# EDGAR Filing Document

**Accession Number:** 0001444822
**File Stem:** 0001752724-23-043534
**Filing Date:** 2023-2
**Character Count:** 458660
**Document Hash:** 4cf58026bb0a25c33c10273ddbbb1b85
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-043534.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001752724-23-043534

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AQR Funds
- **CENTRAL INDEX KEY:** 0001444822
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22235
- **FILM NUMBER:** 23675331

**BUSINESS ADDRESS:**
- **STREET 1:** ONE GREENWICH PLAZA
- **CITY:** GREENWICH
- **STATE:** CT
- **ZIP:** 06830
- **BUSINESS PHONE:** 203-742-3600

**MAIL ADDRESS:**
- **STREET 1:** ONE GREENWICH PLAZA
- **CITY:** GREENWICH
- **STATE:** CT
- **ZIP:** 06830

## Series and Classes Contracts Data

### AQR Managed Futures Strategy Fund (Series ID: S000027214)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000082154 | Class I      | AQMIX           |
| C000082155 | Class N      | AQMNX           |
| C000145938 | Class R6     | AQMRX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** AQR Funds

- **b. Investment Company Act file number:** 811-22235

- **c. CIK number of Registrant:** 0001444822

- **d. LEI of Registrant:** 549300V0TAB4ICSX2404

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

  - **Street Address 1:** One Greenwich Plaza

  - **City:** Greenwich

  - **State:** CT

  - **Foreign country:** US

  - **Zip / Postal Code:** 06830

  - **Telephone number:** 203-742-3600

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

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

- **b. EDGAR series identifier (if any):** S000027214

- **c. LEI of Series:** 07BUS8UTTPW0D72K9M62

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1599059567.59

**Total Liabilities:** $53039781.36

**Net Assets:** $1546019786.23

**Amount of Assets Invested in Other Investment Companies:** $355126687.67

**Cash Not Reported:** $3594808.73

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.00000000 | **1-Year:** 14.69472060 | **5-Year:** 2910.07277806 | **10-Year:** 79157.30924096 | **30-Year:** 576.07810026

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

- **3-Month:** 0.00000000 | **1-Year:** 4.63380974 | **5-Year:** 658.26528664 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000145938 | -0.20%               | -5.47%               | 1.81%                |
| Class ID C000082155 | -0.20%               | -5.54%               | 1.81%                |
| Class ID C000082154 | -0.20%               | -5.48%               | 1.85%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-501571.58              | $-1680084.53                               |
| Month 2  | $-3005061.19             | $822520.31                                 |
| Month 3  | $237188.95               | $282959.16                                 |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                             | Title                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -3 | NC      | $10935.15     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 3 Month SONIA                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -217 | NC      | $133719.30    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          21 | NC      | $41202.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-43079.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $12633.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $547541.39    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-99989.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  1330000000 | PA      | $-2641.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $83434.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-16496.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-4611.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-38713.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Euro-Schatz                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -2655 | NC      | $3613783.73   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $16266.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month Euro Euribor                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -264 | NC      | $181789.09    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 3 Month SARON                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         -30 | NC      | $10193.28     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1005.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Rapeseed                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -93 | NC      | $-58608.36    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -36 | NC      | $38134.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-5384.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           8 | NC      | $-3689.60     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-551.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           8 | NC      | $380798.28    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-22915.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -15 | NC      | $-343855.70   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | U.S. Treasury 5 Year Note                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -855 | NC      | $231838.77    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -11 | NC      | $-23053.16    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -7 | NC      | $22136.60     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $171652.79    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          20 | NC      | $358949.93    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           5 | NC      | $119249.35    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -55 | NC      | $-76990.37    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-16540.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | DAX Index                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |         -64 | NC      | $689542.37    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $27917.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $232744.47    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-10734.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           6 | NC      | $147618.26    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     1100000 | PA      | $3508.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    13000000 | PA      | $712051.57    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           5 | NC      | $226365.25    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $47060.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           9 | NC      | $8158.19      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   218300000 | PA      | $-4896963.43  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           6 | NC      | $-4963.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796ZQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    12561000 | PA      | $12292239.95  | 0.80%             | 2023-06-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796ZF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     3434000 | PA      | $3372890.73   | 0.22%             | 2023-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-59060.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-18207.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          18 | NC      | $178359.66    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-45873.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      600000 | PA      | $-4367.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Cocoa                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         201 | NC      | $283107.29    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 3 Month SONIA                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -216 | NC      | $151030.21    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $29440.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | KC HRW Wheat                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -13 | NC      | $-10103.21    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $25311.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-19109.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          23 | NC      | $-27840.35    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |    20702206 | PA      | $-190303.63   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           9 | NC      | $49918.13     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | U.S. Treasury 10 Year Note                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -535 | NC      | $360630.96    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | EURO STOXX 50 Index                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |        -421 | NC      | $433761.76    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           9 | NC      | $90879.65     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          40 | NC      | $720399.00    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1006.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-14847.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           5 | NC      | $3074.35      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1453.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -13 | NC      | $-71018.35    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-11465.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1314.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $56619.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $3177.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | White Sugar                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         272 | NC      | $628566.45    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Crude Palm Oil                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | MY        |         -44 | NC      | $-73665.15    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-59037.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $47096.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           5 | NC      | $2454.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1235.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-227.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796S34<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    12144700 | PA      | $12114590.74  | 0.78%             | 2023-01-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | Robusta Coffee                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -280 | NC      | $168155.27    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          26 | NC      | $-51935.29    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-19395.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $171686.61    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-82418.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-40207.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $91746.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   278700000 | PA      | $1238717.93   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-44655.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-4884.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      200000 | PA      | $5527.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1330.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      200000 | PA      | $111.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    21600000 | PA      | $-680879.28   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -3 | NC      | $-62839.89    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-11687.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $59543.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $78889.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -1 | NC      | $3285.85      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-16424.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-18964.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $32347.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-608210.65   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          12 | NC      | $7618.78      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-11453.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-409.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-91266.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-834.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Swap                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |   -25443000 | PA      | $13242.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -20 | NC      | $-108049.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $133758.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1491.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | CBOE Volatility Index                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |          -7 | NC      | $10780.59     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -23 | NC      | $41444.99     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 3 Month Euro Euribor                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -292 | NC      | $1279847.61   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -14 | NC      | $-44253.07    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-79730.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SOFR                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -189 | NC      | $34463.22     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $65325.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   102600000 | PA      | $1885278.42   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | SGX FTSE China A50 Index                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |        -646 | NC      | $-22866.45    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-102853.26   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-8909.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $48606.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $65211.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1139925.70  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $59449.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-114320.28   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $5241.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -8 | NC      | $-157115.60   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-12911.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -9 | NC      | $-97213.66    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $86082.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-9218.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1548415.68  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796YN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   150575000 | PA      | $148941261.25 | 9.63%             | 2023-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   681000000 | PA      | $-212276.97   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    23500000 | PA      | $-135362.94   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1379.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $304499.29    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-57810.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          34 | NC      | $364807.08    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-36211.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796YA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     3808000 | PA      | $3789063.12   | 0.25%             | 2023-02-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          23 | NC      | $-162099.21   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-191.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $18631.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796YW3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     5643000 | PA      | $5557823.49   | 0.36%             | 2023-05-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-33246.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    15800000 | PA      | $736796.96    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $55958.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $52549.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-16118.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-84798.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-5644.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $112226.83    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-11693.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-16892.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $11658.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-834.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $4490.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $416578.02    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           3 | NC      | $136629.15    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796XS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    22218000 | PA      | $22182253.68  | 1.43%             | 2023-01-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -19 | NC      | $-886568.63   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-204.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $9091.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $4359.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $86063.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-69206.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $121323.47    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -5 | NC      | $-40639.67    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | CAC 40 10 Euro Index                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |        -297 | NC      | $436187.47    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 40334000000 | PA      | $1010853.36   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |   166387635 | PA      | $1965187.87   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $143525.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -27 | NC      | $67076.10     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $65301.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          14 | NC      | $1406.93      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $14553.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -38 | NC      | $-380624.81   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1217.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          22 | NC      | $4687.03      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $79471.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-164.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-676670.72   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $4663.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Hang Seng Index                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | HK        |         -10 | NC      | $-7414.85     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $10842.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -17 | NC      | $50815.85     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-10599.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    13700000 | PA      | $-20372.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-67233.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $52881.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1133707.19  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $66261.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-172430.89   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SOFR                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -140 | NC      | $-57888.11    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -10 | NC      | $-12151.30    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-117375.21   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $263006.68    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-49339.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $3821.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -5 | NC      | $-49107.91    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $9193.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | WTI Crude Oil                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -78 | NC      | $-420849.06   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | U.S. Treasury 2 Year Note                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -1128 | NC      | $-119771.95   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Soybean                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         168 | NC      | $341653.18    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $32805.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-5387.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-186.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3573.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $54882.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-13025.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-28534.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-11678.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-12383.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    49100000 | PA      | $-1394087.60  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    57300000 | PA      | $572239.96    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Canada 10 Year Bond                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |        -517 | NC      | $1472228.90   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $27696.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          21 | NC      | $1410.03      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-41565.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-4027.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-19907.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          67 | NC      | $48955.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           2 | NC      | $-5117.76     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-13024.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 90-Day New Zealand Bill                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |        -170 | NC      | $49992.04     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | RBOB Gasoline                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          45 | NC      | $701336.24    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    40900000 | PA      | $-93746.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2981.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | FTSE/JSE Top 40 Index                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | ZA        |         -36 | NC      | $55686.14     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -6 | NC      | $-311795.70   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-108406.98   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -23 | NC      | $21143.90     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-8718.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           8 | NC      | $16517.52     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2466.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-29.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    26100000 | PA      | $1600275.56   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $25383.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           4 | NC      | $17174.46     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Natural Gas                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -191 | NC      | $73185.47     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-139977.60   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     8700000 | PA      | $-38192.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     4300000 | PA      | $46697.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-102850.85   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-114329.80   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-61071.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Wheat                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | ZA        |         -38 | NC      | $16244.43     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   128000000 | PA      | $-9475.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SARON                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         -49 | NC      | $25481.72     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Natural Gas                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -110 | NC      | $-604258.70   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-28521.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-35034.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Swap                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |   -30369600 | PA      | $893682.66    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    88838000 | PA      | $88011143.87  | 5.69%             | 2023-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $60605.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-20113.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $34048.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          29 | NC      | $-438.77      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -1 | NC      | $1773.18      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $26104.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-197.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-11678.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $137388.59    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SONIA                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -208 | NC      | $364222.27    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-6752.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     3700000 | PA      | $243393.98    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-44638.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Milling Wheat No. 2                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          40 | NC      | $-692.08      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $19840.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   368600000 | PA      | $1640737.98   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    96000000 | PA      | $84899.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Swap                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |   -57753500 | PA      | $-38862.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1139949.56  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -17 | NC      | $-21138.46    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-16530.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    11200000 | PA      | $14711.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-69298.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-127958.56   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1535.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           5 | NC      | $53502.65     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $141083.48    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-511.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-13353.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $53570.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -67 | NC      | $480.60       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -13 | NC      | $-132493.10   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Total Return Swap                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |   -10140000 | PA      | $-5410.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-12893.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-28377.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-82417.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $11937.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3838.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           2 | NC      | $100026.10    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   608600000 | PA      | $7124686.45   | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $42.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-16637.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-54.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SARON                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         -31 | NC      | $13800.30     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -8 | NC      | $-17747.04    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-362.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          13 | NC      | $31139.98     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $97.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $145181.33    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-27062.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-108041.22   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      500000 | PA      | $1636.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          17 | NC      | $53135.60     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           1 | NC      | $47193.47     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $17872.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -12 | NC      | $-90307.56    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          31 | NC      | $56969.62     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           8 | NC      | $357494.28    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-12913.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    10900000 | PA      | $91173.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1377.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-6276.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IBEX 35 Index                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | ES        |        -147 | NC      | $21041.96     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $74708.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $139849.74    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $4655.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2181685.39  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Soybean Meal                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          12 | NC      | $17131.55     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-12983.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          11 | NC      | $17154.05     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1141.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -32 | NC      | $-150540.76   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Australia 10 Year Bond                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |        -679 | NC      | $2952336.00   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $61722.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-28962.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $26892.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $91773.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $112209.29    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $145175.97    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-47.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $27667.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-9821.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-23.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |    16372881 | PA      | $-828214.92   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -29 | NC      | $-23786.34    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -1 | NC      | $401.38       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           4 | NC      | $-3725.34     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | S&P Midcap 400 E-Mini Index                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         -51 | NC      | $315937.38    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -10 | NC      | $-39973.80    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $18812.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -17 | NC      | $-44091.71    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   240000000 | PA      | $22191.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -15 | NC      | $92205.75     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-5374.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-20119.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-4780.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-28375.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $271106.74    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           9 | NC      | $13504.32     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -72 | NC      | $-260055.36   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | WTI Crude Oil                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | JP        |         -10 | NC      | $-8408.92     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-8705.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          17 | NC      | $125062.39    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $125472.27    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -22 | NC      | $-12604.90    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $59538.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-107865.13   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796YV5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   174781000 | PA      | $172318181.90 | 11.15%            | 2023-04-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $81040.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $42.57        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $90795.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -16 | NC      | $-308546.08   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $74682.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-32791.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $3174.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $7296.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month Euro Euribor                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -271 | NC      | $221522.55    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 3 Month SONIA                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -211 | NC      | $216021.25    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1005.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-19902.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-33099.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Platinum                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -13 | NC      | $-46438.86    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $24740.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $11934.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $27103.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $3043.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-13946.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $90687.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $9612.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $123547.85    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    72700000 | PA      | $444249.58    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-70285.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-36203.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $5855.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-5853.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  2759800000 | PA      | $4499.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-13921.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-795076.38   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-69204.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-73437.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-26075.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -5 | NC      | $326.50       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     3300000 | PA      | $14544.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $7969.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-512.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $23382.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796ZE2<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    60402000 | PA      | $59426834.47  | 3.84%             | 2023-05-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-41598.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $16239.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $692.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2386.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-35611.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-22080.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  1343100000 | PA      | $1127252.77   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-45917.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-99992.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $24722.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-10960.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Corn                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -1054 | NC      | $-706291.38   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-6752.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $78795.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           3 | NC      | $59876.76     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $232750.97    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Soybean Oil                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          61 | NC      | $128428.70    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   434500000 | PA      | $1835302.93   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-158272.18   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | SGX FTSE Taiwan Index                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |         -96 | NC      | $26373.76     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $86824.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           3 | NC      | $-9369.96     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           9 | NC      | $-17546.03    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-158264.38   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-4249.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           9 | NC      | $1336.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          12 | NC      | $99774.58     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Rough Rice                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -18 | NC      | $-46580.05    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-4612.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $60586.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -95 | NC      | $-311185.14   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-821.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -8 | NC      | $-21188.72    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -7 | NC      | $-3039.40     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-584882.63   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-5862.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          10 | NC      | $-2404.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $505140.46    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $3043.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-33418.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-79842.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-21150.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $56600.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-823.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -4 | NC      | $-34635.52    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | FCOJ-A                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          42 | NC      | $20219.32     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -11 | NC      | $-234194.18   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-186.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-32921.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-172460.45   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $123552.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-16429.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-84788.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-22622.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-43475.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-77065.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-49924.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $3824.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-9224.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          19 | NC      | $855837.95    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $85568.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-16630.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -111 | NC      | $-234979.43   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2389.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   390000000 | PA      | $2271472.63   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-8703.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-55319.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |   760629540 | PA      | $4261346.72   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $11184.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-49447.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $10465.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1442.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-141908.48   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $31401.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $29458.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | CBOE Volatility Index                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |          -8 | NC      | $6063.57      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -54 | NC      | $-1087080.52  | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $32441.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $11006.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $138257.93    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SONIA                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -143 | NC      | $19059.20     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-11518.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -31 | NC      | $-40786.70    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-127968.02   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-107198.73   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -28 | NC      | $-155824.10   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-91300.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-377.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SONIA                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -170 | NC      | $49563.40     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-5378.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-54.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-61073.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |    38568583 | PA      | $264675.78    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-145706.37   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $17914.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          16 | NC      | $-28342.08    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           6 | NC      | $322578.30    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $416199.15    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-81.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1536.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -8 | NC      | $8336.15      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    10300000 | PA      | $14285.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |    30654636 | PA      | $736481.96    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-33392.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Financial Square Funds - Treasury Instruments Fund | Goldman Sachs Financial Square Funds - Treasury Instruments Fund | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |     9656613 | NS      | $9656612.98   | 0.62%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $124484.85    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $304517.04    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -3 | NC      | $-135358.21   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 90-Day New Zealand Bill                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |        -159 | NC      | $102537.91    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-108545.53   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $52890.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $14563.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1145.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 90-Day Australian Bank Bill                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |        -468 | NC      | $382717.91    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           7 | NC      | $8235.95      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2905.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3839.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-21298.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-5898.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-45844.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   233800000 | PA      | $285560.25    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SOFR                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -161 | NC      | $-21119.10    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          11 | NC      | $217375.13    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $84412.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         138 | NC      | $-3164.43     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 3 Month Canadian Bankers Acceptance                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |       -1008 | NC      | $662042.01    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     7600000 | PA      | $-11837.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -10 | NC      | $30210.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -25 | NC      | $154551.25    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          30 | NC      | $275682.87    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-19396.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-18413.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $10996.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -3 | NC      | $-7643.13     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-35612.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Rubber                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | JP        |         -16 | NC      | $-134.44      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1273.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 10040000000 | PA      | $226111.58    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           7 | NC      | $65772.35     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $25309.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1627.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SONIA                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -224 | NC      | $95811.25     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -16 | NC      | $36844.90     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $101641.26    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-665.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-40826.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $248598.52    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  1039800000 | PA      | $-2423855.81  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -5 | NC      | $-104139.40   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-265733.57   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-18308.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  1138200000 | PA      | $-559200.17   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-5450.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $12600.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $79453.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-10734.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 90-Day Australian Bank Bill                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |        -478 | NC      | $50402.09     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $91545.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $129992.11    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           8 | NC      | $160570.24    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $3426.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $222824.85    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   745000000 | PA      | $224439.83    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-33105.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -24 | NC      | $-265563.12   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-33022.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -12 | NC      | $6350.37      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -5 | NC      | $-230255.62   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1876672.92  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2973.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-824.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $6401.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $24720.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $46239.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-11449.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-139985.28   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-45881.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $6604.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           7 | NC      | $-23879.45    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $54878.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-28961.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-27188.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2984.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-26073.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-38723.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   368400000 | PA      | $-7567.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $18312.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-8550.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-19916.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    12952000 | PA      | $12863546.91  | 0.83%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   102000000 | PA      | $-40186.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -8 | NC      | $-170653.07   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-81.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-20550.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     5200000 | PA      | $-87164.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -3 | NC      | $-55433.64    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-11522.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -2 | NC      | $5837.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Rubber                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | JP        |         -12 | NC      | $76.26        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-94380.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          10 | NC      | $12699.28     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-64227.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3829.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |    76044737 | PA      | $121685.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -5 | NC      | $-3260.87     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -34 | NC      | $-289246.49   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  1394900000 | PA      | $-338818.26   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-47.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           8 | NC      | $-12069.29    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $10462.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          39 | NC      | $159892.20    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-107189.56   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1201.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-34768.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -4 | NC      | $4689.48      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $64046.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1276.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          17 | NC      | $-55528.67    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | U.S. Treasury Ultra Bond                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -179 | NC      | $247576.87    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Live Cattle                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -57 | NC      | $-78568.69    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -21 | NC      | $-50783.02    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-76981.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Euro-OAT                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -392 | NC      | $3099979.67   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-97207.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-33455.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -2 | NC      | $2089.56      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-103772.87   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $60643.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $47866.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -12 | NC      | $44443.44     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | SGX Iron Ore                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | SG        |         -49 | NC      | $-21001.83    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-4244.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1548378.24  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $81283.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1312.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1122.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796YK9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    87876000 | PA      | $87202745.06  | 5.64%             | 2023-03-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | CDI                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     4712000 | PA      | $-16182.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $73745.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Russell 2000 E-Mini Index                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -157 | NC      | $429493.26    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $25958.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-676597.57   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          15 | NC      | $-93971.88    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-32651.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $47839.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $23408.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -7 | NC      | $-52723.65    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         138 | NC      | $226482.46    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |     6828818 | PA      | $-19887.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-584.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-21538.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $132604.70    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           4 | NC      | $36458.05     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-20570.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $52553.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $124480.30    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $773.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -5 | NC      | $-119413.93   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $507255.33    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $101614.96    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     2000000 | PA      | $13300.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          20 | NC      | $118385.17    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-38042.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $64064.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-22079.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-154.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month Euro Euribor                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -266 | NC      | $265489.96    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-43082.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $53588.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | EURO STOXX 50 Volatility Index                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |         -22 | NC      | $3400.78      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-30592.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-22913.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Coffee 'C'                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -73 | NC      | $-175372.49   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          15 | NC      | $331116.28    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-27170.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           5 | NC      | $110253.95    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $125524.77    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-22243.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Cotton No. 2                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -60 | NC      | $61967.46     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -8 | NC      | $-129733.71   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-832.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796YL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   107271000 | PA      | $106381401.60 | 6.88%             | 2023-03-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    31700000 | PA      | $-22095.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796YM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   121432000 | PA      | $120188068.81 | 7.77%             | 2023-03-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $32792.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           3 | NC      | $-2716.38     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 3 Month Canadian Bankers Acceptance                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |        -812 | NC      | $408991.83    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   100400000 | PA      | $-3933370.04  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $9535.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -150 | NC      | $27256.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $42351.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $19840.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-130999.12   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $83415.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-19110.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-33020.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1328.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -20 | NC      | $-73302.60    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $13153.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $81013.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-18309.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Canola                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -15 | NC      | $-245.89      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1578.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $81265.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | TOPIX Index                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |         -32 | NC      | $52248.49     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $31381.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-608056.20   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month Canadian Bankers Acceptance                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |        -552 | NC      | $280099.30    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |    11000530 | PA      | $-311639.05   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $76855.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    40600000 | PA      | $-2086511.95  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-13921.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $52885.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Euro-BTP                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -357 | NC      | $2905893.81   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $129940.86    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -10 | NC      | $2562.22      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Ethanol                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          15 | NC      | $107808.95    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 90-Day New Zealand Bill                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |        -171 | NC      | $96674.83     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-18419.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-16117.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1951.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796ZR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     8813000 | PA      | $8617904.06   | 0.56%             | 2023-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1118.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-55222.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3668.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           8 | NC      | $135180.96    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $3178.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $11657.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-73826.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          16 | NC      | $177978.80    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-8557.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 13506200000 | PA      | $1460103.74   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $409191.55    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-21546.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $67195.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-27193.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-45871.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $176506.23    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-57799.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $4492.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $27913.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          35 | NC      | $258430.86    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $693.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -6 | NC      | $4653.58      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $25732.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2743.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $3177.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          21 | NC      | $70555.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Limited Purpose Cash Investment Fund                             | Limited Purpose Cash Investment Fund                             | CUSIP: 90262Y729<br>LEI: 549300GUQBQJ6160QP80 | Long             | STIV             | RF                | US        |   312940958 | NS      | $312815781.47 | 20.23%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3577.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      100000 | PA      | $2342.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-38897.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -12 | NC      | $-8367.40     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-192.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $138262.46    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1005.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-49446.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -9 | NC      | $-40734.18    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -35 | NC      | $-251110.80   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $776.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $132553.03    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $141078.95    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      300000 | PA      | $8439.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Amsterdam Exchange Index                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |        -120 | NC      | $718368.10    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-50765.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    10100000 | PA      | $137194.61    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $84394.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1023740.03  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-12922.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $7969.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-12982.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1023587.66  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1549959.59  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          32 | NC      | $144385.14    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-83207.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-67235.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1217.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | KOSPI 200 Index                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | KR        |        -310 | NC      | $1098974.61   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           4 | NC      | $33670.49     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-87793.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-10984.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $82268.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $6604.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 15491900000 | PA      | $-3103322.52  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $131660.10    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-8909.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1372.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $25385.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-13944.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $675966.13    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -2 | NC      | $-6390.76     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-665.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-31978.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-16902.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Milk                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          10 | NC      | $-3084.27     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   141000000 | PA      | $276674.71    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $137394.80    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $12644.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $505116.94    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-45906.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-21152.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-17.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -8 | NC      | $17574.40     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OMXS30 Index                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -491 | NC      | $318959.07    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Natural Gas                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -20 | NC      | $554366.68    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-16504.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |    61345967 | PA      | $154305.25    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          95 | NC      | $326126.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -18 | NC      | $-160993.09   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | CDI                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      912000 | PA      | $-17808.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-35034.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Natural Gas                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -15 | NC      | $686791.03    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-34974.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | White Maize                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | ZA        |         -69 | NC      | $19104.01     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -30 | NC      | $-288453.90   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | U.S. Treasury Long Bond                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -249 | NC      | $269316.46    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -26 | NC      | $67466.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $52899.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-9827.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $26671.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BlackRock Liquidity Funds Treasury Trust Fund Portfolio          | BlackRock Liquidity Funds Treasury Trust Fund Portfolio          | CUSIP: 09248U551<br>LEI: 549300U5PI8CHFJM7202 | Long             | STIV             | RF                | US        |    40858885 | NS      | $40858884.78  | 2.64%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Euro-Buxl                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -220 | NC      | $4876311.35   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-6594.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-14934.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $6399.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -92 | NC      | $-38988.02    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $247820.79    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $32348.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-16695.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-12384.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-18367.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          12 | NC      | $-11031.56    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           8 | NC      | $154928.36    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 3 Month SOFR                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -133 | NC      | $96072.98     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   814300000 | PA      | $66971.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -89 | NC      | $-132027.05   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-4029.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Silver                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |           5 | NC      | $2265.05      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-143822.54   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -34 | NC      | $-11038.18    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-161.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $133762.91    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $5244.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          25 | NC      | $-154713.90   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -138 | NC      | $-222713.10   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $131150.08    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          36 | NC      | $-64341.04    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          92 | NC      | $42487.60     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    41500000 | PA      | $-110077.35   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -23 | NC      | $-65897.99    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $15131.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $72475.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-108554.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Mont Belvieu Propane                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -160 | NC      | $-376319.20   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-87795.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | CBOE Volatility Index                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |          -4 | NC      | $8805.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1540906.66  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Nikkei 225 Index                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |         -60 | NC      | $414502.21    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $55951.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-32886.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Palladium                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          -6 | NC      | $48063.82     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 90-Day Australian Bank Bill                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |        -495 | NC      | $-68429.01    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-25626.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1424.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $5620.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Euro-Bund                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -469 | NC      | $3803966.61   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Cocoa                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          10 | NC      | $3369.22      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-33442.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    20800000 | PA      | $321461.32    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | MSCI Emerging Markets E-Mini Index                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -240 | NC      | $120722.53    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $59465.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-50712.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -20 | NC      | $-338107.60   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-46258.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-18208.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Japan 10 Year Bond                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         -74 | NC      | $660200.05    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          12 | NC      | $-34514.84    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-73455.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $15124.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $5624.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -9 | NC      | $-13810.05    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | EURO STOXX 50 Volatility Index                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |         -27 | NC      | $3277.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -17 | NC      | $-125419.71   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-215660.03   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -93 | NC      | $-501923.28   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-20.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           8 | NC      | $62891.46     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   173300000 | PA      | $-5489152.71  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-107861.93   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-18370.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-376.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $73777.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -108 | NC      | $143577.46    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -8 | NC      | $-383461.21   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-5617.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $91532.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $24704.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | NY Harbor ULSD                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          48 | NC      | $833528.99    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           1 | NC      | $-511.45      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           1 | NC      | $-1856.95     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $498.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    28100000 | PA      | $-910445.79   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -18 | NC      | $-155522.34   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 3 Month SOFR                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -223 | NC      | $68380.57     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          55 | NC      | $91394.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-32.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -11 | NC      | $-206170.91   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -2 | NC      | $-11762.52    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-40830.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |    78356086 | PA      | $543751.30    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    33600000 | PA      | $1216968.78   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $7301.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -4 | NC      | $-11171.80    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $547517.88    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $13155.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $121328.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $9088.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $124587.98    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -1 | NC      | $-47274.37    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    16100000 | PA      | $3006.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     1500000 | PA      | $1036.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $5851.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-108411.48   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $18306.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $222805.01    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   208200000 | PA      | $-3389528.82  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1951.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Brent Crude Oil                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -97 | NC      | $-653674.70   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $136648.71    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          28 | NC      | $138010.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 3 Month Euro Euribor                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -269 | NC      | $353092.88    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 3 Month SARON                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         -36 | NC      | $13373.44     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1876709.96  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $47102.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-191.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $40.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          17 | NC      | $11806.09     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | CBOE Volatility Index                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |          -8 | NC      | $9431.57      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-64226.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-117285.91   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -3 | NC      | $2485.86      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796XT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   120493000 | PA      | $120110702.22 | 7.77%             | 2023-02-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $21275.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $66243.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1454.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2741.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $9222.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          36 | NC      | $-108860.70   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          18 | NC      | $154104.12    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $21285.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $67191.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-12124.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -6 | NC      | $-148854.78   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-25634.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month Euro Euribor                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -236 | NC      | $1188069.61   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-215686.65   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-103767.30   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | NASDAQ 100 E-Mini Index                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         -62 | NC      | $733204.98    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-5622.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | SGX NIFTY 50 Index                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |        -104 | NC      | $-20610.85    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         122 | NC      | $-629481.19   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Australia 3 Year Bond                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |       -2185 | NC      | $2026145.66   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1205.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-91330.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $78882.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-55280.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-19040.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-5453.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-795229.89   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          20 | NC      | $72008.78     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           8 | NC      | $17827.35     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Sugar No. 11                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -45 | NC      | $-101203.63   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          54 | NC      | $1114324.40   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-69307.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-44128.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $33947.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2181648.74  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-551.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           4 | NC      | $28314.48     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1413.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $72469.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          19 | NC      | $-23137.97    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Euro-Bobl                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -774 | NC      | $3059756.27   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Total Return Swap                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |    -2366000 | PA      | $-449.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $57276.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | DJIA CBOT E-Mini Index                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         -58 | NC      | $150032.89    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-32798.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          45 | NC      | $-22955.85    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $60625.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-31977.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-91310.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $125520.25    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1371.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -19 | NC      | $13879.70     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     1400000 | PA      | $18145.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-6594.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month Canadian Bankers Acceptance                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |        -651 | NC      | $217482.57    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $139845.22    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-57797.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          90 | NC      | $-74055.64    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-367.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1236.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $409212.89    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-17282.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2905.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-85.37       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $9609.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $23764.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      600000 | PA      | $10019.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-191.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $263040.36    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-34976.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    26300000 | PA      | $-1232451.82  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-22617.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -4 | NC      | $-16340.52    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $3422.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Wheat                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -703 | NC      | $121869.31    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-19910.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $676098.32    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-5897.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-11469.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2492.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -90 | NC      | $96587.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $26102.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $136644.18    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      500000 | PA      | $1288.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | S&P 500 E-Mini Index                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         -73 | NC      | $444879.76    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $65207.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-265745.29   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $518.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -4 | NC      | $-30037.84    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -9 | NC      | $15087.45     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2704.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      300000 | PA      | $9834.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          34 | NC      | $-10903.80    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $18627.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           3 | NC      | $6736.65      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Feeder Cattle                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -47 | NC      | $-28464.11    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          43 | NC      | $396068.16    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3672.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Long Gilt                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -229 | NC      | $1501171.43   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-94305.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -14 | NC      | $-16554.83    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           5 | NC      | $37424.35     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   129100000 | PA      | $-1619571.47  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          93 | NC      | $430792.91    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1631.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | S&P/TSX 60 Index                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | CA        |         -79 | NC      | $443983.84    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | CBOE Volatility Index                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |          -7 | NC      | $944.53       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $9192.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -43 | NC      | $-413849.08   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $8709.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-201.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-32876.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-584856.47   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   158000000 | PA      | $972664.92    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-22248.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $11183.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1540943.29  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-120569.55   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -5 | NC      | $-230839.75   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-12916.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | SPI 200 Index                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | AU        |        -100 | NC      | $272992.18    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   144200000 | PA      | $-7375.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -33 | NC      | $-350484.53   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-131019.42   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | CDI                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      256000 | PA      | $-371.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     3000000 | PA      | $1322.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -8 | NC      | $-357186.10   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | FTSE/MIB Index                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | IT        |         -94 | NC      | $217206.98    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $124592.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-408.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $8698.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-108076.83   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Rapeseed                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -97 | NC      | $-38292.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $9220.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $76781.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -9 | NC      | $-15211.17    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          59 | NC      | $402554.42    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $85549.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-34736.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-12647.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -2 | NC      | $-99677.90    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           4 | NC      | $56225.49     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $4339.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          19 | NC      | $-6062.47     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-12905.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-21292.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | CDI                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      655000 | PA      | $1571.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   129500000 | PA      | $-1897301.16  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-18958.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-49328.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3935.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | EURO STOXX 50 Volatility Index                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |         -44 | NC      | $3196.98      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-919.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-81.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          24 | NC      | $265129.34    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-40203.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    11300000 | PA      | $-204853.06   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $34040.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Low Sulphur Gasoil                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          68 | NC      | $651734.65    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -34 | NC      | $-365458.42   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-49913.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-12652.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $25970.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          11 | NC      | $231480.70    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          34 | NC      | $276160.58    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -9 | NC      | $-6436.17     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -59 | NC      | $-403580.17   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           2 | NC      | $12786.10     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796V48<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   122205000 | PA      | $120611733.98 | 7.80%             | 2023-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          14 | NC      | $43775.79     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           2 | NC      | $6089.21      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-569.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $271085.23    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-33246.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    45100000 | PA      | $334933.63    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $9535.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $129992.10    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | FTSE 100 Index                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |        -290 | NC      | $-35590.69    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $61718.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2963.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3819.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Swap                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |   -77772100 | PA      | $-485106.89   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $131098.84    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-17293.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-43444.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | MSCI Singapore Index                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |        -543 | NC      | $2778.18      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $502.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-12.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $78902.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -23 | NC      | $179843.90    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2978.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $27090.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-19034.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1150.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-38042.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $82291.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $125476.82    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-55211.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-73816.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-26030.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month Euro Euribor                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -259 | NC      | $405874.53    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          23 | NC      | $-8256.44     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          10 | NC      | $39547.11     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-12124.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -21 | NC      | $-66015.24    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          27 | NC      | $-61532.42    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1444.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1132.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-14270.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -4 | NC      | $-16511.80    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-14294.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $129940.86    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Copper                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -208 | NC      | $-301686.36   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-70283.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1549922.15  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-4886.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SOFR                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -247 | NC      | $73694.59     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 90-Day Australian Bank Bill                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |        -408 | NC      | $32414.02     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | MSCI EAFE E-Mini Index                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -173 | NC      | $269750.45    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1492.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $143625.36    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -19 | NC      | $9795.45      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-16718.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          47 | NC      | $112452.64    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -8 | NC      | $-61554.18    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $86826.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SOFR                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -265 | NC      | $94075.24     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          10 | NC      | $-30549.72    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $104.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $32483.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | CDI                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     1464000 | PA      | $-28086.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-43072.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           1 | NC      | $-3240.13     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $33954.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $48649.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          23 | NC      | $61252.97     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-83226.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           3 | NC      | $53641.36     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          16 | NC      | $283364.10    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $28557.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $196717.39    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $519.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           2 | NC      | $-5475.78     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796T33<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     2742000 | PA      | $2725498.15   | 0.18%             | 2023-02-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | ECX Emission                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          -2 | NC      | $1224.89      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2978.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2704.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-32652.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Swap                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |   -73212500 | PA      | $3464.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-13346.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -39 | NC      | $-168184.33   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          13 | NC      | $113481.56    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1133859.01  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-30609.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $57282.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     2600000 | PA      | $15225.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Lean Hogs                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          -2 | NC      | $-2756.60     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $12601.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    35400000 | PA      | $1102112.92   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -40 | NC      | $-712415.20   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $25726.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-32921.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          89 | NC      | $143366.56    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-5645.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-825.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-97216.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1578.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          25 | NC      | $-185981.59   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-10604.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $507284.57    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-6278.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-26007.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     5700000 | PA      | $-13854.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 100 oz Gold                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          42 | NC      | $51785.35     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $43.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Yellow Maize                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | ZA        |        -111 | NC      | $104744.74    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -138 | NC      | $22358.40     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-46247.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $18817.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-57810.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-38900.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -21 | NC      | $-20631.45    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -25 | NC      | $177424.50    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-8716.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-226.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |   209966724 | PA      | $1277126.46   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3934.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $10763.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |           5 | NC      | $236655.25    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          38 | NC      | $429813.56    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $131664.61    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    53800000 | PA      | $-152397.81   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $23785.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      500000 | PA      | $5856.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   127700000 | PA      | $2757983.69   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-4779.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   100000000 | PA      | $38872.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

**Name of Applicant:** AQR Funds

**Signature:** Matt Plastina

**Name of Signer:** Matt Plastina

**Title:** Principal Financial Officer