NPORT-P: Part C: Schedule of Portfolio Investments
|
| For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public. |
Item C.1. Identification of investment.
| a. Name of issuer (if any). | United States Treasury Notes |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series. | 254900HROIFWPRGM1V77 |
| c. Title of the issue or description of the investment. | T 1 1/2 04/15/20 |
| d. CUSIP (if any). | 912828X21 |
At least one of the following other identifiers:
| Identifier. | ISIN |
| ISIN | US912828X216 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units. For derivatives contracts, as applicable, provide the number of contracts.
| Balance | 1000000.00000000 |
| Units | Principal amount |
| Description of other units. | |
| Currency. Indicate the currency in which the investment is denominated. | United States Dollar |
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value. | 998066.40000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 7.627328377110 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
| Payoff profile. |  Long  Short N/A |
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description. | Debt |
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description. | U.S. Treasury |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. | UNITED STATES OF AMERICA |
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? | Yes No |
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7 Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances: (1) if portions of the position have differing liquidity features that justify treating the portions separately; (2) if a fund has multiple sub-advisers with differing liquidity views; or (3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on the sizes it would reasonably anticipated trading). In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
| Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient). | 1 2 3 N/A |
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date. | 2020-04-15 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] | Yes No |
| ii. Contingent convertible? [Y/N] | Yes No |
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable). | |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
| a. Select the category that reflects the transaction (repurchase, reverse repurchase). Select "repurchase agreement" if the Fund is the cash lender and receives collateral. Select "reverse repurchase agreement" if the Fund is the cash borrower and posts collateral. | Repurchase Reverse repurchase |
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. | Yes No |
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? | Yes No |
| d. Repurchase rate. | |
| e. Maturity date. | |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | Yes No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | Yes No |
| c. Is any portion of this investment on loan by the Fund? | Yes No |
NPORT-P: Part C: Schedule of Portfolio Investments
|
| For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public. |
Item C.1. Identification of investment.
| a. Name of issuer (if any). | United States Treasury Notes |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series. | 254900HROIFWPRGM1V77 |
| c. Title of the issue or description of the investment. | US TREASURY N/B 07/31/20 |
| d. CUSIP (if any). | 912828VP2 |
At least one of the following other identifiers:
| Identifier. | ISIN |
| ISIN | US912828VP28 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units. For derivatives contracts, as applicable, provide the number of contracts.
| Balance | 2225000.00000000 |
| Units | Principal amount |
| Description of other units. | |
| Currency. Indicate the currency in which the investment is denominated. | United States Dollar |
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value. | 2227520.51000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 17.02294596483 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
| Payoff profile. | Long Short N/A |
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description. | Debt |
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description. | U.S. Treasury |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. | UNITED STATES OF AMERICA |
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? | Yes No |
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7 Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances: (1) if portions of the position have differing liquidity features that justify treating the portions separately; (2) if a fund has multiple sub-advisers with differing liquidity views; or (3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on the sizes it would reasonably anticipated trading). In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
| Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient). | 1 2 3 N/A |
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date. | 2020-07-31 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] | Yes No |
| ii. Contingent convertible? [Y/N] | Yes No |
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable). | |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
| a. Select the category that reflects the transaction (repurchase, reverse repurchase). Select "repurchase agreement" if the Fund is the cash lender and receives collateral. Select "reverse repurchase agreement" if the Fund is the cash borrower and posts collateral. | Repurchase Reverse repurchase |
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. | Yes No |
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? | Yes No |
| d. Repurchase rate. | |
| e. Maturity date. | |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | Yes No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | Yes No |
| c. Is any portion of this investment on loan by the Fund? | Yes No |
NPORT-P: Part C: Schedule of Portfolio Investments
|
| For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public. |
Item C.1. Identification of investment.
| a. Name of issuer (if any). | Invesco Exchange Traded Self Idx Ft |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series. | N/A |
| c. Title of the issue or description of the investment. | INVESCO BULLETSHARES 2020 |
| d. CUSIP (if any). | 46138J601 |
At least one of the following other identifiers:
| Identifier. | ISIN |
| ISIN | US46138J6010 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units. For derivatives contracts, as applicable, provide the number of contracts.
| Balance | 3000.00000000 |
| Units | Number of shares |
| Description of other units. | |
| Currency. Indicate the currency in which the investment is denominated. | United States Dollar |
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value. | 71835.00000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 0.548970623567 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
| Payoff profile. | Long Short N/A |
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description. | Equity-common |
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description. | Registered fund |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. | UNITED STATES OF AMERICA |
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? | Yes No |
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7 Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances: (1) if portions of the position have differing liquidity features that justify treating the portions separately; (2) if a fund has multiple sub-advisers with differing liquidity views; or (3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on the sizes it would reasonably anticipated trading). In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
| Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient). | 1 2 3 N/A |
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] | Yes No |
| ii. Contingent convertible? [Y/N] | Yes No |
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable). | |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
| a. Select the category that reflects the transaction (repurchase, reverse repurchase). Select "repurchase agreement" if the Fund is the cash lender and receives collateral. Select "reverse repurchase agreement" if the Fund is the cash borrower and posts collateral. | Repurchase Reverse repurchase |
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. | Yes No |
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? | Yes No |
| d. Repurchase rate. | |
| e. Maturity date. | |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | Yes No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | Yes No |
| c. Is any portion of this investment on loan by the Fund? | Yes No |
NPORT-P: Part C: Schedule of Portfolio Investments
|
| For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public. |
Item C.1. Identification of investment.
| a. Name of issuer (if any). | Invesco Exchange Traded Self Idx Ft |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series. | N/A |
| c. Title of the issue or description of the investment. | INVESCO BULLETSHARES 2019 |
| d. CUSIP (if any). | 46138J403 |
At least one of the following other identifiers:
| Identifier. | ISIN |
| ISIN | US46138J4031 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units. For derivatives contracts, as applicable, provide the number of contracts.
| Balance | 3000.00000000 |
| Units | Number of shares |
| Description of other units. | |
| Currency. Indicate the currency in which the investment is denominated. | United States Dollar |
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value. | 71760.00000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 0.548397465681 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
| Payoff profile. | Long Short N/A |
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description. | Equity-common |
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description. | Registered fund |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. | UNITED STATES OF AMERICA |
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? | Yes No |
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7 Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances: (1) if portions of the position have differing liquidity features that justify treating the portions separately; (2) if a fund has multiple sub-advisers with differing liquidity views; or (3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on the sizes it would reasonably anticipated trading). In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
| Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient). | 1 2 3 N/A |
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] | Yes No |
| ii. Contingent convertible? [Y/N] | Yes No |
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable). | |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
| a. Select the category that reflects the transaction (repurchase, reverse repurchase). Select "repurchase agreement" if the Fund is the cash lender and receives collateral. Select "reverse repurchase agreement" if the Fund is the cash borrower and posts collateral. | Repurchase Reverse repurchase |
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. | Yes No |
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? | Yes No |
| d. Repurchase rate. | |
| e. Maturity date. | |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | Yes No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | Yes No |
| c. Is any portion of this investment on loan by the Fund? | Yes No |
NPORT-P: Part C: Schedule of Portfolio Investments
|
| For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public. |
Item C.1. Identification of investment.
| a. Name of issuer (if any). | United States Treasury Notes |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series. | 254900HROIFWPRGM1V77 |
| c. Title of the issue or description of the investment. | T 1 1/4 01/31/20 |
| d. CUSIP (if any). | 912828H52 |
At least one of the following other identifiers:
| Identifier. | ISIN |
| ISIN | US912828H524 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units. For derivatives contracts, as applicable, provide the number of contracts.
| Balance | 2625000.00000000 |
| Units | Principal amount |
| Description of other units. | |
| Currency. Indicate the currency in which the investment is denominated. | United States Dollar |
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value. | 2619257.81000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 20.01664360325 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
| Payoff profile. | Long Short N/A |
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description. | Debt |
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description. | U.S. Treasury |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. | UNITED STATES OF AMERICA |
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? | Yes No |
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7 Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances: (1) if portions of the position have differing liquidity features that justify treating the portions separately; (2) if a fund has multiple sub-advisers with differing liquidity views; or (3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on the sizes it would reasonably anticipated trading). In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
| Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient). | 1 2 3 N/A |
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date. | 2020-01-31 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] | Yes No |
| ii. Contingent convertible? [Y/N] | Yes No |
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable). | |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
| a. Select the category that reflects the transaction (repurchase, reverse repurchase). Select "repurchase agreement" if the Fund is the cash lender and receives collateral. Select "reverse repurchase agreement" if the Fund is the cash borrower and posts collateral. | Repurchase Reverse repurchase |
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. | Yes No |
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? | Yes No |
| d. Repurchase rate. | |
| e. Maturity date. | |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | Yes No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | Yes No |
| c. Is any portion of this investment on loan by the Fund? | Yes No |
NPORT-P: Part C: Schedule of Portfolio Investments
|
| For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public. |
Item C.1. Identification of investment.
| a. Name of issuer (if any). | N/A |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series. | N/A |
| c. Title of the issue or description of the investment. | DB SWAP 2914 |
| d. CUSIP (if any). | N/A |
At least one of the following other identifiers:
| Identifier. | Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | DBSWP2914 00001 |
| Description of other unique identifier. | Internal ID |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units. For derivatives contracts, as applicable, provide the number of contracts.
| Balance | 216520.04480000 |
| Units | Number of contracts |
| Description of other units. | |
| Currency. Indicate the currency in which the investment is denominated. | United States Dollar |
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value. | 752558.38000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 5.751130272701 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
| Payoff profile. | Long Short N/A |
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description. | |
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description. | |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. | UNITED STATES OF AMERICA |
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? | Yes No |
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7 Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances: (1) if portions of the position have differing liquidity features that justify treating the portions separately; (2) if a fund has multiple sub-advisers with differing liquidity views; or (3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on the sizes it would reasonably anticipated trading). In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
| Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient). | 1 2 3 N/A |
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] | Yes No |
| ii. Contingent convertible? [Y/N] | Yes No |
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable). | |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
| a. Select the category that reflects the transaction (repurchase, reverse repurchase). Select "repurchase agreement" if the Fund is the cash lender and receives collateral. Select "reverse repurchase agreement" if the Fund is the cash borrower and posts collateral. | Repurchase Reverse repurchase |
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. | Yes No |
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? | Yes No |
| d. Repurchase rate. | |
| e. Maturity date. | |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Type of derivative instrument that most closely represents the investment, selected from among the following (forward, future, option, swaption, swap (including but not limited to total return swaps, credit default swaps, and interest rate swaps), warrant, other). | Swap |
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).
| Counterparty Record: 1 |
| Name of counterparty. | DEUTSCHE BANK |
| LEI (if any) of counterparty. | N/A |
2. If the reference instrument is an index or custom basket, and if the index’s or custom basket’s components are publicly available on a website and are updated on that website no less frequently than quarterly, identify the index and provide the index identifier, if any. If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index. If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents more than 5% of the net asset value of the Fund, provide the (i) name, (ii) identifier, (iii) number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions), and (iv) value of every component in the index or custom basket. The identifier shall include CUSIP of the index’s or custom basket’s components, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available). If other identifier provided, indicate the type of identifier used.
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents greater than 1%, but 5% or less, of the net asset value of the Fund, Funds shall report the required component information described above, but may limit reporting to the (i) 50 largest components in the index and (ii) any other components where the notional value for that components is over 1% of the notional value of the index or custom basket.
An index or custom basket, where the components are publicly available on a website and are updated on that website no less frequently than quarterly.
| Index name. | N/A |
| Index identifier, if any. | N/A |
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | DFWA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 13977.04000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 54.31000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | AUD/EUR |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -9412.27000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -9412.27000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | FBA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 6113.96000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -24.31000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Primary Nickel Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | LNA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 14522919.62000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 9602.27000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | USD/GBP |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -166309.39000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -269073.44000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | NZD/AUD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -101374.97000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -101374.97000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | PEN/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 693.60000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 693.60000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | EURO STOXX 50 Index Option |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | VGA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 504977.52000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 7808.23000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | CHF/EUR |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 48786.19000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 48786.19000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | RON/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 34311.12000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 34311.12000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | CFA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 418959.19000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 3971.15000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | European Rapeseed Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | IJA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -394.74000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 0.90000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | 10 year Australian Treasury Bond Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | XMA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 2370892.82000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 2034.47000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | API2 Rotterdam Coal Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | TMA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -22756.81000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 2306.84000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | CZK/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 98811.75000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 98811.75000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | ECX EUA Carbon Emissions Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | MOA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -9741.33000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 114.63000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | RUB/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -160688.03000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -160688.03000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Brent Look-Alike Crude Oil Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | BZAA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -1136.92000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 17.20000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | HGA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -94867.17000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -423.40000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | GBP/EUR |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 809096.72000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 54084.44000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | HCA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -176117.24000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 410.05000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | PLN/EUR |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -16918.62000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -16918.62000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | IDO/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -314841.50000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -314841.50000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | PLA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 10576.71000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -502.47000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | DJ STOXX 600 Banks Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | BJA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -134.18000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -2.36000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SMA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 99303.07000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 1506.80000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | US Dollar Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | KUA Curncy |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 6201.86000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -4.27000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | PAA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 0.00000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -4.14000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | KMA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 16151.97000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -12.16000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | AEX Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | EOA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 455717.54000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 4076.91000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | UK Natural Gas Monthly Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | FNA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -114.42000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 68.15000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | THO/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -251418.78000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -251418.78000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | AUD/GBP |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -16466.39000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -16466.39000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | NVA Curncy |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -5894.60000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 22.57000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | DJ EURO STOXX Banks Option |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SX7E Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -113289.63000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 2.29000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Milling Wheat Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | CAA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 725.72000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 9.73000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Hard Red Winter Wheat Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | KWA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 79725.99000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -17375.99000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | OSE JPX-Nikkei Index 400 Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | JPWA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 51149.52000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 1284.69000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | PHO/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -128728.79000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -128728.79000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | GCA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -320943.26000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 11223.10000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | US Dollar Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | DXA Curncy |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 280664.59000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 2554.70000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | DJ STOXX 600 Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SXOA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 1602.80000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 32.66000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Brent Crude Monthly Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | COA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 390932.89000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 19982.15000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | 10 year Canadian Govt Bond Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | CNA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 507838.18000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -3452.30000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | CCA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -5141.59000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 2929.60000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Copper Grade A Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | LPA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -2709.67000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -838.56000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | White Sugar Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | QWA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -645.46000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 4.51000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Three Month Canadian Bankers Acceptance Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | BAA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 3232263.45000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -13540.24000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | HIA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -524387.16000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 12225.72000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | HUF/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 230334.75000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 230334.75000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | FTSE MIB Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | STA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 222934.88000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 2822.36000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | DJ EURO STOXX Banks Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | CAA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 537469.17000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -4467.66000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | HUF/EUR |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -28162.77000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -28162.77000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | S&P 500 Volatility Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | UXA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -42927.44000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 885.09000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Euro-BOBL Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | OEA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 2439164.05000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -13165.69000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | ZAR/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 435348.34000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -43331.86000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Mini TOPIX Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | TMIA INDEX |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 0.00000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -3.08000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Mini MSCI EAFE Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | MFS Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 3561.00000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -1.98000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | WTI Crude Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | ENA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -316132.44000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 13620.66000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | SPX S&P 500 Monthly AM Settled Option |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SPX Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 63812.49000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 352.95000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SFA Curncy |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -484435.87000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 3524.39000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | S&P Canada 60 Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | PTA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 191533.14000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -451.32000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | FTSE BM KL Composite Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | IKA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -1777.46000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -1.12000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | BPA Curncy |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -1100711.40000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 6899.32000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | NOK/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -414134.95000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -414134.95000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | TRY/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 47115.83000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 47115.83000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Euro-BUXL Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | UBA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 50658.06000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -1042.69000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | KCA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 2286.24000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -1440.01000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | DJ STOXX 600 Automobiles & Parts Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SXA INDEX |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 90457.16000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -2199.96000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | NZD/EUR |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -13866.47000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -13866.47000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Mini MSCI Emerging Markets Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | MESA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 25918.52000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -821.78000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | IBA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 286621.53000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 6079.78000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Three Month Euroyen Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | YEA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 3985.65000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 0.89000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | E-Micro EUR/USD Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | CREA Curncy |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -257.47000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 1.32000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Ultra 10 year Treasury Notes Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | UXYA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 100262.87000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 2.06000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | 10 year US Treasury Notes Option |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | TYA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 2398812.34000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -15654.80000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | CLP/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 226060.46000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 226060.46000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Mini FTSE MIB Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SWA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 5872.25000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 28.88000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Euro-BUND Option |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | RXA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 4374457.57000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -11587.58000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Live Cattle Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | LCA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -160291.16000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -25838.10000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | DMA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 303968.45000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -2655.06000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | PEA Curncy |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 6849.97000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -584.96000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Soybean Oil Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | BOA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -11958.50000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 223.02000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | BRO/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 179320.39000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 179320.39000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | CAD/EUR |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 7071.16000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 7071.16000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | MSCI Taiwan Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | TWA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -342263.37000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -5007.62000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JPY/CAD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -60036.88000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -60036.88000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Cotton No.2 Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | CTA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -38852.16000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 1086.22000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Mini Japanese Goverment Bond Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | BJA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 0.00000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 2.95000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Crude Palm Oil Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | KOA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -4798.96000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 84.19000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | FTSE/JSE Top 40 Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | AIA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 610.81000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -9.30000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Gasoil Monthly Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | QSA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 151641.40000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -32801.89000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | USD/NZD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -257243.46000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -264474.95000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Ultra Long-Term T Bond Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | WNA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 429390.86000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -13643.71000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Soybean Meal Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SMA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -27922.36000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 1452.75000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Robusta Coffee - New Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | DFA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -1214.98000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 232.61000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Long Gilt Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | G A Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 164588.51000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 2475.46000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Nikkei 225 Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | NXA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -47775673.56000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 3253.10000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | E-Mini EUR/USD Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | EEA Curncy |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -1287.36000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 5.99000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Eurex DJ STOXX 600 Utilities Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | GPA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 351.13000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 5.63000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | O A Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -2326.76000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -32.07000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | CHF/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -338110.10000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -338110.10000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | QCA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -655.71000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -3.50000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | ESA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 15350.38000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -3092.27000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | CAD/AUD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 37602.71000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 37602.71000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | S A Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -118810.96000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -4479.37000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | LHA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -73724.78000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -14622.93000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Henry Hub Natural Gas Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | NGA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 95294.27000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 703.43000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | INO/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -141587.71000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -141587.71000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | ILS/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 47898.18000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 47898.18000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Primary High Grade Aluminium Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | LAA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -12206.40000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -272.42000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | SEK/EUR |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -42252.52000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -42252.52000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Primary Nickel Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | LNA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 11888.39000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 127.58000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | DAX Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | GXA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 905742.35000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 5454.89000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SPA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -252577.81000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 2693.50000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | S&P CNX Nifty Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | IHA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 1302.39000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -0.45000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | LXA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 6742.87000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 292.83000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SIRA |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 2651.95000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -5.09000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | RSA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -1168.83000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -19.72000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JPY/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -4959775.61000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -423747.23000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | CAD/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -543235.79000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -543235.79000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Mini-Hang Seng Index |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | HUA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 623.34000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -35.44000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | CHF/GBP |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 7044.74000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 7044.74000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | CDA Curncy |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -1344752.42000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -1804.69000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | MSCI Singapore Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | QZA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 6307.06000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 0.82000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | TWO/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 139042.26000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 173807.23000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | SGO/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 526345.02000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 526345.02000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SIA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -140439.04000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 5975.92000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | HKD/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 223169.36000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -405.70000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | NOK/NZD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -308498.91000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 371.38000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | USD/EUR |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 1197981.08000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 392049.39000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Feeder Cattle Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | FCA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -39755.03000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -1908.51000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | 10 year Italian Bond Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | IKA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 238896.67000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 4234.00000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | STOXX Europe 50 Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | VHA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 0.00000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 1.64000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Mini H-shares Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | MHCA INDEX |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 977.39000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 8.97000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | FTSE 100 Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | Z A Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 602954.37000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 6423.99000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | E-mini Crude Oil Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | ECA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -1559.28000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 14.69000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | E-Mini Nasdaq-100 |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | NQA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 114266.30000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -6272.21000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Mini VSTOXX Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | FVSA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -443.94000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -0.73000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JPY/NZD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -3762.33000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -3762.34000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JPY/CHF |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -32903.64000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -32903.64000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | MDAX Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | MFA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 2643.71000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 2.66000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | SEK/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 26868.48000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 26868.48000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | PLN/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -49364.50000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -49364.50000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | 10 year Japanese Government Bond Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | JBA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 5916816.24000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -4497.66000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | 90 Day Bank Accepted Bill Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | IRA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 5620068.38000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 8532.58000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | TPA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 194059.54000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 81.60000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | C A Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -5550.62000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 7396.84000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | 3 month Euro (EURIBOR) |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | ERA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 13240947.77000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 12695.86000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | SEK/NOK |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -28184.88000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -28184.88000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | JYA Curncy |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 1706073.74000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -15210.85000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Yellow Maize Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | YWA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -681.70000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 3.19000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | E-Mini S&P MidCap 400 |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | FAA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -115954.91000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 2162.15000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KRO/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 331172.81000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 331172.81000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | ECA Curncy |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -4420642.44000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 53040.79000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | 30 year US Treasury Bonds Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 276437.92000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -16167.72000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Standard Lead Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | LLA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -6905.19000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -267.84000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | ADA Curncy |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -1157754.95000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 12723.26000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | 5 year US Treasury Notes Option |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | FVA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 866119.31000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 319.91000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | MXN/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 567777.90000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 706892.71000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | 3 month EuroSwiss |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | ESA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 87060.48000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 9.77000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | RYA Curncy |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -768280.01000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 5750.99000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | E-Mini Natural Gas Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | EOA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 0.00000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 7.05000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Sugar No.11 Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SBA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -38452.56000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 12119.69000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | DJ STOXX 600 Insurance Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | JVA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 0.00000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 1.33000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | COP/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 78065.03000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 78065.03000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Gasoline RBOB Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | XBA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 71335.64000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -2567.28000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | RPA Curncy |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -72712.55000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 41.89000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Nikkei 225 Index |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | NIA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -76817.85000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -14152.66000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JPY/GBP |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -1611947.34000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -8581.79000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | NOK/EUR |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 1089656.34000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 9301.70000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | LTA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -1500.64000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -375.13000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | 3 month Sterling |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | L A Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 11995003.96000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 13695.66000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | W A Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -89629.76000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -8376.58000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Nikkei 225 (JPY) Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | NHA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 278272.05000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -1035.15000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | 2 year US Treasury Notes Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | TUA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 805335.96000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -515.47000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Endex Dutch TTF Gas Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | TZTA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -21936.60000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 422.93000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | 2 year Euro-Schatz Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | DUA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 2466511.66000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -2430.24000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Hard Red Spring Wheat Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | MWA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 518.82000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -1.76000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | FTSE China A50 Index Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | XUA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 80841.85000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -951.05000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | CME E-Mini Russell 2000 Index |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | RTY Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -636034.22000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 9522.14000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Light Sweet Crude Oil (WTI) Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | CLA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 1643.52000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -59514.29000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Euro-OAT Futures |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | OATA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 186712.52000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -1747.54000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | London Cocoa Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | QCA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 3099.63000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -4.85000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JPY/EUR |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -2085994.48000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -2417.93000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | CNH/USD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 105915.44000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 105915.44000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | Nikkei 225 Mini (JPY) Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | NOA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 106063.55000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -199.95000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | DJ STOXX 600 Food & Beverage Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | PFA INDEX |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -269888.30000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -4127.38000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | NY Harbour ULSD Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | HOA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 75766.52000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -36732.60000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | JOA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 7051.74000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -639.59000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | XPA Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 373758.93000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | -664.72000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | USD/AUD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 875199.78000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 875199.78000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JPY/AUD |
| Description of other identifier. | Internal id |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | -1557002.18000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 40137.60000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | 3 year Australian Treasury Bond Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | YMA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 6674735.83000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 5357.42000000 |
| ISO Currency Code. | United States Dollar |
For all other indices or custom baskets provide:
| i. Name. | 3 year Italian Bond Future |
At least one of the following other identifiers:
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | BTSA Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions). | 11541.75000000 |
| ISO Currency Code. | United States Dollar |
| iv. Value. | 20.29000000 |
| ISO Currency Code. | United States Dollar |
| Custom swap Flag | Yes No |
1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index
| Payments: fixed, floating or other. | Fixed Floating Other |
| Payments: Fixed rate. | 0.50000000 |
| Payments: Base currency | United States Dollar |
| Payments: Amount | 0.00000000 |
| ii. Termination or maturity date. | 2023-06-01 |
| iii. Upfront payments or receipts |
| Upfront payments. | 0.00000000 |
| ISO Currency Code. | United States Dollar |
| Upfront receipts. | 0.00000000 |
| ISO Currency Code. | United States Dollar |
| iv. Notional amount. | -21962947.09000000 |
| ISO Currency Code. | USD |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | 752558.38000000 |
Item C.12. Securities lending.
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | Yes No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | Yes No |
| c. Is any portion of this investment on loan by the Fund? | Yes No |
NPORT-P: Part C: Schedule of Portfolio Investments
|
| For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public. |
Item C.1. Identification of investment.
| a. Name of issuer (if any). | N/A |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series. | N/A |
| c. Title of the issue or description of the investment. | US BANK MMDA-USBGFS 5 |
| d. CUSIP (if any). | N/A |
At least one of the following other identifiers:
| Identifier. | Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 8AMMF0A92 |
| Description of other unique identifier. | Internal ID |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units. For derivatives contracts, as applicable, provide the number of contracts.
| Balance | 3448741.83000000 |
| Units | Principal amount |
| Description of other units. | |
| Currency. Indicate the currency in which the investment is denominated. | United States Dollar |
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value. | 3448741.83000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 26.35564770568 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
| Payoff profile. | Long Short N/A |
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description. | Short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle) |
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description. | |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. | UNITED STATES OF AMERICA |
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? | Yes No |
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7 Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances: (1) if portions of the position have differing liquidity features that justify treating the portions separately; (2) if a fund has multiple sub-advisers with differing liquidity views; or (3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on the sizes it would reasonably anticipated trading). In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
| Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient). | 1 2 3 N/A |
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] | Yes No |
| ii. Contingent convertible? [Y/N] | Yes No |
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable). | |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
| a. Select the category that reflects the transaction (repurchase, reverse repurchase). Select "repurchase agreement" if the Fund is the cash lender and receives collateral. Select "reverse repurchase agreement" if the Fund is the cash borrower and posts collateral. | Repurchase Reverse repurchase |
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. | Yes No |
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? | Yes No |
| d. Repurchase rate. | |
| e. Maturity date. | |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | Yes No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | Yes No |
| c. Is any portion of this investment on loan by the Fund? | Yes No |
NPORT-P: Part C: Schedule of Portfolio Investments
|
| For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public. |
Item C.1. Identification of investment.
| a. Name of issuer (if any). | United States Treasury Notes |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series. | 254900HROIFWPRGM1V77 |
| c. Title of the issue or description of the investment. | T 1 5/8 11/30/20 |
| d. CUSIP (if any). | 912828M98 |
At least one of the following other identifiers:
| Identifier. | ISIN |
| ISIN | US912828M987 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units. For derivatives contracts, as applicable, provide the number of contracts.
| Balance | 1047000.00000000 |
| Units | Principal amount |
| Description of other units. | |
| Currency. Indicate the currency in which the investment is denominated. | United States Dollar |
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value. | 1044995.97000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 7.985969085771 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
| Payoff profile. | Long Short N/A |
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description. | Debt |
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description. | U.S. Treasury |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. | UNITED STATES OF AMERICA |
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? | Yes No |
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7 Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances: (1) if portions of the position have differing liquidity features that justify treating the portions separately; (2) if a fund has multiple sub-advisers with differing liquidity views; or (3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on the sizes it would reasonably anticipated trading). In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
| Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient). | 1 2 3 N/A |
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date. | 2020-11-30 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] | Yes No |
| ii. Contingent convertible? [Y/N] | Yes No |
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable). | |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
| a. Select the category that reflects the transaction (repurchase, reverse repurchase). Select "repurchase agreement" if the Fund is the cash lender and receives collateral. Select "reverse repurchase agreement" if the Fund is the cash borrower and posts collateral. | Repurchase Reverse repurchase |
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. | Yes No |
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? | Yes No |
| d. Repurchase rate. | |
| e. Maturity date. | |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | Yes No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | Yes No |
| c. Is any portion of this investment on loan by the Fund? | Yes No |
NPORT-P: Part C: Schedule of Portfolio Investments
|
| For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public. |
Item C.1. Identification of investment.
| a. Name of issuer (if any). | CME GLOBEX |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series. | N/A |
| c. Title of the issue or description of the investment. | S&P500 EMINI FUT Dec19 |
| d. CUSIP (if any). | N/A |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | ESZ9 INDEX |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units. For derivatives contracts, as applicable, provide the number of contracts.
| Balance | 100.00000000 |
| Units | Number of contracts |
| Description of other units. | |
| Currency. Indicate the currency in which the investment is denominated. | United States Dollar |
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value. | -128445.00000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.98159019620 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
| Payoff profile. | Long Short N/A |
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description. | Derivative-equity |
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description. | Corporate |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. | UNITED STATES OF AMERICA |
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? | Yes No |
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7 Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances: (1) if portions of the position have differing liquidity features that justify treating the portions separately; (2) if a fund has multiple sub-advisers with differing liquidity views; or (3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on the sizes it would reasonably anticipated trading). In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
| Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient). | 1 2 3 N/A |
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] | Yes No |
| ii. Contingent convertible? [Y/N] | Yes No |
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable). | |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
| a. Select the category that reflects the transaction (repurchase, reverse repurchase). Select "repurchase agreement" if the Fund is the cash lender and receives collateral. Select "reverse repurchase agreement" if the Fund is the cash borrower and posts collateral. | Repurchase Reverse repurchase |
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. | Yes No |
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? | Yes No |
| d. Repurchase rate. | |
| e. Maturity date. | |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Type of derivative instrument that most closely represents the investment, selected from among the following (forward, future, option, swaption, swap (including but not limited to total return swaps, credit default swaps, and interest rate swaps), warrant, other). | Future |
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).
| Counterparty Record: 1 |
| Name of counterparty. | MORGAN STANLEY |
| LEI (if any) of counterparty. | N/A |
d. For futures and forwards (other than forward foreign currency contracts), provide:
| i. Payoff profile, selected from among the following (long, short). | Long |
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
2. If the reference instrument is an index or custom basket, and if the index’s or custom basket’s components are publicly available on a website and are updated on that website no less frequently than quarterly, identify the index and provide the index identifier, if any. If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index. If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents more than 5% of the net asset value of the Fund, provide the (i) name, (ii) identifier, (iii) number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions), and (iv) value of every component in the index or custom basket. The identifier shall include CUSIP of the index’s or custom basket’s components, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available). If other identifier provided, indicate the type of identifier used.
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents greater than 1%, but 5% or less, of the net asset value of the Fund, Funds shall report the required component information described above, but may limit reporting to the (i) 50 largest components in the index and (ii) any other components where the notional value for that components is over 1% of the notional value of the index or custom basket.
An index or custom basket, where the components are publicly available on a website and are updated on that website no less frequently than quarterly.
| Index name. | CME Standard & Poor's 500 Inde |
| Index identifier, if any. | SPX |
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
| iii. Expiration date. | 2019-12-20 |
| iv. Aggregate notional amount or contract value on trade date. | 15020945.00000000 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -128445.00000000 |
Item C.12. Securities lending.
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | Yes No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | Yes No |
| c. Is any portion of this investment on loan by the Fund? | Yes No |
NPORT-P: Part C: Schedule of Portfolio Investments
|
| For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public. |
Item C.1. Identification of investment.
| a. Name of issuer (if any). | United States Treasury Notes |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series. | 254900HROIFWPRGM1V77 |
| c. Title of the issue or description of the investment. | T 1 1/2 10/31/19 |
| d. CUSIP (if any). | 912828F62 |
At least one of the following other identifiers:
| Identifier. | ISIN |
| ISIN | US912828F627 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units. For derivatives contracts, as applicable, provide the number of contracts.
| Balance | 1200000.00000000 |
| Units | Principal amount |
| Description of other units. | |
| Currency. Indicate the currency in which the investment is denominated. | United States Dollar |
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value. | 1199424.00000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 9.166124329390 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
| Payoff profile. | Long Short N/A |
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description. | Debt |
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description. | U.S. Treasury |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. | UNITED STATES OF AMERICA |
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? | Yes No |
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7 Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances: (1) if portions of the position have differing liquidity features that justify treating the portions separately; (2) if a fund has multiple sub-advisers with differing liquidity views; or (3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on the sizes it would reasonably anticipated trading). In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
| Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient). | 1 2 3 N/A |
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date. | 2019-10-31 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] | Yes No |
| ii. Contingent convertible? [Y/N] | Yes No |
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable). | |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
| a. Select the category that reflects the transaction (repurchase, reverse repurchase). Select "repurchase agreement" if the Fund is the cash lender and receives collateral. Select "reverse repurchase agreement" if the Fund is the cash borrower and posts collateral. | Repurchase Reverse repurchase |
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. | Yes No |
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? | Yes No |
| d. Repurchase rate. | |
| e. Maturity date. | |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | Yes No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | Yes No |
| c. Is any portion of this investment on loan by the Fund? | Yes No |
