# EDGAR Filing Document

**Accession Number:** 0000804239
**File Stem:** 0002048251-25-002838
**Filing Date:** 2025-11
**Character Count:** 446302
**Document Hash:** aa3967ec2ee35824551a51fe0c7281bb
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002048251-25-002838.hdr.sgml**: 20251128

**ACCESSION NUMBER**: 0002048251-25-002838

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251128

**DATE AS OF CHANGE**: 20251128

**PERIOD START**: 20250930

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04878
- **FILM NUMBER:** 251533162

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02109

  - **Telephone number:** 8003455734

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

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

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1270180181.37

**Total Liabilities:** $99414829.15

**Net Assets:** $1170765352.22

**Amount of Assets Invested in Other Investment Companies:** $186758922.66

**Cash Not Reported:** $132428415.51

**Currency Risk Metrics (dv01):**

- 

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

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

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000109624 | 2.50%                | 2.43%                | 0.14%                |
| Class ID C000147403 | 2.48%                | 2.54%                | 0.13%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-3044332.16             | $2339511.35                                |
| Month 2  | $428423.93               | $7323316.04                                |
| Month 3  | $-1612768.82             | $-2638696.99                               |

### Schedule of Portfolio Investments

| Name                                                 | Title                                                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $14938.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-24.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $134.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $355.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $2029.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $398.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $-44.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $17.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $24.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $9.42         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1058.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-247.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF: MSCI INTERNATIONAL CHINA NET INDEX HKD REAL T | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | HK        |      2421 | NC      | $10903.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-28.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $355.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-115.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-161.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-872.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-282.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-141.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-245.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-63.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $16115.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | LONG GILT FUTURE  DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       437 | NC      | $53442487.89  | 4.56%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ILS/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IL        |         1 | NC      | $549.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $12778.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-47.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2665.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN, SACHS & CO.                                 | FX Forward Contract: USD/SGD SETTLE 2025-10-15                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              |  | US        |         1 | NC      | $118341.29    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $460.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | UNITED KINGDOM I/L GILT 0.125000% 11/22/2036                      | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | USGA              | GB        |   3200000 | PA      | $5620855.52   | 0.48%             | 2036-11-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN, SACHS & CO.                                 | FX Forward Contract: ZAR/USD SETTLE 2025-10-15                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              |  | ZA        |         1 | NC      | $74013.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2446.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: IDR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ID        |         1 | NC      | $-1241.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $333.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $16510.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/IDR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $9.48         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $430.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-69.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $747.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $557.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $5.41         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $936.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $64101.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-282.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | E-MINI RUSS 2000  DEC25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       112 | NC      | $13750800.00  | 1.17%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | S&P500 EMINI FUT  DEC25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       556 | NC      | $187337250.00 | 16.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $175.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2902.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | WHEAT FUTURE(CBT) DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        69 | NC      | $1752600.00   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $-60.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $640.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-89.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $333.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |         1 | NC      | $1024.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.875000% 07/15/2034                              | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   9109000 | PA      | $9514080.08   | 0.81%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $7781.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-10.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $636.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1432.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $14825.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $427.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $23238.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $15.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN, SACHS & CO.                                 | FX Forward Contract: PLN/USD SETTLE 2025-10-15                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              |  | PA        |         1 | NC      | $29906.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $-44.74       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: IDR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ID        |         1 | NC      | $-999.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $324.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-1043.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | US 2YR NOTE (CBT) DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        77 | NC      | $16046679.69  | 1.37%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-199.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES .875% 01/15/2029     | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   3973000 | PA      | $5044060.28   | 0.43%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $3163.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $820.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $1094.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1.20        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $358.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | US 10YR NOTE (CBT)DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1290 | NC      | $145125000.00 | 12.40%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-182.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $426.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |         1 | NC      | $142.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $2655.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1.20        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $2679.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LME ZINC FUTURE   DEC25                              | LME ZINC FUTURE   DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        38 | NC      | $2820683.00   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-154.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN, SACHS & CO.                                 | FX Forward Contract: INR/USD SETTLE 2025-10-15                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              |  | IN        |         1 | NC      | $-132829.67   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | CONSTELLATION SOFTWARE INC - WARRANTS ISSUE 1:1                   | CUSIP: 21037X134<br>LEI: N/A                  | Long             | EC               |  | CA        |       100 | NS      | $0.01         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $43.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $11440.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $440.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $360.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | WTI CRUDE FUTURE  DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       115 | NC      | $7125400.00   | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 04/15/2027    | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   6424000 | PA      | $7248187.72   | 0.62%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-1400.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SUGAR #11 (WORLD) MAR26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       197 | NC      | $3662624.00   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.875000% 07/15/2035                              | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    688000 | PA      | $697780.16    | 0.06%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-154.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $23239.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | FTSE/JSE TOP 40   DEC25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | ZA        |        33 | NC      | $1954005.51   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-33.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-137.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-1011.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                              | BRK: GOLDSMAN SACHS REF: BLOOMBERG COMMODITY INDEX TOTAL RETURN   | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DE               |  | US        |     56755 | NC      | $-173243.79   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $11335.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $23177.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $412.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | LONG GILT FUTURE  DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       240 | NC      | $29350565.43  | 2.51%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $1131.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $4935.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-8499.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $11943.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $-0.57        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-416.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-69.38       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1428.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $181.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-78.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $24.17        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | MSCI SING IX ETS  OCT25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |       -30 | NC      | $-1040994.41  | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $14939.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-589.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |         1 | NC      | $-1206.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $263.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $2279.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ILS/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IL        |         1 | NC      | $326.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $290.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-9239.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-53.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                | JPN 10Y BOND(OSE) DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |        -6 | NC      | $-5516741.70  | -0.47%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-1104.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $16667.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $-1131.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $628.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $418.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-30294.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $1173.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $11944.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NMC HEALTH PLC                                       | NMC HEALTH PLC COMMON STOCK                                       | CUSIP: N/A<br>LEI: 2138008YQEVWBE1V2M52       | Long             | EC               |  | GB        |     12179 | NS      | $0.01         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-46.44       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $7750.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1269.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $2655.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES .25%  07/15/29       | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   4805000 | PA      | $5886184.44   | 0.50%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $76.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2299.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1433.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.750000% 01/15/2034                              | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   8616000 | PA      | $9097059.56   | 0.78%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.875000% 07/15/2034                              | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  14200000 | PA      | $14831478.44  | 1.27%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-132.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 1.250 04/15/2028     | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   6752000 | PA      | $7299736.34   | 0.62%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | UK TSY I/L GILT 0.125% 08/10/2031                                 | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | USGA              | GB        |   3200000 | PA      | $5671240.64   | 0.48%             | 2031-08-10      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-65.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-31541.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-55.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $1160.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $88.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $319.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-718.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-0.57        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-31549.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland                           | EURO-SCHATZ FUT   DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        45 | NC      | $5656592.96   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $29.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC.                                        | BROADCOM INC COMMON STOCK                                         | CUSIP: 11135F101<br>LEI: 549300WV6GIDOZJTV909 | Long             | EC               |  | US        |     60000 | NS      | $19794600.00  | 1.69%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-55.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-0.43        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $63.83        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF: MSCI MEXICO NR INDEX IN MXN- 2025-12-17       | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | MX        |   8957782 | NC      | $-19205.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-28033.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-15590.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-295.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $111.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-146.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-169.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1843.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | US 5YR NOTE (CBT) DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1953 | NC      | $213258445.30 | 18.22%            |  |  |  | No            |                  1 | On Loan: No      |
| Bundesrepublik Deutschland                           | EURO-BUXL 30Y BND DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       109 | NC      | $14662091.98  | 1.25%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $42761.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-246.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-221.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-62.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 12/18/2025                                | CUSIP: 912797QZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1185000 | PA      | $1175071.99   | 0.10%             | 2025-12-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-280.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $16509.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-66.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-105.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $273.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $78.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2981.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-316.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-50.73       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | COCOA FUTURE      DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         7 | NC      | $472430.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-1035.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | EURO STOXX 50     DEC25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |       193 | NC      | $12565659.30  | 1.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-209.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-469.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $5847.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-95.74       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $228.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $10.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-204.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 2-3/8% 01/15/27      | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   1792000 | PA      | $2921151.79   | 0.25%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN, SACHS & CO.                                 | FX Forward Contract: PHP/USD SETTLE 2025-10-15                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              |  | PH        |         1 | NC      | $-318637.20   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $13499.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF: MSCI INTERNATIONAL SOUTH AFRICA NET INDEX ZAR | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | ZA        |  14392171 | NC      | $-56431.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $111.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-10.84       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $557.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $7796.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-1401.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-246.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $799.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $558.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-50.55       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $13498.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2434.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $75.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $28.30        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $-91.87       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-632.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $312.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-30086.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $557.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $2279.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $8590.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-381.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF: MSCI THAILAND NET INDEX USD END OF DAY UNHEDG | CUSIP: TSTHF1217<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DE               |  | US        |   1124024 | NC      | $18728.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $-604.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republique Francaise                                 | FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 0.100000% 03/01/2036     | CUSIP: F43750LF7<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | USGA              | FR        |   3000000 | PA      | $3425388.35   | 0.29%             | 2036-03-01      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $537.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $-134.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-0.75        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $6.74         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-54.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-66.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $1862.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $28.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ILS/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IL        |         1 | NC      | $549.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $800.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-0.36        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 03/26/2026                                | CUSIP: 912797SC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4499000 | PA      | $4417062.73   | 0.38%             | 2026-03-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ILS/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IL        |         1 | NC      | $103.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $3402.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $534.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | TOPIX INDX FUTR   DEC25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |       112 | NC      | $23820428.62  | 2.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | COTTON NO.2 FUTR  DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        12 | NC      | $394620.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | BROWN BROTHERS HARRIMAN SWEEP (ACCRUAL ONLY)                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |   1137124 | PA      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $135.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $5.11         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $2957.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $777.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $13099.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 01/02/2026                                | CUSIP: 912797RA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6730000 | PA      | $6662999.35   | 0.57%             | 2026-01-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $27.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-261.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-32.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $9.92         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $212.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-990.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |         1 | NC      | $302.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $-134.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $37.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-214.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $79.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $3329.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-823.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-261.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-182.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $355.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 02/05/2026                                | CUSIP: 912797RL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18839000 | PA      | $18589820.13  | 1.59%             | 2026-02-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-380.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-27826.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $-129.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1269.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-992.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1261.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $575.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $412.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 11/13/2025                                | CUSIP: 912797QQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    573000 | PA      | $570250.43    | 0.05%             | 2025-11-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $3.95         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BRENT CRUDE FUTR  JAN26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       180 | NC      | $11811600.00  | 1.01%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 3-7/8% 04/15/29      | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   1640000 | PA      | $3523023.69   | 0.30%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |         1 | NC      | $301.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $13745.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-279.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $13166.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $172.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $-129.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ILS/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IL        |         1 | NC      | $326.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | CATTLE FEEDER FUT JAN26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         7 | NC      | $1235675.00   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN, SACHS & CO.                                 | FX Forward Contract: IDR/USD SETTLE 2025-10-15                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              |  | ID        |         1 | NC      | $-207542.45   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $2949.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $75.81        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $692.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $643.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN, SACHS & CO.                                 | FX Forward Contract: USD/ILS SETTLE 2025-10-15                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              |  | US        |         1 | NC      | $-98438.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | CORN FUTURE       DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       278 | NC      | $5775450.00   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-520.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2902.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland                           | EURO-BUND FUTURE  DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       526 | NC      | $79463046.08  | 6.79%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 10/09/2025                                | CUSIP: 912797QE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $14986504.95  | 1.28%             | 2025-10-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $355.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF: MSCI INTERNATIONAL NETHERLANDS NET INDEX EUR  | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | XX        |   4072657 | NC      | $-451873.90   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $131.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $645.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-55.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-55.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $4.03         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-96.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $1157.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $43.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 3-5/8% 04/15/28      | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   1380000 | PA      | $2931902.64   | 0.25%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $747.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $46.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 10/30/2025                                | CUSIP: 912797NA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1083000 | PA      | $1079463.06   | 0.09%             | 2025-10-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                            | BRK: JP MORGAN CHASE MINI BOVESPA FUTURES SWAP - OCT25            | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DE               |  | BR        |       585 | NC      | $3232777.07   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF: MSCI INTERNATIONAL HONG KONG NET INDEX HKD RE | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | HK        |       521 | NC      | $-7634.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $2829.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-469.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-18.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $258.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland                           | EURO-BUXL 30Y BND DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        41 | NC      | $5515098.84   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-76.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland                           | EURO-BOBL FUTURE  DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       743 | NC      | $102851538.10 | 8.78%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2981.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-475.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-10339.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-99.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN, SACHS & CO.                                 | FX Forward Contract: USD/NZD SETTLE 2025-10-15                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              |  | US        |         1 | NC      | $424985.99    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ILS/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IL        |         1 | NC      | $1260.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-128.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1165.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $1503.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.875000% 07/15/2035                              | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   5500000 | PA      | $5578184.39   | 0.48%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 1.125% 01/15/2033    | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   8079000 | PA      | $8491387.80   | 0.73%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $241.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $28.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $594.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-200.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | FTSE 100 IDX FUT  DEC25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |       147 | NC      | $18617427.31  | 1.59%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-3.39        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-79.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $75.78        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |         1 | NC      | $301.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $502.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $426.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $22.21        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-246.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $227.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $51.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOYBEAN OIL FUTR  DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        83 | NC      | $2464602.00   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $75.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-199.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-0.36        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $13.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ILS/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IL        |         1 | NC      | $360.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-117.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-593.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Canada                                               | CAN 10YR BOND FUT DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |       510 | NC      | $44886157.83  | 3.83%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $28713.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-1191.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $8315.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2864.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1.64        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $406.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $686.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | NATURAL GAS FUTR  DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        36 | NC      | $1396800.00   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-116.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $108.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-122.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $488.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $300.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $481.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-10338.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $8590.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $28.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 01/15/2026                                | CUSIP: 912797RJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    395000 | PA      | $390596.09    | 0.03%             | 2026-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $-91.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOYBEAN FUTURE    JAN26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         1 | NC      | $51012.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-143.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $59.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $131.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $-299.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | NY HARB ULSD FUT  DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        21 | NC      | $2028864.60   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $930.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES .125 07/15/2030      | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  10800000 | PA      | $12937229.01  | 1.11%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $67.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $301.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $1157.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | OMXS30 IND FUTURE OCT25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SE        |        -3 | NC      | $-85007.07    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-345.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | S&P MID 400 EMINI DEC25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        42 | NC      | $13802040.00  | 1.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Republique Francaise                                 | FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 0.100000% 03/01/2032     | CUSIP: F26348AL0<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | USGA              | FR        |   2200000 | PA      | $2749989.12   | 0.23%             | 2032-03-01      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-339.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2781.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $9.53         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-54.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN, SACHS & CO.                                 | FX Forward Contract: MXN/USD SETTLE 2025-10-15                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              |  | MX        |         1 | NC      | $243948.25    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN, SACHS & CO.                                 | FX Forward Contract: USD/SEK SETTLE 2025-10-15                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              |  | US        |         1 | NC      | $173811.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $660.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.625000% 04/15/2030                              | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  13100000 | PA      | $13497743.78  | 1.15%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $76.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-29663.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF: MSCI INTERNATIONAL SWITZERLAND NET INDEX CHF  | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | CH        |   4637651 | NC      | $96206.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 1-3/4% 01/15/28      | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   1746000 | PA      | $2736338.74   | 0.23%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-681.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $4417.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $-33.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-19559.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1.90        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 2.125000% 04/15/2029                              | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   7528000 | PA      | $8115441.21   | 0.69%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $429.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/8% 07/15/2027    | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   4939000 | PA      | $6478205.20   | 0.55%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-132.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $643.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-143.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-96.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 1.375 07/15/33       | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   8086000 | PA      | $8467930.49   | 0.72%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-172.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $2.14         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-128.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republique Francaise                                 | EURO-OAT FUTURE   DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       207 | NC      | $29515486.57  | 2.52%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $26.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-823.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $4.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $874.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland                           | EURO-BOBL FUTURE  DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       290 | NC      | $40143938.14  | 3.43%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $51943.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN, SACHS & CO.                                 | FX Forward Contract: USD/KRW SETTLE 2025-10-15                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              |  | US        |         1 | NC      | $67760.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-62.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOYBEAN FUTURE    NOV25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        97 | NC      | $4858487.50   | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 11/04/2025                                | CUSIP: 912797RM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $34867304.50  | 2.98%             | 2025-11-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-15588.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-210.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-449.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-977.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ILS/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IL        |         1 | NC      | $103.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $163.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $7232.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-644.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-15.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republique Francaise                                 | FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 0.600000% 07/25/2034     | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | USGA              | FR        |   2600000 | PA      | $3166939.06   | 0.27%             | 2034-07-25      | Fixed         | 0.60%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-236.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-162.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-871.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ILS/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IL        |         1 | NC      | $208.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-686.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $405.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IBEX 35 INDX FUTR OCT25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | ES        |        39 | NC      | $7106618.80   | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| Republique Francaise                                 | FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 0.100000% 07/25/2031     | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | USGA              | FR        |   3300000 | PA      | $4500511.82   | 0.38%             | 2031-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-217.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1.64        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $11501.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $25.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $17.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $0.97         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $534.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $14026.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |         1 | NC      | $154.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $7507.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-3.47        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-50.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-1192.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ILS/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IL        |         1 | NC      | $1586.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $1.81         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America                                      | REF: TAIEX FUTURES OCT25 BRK: BANK OF AMERICA                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DE               |  | TW        |        60 | NC      | $10218387.03  | 0.87%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2491.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-214.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-218.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $530.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1844.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $5.10         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-1044.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN, SACHS & CO.                                 | FX Forward Contract: HUF/USD SETTLE 2025-10-15                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              |  | HU        |         1 | NC      | $185779.82    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-42.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-3.32        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $181.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-12238.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-120.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $4908.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $30.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $137.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $1862.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-90.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $1504.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ILS/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IL        |         1 | NC      | $83.62        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-345.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $163.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | DAX INDEX FUTURE  DEC25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |         9 | NC      | $6347936.70   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 07/15/2031    | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   6561000 | PA      | $7384357.03   | 0.63%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $48.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-13.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-681.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $547.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-277.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $77.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $18023.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $14.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $28.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $2578.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |         1 | NC      | $-1071.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-102.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $329.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $3153.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SIMT MULTI-ASSET ACCUMULATION CFC ACCUMULATION COMMODITY STRATEGY | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               |  | US        |  14938373 | NS      | $99621564.89  | 8.51%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-1397.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-439.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-0.57        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $9.53         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SILVER FUTURE     DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        29 | NC      | $6762800.00   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | GASOLINE RBOB FUT NOV25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        16 | NC      | $1291785.60   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-589.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $558.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-744.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $820.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $-317.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $558.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $2712.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2140.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 10/30/2025                                | CUSIP: 912797NA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19934682.60  | 1.70%             | 2025-10-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | PLATINUM (OSE)    AUG26 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | JP        |         2 | NC      | $50512.92     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $360.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-14.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $53191.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-1397.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $-59.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $2957.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $7782.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-17204.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 2.125000% 01/15/2035                              | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  15100000 | PA      | $15912113.32  | 1.36%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-23.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-7282.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-381.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $77.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $541.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-161.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $4417.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $76.93        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-16.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $75.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-29.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $47.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $426.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $348.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-990.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-1011.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF: MSCI INTERNATIONAL SINGAPORE NET INDEX SGD RE | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | SG        |    441484 | NC      | $4004.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $14826.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-99.11       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $977.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-0.43        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $134.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $-604.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-216.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ILS/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IL        |         1 | NC      | $83.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-449.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $3.95         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $67.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2298.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-381.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $3393.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $712.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-464.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $283.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-1241.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-44.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $7230.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-3.40        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-4.45        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-117.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2434.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-593.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-497.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2398.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF: MSCI INTERNATIONAL AUSTRALIA NET INDEX AUD RE | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | AU        |   1316157 | NC      | $-1684.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2851.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ILS/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IL        |         1 | NC      | $765.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 2-1/2% 01/15/29      | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   1657000 | PA      | $2604969.17   | 0.22%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $5.12         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF: MSCI INTERNATIONAL ITALY NET INDEX EUR REAL T | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | XX        |    290697 | NC      | $215.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $1241.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-295.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-50.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BROWN BROTHERS HARRIMAN SWEEP (ACCRUAL ONLY)                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        | 110508447 | PA      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $3153.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-57.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $329.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-146.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | KC HRW WHEAT FUT  DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        12 | NC      | $298650.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $1174.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-40.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-73.37       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $446.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $45.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $301.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $4.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $1.81         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-162.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-122.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-222.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | COFFEE 'C' FUTURE DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        41 | NC      | $5763318.75   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $21061.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $765.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $627.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-1821.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | S&P/TSX 60 IX FUT DEC25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | CA        |         8 | NC      | $2038579.85   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 1-5/8% 10/15/27      | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   6761000 | PA      | $7491313.15   | 0.64%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-8497.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $12995.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $1544.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | US 10YR NOTE (CBT)DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1042 | NC      | $117225000.00 | 10.01%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-1104.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |         1 | NC      | $-2.10        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-348.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $13098.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1164.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $693.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $194.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-16.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-3.41        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-43.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $11441.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-106.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 04/02/2026                                | CUSIP: 912797SD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16044000 | PA      | $15742346.97  | 1.34%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $488.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $30.07        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-236.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 10/02/2025                                | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $14998328.10  | 1.28%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $290.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-95.62       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |         1 | NC      | $142.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-10.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-650.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-0.87        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-23097.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-632.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-36.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-9711.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-126.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-3009.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-4.48        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-36.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 01/02/2026                                | CUSIP: 912797RA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $29701334.40  | 2.54%             | 2026-01-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $289.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | LME PRI ALUM FUTR DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |       121 | NC      | $8109692.25   | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | MEX BOLSA IDX FUT DEC25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | MX        |        -2 | NC      | $-69194.06    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-332.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $-1017.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF: MSCI INTERNATIONAL SPAIN NET INDEX EUR REAL T | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | XX        |       674 | NC      | $10184.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $301.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 12/11/2025                                | CUSIP: 912797QY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    551000 | PA      | $546816.22    | 0.05%             | 2025-12-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-28.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $14874.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-24.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-9240.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | COCOA FUTURE - IC DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -6 | NC      | $-382067.88   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $1047.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-348.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | LOW SU GASOIL G   DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        64 | NC      | $4310400.00   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $470.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-275.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $2313.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 10/16/2025                                | CUSIP: 912797QF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24957768.75  | 2.13%             | 2025-10-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: IDR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ID        |         1 | NC      | $-999.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-5665.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $4909.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1428.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $273.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-25.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-262.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland                           | EURO-BUND FUTURE  DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       354 | NC      | $53478932.16  | 4.57%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $397.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2525.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-61.19       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-3.05        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $1094.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2864.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 2.125000% 04/15/2029                              | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  10600000 | PA      | $11427162.17  | 0.98%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $1.81         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $241.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-56.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $23459.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $963.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $5642.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 10/15/2026    | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   6076000 | PA      | $7143337.53   | 0.61%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $64106.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-17.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $1161.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $10457.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republique Francaise                                 | FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 0.100000% 07/25/2036     | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | USGA              | FR        |   3500000 | PA      | $4416301.94   | 0.38%             | 2036-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $325.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-124.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0.125%  01/15/2030   | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   5383000 | PA      | $6452160.42   | 0.55%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $4204.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $558.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/8%  01/15/2027   | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   4391000 | PA      | $5826383.55   | 0.50%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-3007.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES .125 07/15/2030      | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   5879000 | PA      | $7042404.57   | 0.60%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Repubblica Italiana                                  | EURO-BTP FUTURE   DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       172 | NC      | $24219772.99  | 2.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |         1 | NC      | $691.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $23457.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $301.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $27.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-316.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-394.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2571.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $394.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $329.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $76.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $172.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-1154.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | LEAN HOGS FUTURE  DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        48 | NC      | $1703520.00   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $82.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $1147.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $42758.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $874.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-101.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8%  01/15/32     | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   7439000 | PA      | $7981874.06   | 0.68%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $43.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-394.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $393.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-38.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $2829.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-3.05        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 01/15/2031    | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  10900000 | PA      | $12700600.36  | 1.08%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $426.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ILS/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IL        |         1 | NC      | $1586.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2571.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN, SACHS & CO.                                 | FX Forward Contract: USD/TWD SETTLE 2025-10-15                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              |  | US        |         1 | NC      | $141012.66    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $135.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $312.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $108.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.625000% 10/15/2029                              | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   7861000 | PA      | $8230287.16   | 0.70%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $765.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 2.375% 10/15/2028    | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   7107000 | PA      | $7807434.93   | 0.67%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $3907.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $23176.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $37.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $0.26         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-11172.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-876.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-200.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-90.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $645.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-54.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $16592.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1228.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $46.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $75.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $936.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ILS/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IL        |         1 | NC      | $208.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-54.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | HANG SENG IDX FUT OCT25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | HK        |         8 | NC      | $1383579.26   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $1.79         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $4.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $98.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Canada                                               | CAN 10YR BOND FUT DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |       -55 | NC      | $-4840664.08  | -0.41%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $2718.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRK: J.P. MORGAN CHASE BANK                          | BRK: J.P. MORGAN CHASE BANK REF: NVIDIA CORP                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |  50784150 | NC      | $-2391150.00  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $51.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-496.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-744.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $557.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $6301.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $421.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-346.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republique Francaise                                 | FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 0.100000% 03/01/2029     | CUSIP: F43750KF8<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | USGA              | FR        |   5665761 | PA      | $8033797.81   | 0.69%             | 2029-03-01      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1058.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-33.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-29672.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | ABIOMED INC - CVR CONTINGENT VALUE RIGHT                          | CUSIP: 003CVR016<br>LEI: N/A                  | Long             | EC               |  | US        |       422 | NS      | $0.01         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $51939.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $10858.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-308.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-76.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $78.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $9.91         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $-1131.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $3389.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-46.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $565.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $46.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-520.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1.88        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.750000% 01/15/2034                              | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  13300000 | PA      | $14042582.65  | 1.20%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-335.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $1240.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $1595.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-9702.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | LOW SU GASOIL G   NOV25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        12 | NC      | $824400.00    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $324.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $137.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $358.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $963.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $-946.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-663.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $16116.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $777.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $-946.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |         1 | NC      | $154.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-1277.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $3861.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-210.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $3702.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |         1 | NC      | $-1071.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-119.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-144.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-23.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-495.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $11.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $1844.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SPI 200 FUTURES   DEC25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | AU        |        -8 | NC      | $-1176119.72  | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 01/15/2031    | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   6207000 | PA      | $7232351.05   | 0.62%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-28041.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-25.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. GILT STOCK - INFLATION LINKED 1 1/4% 11/22/2032              | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | USGA              | GB        |   3400000 | PA      | $8578967.35   | 0.73%             | 2032-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $4203.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $11501.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-9617.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $425.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-25.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $45982.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1.69        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $3405.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $283.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $1553.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $258.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $264.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2781.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | LME LEAD FUTURE   DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        24 | NC      | $1189182.00   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 2.375% 10/15/2028    | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  10200000 | PA      | $11205267.52  | 0.96%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $1555.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $460.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-43.58       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $0.26         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $2580.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $4.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $4.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-224.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: IDR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ID        |         1 | NC      | $-1240.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | US ULTRA BOND CBT DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       199 | NC      | $23892437.50  | 2.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | GOLD 100 OZ FUTR  DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        64 | NC      | $24788480.00  | 2.12%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $3705.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $1157.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-23105.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $-317.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-245.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $3329.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/HUF SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $212.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-439.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-1241.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $10853.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-17212.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $425.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | CAC40 10 EURO FUT OCT25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | FR        |         1 | NC      | $92766.67     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-30302.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $324.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $1555.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-416.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-53.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $-150.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-99.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-6702.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                            | BRK: JP MORGAN CHASE REF: AEX INDEX FUTURE SWAP -OCT25            | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DE               |  | XX        |        -7 | NC      | $-1552689.59  | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $713.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $5.40         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $643.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $-33.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-105.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-126.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |         1 | NC      | $301.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 07/15/2031    | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  11900000 | PA      | $13393362.08  | 1.14%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/4% 07/15/2028    | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   4473000 | PA      | $5729953.63   | 0.49%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-332.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $194.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-265.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-11173.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-277.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $50907.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-106.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-27834.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-992.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $88.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $8314.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-16309.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-79.27       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $643.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-773.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $7322.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-686.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |         1 | NC      | $858.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $4937.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $8.55         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $1333.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | UKTI   0.750 11/22/33 0.75                                        | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | USGA              | GB        |   4300000 | PA      | $6007020.62   | 0.51%             | 2033-11-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2140.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-33598.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 02/12/2026                                | CUSIP: 912797RT6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5171000 | PA      | $5099157.07   | 0.44%             | 2026-02-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-13.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1682.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.625000% 10/15/2029                              | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  11400000 | PA      | $11935539.19  | 1.02%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 10/16/2025                                | CUSIP: 912797QF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45000000 | PA      | $44923987.35  | 3.84%             | 2025-10-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $192.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-3.29        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-5/8% 07/15/2032    | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   8034000 | PA      | $8453730.45   | 0.72%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-8.65        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-101.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-19567.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-465.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $499.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $16666.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $237.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $8.53         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-78.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BRENT CRUDE FUTR  DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        71 | NC      | $4688130.00   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-54.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-99.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8%  01/15/32     | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  13000000 | PA      | $13948697.78  | 1.19%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-12239.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN, SACHS & CO.                                 | FX Forward Contract: USD/CNY SETTLE 2025-10-15                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              |  | US        |         1 | NC      | $44303.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $12996.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $408.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $112.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $-32.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $171.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $46.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $62.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRK: J.P. MORGAN CHASE BANK                          | BRK: J.P. MORGAN CHASE BANK REF: BROADCOM INC                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |  20071800 | NC      | $277200.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-52.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $22645.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | FTSE TAIWAN INDEX OCT25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |        45 | NC      | $3848850.00   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-9709.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $17.85        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $929.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | S&P500 EMINI FUT  DEC25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       501 | NC      | $168805687.50 | 14.42%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $191.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN, SACHS & CO.                                 | FX Forward Contract: BRL/USD SETTLE 2025-10-15                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              |  | BR        |         1 | NC      | $301111.45    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $350.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $2.14         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $636.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $36.61        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $7.22         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |         1 | NC      | $193.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $1009.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $141.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-150.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | MSCI EAFE         DEC25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       408 | NC      | $56820120.00  | 4.85%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America                                      | BRK: BANK OF AMERICA REF: WIG 20 INDEX FUTURE SWAP - DEC25        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DE               |  | PL        |       -10 | NC      | $-157503.76   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $687.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $-1.16        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $-299.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | LME COPPER FUTURE DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        62 | NC      | $15920716.02  | 1.36%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $22.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |         1 | NC      | $193.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-335.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-62.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-2440.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-57.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2851.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-54.73       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $1595.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | US LONG BOND(CBT) DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       513 | NC      | $59812593.75  | 5.11%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $7511.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $328.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 10/09/2025                                | CUSIP: 912797QE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60000000 | PA      | $59945846.40  | 5.12%             | 2025-10-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $7797.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $171.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-94.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-650.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-25.93       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $15.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2398.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-5666.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $29.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $14.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-38.14       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $36.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $-780.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $2719.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $1.30         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $565.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $537.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $7321.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ILS/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IL        |         1 | NC      | $765.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $40329.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $777.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-73.22       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-62.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $446.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-13.38       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-124.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 10/02/2025                                | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13952000 | PA      | $13950441.56  | 1.19%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-52.37       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $2681.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $103.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-876.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1682.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $-1017.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/INR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $112.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $43.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | S&P/TSX 60 IX FUT DEC25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | CA        |        31 | NC      | $7899496.91   | 0.67%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | NY HARB ULSD FUT  NOV25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -3 | NC      | $-292836.60   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-40.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BROWN BROTHERS HARRIMAN SWEEP (ACCRUAL ONLY)                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |  25503992 | PA      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $22647.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | E-MINI RUSS 2000  DEC25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       125 | NC      | $15346875.00  | 1.31%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $429.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-348.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-120.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | US LONG BOND(CBT) DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       318 | NC      | $37076812.50  | 3.17%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |         1 | NC      | $-1206.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $18022.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 2.125000% 01/15/2035                              | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   7106000 | PA      | $7488177.30   | 0.64%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $53194.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ILS/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IL        |         1 | NC      | $360.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 1.375 07/15/33       | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  12100000 | PA      | $12671525.96  | 1.08%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-44.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $28716.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $45.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-28.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN, SACHS & CO.                                 | FX Forward Contract: COP/USD SETTLE 2025-10-15                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              |  | CO        |         1 | NC      | $57432.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $17.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $16938.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUST 3YR BOND FUT DEC25                              | AUST 3YR BOND FUT DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | Long             |  |  | AU        |       124 | NC      | $8780303.05   | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $14873.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-17.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-54.44       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-219.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-9699.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $98.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 3-3/8% 04/15/32      | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    618000 | PA      | $1258605.43   | 0.11%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $11417.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $7818.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $-937.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $628.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1228.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $188.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $59.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $1.30         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $627.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-10.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-2441.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-224.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-222.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $12777.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-63.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | MSCI EMGMKT       DEC25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       414 | NC      | $28145790.00  | 2.40%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $541.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $1844.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $1544.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $2314.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $1047.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 02/26/2026                                | CUSIP: 912797RU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4521000 | PA      | $4451487.09   | 0.38%             | 2026-02-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $13746.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $171.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-137.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $515.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $237.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $1009.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-5/8% 07/15/2032    | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  12400000 | PA      | $13047828.93  | 1.11%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States of America                             | US 5YR NOTE (CBT) DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       779 | NC      | $85063148.44  | 7.27%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $13167.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 10/23/2025                                | CUSIP: 912797QG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19950775.00  | 1.70%             | 2025-10-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-106.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-265.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $470.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUST 10Y BOND FUT DEC25                              | AUST 10Y BOND FUT DEC25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | Long             |  |  | AU        |       775 | NC      | $58221126.38  | 4.97%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $1333.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $6303.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | FTSE/MIB IDX FUT  DEC25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | IT        |        -9 | NC      | $-2246880.35  | -0.19%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $3907.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $0.98         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-47.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-16312.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $-32.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $319.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ZAR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1261.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-18.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $-935.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $777.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |         1 | NC      | $-1151.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $-0.57        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-718.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CLP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $47.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $28.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TSY INFL IX N/B 1.625000% 04/15/2030                              | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   4980000 | PA      | $5131203.36   | 0.44%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-487.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2491.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 10/09/2025                                | CUSIP: 912797QE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4427000 | PA      | $4423004.37   | 0.38%             | 2025-10-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/2% 01/15/2028    | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   5087000 | PA      | $6584797.74   | 0.56%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $421.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2446.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2526.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2665.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-41.84       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-116.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $351.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-497.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-773.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $103.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-54.19       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-211.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $594.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-150.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IFSC NIFTY 50 FUT OCT25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | IN        |       207 | NC      | $10251261.00  | 0.88%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-162.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $1130.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $199.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ILS/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IL        |         1 | NC      | $1260.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $1553.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-15.84       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $21062.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $141.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $348.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $660.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2959.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOYBEAN MEAL FUTR DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        92 | NC      | $2514360.00   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-1036.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $78.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $2712.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | LIVE CATTLE FUTR  DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        51 | NC      | $4789410.00   | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $2028.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-94.04       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $530.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $2579.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $50912.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $418.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | WTI CRUDE FUTURE  NOV25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        22 | NC      | $1372140.00   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-9618.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN, SACHS & CO.                                 | FX Forward Contract: USD/CAD SETTLE 2025-10-15                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              |  | US        |         1 | NC      | $94855.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $198.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-663.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $171.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-1278.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $40333.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 1.125% 01/15/2033    | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  12900000 | PA      | $13558472.91  | 1.16%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-115.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $14025.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-0.87        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $7814.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $7749.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $10.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-487.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-644.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $1149.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $427.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                              | BRK: GOLDSMAN SACHS REF: BLOOMBERG COMMODITY INDEX TOTAL RETURN   | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DE               |  | US        |    227237 | NC      | $-578111.10   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $13.85        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $2579.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-54.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |         1 | NC      | $-2.00        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America                                      | BRK: BANK OF AMERICA REF: SWISS MARKET INDEX FUTURE DEC25         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DE               |  | CH        |        -9 | NC      | $-1369370.95  | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-275.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-262.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $5.11         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-61.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $6.73         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-106.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $-1.16        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $408.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                            | REF: HSHARES IDX FUT OCT25 BRK: JPMORGAN CHASE                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DE               |  | US        |       347 | NC      | $21354120.61  | 1.82%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 12/04/2025                                | CUSIP: 912797QS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $29792113.20  | 2.54%             | 2025-12-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $189.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $977.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-102.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-8.63        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $16937.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $430.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2958.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8%  07/15/2026   | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   3806000 | PA      | $5111452.50   | 0.44%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |         1 | NC      | $1024.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |         1 | NC      | $691.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $17.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $175.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: BRL/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | BR        |         1 | NC      | $11418.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BROWN BROTHERS HARRIMAN SWEEP (ACCRUAL ONLY)                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |  12481586 | PA      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK N.A.                            | BRK: JP MORGAN CHASE REF: KOSPI 200 INDEX FUTURE DEC25            | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DE               |  | KR        |       115 | NC      | $9750677.09   | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF: MSCI INTERNATIONAL BRAZIL NET INDEX BRL REAL  | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | BR        |      2655 | NC      | $23561.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-339.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $45978.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $3162.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/GBP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $5844.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | LME NICKEL FUTURE DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        11 | NC      | $1003888.36   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-30078.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $11336.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $300.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $575.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-26214.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | GASOLINE RBOB FUT DEC25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        26 | NC      | $2047172.40   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $82.38        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: THB/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TH        |         1 | NC      | $-150.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CZK/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CZ        |         1 | NC      | $858.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-1.85        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-1822.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-0.75        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $10457.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-210.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NVIDIA CORPORATION                                   | NVIDIA CORP COMMON STOCK                                          | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               |  | US        |    285000 | NS      | $53175300.00  | 4.54%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: MXN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | MX        |         1 | NC      | $3861.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $7.22         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-977.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-26206.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-33608.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-119.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-144.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $11.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $2949.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/ILS SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-120.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PHP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PH        |         1 | NC      | $-1151.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | NATURAL GAS FUTR  NOV25 PHYSICAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -18 | NC      | $-594540.00   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2563.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-162.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN, SACHS & CO.                                 | FX Forward Contract: USD/AUD SETTLE 2025-10-15                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              |  | US        |         1 | NC      | $7658.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $2552.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-204.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-120.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $515.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $1157.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CZK SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-216.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 10/16/2025                                | CUSIP: 912797QF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5751000 | PA      | $5741285.58   | 0.49%             | 2025-10-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-219.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-210.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/COP SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $17.93        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $2552.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-54.74       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                             | TREASURY BILL 0.000000% 10/02/2025                                | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $49994415.00  | 4.27%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-89.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/BRL SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $47.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland | U.K. GILT STOCK - INFLATION LINKED 0.75% 03/22/2034               | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | USGA              | GB        |   3400000 | PA      | $7530120.30   | 0.64%             | 2034-03-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | FTSE KLCI FUTURE  OCT25 PHYSICAL INDEX FUTURE.                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | MY        |       -13 | NC      | $-249126.77   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-33.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $547.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-56.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/CNY SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-309.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CNY/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CN        |         1 | NC      | $-475.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/SGD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $288.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: KRW/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | KR        |         1 | NC      | $-1154.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: INR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | IN        |         1 | NC      | $-6704.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-142.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/PLN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $481.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                        | BRK: CITIGROUP REF: MSCI INTERNATIONAL SWEDEN NET INDEX SEK REAL  | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DE               |  | SE        |   1508015 | NC      | $-1733.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: HUF/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | HU        |         1 | NC      | $440.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: ZAR/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | ZA        |         1 | NC      | $16593.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: CLP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | CL        |         1 | NC      | $-780.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/MXN SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-2563.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: PLN/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | PA        |         1 | NC      | $5644.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/EUR SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-7278.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                               | FX Forward Contract: COP/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 984500653R409CC5AB28       | N/A              | DFE              |  | CO        |         1 | NC      | $640.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: TWD/USD SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | TW        |         1 | NC      | $-221.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP                                            | FX Forward Contract: USD/THB SETTLE 2025-12-17                    | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | N/A              | DFE              |  | US        |         1 | NC      | $-65.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-30

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

**Signature:** Glenn Kurdziel

**Name of Signer:** Glenn Kurdziel

**Title:** Controller and Chief Financial Officer