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). | ICE FUTURES EUROPE |
| 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. | 549300UF4R84F48NCH34 |
| c. Title of the issue or description of the investment. | F/C BRENT CRUDE FUTR DEC22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | COZ2 |
| 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 | 33Q2VC |
| Description of other unique identifier. | INTERNAL |
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 | 551.0000 |
| 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. | 1149397.3 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 0.0254343380 |
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-commodity |
| 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 KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND |
| 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. | ICE FUTURES EUROPE |
| LEI (if any) of counterparty. | 549300UF4R84F48NCH34 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | COZ2 IFEU |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-10-31 |
| iv. Aggregate notional amount or contract value on trade date. | 55419580.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | 1149397.3 |
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). | NEW YORK MERCANTILE EXCHANGE |
| 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. | 5493008GFNDTXFPHWI47 |
| c. Title of the issue or description of the investment. | F/C WTI CRUDE FUTURE DEC22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | CLZ2 |
| 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 | 33SZSG |
| Description of other unique identifier. | INTERNAL |
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 | 259.0000 |
| 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. | 97254.5 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 0.0021520877 |
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-commodity |
| 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. | NEW YORK MERCANTILE EXCHANGE |
| LEI (if any) of counterparty. | 5493008GFNDTXFPHWI47 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | CLZ2 XNYM |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-11-21 |
| iv. Aggregate notional amount or contract value on trade date. | 24750040.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | 97254.5 |
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). | NEW YORK MERCANTILE EXCHANGE |
| 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. | 5493008GFNDTXFPHWI47 |
| c. Title of the issue or description of the investment. | F/C WTI CRUDE FUTURE SEP22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | CLU2 |
| 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 | 34BLG3 |
| Description of other unique identifier. | INTERNAL |
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 | 580.0000 |
| 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. | -2331376.6 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.0515896640 |
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-commodity |
| 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. | NEW YORK MERCANTILE EXCHANGE |
| LEI (if any) of counterparty. | 5493008GFNDTXFPHWI47 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | CLU2 XNYM |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-08-22 |
| iv. Aggregate notional amount or contract value on trade date. | 59798000.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -2331376.6 |
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). | ICE FUTURES EUROPE |
| 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. | 549300UF4R84F48NCH34 |
| c. Title of the issue or description of the investment. | F/C BRENT CRUDE FUTR SEP22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | COU2 |
| 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 | 34H4SD |
| Description of other unique identifier. | INTERNAL |
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 | 456.0000 |
| 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. | 638020.9 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 0.0141183899 |
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-commodity |
| 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 KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND |
| 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. | ICE FUTURES EUROPE |
| LEI (if any) of counterparty. | 549300UF4R84F48NCH34 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | COU2 IFEU |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-07-29 |
| iv. Aggregate notional amount or contract value on trade date. | 49717680.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | 638020.9 |
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). | CHICAGO BOARD OF TRADE |
| 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. | 549300EX04Q2QBFQTQ27 |
| c. Title of the issue or description of the investment. | F/C SOYBEAN FUTURE NOV22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | S |
| 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 | 34J98X |
| Description of other unique identifier. | INTERNAL |
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 | 4638.0000 |
| 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. | -18048573.49 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.3993862860 |
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-commodity |
| 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. | CHICAGO BOARD OF TRADE |
| LEI (if any) of counterparty. | 549300EX04Q2QBFQTQ27 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | S X2 XCBT |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-11-14 |
| iv. Aggregate notional amount or contract value on trade date. | 338110200.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -18048573.49 |
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). | CHICAGO BOARD OF TRADE |
| 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. | 549300EX04Q2QBFQTQ27 |
| c. Title of the issue or description of the investment. | F/C CORN FUTURE DEC22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | C |
| 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 | 34J98Y |
| Description of other unique identifier. | INTERNAL |
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 | 2572.0000 |
| 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. | -13437414.66 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.2973486596 |
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-commodity |
| 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. | CHICAGO BOARD OF TRADE |
| LEI (if any) of counterparty. | 549300EX04Q2QBFQTQ27 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | C Z2 XCBT |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-12-14 |
| iv. Aggregate notional amount or contract value on trade date. | 79699850.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -13437414.66 |
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). | COMMODITIES EXCHANGE CENTER |
| 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. | F/C COPPER FUTURE DEC22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | HGZ2 |
| 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 | 34KYY3 |
| Description of other unique identifier. | INTERNAL |
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 | 613.0000 |
| 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. | -8525425.63 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.1886541383 |
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-commodity |
| 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. | COMMODITIES EXCHANGE CENTER |
| 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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | HGZ2 XCEC |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-12-28 |
| iv. Aggregate notional amount or contract value on trade date. | 57031987.50 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -8525425.63 |
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). | ICE FUTURES U.S. |
| 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. | 5493004R83R1LVX2IL36 |
| c. Title of the issue or description of the investment. | F/C COCOA FUTURE SEP22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | CCU2 |
| 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 | 34LDBV |
| Description of other unique identifier. | INTERNAL |
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 | 2369.0000 |
| 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. | -3863026.09 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.0854826363 |
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-commodity |
| 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. | ICE FUTURES U.S. |
| LEI (if any) of counterparty. | 5493004R83R1LVX2IL36 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | CCU2 IFUS |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-09-15 |
| iv. Aggregate notional amount or contract value on trade date. | 55434600.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -3863026.09 |
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). | NEW YORK MERCANTILE EXCHANGE |
| 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. | 5493008GFNDTXFPHWI47 |
| c. Title of the issue or description of the investment. | F/C NATURAL GAS FUTR JAN23 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | NGF23 |
| 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 | 34LPBR |
| Description of other unique identifier. | INTERNAL |
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 | 605.0000 |
| 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. | 10025624 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 0.2218511472 |
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-commodity |
| 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. | NEW YORK MERCANTILE EXCHANGE |
| LEI (if any) of counterparty. | 5493008GFNDTXFPHWI47 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | NGF23XNYM |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-12-28 |
| iv. Aggregate notional amount or contract value on trade date. | 34787500.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | 10025624 |
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). | CHICAGO BOARD OF TRADE |
| 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. | 549300EX04Q2QBFQTQ27 |
| c. Title of the issue or description of the investment. | F/C SOYBEAN OIL FUTR DEC22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | BOZ2 |
| 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 | 34M0JX |
| Description of other unique identifier. | INTERNAL |
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 | 3510.0000 |
| 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. | -22794333.24 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.5044024171 |
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-commodity |
| 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. | CHICAGO BOARD OF TRADE |
| LEI (if any) of counterparty. | 549300EX04Q2QBFQTQ27 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | BOZ2 XCBT |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-12-14 |
| iv. Aggregate notional amount or contract value on trade date. | 135752760.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -22794333.24 |
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). | NEW YORK MERCANTILE EXCHANGE |
| 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. | 5493008GFNDTXFPHWI47 |
| c. Title of the issue or description of the investment. | F/C NATURAL GAS FUTR SEP22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | NGU22 |
| 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 | 34M0LR |
| Description of other unique identifier. | INTERNAL |
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 | 2077.0000 |
| 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. | -47902477 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -1.0600057888 |
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-commodity |
| 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. | NEW YORK MERCANTILE EXCHANGE |
| LEI (if any) of counterparty. | 5493008GFNDTXFPHWI47 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | NGU22XNYM |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-08-29 |
| iv. Aggregate notional amount or contract value on trade date. | 111991840.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -47902477 |
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). | ICE FUTURES U.S. |
| 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. | 5493004R83R1LVX2IL36 |
| c. Title of the issue or description of the investment. | F/C COFFEE 'C' FUTURE SEP22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | KCU2 |
| 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 | 34M0Q0 |
| Description of other unique identifier. | INTERNAL |
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 | 795.0000 |
| 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. | -1319745.15 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.0292038656 |
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-commodity |
| 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. | ICE FUTURES U.S. |
| LEI (if any) of counterparty. | 5493004R83R1LVX2IL36 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | KCU2 IFUS |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-09-20 |
| iv. Aggregate notional amount or contract value on trade date. | 68598562.50 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -1319745.15 |
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). | CHICAGO BOARD OF TRADE |
| 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. | 549300EX04Q2QBFQTQ27 |
| c. Title of the issue or description of the investment. | F/C KC HRW WHEAT FUT SEP22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | KWU2 |
| 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 | 34M4JN |
| Description of other unique identifier. | INTERNAL |
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 | 827.0000 |
| 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. | -8218076.6 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.1818529920 |
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-commodity |
| 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. | CHICAGO BOARD OF TRADE |
| LEI (if any) of counterparty. | 549300EX04Q2QBFQTQ27 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | KWU2 XCBT |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-09-14 |
| iv. Aggregate notional amount or contract value on trade date. | 39354862.50 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -8218076.6 |
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). | ICE FUTURES EUROPE |
| 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. | 549300UF4R84F48NCH34 |
| c. Title of the issue or description of the investment. | F/C LOW SU GASOIL G SEP22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | QSU2 |
| 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 | 34MDDL |
| Description of other unique identifier. | INTERNAL |
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 | 551.0000 |
| 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. | 1694931.88 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 0.0375061524 |
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-commodity |
| 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 KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND |
| 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. | ICE FUTURES EUROPE |
| LEI (if any) of counterparty. | 549300UF4R84F48NCH34 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | QSU2 IFEU |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-09-12 |
| iv. Aggregate notional amount or contract value on trade date. | 60720200.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | 1694931.88 |
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). | CHICAGO BOARD OF TRADE |
| 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. | 549300EX04Q2QBFQTQ27 |
| c. Title of the issue or description of the investment. | F/C CORN FUTURE SEP22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | C |
| 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 | 34MHMD |
| Description of other unique identifier. | INTERNAL |
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 | 1456.0000 |
| 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. | -6884275.64 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.1523380937 |
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-commodity |
| 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. | CHICAGO BOARD OF TRADE |
| LEI (if any) of counterparty. | 549300EX04Q2QBFQTQ27 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | C U2 XCBT |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-09-14 |
| iv. Aggregate notional amount or contract value on trade date. | 45773000.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -6884275.64 |
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). | NEW YORK MERCANTILE EXCHANGE |
| 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. | 5493008GFNDTXFPHWI47 |
| c. Title of the issue or description of the investment. | F/C GASOLINE RBOB FUT AUG22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | XBQ2 |
| 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 | 34MHMV |
| Description of other unique identifier. | INTERNAL |
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 | 633.0000 |
| 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. | 6482301.96 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 0.1434430542 |
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-commodity |
| 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. | NEW YORK MERCANTILE EXCHANGE |
| LEI (if any) of counterparty. | 5493008GFNDTXFPHWI47 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | XBQ2 XNYM |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-07-29 |
| iv. Aggregate notional amount or contract value on trade date. | 94016071.80 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | 6482301.96 |
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). | CHICAGO BOARD OF TRADE |
| 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. | 549300EX04Q2QBFQTQ27 |
| c. Title of the issue or description of the investment. | F/C SOYBEAN OIL FUTR AUG22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | BOQ2 |
| 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 | 34MHMX |
| Description of other unique identifier. | INTERNAL |
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 | 1350.0000 |
| 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. | -9405200.34 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.2081221563 |
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-commodity |
| 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. | CHICAGO BOARD OF TRADE |
| LEI (if any) of counterparty. | 549300EX04Q2QBFQTQ27 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | BOQ2 XCBT |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-08-12 |
| iv. Aggregate notional amount or contract value on trade date. | 54278100.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -9405200.34 |
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). | COMMODITIES EXCHANGE CENTER |
| 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. | F/C COPPER FUTURE SEP22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | HGU2 |
| 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 | 34MHNG |
| Description of other unique identifier. | INTERNAL |
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 | 1440.0000 |
| 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. | -20728499.85 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.4586888030 |
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-commodity |
| 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. | COMMODITIES EXCHANGE CENTER |
| 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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | HGU2 XCEC |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-09-28 |
| iv. Aggregate notional amount or contract value on trade date. | 133560000.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -20728499.85 |
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). | NEW YORK MERCANTILE EXCHANGE |
| 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. | 5493008GFNDTXFPHWI47 |
| c. Title of the issue or description of the investment. | F/C NY HARB ULSD FUT SEP22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | HOU2 |
| 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 | 34MJV0 |
| Description of other unique identifier. | INTERNAL |
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 | 582.0000 |
| 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. | 1440603.28 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 0.0318782642 |
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-commodity |
| 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. | NEW YORK MERCANTILE EXCHANGE |
| LEI (if any) of counterparty. | 5493008GFNDTXFPHWI47 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | HOU2 XNYM |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-08-31 |
| iv. Aggregate notional amount or contract value on trade date. | 92029215.60 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | 1440603.28 |
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). | ICE FUTURES U.S. |
| 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. | 5493004R83R1LVX2IL36 |
| c. Title of the issue or description of the investment. | F/C COTTON NO.2 FUTR DEC22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | CTZ2 |
| 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 | 34MV9C |
| Description of other unique identifier. | INTERNAL |
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 | 3345.0000 |
| 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. | -37685798.1 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.8339268999 |
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-commodity |
| 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. | ICE FUTURES U.S. |
| LEI (if any) of counterparty. | 5493004R83R1LVX2IL36 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | CTZ2 IFUS |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-12-07 |
| iv. Aggregate notional amount or contract value on trade date. | 165309900.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -37685798.1 |
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). | NEW YORK MERCANTILE EXCHANGE |
| 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. | 5493008GFNDTXFPHWI47 |
| c. Title of the issue or description of the investment. | F/C GASOLINE RBOB FUT SEP22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | XBU2 |
| 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 | 34MW9Q |
| Description of other unique identifier. | INTERNAL |
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 | 1097.0000 |
| 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. | -8746905.48 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.1935551358 |
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-commodity |
| 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. | NEW YORK MERCANTILE EXCHANGE |
| LEI (if any) of counterparty. | 5493008GFNDTXFPHWI47 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | XBU2 XNYM |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-08-31 |
| iv. Aggregate notional amount or contract value on trade date. | 156739140.60 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -8746905.48 |
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). | ICE FUTURES U.S. |
| 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. | 5493004R83R1LVX2IL36 |
| c. Title of the issue or description of the investment. | F/C SUGAR #11 (WORLD) OCT22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | SBV2 |
| 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 | 34MXCQ |
| Description of other unique identifier. | INTERNAL |
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 | 4344.0000 |
| 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. | -1887219.03 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.0417611619 |
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-commodity |
| 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. | ICE FUTURES U.S. |
| LEI (if any) of counterparty. | 5493004R83R1LVX2IL36 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SBV2 IFUS |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-09-30 |
| iv. Aggregate notional amount or contract value on trade date. | 90007680.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -1887219.03 |
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). | CHICAGO BOARD OF TRADE |
| 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. | 549300EX04Q2QBFQTQ27 |
| c. Title of the issue or description of the investment. | F/C SOYBEAN MEAL FUTR DEC22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | SMZ2 |
| 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 | 34MYTQ |
| Description of other unique identifier. | INTERNAL |
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 | 3814.0000 |
| 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. | -719167.86 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.0159140433 |
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-commodity |
| 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. | CHICAGO BOARD OF TRADE |
| LEI (if any) of counterparty. | 549300EX04Q2QBFQTQ27 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SMZ2 XCBT |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-12-14 |
| iv. Aggregate notional amount or contract value on trade date. | 155115380.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -719167.86 |
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. | F/C LEAN HOGS FUTURE AUG22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | LHQ2 |
| 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 | 34N0T1 |
| Description of other unique identifier. | INTERNAL |
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 | 1379.0000 |
| 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. | -2463674 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.0545171955 |
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-commodity |
| 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. | CME GLOBEX |
| 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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | LHQ2 XCME |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-08-12 |
| iv. Aggregate notional amount or contract value on trade date. | 56318360.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -2463674 |
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). | ICE FUTURES U.S. |
| 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. | 5493004R83R1LVX2IL36 |
| c. Title of the issue or description of the investment. | F/C COFFEE 'C' FUTURE DEC22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | KCZ2 |
| 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 | 34N0T2 |
| Description of other unique identifier. | INTERNAL |
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 | 235.0000 |
| 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. | -661312.24 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.0146337903 |
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-commodity |
| 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. | ICE FUTURES U.S. |
| LEI (if any) of counterparty. | 5493004R83R1LVX2IL36 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | KCZ2 IFUS |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-12-19 |
| iv. Aggregate notional amount or contract value on trade date. | 20008781.25 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -661312.24 |
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. | F/C CATTLE FEEDER FUT AUG22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | FCQ2 |
| 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 | 34N2JN |
| Description of other unique identifier. | INTERNAL |
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 | 965.0000 |
| 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. | -599570 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.0132675325 |
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-commodity |
| 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. | CME GLOBEX |
| 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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | FCQ2 XCME |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-08-25 |
| iv. Aggregate notional amount or contract value on trade date. | 83762000.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -599570 |
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). | NEW YORK MERCANTILE EXCHANGE |
| 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. | 5493008GFNDTXFPHWI47 |
| c. Title of the issue or description of the investment. | F/C NATURAL GAS FUTR AUG22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | NGQ22 |
| 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 | 34N2JQ |
| Description of other unique identifier. | INTERNAL |
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 | 580.0000 |
| 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. | -22426320 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.4962588682 |
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-commodity |
| 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. | NEW YORK MERCANTILE EXCHANGE |
| LEI (if any) of counterparty. | 5493008GFNDTXFPHWI47 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | NGQ22XNYM |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-07-27 |
| iv. Aggregate notional amount or contract value on trade date. | 31459200.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -22426320 |
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). | LONDON METAL EXCHANGE |
| 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. | 213800NB8G5VRT1DXC91 |
| c. Title of the issue or description of the investment. | F/C LME NICKEL FUTURE SEP22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | LNU2 |
| 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 | 34N2JS |
| Description of other unique identifier. | INTERNAL |
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 | 638.0000 |
| 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. | -11881491 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.2629185384 |
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-commodity |
| 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 KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND |
| 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. | LONDON METAL EXCHANGE |
| LEI (if any) of counterparty. | 213800NB8G5VRT1DXC91 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | LNU2 XLME |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-09-19 |
| iv. Aggregate notional amount or contract value on trade date. | 86899428.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -11881491 |
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). | ICE FUTURES EUROPE |
| 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. | 549300UF4R84F48NCH34 |
| c. Title of the issue or description of the investment. | F/C LOW SU GASOIL G AUG22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | QSQ2 |
| 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 | 34N8HL |
| Description of other unique identifier. | INTERNAL |
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 | 203.0000 |
| 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. | 1978533.73 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 0.0437818113 |
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-commodity |
| 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 KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND |
| 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. | ICE FUTURES EUROPE |
| LEI (if any) of counterparty. | 549300UF4R84F48NCH34 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | QSQ2 IFEU |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-08-11 |
| iv. Aggregate notional amount or contract value on trade date. | 22817200.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | 1978533.73 |
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). | LONDON METAL EXCHANGE |
| 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. | 213800NB8G5VRT1DXC91 |
| c. Title of the issue or description of the investment. | F/C LME ZINC FUTURE SEP22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | LXU2 |
| 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 | 34N8HS |
| Description of other unique identifier. | INTERNAL |
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 | 1535.0000 |
| 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. | -21399445.5 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.4735357653 |
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-commodity |
| 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 KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND |
| 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. | LONDON METAL EXCHANGE |
| LEI (if any) of counterparty. | 213800NB8G5VRT1DXC91 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | LXU2 XLME |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-09-19 |
| iv. Aggregate notional amount or contract value on trade date. | 121293781.25 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -21399445.5 |
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). | LONDON METAL EXCHANGE |
| 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. | 213800NB8G5VRT1DXC91 |
| c. Title of the issue or description of the investment. | F/C LME LEAD FUTURE SEP22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | LLU2 |
| 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 | 34N8HT |
| Description of other unique identifier. | INTERNAL |
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 | 828.0000 |
| 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. | -4767625.75 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.1054999910 |
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-commodity |
| 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 KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND |
| 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. | LONDON METAL EXCHANGE |
| LEI (if any) of counterparty. | 213800NB8G5VRT1DXC91 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | LLU2 XLME |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-09-19 |
| iv. Aggregate notional amount or contract value on trade date. | 39505950.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -4767625.75 |
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. | F/C LIVE CATTLE FUTR AUG22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | LCQ2 |
| 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 | 34NNMV |
| Description of other unique identifier. | INTERNAL |
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 | 2900.0000 |
| 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. | -676296.36 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.0149653651 |
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-commodity |
| 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. | CME GLOBEX |
| 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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | LCQ2 XCME |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-08-31 |
| iv. Aggregate notional amount or contract value on trade date. | 153787000.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -676296.36 |
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). | LONDON METAL EXCHANGE |
| 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. | 213800NB8G5VRT1DXC91 |
| c. Title of the issue or description of the investment. | F/C LME PRI ALUM FUTR SEP22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | ISIN |
| ISIN | GB00DV8PR331 |
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | LAU22 |
| 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 | 34NQCQ |
| Description of other unique identifier. | INTERNAL |
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 | 3835.0000 |
| 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. | -45063515.25 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.9971840710 |
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-commodity |
| 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 KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND |
| 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. | LONDON METAL EXCHANGE |
| LEI (if any) of counterparty. | 213800NB8G5VRT1DXC91 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | LAU22XLME |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-09-19 |
| iv. Aggregate notional amount or contract value on trade date. | 234438343.75 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -45063515.25 |
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). | CHICAGO BOARD OF TRADE |
| 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. | 549300EX04Q2QBFQTQ27 |
| c. Title of the issue or description of the investment. | F/C SOYBEAN MEAL FUTR SEP22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | SMU2 |
| 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 | 34P09B |
| Description of other unique identifier. | INTERNAL |
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 | 834.0000 |
| 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. | 829976.39 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 0.0183660602 |
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-commodity |
| 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. | CHICAGO BOARD OF TRADE |
| LEI (if any) of counterparty. | 549300EX04Q2QBFQTQ27 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SMU2 XCBT |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-09-14 |
| iv. Aggregate notional amount or contract value on trade date. | 34702740.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | 829976.39 |
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). | NEW YORK MERCANTILE EXCHANGE |
| 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. | 5493008GFNDTXFPHWI47 |
| c. Title of the issue or description of the investment. | F/C NY HARB ULSD FUT OCT22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | HOV2 |
| 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 | 34P0HQ |
| Description of other unique identifier. | INTERNAL |
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 | 462.0000 |
| 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. | -7211350.69 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.1595757455 |
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-commodity |
| 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. | NEW YORK MERCANTILE EXCHANGE |
| LEI (if any) of counterparty. | 5493008GFNDTXFPHWI47 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | HOV2 XNYM |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-09-30 |
| iv. Aggregate notional amount or contract value on trade date. | 71767634.40 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -7211350.69 |
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). | NEW YORK MERCANTILE EXCHANGE |
| 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. | 5493008GFNDTXFPHWI47 |
| c. Title of the issue or description of the investment. | F/C PLATINUM FUTURE OCT22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | PLV2 |
| 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 | 34P1SB |
| Description of other unique identifier. | INTERNAL |
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 | 1291.0000 |
| 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. | -4848768.17 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.1072955440 |
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-commodity |
| 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. | NEW YORK MERCANTILE EXCHANGE |
| LEI (if any) of counterparty. | 5493008GFNDTXFPHWI47 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | PLV2 XNYM |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-10-27 |
| iv. Aggregate notional amount or contract value on trade date. | 57791615.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -4848768.17 |
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). | NEW YORK MERCANTILE EXCHANGE |
| 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. | 5493008GFNDTXFPHWI47 |
| c. Title of the issue or description of the investment. | F/C GASOLINE RBOB FUT DEC22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | XBZ2 |
| 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 | 34PBFR |
| Description of other unique identifier. | INTERNAL |
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 | 389.0000 |
| 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. | -1198212.58 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.0265145427 |
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-commodity |
| 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. | NEW YORK MERCANTILE EXCHANGE |
| LEI (if any) of counterparty. | 5493008GFNDTXFPHWI47 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | XBZ2 XNYM |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-11-30 |
| iv. Aggregate notional amount or contract value on trade date. | 45672879.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -1198212.58 |
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). | COMMODITIES EXCHANGE CENTER |
| 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. | F/C GOLD 100 OZ FUTR AUG22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | GCQ2 |
| 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 | 34PF1Y |
| Description of other unique identifier. | INTERNAL |
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 | 1677.0000 |
| 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. | -6403692.98 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.1417035622 |
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-commodity |
| 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. | COMMODITIES EXCHANGE CENTER |
| 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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | GCQ2 XCEC |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-08-29 |
| iv. Aggregate notional amount or contract value on trade date. | 303084210.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -6403692.98 |
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). | ICE FUTURES EUROPE |
| 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. | 549300UF4R84F48NCH34 |
| c. Title of the issue or description of the investment. | F/C BRENT CRUDE FUTR OCT22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | COV2 |
| 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 | 34PNXN |
| Description of other unique identifier. | INTERNAL |
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 | 644.0000 |
| 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. | -7079707.5 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.1566626906 |
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-commodity |
| 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 KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND |
| 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. | ICE FUTURES EUROPE |
| LEI (if any) of counterparty. | 549300UF4R84F48NCH34 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | COV2 IFEU |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-08-31 |
| iv. Aggregate notional amount or contract value on trade date. | 67999960.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -7079707.5 |
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). | NEW YORK MERCANTILE EXCHANGE |
| 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. | 5493008GFNDTXFPHWI47 |
| c. Title of the issue or description of the investment. | F/C NY HARB ULSD FUT DEC22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | HOZ2 |
| 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 | 34PP9B |
| Description of other unique identifier. | INTERNAL |
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 | 225.0000 |
| 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. | 2603560.05 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 0.0576126517 |
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-commodity |
| 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. | NEW YORK MERCANTILE EXCHANGE |
| LEI (if any) of counterparty. | 5493008GFNDTXFPHWI47 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | HOZ2 XNYM |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-11-30 |
| iv. Aggregate notional amount or contract value on trade date. | 33538995.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | 2603560.05 |
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). | NEW YORK MERCANTILE EXCHANGE |
| 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. | 5493008GFNDTXFPHWI47 |
| c. Title of the issue or description of the investment. | F/C NY HARB ULSD FUT AUG22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | HOQ2 |
| 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 | 34PP9C |
| Description of other unique identifier. | INTERNAL |
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 | 332.0000 |
| 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. | -6572837.93 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.1454464715 |
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-commodity |
| 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. | NEW YORK MERCANTILE EXCHANGE |
| LEI (if any) of counterparty. | 5493008GFNDTXFPHWI47 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | HOQ2 XNYM |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-07-29 |
| iv. Aggregate notional amount or contract value on trade date. | 53412492.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -6572837.93 |
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). | COMMODITIES EXCHANGE CENTER |
| 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. | F/C SILVER FUTURE SEP22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | SIU2 |
| 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 | 34PY6V |
| Description of other unique identifier. | INTERNAL |
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 | 1413.0000 |
| 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. | -12045083 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.2665385697 |
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-commodity |
| 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. | COMMODITIES EXCHANGE CENTER |
| 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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SIU2 XCEC |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-09-28 |
| iv. Aggregate notional amount or contract value on trade date. | 143786880.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -12045083 |
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). | ICE FUTURES U.S. |
| 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. | 5493004R83R1LVX2IL36 |
| c. Title of the issue or description of the investment. | F/C COCOA FUTURE DEC22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | CCZ2 |
| 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 | 34PZQB |
| Description of other unique identifier. | INTERNAL |
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 | 691.0000 |
| 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. | -1097546.75 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.0242869676 |
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-commodity |
| 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. | ICE FUTURES U.S. |
| LEI (if any) of counterparty. | 5493004R83R1LVX2IL36 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | CCZ2 IFUS |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-12-14 |
| iv. Aggregate notional amount or contract value on trade date. | 16445800.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -1097546.75 |
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). | ICE FUTURES EUROPE |
| 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. | 549300UF4R84F48NCH34 |
| c. Title of the issue or description of the investment. | F/C LOW SU GASOIL G OCT22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | QSV2 |
| 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 | 34PZS3 |
| Description of other unique identifier. | INTERNAL |
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 | 463.0000 |
| 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. | -4568929.68 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.1011031624 |
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-commodity |
| 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 KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND |
| 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. | ICE FUTURES EUROPE |
| LEI (if any) of counterparty. | 549300UF4R84F48NCH34 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | QSV2 IFEU |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-10-12 |
| iv. Aggregate notional amount or contract value on trade date. | 50131325.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -4568929.68 |
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). | NEW YORK MERCANTILE EXCHANGE |
| 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. | 5493008GFNDTXFPHWI47 |
| c. Title of the issue or description of the investment. | F/C WTI CRUDE FUTURE NOV22 |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | CLX2 |
| 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 | 34QBBF |
| Description of other unique identifier. | INTERNAL |
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 | 268.0000 |
| 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. | -1706693.6 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.0377664206 |
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-commodity |
| 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. | NEW YORK MERCANTILE EXCHANGE |
| LEI (if any) of counterparty. | 5493008GFNDTXFPHWI47 |
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.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the 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).
| Name of issuer. | Other |
| Title of issue. | Other |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | CLX2 XNYM |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | N/A |
| If other identifier provided, indicate the type of identifier used. | Other |
| iii. Expiration date. | 2022-10-20 |
| iv. Aggregate notional amount or contract value on trade date. | 26197000.00 |
| ISO Currency Code. | United States Dollar |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -1706693.6 |
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). | Morgan Stanley Institutional Liquidity Funds |
| 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. | IGJSJL3JD5P30I6NJZ34 |
| c. Title of the issue or description of the investment. | MSILF TREASURY PORT-INST |
| d. CUSIP (if any). | 61747C582 |
At least one of the following other identifiers:
| Identifier. | ISIN |
| ISIN | US61747C5821 |
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | MISXX |
| 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 | B02NVK3 |
| Description of other unique identifier. | SEDOL |
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 | 526500000.0000 |
| 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. | 526500000.00 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 11.6506093786 |
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. | 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 Bills |
| 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 T BILL ZCP 07/14/22 |
| d. CUSIP (if any). | 912796K57 |
At least one of the following other identifiers:
| Identifier. | ISIN |
| ISIN | US912796K576 |
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | B |
| 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 | BKX7FQ8 |
| Description of other unique identifier. | SEDOL |
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 | 600000000.0000 |
| 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. | 599779542.00 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 13.2721693393 |
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. | 2022-07-14 |
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 Bills |
| 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 T BILL ZCP 08/11/22 |
| d. CUSIP (if any). | 912796L64 |
At least one of the following other identifiers:
| Identifier. | ISIN |
| ISIN | US912796L640 |
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | B |
| 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 | BP2BQT6 |
| Description of other unique identifier. | SEDOL |
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 | 170000000.0000 |
| 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. | 169742254.50 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 3.7561266899 |
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. | 2022-08-11 |
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 Bills |
| 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 T BILL ZCP 07/07/22 |
| d. CUSIP (if any). | 912796R68 |
At least one of the following other identifiers:
| Identifier. | ISIN |
| ISIN | US912796R688 |
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | B |
| 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 | BM9DY45 |
| Description of other unique identifier. | SEDOL |
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 | 200000000.0000 |
| 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. | 199975624.00 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 4.4251431728 |
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. | 2022-07-07 |
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 Bills |
| 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 T BILL ZCP 07/28/22 |
| d. CUSIP (if any). | 912796S59 |
At least one of the following other identifiers:
| Identifier. | ISIN |
| ISIN | US912796S595 |
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | B |
| 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 | BN95VL4 |
| Description of other unique identifier. | SEDOL |
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 | 200000000.0000 |
| 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. | 199856000.00 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 4.4224960835 |
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. | 2022-07-28 |
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 Bills |
| 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 T BILL ZCP 08/04/22 |
| d. CUSIP (if any). | 912796S67 |
At least one of the following other identifiers:
| Identifier. | ISIN |
| ISIN | US912796S678 |
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | B |
| 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 | BLNKZ20 |
| Description of other unique identifier. | SEDOL |
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 | 300000000.0000 |
| 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. | 299670270.00 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 6.6312274609 |
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. | 2022-08-04 |
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 Bills |
| 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 T BILL ZCP 07/05/22 |
| d. CUSIP (if any). | 912796W88 |
At least one of the following other identifiers:
| Identifier. | ISIN |
| ISIN | US912796W886 |
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | B |
| 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 | BPSJR57 |
| Description of other unique identifier. | SEDOL |
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 | 200000000.0000 |
| 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. | 199974222.00 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 4.4251121487 |
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. | 2022-07-05 |
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 Bills |
| 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 T BILL ZCP 07/12/22 |
| d. CUSIP (if any). | 912796W96 |
At least one of the following other identifiers:
| Identifier. | ISIN |
| ISIN | US912796W969 |
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | B |
| 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 | BPLXRS9 |
| Description of other unique identifier. | SEDOL |
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 | 200000000.0000 |
| 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. | 199939194.00 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 4.4243370347 |
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. | 2022-07-12 |
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 Bills |
| 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 T BILL ZCP 07/19/22 |
| d. CUSIP (if any). | 912796X20 |
At least one of the following other identifiers:
| Identifier. | ISIN |
| ISIN | US912796X207 |
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | B |
| 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 | BJLTM13 |
| Description of other unique identifier. | SEDOL |
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 | 300000000.0000 |
| 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. | 299841561.00 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 6.6350178589 |
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. | 2022-07-19 |
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 Bills |
| 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 T BILL ZCP 07/26/22 |
| d. CUSIP (if any). | 912796X38 |
At least one of the following other identifiers:
| Identifier. | ISIN |
| ISIN | US912796X389 |
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | B |
| 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 | BMFFJS4 |
| Description of other unique identifier. | SEDOL |
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 | 200000000.0000 |
| 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. | 199855382.00 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 4.4224824082 |
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. | 2022-07-26 |
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 Bills |
| 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 T BILL ZCP 08/02/22 |
| d. CUSIP (if any). | 912796X46 |
At least one of the following other identifiers:
| Identifier. | ISIN |
| ISIN | US912796X462 |
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | B |
| 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 | BP8ZH11 |
| Description of other unique identifier. | SEDOL |
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 | 270000000.0000 |
| 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. | 269724359.70 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 5.9685719939 |
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. | 2022-08-02 |
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 Bills |
| 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 T BILL ZCP 08/09/22 |
| d. CUSIP (if any). | 912796XL8 |
At least one of the following other identifiers:
| Identifier. | ISIN |
| ISIN | US912796XL85 |
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | B |
| 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 | BNDT4X5 |
| Description of other unique identifier. | SEDOL |
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 | 160000000.0000 |
| 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. | 159779390.40 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 3.5356643197 |
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. | 2022-08-09 |
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 |
