY AMERICAN FINANCE LTD CAFL_20-1                            | CAFL_20-1                                   | CUSIP: 21872UAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     605924 | PA      | $40261.01     | 0.01%             | 2050-03-15      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| COLONY AMERICAN FINANCE LTD CAFL_20-3                            | CAFL_20-3                                   | CUSIP: 21873CAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     581121 | PA      | $52745.96     | 0.01%             | 2053-08-15      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| COLONY AMERICAN FINANCE LTD CAFL_20-3                            | CAFL_20-3                                   | CUSIP: 21873CAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     850000 | PA      | $99991.37     | 0.02%             | 2053-08-15      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| COWEN INC                                                        | Cowen Inc                                   | CUSIP: 223622606<br>LEI: 5493008QI0EFC5WBED75 | Long             | EC               | CORP              | US        |      39576 | NS      | $1530008.16   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                           | CREDIT SUISSE GROUP AG                      | CUSIP: 225401AT5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     450000 | PA      | $357397.37    | 0.07%             | 2027-02-02      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                           | CREDIT SUISSE GROUP AG                      | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     200000 | PA      | $135869.70    | 0.03%             | 2032-05-14      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                           | CREDIT SUISSE GROUP AG                      | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     375000 | PA      | $322633.11    | 0.06%             | 2033-08-12      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                           | CREDIT SUISSE GROUP AG                      | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     600000 | PA      | $604447.93    | 0.12%             | 2033-11-15      | Variable      | 9.02%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP FUNDING GUERNSEY LTD                         | CREDIT SUISSE GROUP FUNDING GG LTD          | CUSIP: 225433AC5<br>LEI: N/A                  | Long             | DBT              | CORP              | GG        |     135000 | PA      | $119643.11    | 0.02%             | 2025-03-26      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                 | CROWN CASTLE INTERNATIONAL CORP             | CUSIP: 22822VAS0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      39000 | PA      | $35477.25     | 0.01%             | 2025-07-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                 | CROWN CASTLE INTERNATIONAL CORP             | CUSIP: 22822VAT8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      65000 | PA      | $52615.25     | 0.01%             | 2031-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CUBESMART LP                                                     | CUBESMART LP                                | CUSIP: 22966RAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     195000 | PA      | $150195.13    | 0.03%             | 2032-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DB MASTER FINANCE LLC DNKN_19-1A                                 | DNKN_19-1A                                  | CUSIP: 233046AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96750 | PA      | $91271.19     | 0.02%             | 2049-05-20      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| DPL INC                                                          | DPL INC                                     | CUSIP: 233293AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     370000 | PA      | $348406.83    | 0.07%             | 2025-07-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY COMPANY                                               | DTE ENERGY COMPANY                          | CUSIP: 233331BG1<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |      80000 | PA      | $72495.48     | 0.01%             | 2025-06-01      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| DANAHER CORPORATION                                              | DANAHER CORPORATION                         | CUSIP: 235851409<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | EP               | CORP              | US        |        205 | NS      | $287970.61    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                                          | DARLING INGREDIENTS INC                     | CUSIP: 237266AJ0<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |     310000 | PA      | $303701.40    | 0.06%             | 2030-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DAFC_17-AMO                                                      | DAFC_17-AMO                                 | CUSIP: 24500EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     420000 | PA      | $325309.15    | 0.06%             | 2035-06-05      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC                                           | DELL INTL LLC / EMC CORP                    | CUSIP: 24703TAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     115000 | PA      | $134282.96    | 0.03%             | 2046-07-15      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                              | Delta Air Lines Inc                         | CUSIP: 247361702<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | EC               | CORP              | US        |       2848 | NS      | $100733.76    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| DELTA AIR LINES INC                                              | DELTA AIR LINES INC                         | CUSIP: 247361ZU5<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |     105000 | PA      | $99514.75     | 0.02%             | 2024-10-28      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                              | DELTA AIR LINES 2020-A                      | CUSIP: 247361ZW1<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |      98314 | PA      | $83382.60     | 0.02%             | 2028-06-10      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                              | DELTA AIR LINES INC                         | CUSIP: 247361ZZ4<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |      80000 | PA      | $82526.28     | 0.02%             | 2026-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-22

**Name of Applicant:** Columbia Funds Series Trust I

**Signature:** Martha Skinner

**Name of Signer:** Martha Skinner

**Title:** Assistant Treasurer