# EDGAR Filing Document

**Accession Number:** 0001444822
**File Stem:** 0001752724-23-043540
**Filing Date:** 2023-2
**Character Count:** 431494
**Document Hash:** 4f7f39c5cac68121371a064b6170705f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-043540.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001752724-23-043540

**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:** 23675332

**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 HV Fund (Series ID: S000041117)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000127657 | Class I      | QMHIX           |
| C000127658 | Class N      | QMHNX           |
| C000145945 | Class R6     | QMHRX           |

## 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 HV Fund

- **b. EDGAR series identifier (if any):** S000041117

- **c. LEI of Series:** 549300EEULX15SC8N094

**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:** $187580019.33

**Total Liabilities:** $8094490.35

**Net Assets:** $179485528.98

**Amount of Assets Invested in Other Investment Companies:** $41139045.21

**Cash Not Reported:** $240066.51

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.00000000 | **1-Year:** 3.15713081 | **5-Year:** 591.18584534 | **10-Year:** 14015.85895938 | **30-Year:** 104.88816951

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

- **3-Month:** 0.00000000 | **1-Year:** 0.69207569 | **5-Year:** 98.31422386 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000127658 | -0.61%               | -8.58%               | 2.24%                |
| Class ID C000127657 | -0.61%               | -8.60%               | 2.30%                |
| Class ID C000145945 | -0.61%               | -8.57%               | 2.25%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-124710.37              | $-162193.18                                |
| Month 2  | $-388067.40              | $115178.67                                 |
| Month 3  | $-43946.55               | $45289.64                                  |

**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                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1865.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SONIA                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -38 | NC      | $11147.41     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $1929.30      | 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      | $-5406.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 7910000000 | PA      | $-36231.34    | -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      | $68566.71     | 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      | $518.62       | 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      | $6315.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Euro-Schatz                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -479 | NC      | $563475.89    | 0.31%             |  |  |  | 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      | $-95.61       | -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      | $-568.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month Euro Euribor                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -47 | NC      | $26140.39     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 3 Month SARON                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         -6 | NC      | $1434.03      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Rapeseed                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -14 | NC      | $-8603.53     | -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      | $7415.10      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $-959.90      | -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      | $1.24         | 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      | $898.47       | 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      | $-5582.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $47599.78     | 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      | $1443.33      | 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      | $39136.55     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -3 | NC      | $-68871.14    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | U.S. Treasury 5 Year Note                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -154 | NC      | $37346.61     | 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      | $14208.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $-4191.48     | -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      | $-341.12      | -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      | $-26354.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          4 | NC      | $71789.99     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $23178.62     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -9 | NC      | $-12598.42    | -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      | $47688.02     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | DAX Index                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |        -12 | NC      | $127063.92    | 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      | $518.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   15600000 | PA      | $2935.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-290.70      | -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      | $360.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   16400000 | PA      | $97972.75     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $24603.04     | 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      | $36962.76     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $45273.05     | 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      | $1776.08      | 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      | $-18802.80    | -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      | $-7646.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $1812.93      | 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      | $-15152.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   33700000 | PA      | $-583707.27   | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $343.01       | 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      | $10370.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796ZQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    3141000 | PA      | $3073793.94   | 1.71%             | 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        |     807000 | PA      | $792639.14    | 0.44%             | 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      | $-6846.91     | -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      | $-2796.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $19305.24     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Cocoa                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         39 | NC      | $49822.06     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    3600000 | PA      | $46979.98     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SONIA                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -38 | NC      | $13923.18     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | KC HRW Wheat                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -2 | NC      | $-1554.34     | -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      | $-18328.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          4 | NC      | $-4841.80     | -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      | $-8362.11     | -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      | $-704.55      | -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      | $11546.64     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | U.S. Treasury 10 Year Note                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -96 | NC      | $60912.87     | 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      | $22211.01     | 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      | $-3205.22     | -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      | $2626.83      | 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      | $-1907.32     | -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      | $13493.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | EURO STOXX 50 Index                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |        -69 | NC      | $68119.76     | 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      | $-3633.13     | -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      | $20323.26     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          6 | NC      | $108059.85    | 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      | $-2487.82     | -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      | $509.87       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |    2035800 | PA      | $-38117.58    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $-10925.90    | -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      | $-364390.11   | -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      | $-5051.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | White Sugar                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         48 | NC      | $87189.55     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Crude Palm Oil                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | MY        |         -7 | NC      | $-11651.64    | -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      | $-6034.73     | -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      | $-392.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $490.80       | 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      | $805.91       | 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      | $14205.29     | 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      | $-3218.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Robusta Coffee                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -42 | NC      | $26754.74     | 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      | $-1118.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          4 | NC      | $-7990.05     | -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      | $-1930.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $4817.69      | 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      | $-87.91       | -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      | $0.28         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     400000 | PA      | $223.49       | 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      | $-20946.63    | -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      | $1149.77      | 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      | $257.71       | 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      | $20511.84     | 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      | $1847.97      | 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      | $-7448.04     | -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      | $-1303.76     | -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      | $-2166.17     | -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      | $22689.44     | 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      | $-1119.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          3 | NC      | $1904.70      | 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      | $4442.19      | 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      | $65819.74     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Swap                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |   -5654000 | PA      | $2284.31      | 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      | $-1228.49     | -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      | $-18865.95    | -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      | $-16207.35    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | CBOE Volatility Index                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         -1 | NC      | $1770.76      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -4 | NC      | $7207.82      | 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      | $-88448.68    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month Euro Euribor                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -51 | NC      | $67903.63     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $-6462.76     | -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      | $1405.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SOFR                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -34 | NC      | $2364.79      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1300000 | PA      | $10073.92     | 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      | $-4797.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | CDI                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     119000 | PA      | $727.10       | 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      | $-5676.98     | -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      | $-5817.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | SGX FTSE China A50 Index                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |       -123 | NC      | $-4516.23     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |    8462342 | PA      | $-48912.65    | -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      | $23425.82     | 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      | $1968.13      | 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      | $445.95       | 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      | $-17170.22    | -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      | $4420.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-19001.95    | -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      | $9722.42      | 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      | $-8216.16     | -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      | $-21603.04    | -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      | $-7154.34     | -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      | $-672.63      | -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      | $1774.89      | 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      | $-237.20      | -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      | $4780.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796YN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    6629000 | PA      | $6557075.35   | 3.65%             | 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        |  126000000 | PA      | $-33321.04    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    6300000 | PA      | $-33322.36    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    5100000 | PA      | $-31166.62    | -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      | $13854.05     | 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      | $122.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          7 | NC      | $75107.34     | 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      | $-1816.10     | -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      | $-23507.07    | -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      | $-21143.37    | -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      | $13520.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796YW3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    1133000 | PA      | $1115898.28   | 0.62%             | 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      | $10060.34     | 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      | $-66.75       | -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      | $-7291.71     | -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      | $1849.21      | 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      | $2841.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     100000 | PA      | $91.39        | 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      | $-1202.06     | -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      | $-1735.45     | -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      | $-120699.56   | -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      | $75508.76     | 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      | $-6132.06     | -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      | $-187194.96   | -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      | $-11478.22    | -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      | $-596.82      | -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      | $-8127.93     | -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        |        -49 | NC      | $71915.03     | 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      | $-108.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -5 | NC      | $12421.50     | 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      | $-1918.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         12 | NC      | $1205.94      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -6 | NC      | $-59167.19    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $-1793.59     | -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      | $-5226.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     300000 | PA      | $3888.41      | 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      | $-17164.95    | -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      | $639.14       | 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      | $-1028.84     | -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      | $-1598.91     | -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      | $-1567.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     300000 | PA      | $5273.75      | 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      | $-1956.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Hang Seng Index                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | HK        |         -5 | NC      | $-737.68      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -3 | NC      | $8874.65      | 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      | $2225.74      | 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      | $-1202.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SOFR                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -25 | NC      | $-8472.36     | -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      | $21862.62     | 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      | $9334.62      | 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      | $164.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  193700000 | PA      | $162690.00    | 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      | $3952.22      | 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      | $-6798.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   56000000 | PA      | $-1412215.79  | -0.79%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-222879.58   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-9821.58     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | WTI Crude Oil                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -13 | NC      | $-75076.60    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | U.S. Treasury 2 Year Note                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -206 | NC      | $-14189.78    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Soybean                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         35 | NC      | $61643.82     | 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      | $-22.11       | -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      | $-2872.34     | -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      | $-887.30      | -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      | $-2242.53     | -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      | $1776.22      | 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      | $984.44       | 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      | $-7185.87     | -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      | $-3449.00     | -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      | $-2128.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    7500000 | PA      | $-91218.64    | -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      | $8270.71      | 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      | $19038.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Canada 10 Year Bond                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |        -99 | NC      | $229898.89    | 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      | $6213.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $326.55       | 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      | $-840.80      | -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      | $4439.49      | 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      | $-786.81      | -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      | $-258619.95   | -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      | $1.68         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         11 | NC      | $8037.52      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 90-Day New Zealand Bill                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |        -29 | NC      | $7700.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | RBOB Gasoline                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          8 | NC      | $124645.53    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | FTSE/JSE Top 40 Index                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | ZA        |         -7 | NC      | $9065.52      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-51965.95    | -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      | $-3452.05     | -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      | $-1957.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -5 | NC      | $4596.50      | 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      | $8273.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $2064.69      | 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      | $-120712.61   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     100000 | PA      | $3716.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $4293.61      | 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      | $-3600.88     | -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      | $361.02       | 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      | $2029.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Natural Gas                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -37 | NC      | $96477.87     | 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      | $-140.57      | -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      | $84089.35     | 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      | $7747.77      | 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      | $-1446.74     | -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      | $-2246.32     | -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      | $20842.34     | 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      | $-5913.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Wheat                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | ZA        |         -6 | NC      | $2476.06      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    3900000 | PA      | $541.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SARON                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         -9 | NC      | $3883.93      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Natural Gas                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -20 | NC      | $-104401.40   | -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      | $-8077.52     | -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      | $2635.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Swap                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |   -5008320 | PA      | $145371.55    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   12197000 | PA      | $12083476.91  | 6.73%             | 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      | $-6600.85     | -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      | $-45.39       | -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      | $-258877.82   | -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      | $-189354.38   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2709.34      | 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      | $-3367.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SONIA                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -37 | NC      | $-3828.27     | -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      | $486.13       | 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      | $20515.61     | 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      | $164.19       | 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      | $7966.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Milling Wheat No. 2                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         11 | NC      | $-190.32      | -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      | $-18328.87    | -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      | $-1159.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Swap                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |   -5974500 | PA      | $-3624.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $-2292.76     | -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      | $4479.71      | 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      | $-1661.48     | -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      | $-18802.35    | -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      | $4615.83      | 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      | $-13984.02    | -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      | $10700.53     | 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      | $-258871.56   | -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      | $600.76       | 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      | $-3206.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -11 | NC      | $28.55        | 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      | $-46485.41    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $-20383.55    | -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      | $576.41       | 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      | $-6990.48     | -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      | $-335.65      | -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      | $28247.96     | 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      | $3900.92      | 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      | $-638.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SARON                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         -6 | NC      | $2435.20      | 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      | $19732.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |    1233563 | PA      | $-9877.45     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-2218.38     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $4790.77      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |   14339631 | PA      | $28360.51     | 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      | $9335.72      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          3 | NC      | $9376.87      | 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      | $127547.62    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     100000 | PA      | $1171.40      | 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      | $-1144.40     | -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      | $-1566.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $-15051.26    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          4 | NC      | $7350.92      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $89373.57     | 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      | $-2212.54     | -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      | $2664.41      | 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      | $20670.44     | 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      | $-18865.39    | -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      | $-96881.17    | -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      | $15022.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IBEX 35 Index                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | ES        |        -27 | NC      | $7221.08      | 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      | $-12025.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   61000000 | PA      | $9293.81      | 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      | $-5439.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   24900000 | PA      | $139674.14    | 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      | $805.85       | 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      | $600.60       | 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      | $4785.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Soybean Meal                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          5 | NC      | $9308.46      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $3110.85      | 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      | $-3331.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -7 | NC      | $-32323.68    | -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      | $-1075.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Australia 10 Year Bond                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |       -111 | NC      | $484330.79    | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          3 | NC      | $-2352.60     | -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      | $1265.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   11400000 | PA      | $54522.54     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   42800000 | PA      | $190103.28    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1559.62     | -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      | $-132821.13   | -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      | $13496.95     | 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      | $-243.38      | -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      | $6311.62      | 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      | $4486.60      | 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      | $-7701.95     | -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      | $898.18       | 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      | $-364.69      | -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      | $4960.03      | 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      | $-17978.09    | -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      | $-2460.66     | -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        |          1 | NC      | $-931.34      | -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        |         -8 | NC      | $53365.66     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $-7994.76     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -3 | NC      | $-7780.89     | -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      | $1357.81      | 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      | $4780.36      | 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      | $20835.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -7 | NC      | $43029.35     | 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      | $-31.34       | -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      | $-222874.28   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     600000 | PA      | $14709.85     | 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      | $-21.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $2715.64      | 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      | $23014.85     | 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      | $-2729.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -12 | NC      | $-43342.56    | -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      | $23426.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          3 | NC      | $22069.83     | 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      | $-12028.33    | -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      | $-5356.20     | -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      | $821.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -3 | NC      | $-1718.85     | -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      | $-12226.59    | -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      | $-101584.74   | -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      | $-11707.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796YV5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    5817000 | PA      | $5735033.35   | 3.20%             | 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      | $13193.06     | 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      | $1.25         | 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      | $-5817.52     | -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      | $-37180.76    | -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      | $-1006.30     | -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      | $-886.88      | -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      | $164.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2600000 | PA      | $-50991.67    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month Euro Euribor                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -48 | NC      | $29785.32     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 3 Month SONIA                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -37 | NC      | $29240.49     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |    6926709 | PA      | $20698.36     | 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      | $1066.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $-4730.35     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Total Return Swap                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |   -1690000 | PA      | $-461.30      | -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      | $20514.82     | 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      | $-25157.35    | -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      | $-1906.66     | -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      | $474.16       | 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      | $10070.43     | 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      | $-6787.16     | -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      | $-343.04      | -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      | $-12615.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 3720400000 | PA      | $-2499.86     | -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      | $86941.69     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1500000 | PA      | $21193.88     | 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      | $-5053.46     | -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      | $65.30        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   26100000 | PA      | $-81863.77    | -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      | $-2315.21     | -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      | $-7957.26     | -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      | $5663.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -3 | NC      | $-7463.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796ZE2<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    2497000 | PA      | $2456686.96   | 1.37%             | 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      | $-671.85      | -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      | $-5068.29     | -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      | $-4408.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     500000 | PA      | $-956.75      | -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      | $-2314.21     | -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      | $6423.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Corn                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -159 | NC      | $-80778.15    | -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      | $1265.59      | 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      | $-473.95      | -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      | $-13435.86    | -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      | $19958.92     | 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      | $22957.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Soybean Oil                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         13 | NC      | $27486.25     | 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      | $-313446.23   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-7286.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | SGX FTSE Taiwan Index                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |        -16 | NC      | $4130.36      | 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      | $-7174.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   20600000 | PA      | $18230.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $-3899.12     | -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      | $3951.21      | 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      | $-765.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $148.51       | 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      | $16629.10     | 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      | $190.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Rough Rice                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -2 | NC      | $-5089.11     | -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      | $10071.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -17 | NC      | $-55724.78    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-2648.59     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $-1677.65     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $-480.90      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   85500000 | PA      | $1053977.14   | 0.59%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4352.88      | 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      | $20702.75     | 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      | $689.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $-330.83      | -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      | $-3384.99     | -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      | $-14043.66    | -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      | $-10173.66    | -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      | $-3401.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-8658.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | FCOJ-A                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          7 | NC      | $3517.22      | 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      | $-3078.28     | -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      | $-21290.38    | -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      | $248.79       | 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      | $-3738.96     | -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      | $-7626.23     | -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      | $9401.45      | 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      | $-2128.84     | -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      | $823.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          4 | NC      | $180042.20    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -19 | NC      | $-44456.22    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -3 | NC      | $675.08       | 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      | $-189379.74   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-0.63        | -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      | $-2683.89     | -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      | $10063.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1000000 | PA      | $-4.54        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | CBOE Volatility Index                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         -2 | NC      | $978.93       | 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      | $4164.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -10 | NC      | $-199903.80   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1800000 | PA      | $1243.40      | 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      | $-313452.42   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-243.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SONIA                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -25 | NC      | $-2795.69     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |    5281665 | PA      | $48808.36     | 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      | $-1816.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -4 | NC      | $-5262.80     | -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      | $474.22       | 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      | $37287.54     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -5 | NC      | $-27819.50    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 3 Month SONIA                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -30 | NC      | $-6388.33     | -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      | $343.46       | 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      | $-17752.02    | -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      | $20687.53     | 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      | $2735.96      | 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      | $-15755.99    | -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      | $-23824.13    | -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      | $-13343.91    | -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      | $-21498.86    | -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      | $-9065.11     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          3 | NC      | $-5439.14     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $53763.05     | 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      | $-567.52      | -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      | $7439.94      | 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      | $-26356.24    | -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      | $-139.46      | -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      | $71.06        | 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      | $14016.54     | 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      | $486.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $2348.10      | 0.00%             |  |  |  | No            |                  1 | 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        |   12853703 | NS      | $12853703.42  | 7.16%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 90-Day New Zealand Bill                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |        -27 | NC      | $13570.72     | 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      | $15040.29     | 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      | $20843.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 90-Day Australian Bank Bill                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |        -73 | NC      | $56175.12     | 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      | $-6599.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $3280.61      | 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      | $-132795.48   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SOFR                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -29 | NC      | $-4329.58     | -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      | $-3575.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          3 | NC      | $59284.13     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   60000000 | PA      | $236239.32    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         19 | NC      | $-1249.47     | -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        |       -178 | NC      | $82855.65     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 9263400000 | PA      | $192695.85    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-250.55      | -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      | $47694.13     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $6042.10      | 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      | $-3167.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -3 | NC      | $18266.15     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          5 | NC      | $45947.14     | 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      | $13069.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     300000 | PA      | $803.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -8 | NC      | $-20381.69    | -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      | $-7448.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    5300000 | PA      | $161565.94    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Rubber                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | JP        |         -2 | NC      | $-36.50       | -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      | $2415.19      | 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      | $36963.79     | 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      | $22958.15     | 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      | $9396.05      | 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      | $-17168.40    | -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      | $-4797.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SONIA                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -40 | NC      | $-1427.89     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -3 | NC      | $6908.42      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  160600000 | PA      | $-374371.27   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-20827.88    | -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      | $-5582.71     | -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      | $-4401.59     | -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        |        -75 | NC      | $8066.84      | 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      | $3001.91      | 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      | $40142.56     | 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      | $985.64       | 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      | $6419.03      | 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      | $22690.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   85000000 | PA      | $25761.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -3 | NC      | $-33195.39    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $1058.39      | 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      | $-46051.12    | -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      | $13196.12     | 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      | $-17976.58    | -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      | $-1854.60     | -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      | $-21497.07    | -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      | $1943.34      | 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      | $-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      | $-7159.22     | -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      | $7096.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Platinum                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          1 | NC      | $2338.23      | 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      | $-109.99      | -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      | $1945.87      | 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      | $-2877.01     | -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      | $231.82       | 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      | $-1953.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    3800000 | PA      | $15664.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     100000 | PA      | $402.30       | 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      | $-8361.83     | -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      | $-17753.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   60400000 | PA      | $-1127.03     | -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      | $-596.37      | -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      | $12198.46     | 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      | $-436.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    7469000 | PA      | $7417991.96   | 4.13%             | 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        |   22000000 | PA      | $-8667.72     | -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      | $-42925.77    | -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      | $-4087.03     | -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      | $-2502.47     | -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      | $4267.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-435.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $2906.30      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $-3090.13     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Rubber                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | JP        |         -4 | NC      | $13.34        | 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      | $9073.92      | 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      | $-183.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-652.17      | -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      | $-1075.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -7 | NC      | $-59550.75    | -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      | $-3400.57     | -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      | $-88425.28    | -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      | $2713.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          9 | NC      | $-13577.95    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          6 | NC      | $24598.80     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $1172.37      | 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      | $259.11       | 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      | $-11834.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          3 | NC      | $-9799.18     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | U.S. Treasury Ultra Bond                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -32 | NC      | $36094.93     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Live Cattle                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -7 | NC      | $-10191.82    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-2418.24     | -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      | $-50.14       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Euro-OAT                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -68 | NC      | $481985.57    | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     700000 | PA      | $7625.13      | 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      | $-12371.53    | -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      | $-5978.77     | -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      | $11110.86     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | SGX Iron Ore                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | SG        |         -1 | NC      | $-377.19      | -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      | $-474.17      | -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      | $20511.84     | 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      | $4089.30      | 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      | $-840.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |   36704579 | PA      | $157333.87    | 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      | $1661.53      | 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      | $-1303.43     | -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      | $15306.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796YK9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   11120000 | PA      | $11034805.01  | 6.15%             | 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        |     959000 | PA      | $-2865.59     | -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        |        -24 | NC      | $65951.75     | 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      | $-24136.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          7 | NC      | $-43853.54    | -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      | $-11476.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   15800000 | PA      | $-20195.02    | -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      | $-29672.18    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-7531.95     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         26 | NC      | $42919.71     | 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      | $39014.11     | 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      | $-364383.99   | -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      | $2223.77      | 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      | $10066.68     | 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      | $-1144.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $9114.51      | 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      | $-3695.55     | -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      | $-5439.25     | -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      | $-1107.52     | -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      | $-23882.79    | -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      | $123.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1600000 | PA      | $7911.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          3 | NC      | $17757.77     | 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      | $-1624.07     | -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      | $0.71         | 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      | $0.89         | 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      | $-2795.20     | -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      | $9398.39      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month Euro Euribor                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -47 | NC      | $40390.80     | 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      | $11509.04     | 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      | $-0.38        | -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        |         -4 | NC      | $628.19       | 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      | $23258.71     | 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      | $20146.22     | 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      | $1982.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Coffee 'C'                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -21 | NC      | $-18610.81    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          3 | NC      | $66223.26     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $22351.65     | 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      | $-5015.37     | -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      | $4086.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Cotton No. 2                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -19 | NC      | $15516.35     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $-32433.43    | -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      | $-834.32      | -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      | $-3263.67     | -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      | $75521.26     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796YL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    4583000 | PA      | $4544993.18   | 2.53%             | 2023-03-16      | 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      | $-2213.46     | -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      | $2664.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796YM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   11713000 | PA      | $11593013.79  | 6.46%             | 2023-03-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  200000000 | PA      | $-796.33      | -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      | $-332.81      | -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      | $1423.65      | 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      | $-5228.80     | -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        |       -143 | NC      | $49087.11     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -25 | NC      | $7349.25      | 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      | $-1107.27     | -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      | $7966.02      | 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      | $-25155.97    | -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      | $257.67       | 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      | $-5913.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |   29841244 | PA      | $414753.54    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -4 | NC      | $-14660.52    | -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      | $-3279.07     | -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      | $6205.47      | 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      | $-1029.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Canola                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -3 | NC      | $-49.18       | -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      | $11987.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | TOPIX Index                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |         -7 | NC      | $15430.01     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 3 Month Canadian Bankers Acceptance                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |        -95 | NC      | $44514.36     | 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      | $-1598.82     | -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      | $-18125.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Euro-BTP                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -65 | NC      | $452986.74    | 0.25%             |  |  |  | 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      | $-9194.12     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $512.44       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   61800000 | PA      | $244602.78    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 90-Day New Zealand Bill                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |        -29 | NC      | $12652.07     | 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      | $1272.07      | 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      | $-3266.81     | -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      | $2416.82      | 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      | $-1624.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796ZR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   22968000 | PA      | $22459550.72  | 12.51%            | 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      | $-66.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2500000 | PA      | $26400.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $33795.24     | 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      | $881.16       | 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      | $4166.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          3 | NC      | $16863.15     | 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      | $-1159.51     | -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      | $4269.49      | 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      | $7885.30      | 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      | $4426.57      | 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      | $-6797.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 5340300000 | PA      | $-37663.56    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |  127962485 | PA      | $971291.02    | 0.54%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $-1580.26     | -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      | $-18126.63    | -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      | $-636.51      | -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      | $-583.24      | -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      | $-1929.66     | -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      | $-1853.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1900000 | PA      | $12812.01     | 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      | $-1735.95     | -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      | $-1445.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $20688.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          4 | NC      | $29655.05     | 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      | $-2647.58     | -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      | $-4398.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    9000000 | PA      | $237708.65    | 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      | $-29668.48    | -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      | $1774.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   12500000 | PA      | $-4891.82     | -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      | $466.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          4 | NC      | $13439.20     | 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      | $-11283.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Limited Purpose Cash Investment Fund                             | Limited Purpose Cash Investment Fund                             | CUSIP: 90262Y729<br>LEI: 549300GUQBQJ6160QP80 | Long             | STIV             | RF                | US        |   31203643 | NS      | $31191161.86  | 17.38%            |  |  |  | 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      | $17811.87     | 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      | $12947.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -3 | NC      | $-2091.85     | -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      | $-258613.69   | -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      | $-0.63        | -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      | $-9798.95     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -4 | NC      | $-28685.52    | -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      | $-332.65      | -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      | $6880.76      | 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      | $-6781.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Amsterdam Exchange Index                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |        -22 | NC      | $125831.39    | 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      | $-4038.27     | -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      | $10069.74     | 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      | $-3883.82     | -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      | $2736.53      | 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      | $-101558.94   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          7 | NC      | $30835.08     | 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      | $-3791.47     | -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      | $-1712.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | KOSPI 200 Index                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | KR        |        -47 | NC      | $166971.94    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $8417.62      | 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      | $-4408.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    9000000 | PA      | $-10529.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  842300000 | PA      | $-101886.54   | -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      | $-23343.62    | -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      | $250.76       | 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      | $-4667.54     | -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      | $-3598.31     | -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      | $3905.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    8100000 | PA      | $-23550.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-3195.38     | -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      | $11988.46     | 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      | $-24061.64    | -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      | $4960.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Milk                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          1 | NC      | $-115.69      | -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      | $-3576.15     | -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      | $7436.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -9 | NC      | $19771.20     | 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      | $-46483.36    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OMXS30 Index                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -81 | NC      | $50804.62     | 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      | $5664.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Natural Gas                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -5 | NC      | $138591.67    | 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      | $14013.52     | 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      | $12942.91     | 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      | $-393.62      | -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      | $58472.60     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $-17888.12    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | CDI                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     102000 | PA      | $-1991.77     | -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      | $21861.87     | 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      | $9723.21      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | White Maize                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | ZA        |        -13 | NC      | $2214.37      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -5 | NC      | $-48075.65    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | U.S. Treasury Long Bond                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -45 | NC      | $43321.31     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | 1220000000 | PA      | $14025.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -4 | NC      | $10412.20     | 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      | $-3951.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Euro-Buxl                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -39 | NC      | $751109.19    | 0.42%             |  |  |  | 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      | $13217.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -15 | NC      | $-6489.81     | -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      | $-8311.91     | -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      | $22210.21     | 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      | $11002.60     | 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      | $-5467.70     | -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      | $-338.22      | -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      | $-1880.26     | -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      | $8236.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $19167.97     | 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      | $-15734.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SOFR                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -24 | NC      | $12739.35     | 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      | $1.68         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   75800000 | PA      | $6234.07      | 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      | $51024.12     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -17 | NC      | $-25218.65    | -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      | $-3634.30     | -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      | $20834.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Silver                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          3 | NC      | $-1025.55     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -6 | NC      | $-4367.85     | -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      | $-7644.60     | -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      | $-51.96       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          3 | NC      | $-18565.67    | -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      | $-42188.70    | -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      | $-24063.42    | -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      | $14290.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          7 | NC      | $-12510.76    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         15 | NC      | $6929.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -3 | NC      | $-8595.39     | -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      | $446.46       | 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      | $28253.53     | 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      | $-9058.69     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Mont Belvieu Propane                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -30 | NC      | $-70691.10    | -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      | $8895.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | CBOE Volatility Index                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         -1 | NC      | $2300.10      | 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      | $-582.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | CDI                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     277000 | PA      | $-3184.04     | -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      | $9074.63      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Nikkei 225 Index                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | JP        |        -11 | NC      | $64471.00     | 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      | $4354.17      | 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      | $-2683.09     | -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      | $34378.53     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |    3674405 | PA      | $-19950.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Palladium                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -1 | NC      | $8010.64      | 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        |        -80 | NC      | $-8066.85     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  243700000 | PA      | $-48638.75    | -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      | $232.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Euro-Bund                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -83 | NC      | $591635.72    | 0.33%             |  |  |  | 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      | $20519.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Cocoa                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          3 | NC      | $1010.77      | 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      | $-250.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | MSCI Emerging Markets E-Mini Index                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -38 | NC      | $19315.30     | 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      | $-4350.20     | -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      | $8954.61      | 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      | $-67621.52    | -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      | $-1272.98     | -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      | $14293.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Japan 10 Year Bond                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |        -13 | NC      | $106614.90    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          3 | NC      | $-8628.71     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $5352.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2300000 | PA      | $108197.54    | 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      | $91151.96     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-2811.95     | -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        |         -6 | NC      | $780.97       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -3 | NC      | $-22132.89    | -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      | $1272.15      | 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      | $-43536.80    | -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      | $331.91       | 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      | $-396.06      | -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      | $-17151.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $15882.24     | 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      | $-8313.61     | -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      | $-787.14      | -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      | $-1272.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -20 | NC      | $26916.75     | 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      | $1201.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-47932.65    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | NY Harbor ULSD                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          7 | NC      | $115251.20    | 0.06%             |  |  |  | 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                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-87.57       | -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      | $-3807.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   13200000 | PA      | $-319563.19   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -3 | NC      | $-25920.39    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 3 Month SOFR                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -40 | NC      | $7662.42      | 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      | $-4085.95     | -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      | $-4573.88     | -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      | $259.55       | 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      | $15004.70     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   12200000 | PA      | $-795.15      | -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      | $13065.27     | 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      | $23220.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -3 | NC      | $-56228.43    | -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      | $-31.30       | -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      | $23221.73     | 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      | $-4896.64     | -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      | $-1895.59     | -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      | $-12615.55    | -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      | $9660.64      | 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      | $576.28       | 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      | $-7172.60     | -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      | $9279.52      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     600000 | PA      | $32579.93     | 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      | $-170961.96   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Brent Crude Oil                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -15 | NC      | $-99678.11    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          5 | NC      | $24644.64     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 3 Month Euro Euribor                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -48 | NC      | $50900.28     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 3 Month SARON                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         -7 | NC      | $2269.69      | 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      | $1388.95      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | CBOE Volatility Index                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         -1 | NC      | $1431.03      | 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      | $11347.01     | 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      | $91148.03     | 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      | $45425.98     | 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      | $-3951.66     | -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      | $191.41       | 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      | $18273.16     | 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      | $-5977.47     | -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      | $-10462.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          6 | NC      | $-17761.70    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          3 | NC      | $25684.02     | 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      | $127522.68    | 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      | $-0.38        | -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      | $-24809.13    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | 3 Month Euro Euribor                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -42 | NC      | $51836.43     | 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      | $-8077.33     | -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      | $2628.14      | 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      | $-4350.14     | -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      | $-7703.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | NASDAQ 100 E-Mini Index                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -10 | NC      | $111845.87    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | SGX NIFTY 50 Index                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |        -19 | NC      | $-3054.53     | -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      | $-8214.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         21 | NC      | $-108676.20   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Australia 3 Year Bond                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |       -386 | NC      | $319705.20    | 0.18%             |  |  |  | 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      | $23237.01     | 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      | $-5471.43     | -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      | $12203.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   21800000 | PA      | $-40848.13    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          4 | NC      | $14401.76     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $2228.42      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Sugar No. 11                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -5 | NC      | $-11244.85    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         10 | NC      | $205792.40    | 0.11%             |  |  |  | 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      | $-7186.99     | -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      | $1149.70      | 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      | $51021.14     | 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      | $-1161.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $7078.62      | 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      | $68563.12     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          5 | NC      | $-6088.94     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Euro-Bobl                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -139 | NC      | $477498.25    | 0.27%             |  |  |  | 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      | $18273.52     | 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      | $4479.49      | 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        |        -10 | NC      | $22591.82     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          7 | NC      | $-9118.41     | -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      | $9278.10      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $1461.02      | 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      | $-5068.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |    2095899 | PA      | $30429.17     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month Canadian Bankers Acceptance                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |       -113 | NC      | $19967.38     | 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      | $0.28         | 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      | $-5356.74     | -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      | $17816.26     | 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      | $20669.69     | 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      | $692.35       | 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      | $-3113.16     | -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      | $2103.04      | 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      | $8898.34      | 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      | $0.95         | 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      | $-6887.63     | -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      | $-2167.41     | -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      | $2842.33      | 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      | $-110.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    4300000 | PA      | $-182458.66   | -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      | $-167.88      | -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      | $34375.47     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-4085.13     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Wheat                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -123 | NC      | $33017.63     | 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      | $2028.73      | 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      | $-4896.38     | -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      | $-10980.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -6 | NC      | $4630.80      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | S&P 500 E-Mini Index                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -11 | NC      | $69108.99     | 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      | $2629.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-7509.46     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $3319.10      | 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      | $-2731.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     100000 | PA      | $3278.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          6 | NC      | $568.30       | 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      | $-11835.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          8 | NC      | $17964.40     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Feeder Cattle                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |         -8 | NC      | $-4649.17     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          7 | NC      | $64062.84     | 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      | $37313.47     | 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      | $86946.70     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Long Gilt                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -37 | NC      | $235812.11    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -12 | NC      | $-14189.85    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $7609.87      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   20600000 | PA      | $-238982.05   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          6 | NC      | $41771.72     | 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      | $-4667.60     | -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        |        -12 | NC      | $71345.68     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | CBOE Volatility Index                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         -1 | NC      | $308.91       | 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      | $-10459.78    | -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      | $71.59        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -7 | NC      | $-66880.58    | -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      | $-16003.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  110000000 | PA      | $-53827.69    | -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      | $20932.35     | 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      | $1066.88      | 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      | $-365.19      | -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      | $-7701.36     | -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      | $-1865.42     | -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      | $-5406.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-46167.95    | -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      | $0.71         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | SPI 200 Index                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | AU        |        -15 | NC      | $41460.01     | 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      | $-108.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   11000000 | PA      | $-562.62      | -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      | $-1918.10     | -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      | $11259.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   59300000 | PA      | $201822.41    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Nickel Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -5 | NC      | $-54247.75    | -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      | $-6137.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | CDI                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      53000 | PA      | $-33.19       | -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      | $-96885.50    | -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      | $-1956.77     | -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      | $-89296.52    | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | FTSE/MIB Index                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | IT        |        -17 | NC      | $36520.08     | 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      | $19729.11     | 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      | $-4500.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    6500000 | PA      | $-39480.04    | -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      | $-23335.92    | -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      | $-175539.88   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Rapeseed                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |        -20 | NC      | $-7634.41     | -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      | $-95.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $-3380.26     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    5400000 | PA      | $-16739.23    | -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      | $1662.04      | 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      | $61324.83     | 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      | $-3389.66     | -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      | $20924.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $-817.76      | -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      | $31753.59     | 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      | $-587.85      | -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      | $2675.17      | 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      | $-1161.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   18400000 | PA      | $26238.37     | 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      | $6879.27      | 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      | $-704.94      | -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      | $-1895.66     | -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      | $-330.25      | -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        |        -12 | NC      | $402.38       | 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      | $-4482.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          3 | NC      | $33141.17     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | Low Sulphur Gasoil                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          9 | NC      | $86259.00     | 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      | $-1660.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -7 | NC      | $-75241.44    | -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      | $0.90         | 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      | $21043.70     | 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      | $11258.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          7 | NC      | $56856.59     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-715.13      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -9 | NC      | $-61298.67    | -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      | $-7702.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796V48<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   29636000 | PA      | $29249616.21  | 16.30%            | 2023-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   18700000 | PA      | $-273973.51   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $6326.87      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $3044.60      | 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      | $-3599.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | FTSE 100 Index                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |        -48 | NC      | $-2590.19     | -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      | $-7629.25     | -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      | $-1558.55     | -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      | $45422.38     | 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      | $-7957.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Swap                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |  -11665815 | PA      | $-62158.13    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   27000000 | PA      | $11047.62     | 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      | $84093.29     | 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      | $-10174.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     400000 | PA      | $292.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     200000 | PA      | $-11386.99    | -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      | $-3078.55     | -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      | $-175543.56   | -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      | $-3330.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | MSCI Singapore Index                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | SG        |        -89 | NC      | $807.15       | 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      | $1201.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Total Return Basket Swap                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |   13591955 | PA      | $203347.93    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Forward Foreign Currency Contract                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-12225.05    | -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      | $23457.90     | 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      | $1443.84      | 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      | $28491.16     | 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      | $-15162.78    | -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      | $-4429.40     | -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      | $-6033.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1400000 | PA      | $2822.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month Euro Euribor                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        -46 | NC      | $63298.41     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          5 | NC      | $-1794.88     | -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      | $7909.42      | 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      | $-13421.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -4 | NC      | $-12574.33    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   17100000 | PA      | $304780.35    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          5 | NC      | $-11394.89    | -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      | $-4576.67     | -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      | $13515.81     | 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      | $-4429.33     | -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      | $13202.81     | 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      | $-4127.95     | -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      | $15310.88     | 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      | $1424.14      | 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      | $-1228.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2400000 | PA      | $15943.01     | 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      | $-3694.75     | -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      | $-327.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Copper                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        -32 | NC      | $-52543.38    | -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      | $-16004.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SOFR                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -44 | NC      | $7992.57      | 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        |        -63 | NC      | $21.08        | 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        |        -33 | NC      | $46291.03     | 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      | $-3366.29     | -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      | $-11707.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -5 | NC      | $2577.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1500000 | PA      | $40407.51     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2200000 | PA      | $-34880.40    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          9 | NC      | $20876.33     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -2 | NC      | $-15388.55    | -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      | $2679.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 Month SOFR                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -47 | NC      | $8858.99      | 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      | $-587.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $-6109.94     | -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      | $-9195.85     | -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      | $-11279.32    | -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      | $-184.10      | -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      | $-13340.90    | -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      | $-16098.78    | -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      | $-1006.67     | -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      | $19038.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          3 | NC      | $7989.52      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2500000 | PA      | $7153.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    5600000 | PA      | $49210.19     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $32879.79     | 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      | $332.14       | 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      | $-12372.01    | -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      | $-6847.39     | -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      | $-3279.33     | -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      | $10637.81     | 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      | $9097.18      | 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      | $23013.80     | 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      | $-1711.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   23400000 | PA      | $28580.44     | 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      | $-395.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          1 | NC      | $-2737.89     | -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      | $13851.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bills                                              | CUSIP: 912796T33<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    1485000 | PA      | $1476063.00   | 0.82%             | 2023-02-23      | 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      | $-14042.17    | -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      | $-6980.69     | -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      | $-4040.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 1730300000 | PA      | $40719.98     | 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      | $1406.54      | 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      | $-170987.41   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -6 | NC      | $-25874.51    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Copper Base Metal                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          2 | NC      | $17920.24     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1800000 | PA      | $-10077.56    | -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      | $-765.86      | -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      | $-106792.28   | -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      | $10374.51     | 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      | $-3906.09     | -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      | $27384.62     | 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      | $-19972.29    | -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      | $-16100.31    | -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      | $-2648.61     | -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      | $-13995.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          3 | NC      | $-22271.31    | -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      | $-3807.50     | -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      | $-10980.35    | -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      | $-5677.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 100 oz Gold                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |          9 | NC      | $10211.56     | 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      | $9661.42      | 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      | $881.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | IRSIMM                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2300000 | PA      | $44844.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    9500000 | PA      | $32897.79     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | Yellow Maize                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | ZA        |        -20 | NC      | $14891.78     | 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      | $-5013.87     | -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      | $0.94         | 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      | $4449.65      | 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      | $20145.47     | 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      | $-3598.03     | -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      | $4364.20      | 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      | $20519.93     | 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      | $11509.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Aluminum Base Metal                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -1 | NC      | $-280.78      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | LME Zinc Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |         -3 | NC      | $21322.90     | 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      | $10634.73     | 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      | $10999.54     | 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      | $-237.38      | -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      | $1357.73      | 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      | $20694.66     | 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      | $65759.88     | 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      | $9096.26      | 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      | $47331.05     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   30000000 | PA      | $3471.30      | 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      | $-3114.21     | -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      | $-154.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | LME Lead Base Metal                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | GB        |          6 | NC      | $68583.72     | 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      | $4620.64      | 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      | $11346.16     | 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      | $466.15       | 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      | $8243.81      | 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      | $164.16       | 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      | $-3219.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   39800000 | PA      | $-498032.92   | -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      | $-3167.39     | -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