NPORT-P: Part C: Schedule of Portfolio Investments
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|
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).
| NOMURA GLOBAL FINANCIAL PRODUCTS |
| 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.
| 0Z3VO5H2G7GRS05BHJ91 |
| c. Title of the issue or description of the investment.
| Nomura G10 FX Mean Reversion 25x |
| d. CUSIP (if any).
| N/A |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | TRS1JO4L3 |
| Description of other unique identifier.
| All Others |
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
| 1349.00000000 |
| Units
|
Number of contracts
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| -741.95000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| -0.03701819665 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
| 
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Derivative-equity
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
| |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Type of derivative instrument that most closely
represents the investment, selected from among the following
(forward, future, option, swaption, swap (including but not limited
to total return swaps, credit default swaps, and interest rate
swaps), warrant, other). |
Swap
|
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).
|
Counterparty Record: 1 |
| Name of counterparty. | NOMURA GLOBAL FINANCIAL PRODUCTS |
| LEI (if any) of counterparty. | 0Z3VO5H2G7GRS05BHJ91 |
2. If the reference instrument is an index or custom basket, and if the index’s or custom basket’s components are publicly available on a website
and are updated on that website no less frequently than quarterly, identify the index and provide the index identifier, if any. If the index’s or custom
basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the
Fund, provide a narrative description of the index. If the index’s or custom basket’s components are not publicly available in that manner, and the notional
amount of the derivative represents more than 5% of the net asset value of the Fund, provide the (i) name, (ii) identifier, (iii) number of shares or notional
amount or contract value as of the trade date (all of which would be reported as negative for short positions), and (iv) value of every component in the index
or custom basket. The identifier shall include CUSIP of the index’s or custom basket’s components, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN
are not available), or other identifier (if CUSIP, ISIN, and ticker are not available). If other identifier provided, indicate the type of identifier used.
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents greater than 1%,
but 5% or less, of the net asset value of the Fund, Funds shall report the required component information described above, but may limit reporting to the (i)
50 largest components in the index and (ii) any other components where the notional value for that components is over 1% of the notional value of the index or
custom basket.
An index or custom basket, where the components are publicly available on a website and are updated on that website no less frequently than quarterly.
| Index name.
| Nomura G10 FX Mean Reversion 25x |
| Index identifier, if any.
| NMSY2RNU Index |
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount
of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
| Narrative description.
| N/A |
For all other indices or custom baskets provide:
| i. Name.
| New Zealand Dollar Spot |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | NZD |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 3874.01956971 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| Australian Dollar Spot |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | AUD |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -32897.40406202 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| Norwegian Krone Spot |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | NOK |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -6030.66858709 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| Swedish Krona Spot |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SEK |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2139.63402938 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| Japanese Yen Spot |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | JPY |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 69278.92777285 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| Canadian Dollar Spot |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | CAD |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -16536.42347076 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| Swiss Franc Spot |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | CHF |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -12239.77513722 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| British Pound Spot |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | GBP |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 3159.15102784 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | EUR |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 10804.72147279 |
| ISO Currency Code.
|
United States Dollar
|
| Custom swap Flag |
Yes
No
|
1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index
|
Payments: fixed, floating or other.
|
Fixed
Floating
Other
|
| Payments: Fixed rate.
| 0.15000000 |
| Payments: Base currency
|
United States Dollar
|
| Payments: Amount
| 0.00000000 |
| ii. Termination or maturity date.
| 2025-03-06 |
| iii. Upfront payments or receipts |
| Upfront payments.
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| Upfront receipts.
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Notional amount.
| -309932.75000000 |
| ISO Currency Code.
| USD |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number.
| -741.95000000 |
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part C: Schedule of Portfolio Investments
|
|
For each investment held by the Fund and its consolidated subsidiaries,
disclose the information requested in Part C. A Fund may report
information for securities in an aggregate amount not exceeding five
percent of its total assets as miscellaneous securities in Part D in
lieu of reporting those securities in Part C, provided that the
securities so listed are not restricted, have been held for not more
than one year prior to the end of the reporting period covered by this
report, and have not been previously reported by name to the
shareholders of the Fund or to any exchange, or set forth in any
registration statement, application, or report to shareholders or
otherwise made available to the public.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| N/A |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| BROWN BROTHERS HARRIMAN SWEEP INTEREST |
| d. CUSIP (if any).
| N/A |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BBHMM |
| Description of other unique identifier.
| All Others |
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
| 214934.57000000 |
| 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.
| 214934.57000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 10.72375521368 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle)
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
| |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part C: Schedule of Portfolio Investments
|
|
For each investment held by the Fund and its consolidated subsidiaries,
disclose the information requested in Part C. A Fund may report
information for securities in an aggregate amount not exceeding five
percent of its total assets as miscellaneous securities in Part D in
lieu of reporting those securities in Part C, provided that the
securities so listed are not restricted, have been held for not more
than one year prior to the end of the reporting period covered by this
report, and have not been previously reported by name to the
shareholders of the Fund or to any exchange, or set forth in any
registration statement, application, or report to shareholders or
otherwise made available to the public.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| N/A |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| STATE ST INST LIQ RES-PREM |
| d. CUSIP (if any).
| 85749P101 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US85749P1012 |
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
| 3793.48000000 |
| 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.
| 3793.48000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.189268533805 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle)
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
| |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part C: Schedule of Portfolio Investments
|
|
For each investment held by the Fund and its consolidated subsidiaries,
disclose the information requested in Part C. A Fund may report
information for securities in an aggregate amount not exceeding five
percent of its total assets as miscellaneous securities in Part D in
lieu of reporting those securities in Part C, provided that the
securities so listed are not restricted, have been held for not more
than one year prior to the end of the reporting period covered by this
report, and have not been previously reported by name to the
shareholders of the Fund or to any exchange, or set forth in any
registration statement, application, or report to shareholders or
otherwise made available to the public.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| N/A |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| BLCKRCK CASH-TRSRY-INST MONEY MARKET |
| d. CUSIP (if any).
| 066922659 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US0669226591 |
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
| 1192118.78000000 |
| 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.
| 1192118.78000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 59.47851935755 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle)
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
| |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part C: Schedule of Portfolio Investments
|
|
For each investment held by the Fund and its consolidated subsidiaries,
disclose the information requested in Part C. A Fund may report
information for securities in an aggregate amount not exceeding five
percent of its total assets as miscellaneous securities in Part D in
lieu of reporting those securities in Part C, provided that the
securities so listed are not restricted, have been held for not more
than one year prior to the end of the reporting period covered by this
report, and have not been previously reported by name to the
shareholders of the Fund or to any exchange, or set forth in any
registration statement, application, or report to shareholders or
otherwise made available to the public.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| JP MORGAN CHASE BANK N.A. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 984500653R409CC5AB28 |
| c. Title of the issue or description of the investment.
| JPM US Conviction Mean Reversion |
| d. CUSIP (if any).
| N/A |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | TRS1JO5O3 |
| Description of other unique identifier.
| All Others |
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
| 1817.05000000 |
| 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.
| -15935.53000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| -0.79507323051 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Derivative-equity
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
| |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Type of derivative instrument that most closely
represents the investment, selected from among the following
(forward, future, option, swaption, swap (including but not limited
to total return swaps, credit default swaps, and interest rate
swaps), warrant, other). |
Swap
|
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).
|
Counterparty Record: 1 |
| Name of counterparty. | JP MORGAN CHASE BANK N.A. |
| LEI (if any) of counterparty. | 984500653R409CC5AB28 |
2. If the reference instrument is an index or custom basket, and if the index’s or custom basket’s components are publicly available on a website
and are updated on that website no less frequently than quarterly, identify the index and provide the index identifier, if any. If the index’s or custom
basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the
Fund, provide a narrative description of the index. If the index’s or custom basket’s components are not publicly available in that manner, and the notional
amount of the derivative represents more than 5% of the net asset value of the Fund, provide the (i) name, (ii) identifier, (iii) number of shares or notional
amount or contract value as of the trade date (all of which would be reported as negative for short positions), and (iv) value of every component in the index
or custom basket. The identifier shall include CUSIP of the index’s or custom basket’s components, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN
are not available), or other identifier (if CUSIP, ISIN, and ticker are not available). If other identifier provided, indicate the type of identifier used.
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents greater than 1%,
but 5% or less, of the net asset value of the Fund, Funds shall report the required component information described above, but may limit reporting to the (i)
50 largest components in the index and (ii) any other components where the notional value for that components is over 1% of the notional value of the index or
custom basket.
An index or custom basket, where the components are publicly available on a website and are updated on that website no less frequently than quarterly.
| Index name.
| JPM US Conviction Mean Reversion |
| Index identifier, if any.
| JPUS1MMC Index |
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount
of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
| Narrative description.
| N/A |
For all other indices or custom baskets provide:
| i. Name.
| S&P 500 Total Return Index |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SPTR Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 49522.57436400 |
| ISO Currency Code.
|
United States Dollar
|
| Custom swap Flag |
Yes
No
|
1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index
|
Payments: fixed, floating or other.
|
Fixed
Floating
Other
|
| Payments: Fixed rate.
| 0.20000000 |
| Payments: Base currency
|
United States Dollar
|
| Payments: Amount
| 0.00000000 |
| ii. Termination or maturity date.
| 2025-04-08 |
| iii. Upfront payments or receipts |
| Upfront payments.
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| Upfront receipts.
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Notional amount.
| -512153.71000000 |
| ISO Currency Code.
| USD |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number.
| -15935.53000000 |
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).
| GOLDMAN SACHS & CO. LLC |
| 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.
| KD3XUN7C6T14HNAYLU02 |
| c. Title of the issue or description of the investment.
| GS Cross Asset Trend |
| d. CUSIP (if any).
| N/A |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | TGSXAT01D |
| Description of other unique identifier.
| All Others |
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
| 8708.00000000 |
| Units
|
Number of contracts
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 9578.80000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.477916169747 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Derivative-equity
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
| |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Type of derivative instrument that most closely
represents the investment, selected from among the following
(forward, future, option, swaption, swap (including but not limited
to total return swaps, credit default swaps, and interest rate
swaps), warrant, other). |
Swap
|
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).
|
Counterparty Record: 1 |
| Name of counterparty. | GOLDMAN SACHS & CO. LLC |
| LEI (if any) of counterparty. | KD3XUN7C6T14HNAYLU02 |
2. If the reference instrument is an index or custom basket, and if the index’s or custom basket’s components are publicly available on a website
and are updated on that website no less frequently than quarterly, identify the index and provide the index identifier, if any. If the index’s or custom
basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the
Fund, provide a narrative description of the index. If the index’s or custom basket’s components are not publicly available in that manner, and the notional
amount of the derivative represents more than 5% of the net asset value of the Fund, provide the (i) name, (ii) identifier, (iii) number of shares or notional
amount or contract value as of the trade date (all of which would be reported as negative for short positions), and (iv) value of every component in the index
or custom basket. The identifier shall include CUSIP of the index’s or custom basket’s components, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN
are not available), or other identifier (if CUSIP, ISIN, and ticker are not available). If other identifier provided, indicate the type of identifier used.
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents greater than 1%,
but 5% or less, of the net asset value of the Fund, Funds shall report the required component information described above, but may limit reporting to the (i)
50 largest components in the index and (ii) any other components where the notional value for that components is over 1% of the notional value of the index or
custom basket.
An index or custom basket, where the components are publicly available on a website and are updated on that website no less frequently than quarterly.
| Index name.
| GS Cross Asset Trend |
| Index identifier, if any.
| GSXAT01C Index |
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount
of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
| Narrative description.
| N/A |
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 204832.80264148 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| SET50 FUTURES Sep24 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | BCU4 Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -71158.84358140 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/PLN July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/PLN July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 82308.39326034 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/CHF July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/CHF July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -150845.43528023 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/SGD July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/SGD July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -339717.00849220 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| IBEX 35 INDX FUTR Jul24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | ES0B00138460 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 70105.55273628 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| 3 MONTH SOFR FUT Dec25 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SFRZ5 Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -395365.79862583 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/ZAR July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/ZAR July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 116776.75238083 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/INR July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/INR July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -356249.59325704 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/CZK July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/CZK July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -123609.94233701 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/MXN July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/MXN July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -94486.45187855 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| HANG SENG IDX FUT Jul24 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | HIN4 Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 37519.77459204 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| DAX INDEX FUTURE Sep24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | DE000C6LWLX3 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 71567.58752918 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| EURO-SCHATZ FUT Sep24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | DE000F0FSQQ6 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -1127428.85422916 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| S&P500 EMINI FUT Sep24 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | ESU4 Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 150481.69807164 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| LONG GILT FUTURE Sep24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KNPWRM38 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 73872.78161007 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| S&P/TSX 60 IX FUT Sep24 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | PTU4 Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 81794.99772039 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| EURO-BOBL FUTURE Sep24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | DE000F0FSQP8 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -194676.82011624 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/EUR July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/EUR July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -272632.35398171 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/KRW July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/KRW July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -239439.51640189 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| CAN 10YR BOND FUT Sep24 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | CNU4 Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 154830.91283124 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| Swiss Franc Spot |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | CHF |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 94771.89027192 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | EUR |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 51036.97662216 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/NOK July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/NOK July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -22609.89525644 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| CAC40 10 EURO FUT Jul24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | FREN25474098 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -23647.67137469 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/SEK July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/SEK July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -27404.87549410 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| ICE 3MTH SONIA FU Sep25 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00HBD02G77 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -242407.76763127 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| US 5YR NOTE (CBT) Sep24 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | FVU4 Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -237635.85809057 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| Euro-OAT Future Sep24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | DE000F0FSQT0 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -180778.48365258 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| 3 MONTH SOFR FUT Sep25 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SFRU5 Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -394791.80343054 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| ICE 3MTH SONIA FU Mar25 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H7QLBV70 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -241657.98482250 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| ICE 3MTH SONIA FU Dec25 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00J14RQY19 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -242700.32720475 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| MARKIT ITRX EUR XOVER 06/29 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | ITXEX541 Corp |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -187406.86906897 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| SWISS MKT IX FUTR Sep24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | DE000C6XKED0 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 94771.89027192 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| FTSE/MIB IDX FUT Sep24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | IT0021425845 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 68971.50543606 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| MARKIT ITRX EUROPE 06/29 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | ITXEB541 Corp |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -798160.07740487 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| OMXS30 IND FUTURE Jul24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | SE0021580867 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 87409.14526351 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| 3 MONTH SOFR FUT Jun25 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SFRM5 Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -394084.02690967 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/HUF July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/HUF July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -83700.90890819 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| FTSE/JSE TOP 40 Sep24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | ZAD000549822 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 54583.05550003 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| 3MO EURO EURIBOR Dec24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H6CZ4W89 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -437647.79979526 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| HSCEI Futures Jul24 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | HCN4 Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 39769.46209905 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| JPN 10Y BOND(OSE) Sep24 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | JBU4 Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -270326.67764393 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| MARKIT CDX.NA.HY.42 06/29 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | CXPHY542 Corp |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -394800.43328730 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| AMSTERDAM IDX FUT Jul24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | NLEN25470639 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 96305.69673858 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| E-Mini Russ 2000 Sep24 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | RTYU4 Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 51290.78264185 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/GBP July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/GBP July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 216431.00482512 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/CAD July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/CAD July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -313076.66870457 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| ICE 3MTH SONIA FU Jun25 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00HB9ZR387 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -242058.80120558 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| NASDAQ 100 E-MINI Sep24 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | NQU4 Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 112414.73503445 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| MSCI EmgMkt Sep24 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | MESU4 Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 104929.00010810 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| 3MO EURO EURIBOR Dec25 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00HBCK1X80 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -439909.11054668 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/AUD July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/AUD July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 118153.23726659 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/ILS July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/ILS July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -115175.80139195 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/JPY July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/JPY July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -242321.23977288 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/BRL July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/BRL July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -192701.11732970 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| British Pound Spot |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | GBP |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 100997.33959228 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| 3MO EURO EURIBOR Mar25 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00F7B19G51 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -438435.17681300 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| US LONG BOND(CBT) Sep24 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USU4 Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 99275.67440258 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/NZD July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/NZD July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 113038.87872574 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| SPI 200 FUTURES Jul24 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | XPN4 Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 112602.45921159 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| 3 MONTH SOFR FUT Mar25 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SFRH5 Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -393173.31188847 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| Japanese Yen Spot |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | JPY |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 113777.76226936 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| KOSPI2 INX FUT Sep24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | KR4101V90009 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 99149.77214591 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| US 2YR NOTE (CBT) Sep24 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | TUU4 Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -1210840.15823369 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| FTSE 100 IDX FUT Sep24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW0YJ50 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 100997.33959228 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/CLP July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/CLP July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -68311.28183359 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/IDR July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/IDR July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -81329.58449834 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| 3MO EURO EURIBOR Sep25 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00HB9WVH19 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -439506.95707334 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| US 10YR NOTE (CBT)Sep24 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | TYU4 Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -95639.40976334 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| 3MO EURO EURIBOR Jun25 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H7QJ2K79 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -439026.81989466 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| TOPIX INDX FUTR Sep24 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | TPU4 Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 113777.76226936 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| AUST 10Y BOND FUT Sep24 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | XMU4 Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -59961.73971003 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| 3 MONTH SOFR FUT Dec24 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SFRZ4 Comdty |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -392156.07649953 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| EURO STOXX 50 Sep24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | DE000C6XKBX4 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 79584.12444049 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| MARKIT CDX.NA.IG.42 06/29 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | CDXIG542 Corp |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -1213763.20391983 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| USD/CNH July 2024 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | USD/CNH July 2024 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -508144.52743680 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| Euro-BTP Future Sep24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | DE000F0FSQL7 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 116107.53019969 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| ICE 3MTH SONIA FU Dec24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00F7B6VD14 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -241208.45083192 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| EURO-BUND FUTURE Sep24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | DE000F0FSQN3 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -45434.93560738 |
| ISO Currency Code.
|
United States Dollar
|
| Custom swap Flag |
Yes
No
|
1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index
|
Payments: fixed, floating or other.
|
Fixed
Floating
Other
|
| Payments: Fixed rate.
| 0.15000000 |
| Payments: Base currency
|
United States Dollar
|
| Payments: Amount
| 0.00000000 |
| ii. Termination or maturity date.
| 2024-10-07 |
| iii. Upfront payments or receipts |
| Upfront payments.
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| Upfront receipts.
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Notional amount.
| -1181675.60000000 |
| ISO Currency Code.
| USD |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number.
| 9578.80000000 |
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).
| Deutsche Bank AG |
| 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.
| 7LTWFZYICNSX8D621K86 |
| c. Title of the issue or description of the investment.
| DB Tide - Trend Intraday Equity Index |
| d. CUSIP (if any).
| N/A |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | TDBTIDUS6 |
| Description of other unique identifier.
| All Others |
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
| 1228.00000000 |
| Units
|
Number of contracts
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| -125.91000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| -0.00628204210 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Derivative-equity
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
| |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Type of derivative instrument that most closely
represents the investment, selected from among the following
(forward, future, option, swaption, swap (including but not limited
to total return swaps, credit default swaps, and interest rate
swaps), warrant, other). |
Swap
|
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).
|
Counterparty Record: 1 |
| Name of counterparty. | Deutsche Bank AG |
| LEI (if any) of counterparty. | 7LTWFZYICNSX8D621K86 |
2. If the reference instrument is an index or custom basket, and if the index’s or custom basket’s components are publicly available on a website
and are updated on that website no less frequently than quarterly, identify the index and provide the index identifier, if any. If the index’s or custom
basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the
Fund, provide a narrative description of the index. If the index’s or custom basket’s components are not publicly available in that manner, and the notional
amount of the derivative represents more than 5% of the net asset value of the Fund, provide the (i) name, (ii) identifier, (iii) number of shares or notional
amount or contract value as of the trade date (all of which would be reported as negative for short positions), and (iv) value of every component in the index
or custom basket. The identifier shall include CUSIP of the index’s or custom basket’s components, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN
are not available), or other identifier (if CUSIP, ISIN, and ticker are not available). If other identifier provided, indicate the type of identifier used.
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents greater than 1%,
but 5% or less, of the net asset value of the Fund, Funds shall report the required component information described above, but may limit reporting to the (i)
50 largest components in the index and (ii) any other components where the notional value for that components is over 1% of the notional value of the index or
custom basket.
An index or custom basket, where the components are publicly available on a website and are updated on that website no less frequently than quarterly.
| Index name.
| DB Trend Intraday Equity Index |
| Index identifier, if any.
| DBTIDUS5 Index |
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount
of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
| Narrative description.
| N/A |
For all other indices or custom baskets provide:
| i. Name.
| DB Trend Intraday Equity Index |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | DBTIDUS5 INDEX |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 196010.25000000 |
| ISO Currency Code.
|
United States Dollar
|
| Custom swap Flag |
Yes
No
|
1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index
|
Payments: fixed, floating or other.
|
Fixed
Floating
Other
|
| Payments: Fixed rate.
| 0.00000000 |
| Payments: Base currency
|
United States Dollar
|
| Payments: Amount
| 0.00000000 |
| ii. Termination or maturity date.
| 2025-07-07 |
| iii. Upfront payments or receipts |
| Upfront payments.
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| Upfront receipts.
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Notional amount.
| -196136.16000000 |
| ISO Currency Code.
| USD |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number.
| -125.91000000 |
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).
| Macquarie Bank Limited |
| 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.
| 4ZHCHI4KYZG2WVRT8631 |
| c. Title of the issue or description of the investment.
| US Equity Overnight Mean Reversion |
| d. CUSIP (if any).
| N/A |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | TRS1KX7I3 |
| Description of other unique identifier.
| All Others |
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
| 1202.00000000 |
| Units
|
Number of contracts
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| -324.06000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| -0.01616836283 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Derivative-equity
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
| |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Type of derivative instrument that most closely
represents the investment, selected from among the following
(forward, future, option, swaption, swap (including but not limited
to total return swaps, credit default swaps, and interest rate
swaps), warrant, other). |
Swap
|
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).
|
Counterparty Record: 1 |
| Name of counterparty. | Macquarie Bank Limited |
| LEI (if any) of counterparty. | 4ZHCHI4KYZG2WVRT8631 |
2. If the reference instrument is an index or custom basket, and if the index’s or custom basket’s components are publicly available on a website
and are updated on that website no less frequently than quarterly, identify the index and provide the index identifier, if any. If the index’s or custom
basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the
Fund, provide a narrative description of the index. If the index’s or custom basket’s components are not publicly available in that manner, and the notional
amount of the derivative represents more than 5% of the net asset value of the Fund, provide the (i) name, (ii) identifier, (iii) number of shares or notional
amount or contract value as of the trade date (all of which would be reported as negative for short positions), and (iv) value of every component in the index
or custom basket. The identifier shall include CUSIP of the index’s or custom basket’s components, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN
are not available), or other identifier (if CUSIP, ISIN, and ticker are not available). If other identifier provided, indicate the type of identifier used.
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents greater than 1%,
but 5% or less, of the net asset value of the Fund, Funds shall report the required component information described above, but may limit reporting to the (i)
50 largest components in the index and (ii) any other components where the notional value for that components is over 1% of the notional value of the index or
custom basket.
An index or custom basket, where the components are publicly available on a website and are updated on that website no less frequently than quarterly.
| Index name.
| Macquarie US Equity Overnight Mean Reversion |
| Index identifier, if any.
| MQIS331 Index |
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount
of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
| Narrative description.
| N/A |
For all other indices or custom baskets provide:
| i. Name.
| S&P500 EMINI FUT Jun24 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | ESM4 Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| Custom swap Flag |
Yes
No
|
1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index
|
Payments: fixed, floating or other.
|
Fixed
Floating
Other
|
| Payments: Fixed rate.
| 0.25000000 |
| Payments: Base currency
|
United States Dollar
|
| Payments: Amount
| 0.00000000 |
| ii. Termination or maturity date.
| 2025-06-10 |
| iii. Upfront payments or receipts |
| Upfront payments.
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| Upfront receipts.
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Notional amount.
| -198084.07000000 |
| ISO Currency Code.
| USD |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number.
| -324.06000000 |
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).
| BNP Paribas |
| 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.
| 74KKBLHM4AWY05GPNY79 |
| c. Title of the issue or description of the investment.
| BNP Paribas Dynamic Intraday Trend US Index |
| d. CUSIP (if any).
| N/A |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | TBNPXDIT2 |
| Description of other unique identifier.
| All Others |
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
| 725.00000000 |
| Units
|
Number of contracts
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 368.44000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.018382619282 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Derivative-equity
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
| |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Type of derivative instrument that most closely
represents the investment, selected from among the following
(forward, future, option, swaption, swap (including but not limited
to total return swaps, credit default swaps, and interest rate
swaps), warrant, other). |
Swap
|
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).
|
Counterparty Record: 1 |
| Name of counterparty. | BNP Paribas |
| LEI (if any) of counterparty. | 74KKBLHM4AWY05GPNY79 |
2. If the reference instrument is an index or custom basket, and if the index’s or custom basket’s components are publicly available on a website
and are updated on that website no less frequently than quarterly, identify the index and provide the index identifier, if any. If the index’s or custom
basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the
Fund, provide a narrative description of the index. If the index’s or custom basket’s components are not publicly available in that manner, and the notional
amount of the derivative represents more than 5% of the net asset value of the Fund, provide the (i) name, (ii) identifier, (iii) number of shares or notional
amount or contract value as of the trade date (all of which would be reported as negative for short positions), and (iv) value of every component in the index
or custom basket. The identifier shall include CUSIP of the index’s or custom basket’s components, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN
are not available), or other identifier (if CUSIP, ISIN, and ticker are not available). If other identifier provided, indicate the type of identifier used.
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents greater than 1%,
but 5% or less, of the net asset value of the Fund, Funds shall report the required component information described above, but may limit reporting to the (i)
50 largest components in the index and (ii) any other components where the notional value for that components is over 1% of the notional value of the index or
custom basket.
An index or custom basket, where the components are publicly available on a website and are updated on that website no less frequently than quarterly.
| Index name.
| BNP Paribas Dynamic Intraday Trend US Index |
| Index identifier, if any.
| BNPXDITU Index |
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount
of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
| Narrative description.
| N/A |
For all other indices or custom baskets provide:
| i. Name.
| BNP Paribas Dynamic Intraday Trend US Index |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | BNPXDITU INDEX |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 185363.43000000 |
| ISO Currency Code.
|
United States Dollar
|
| Custom swap Flag |
Yes
No
|
1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index
|
Payments: fixed, floating or other.
|
Fixed
Floating
Other
|
| Payments: Fixed rate.
| 0.20000000 |
| Payments: Base currency
|
United States Dollar
|
| Payments: Amount
| 0.00000000 |
| ii. Termination or maturity date.
| 2025-07-03 |
| iii. Upfront payments or receipts |
| Upfront payments.
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| Upfront receipts.
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Notional amount.
| -184994.99000000 |
| ISO Currency Code.
| USD |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number.
| 368.44000000 |
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).
| Deutsche Bank AG |
| 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.
| 7LTWFZYICNSX8D621K86 |
| c. Title of the issue or description of the investment.
| DB Synthetic Long Vol Strategy Break-Out Momentum |
| d. CUSIP (if any).
| TRS1G15C3 |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | TRS1G15C3 |
| Description of other unique identifier.
| All Others |
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
| 3292.00000000 |
| Units
|
Number of contracts
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| -745.63000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| -0.03720180332 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Derivative-equity
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
| |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Type of derivative instrument that most closely
represents the investment, selected from among the following
(forward, future, option, swaption, swap (including but not limited
to total return swaps, credit default swaps, and interest rate
swaps), warrant, other). |
Swap
|
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).
|
Counterparty Record: 1 |
| Name of counterparty. | Deutsche Bank AG |
| LEI (if any) of counterparty. | 7LTWFZYICNSX8D621K86 |
2. If the reference instrument is an index or custom basket, and if the index’s or custom basket’s components are publicly available on a website
and are updated on that website no less frequently than quarterly, identify the index and provide the index identifier, if any. If the index’s or custom
basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the
Fund, provide a narrative description of the index. If the index’s or custom basket’s components are not publicly available in that manner, and the notional
amount of the derivative represents more than 5% of the net asset value of the Fund, provide the (i) name, (ii) identifier, (iii) number of shares or notional
amount or contract value as of the trade date (all of which would be reported as negative for short positions), and (iv) value of every component in the index
or custom basket. The identifier shall include CUSIP of the index’s or custom basket’s components, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN
are not available), or other identifier (if CUSIP, ISIN, and ticker are not available). If other identifier provided, indicate the type of identifier used.
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents greater than 1%,
but 5% or less, of the net asset value of the Fund, Funds shall report the required component information described above, but may limit reporting to the (i)
50 largest components in the index and (ii) any other components where the notional value for that components is over 1% of the notional value of the index or
custom basket.
An index or custom basket, where the components are publicly available on a website and are updated on that website no less frequently than quarterly.
| Index name.
| DB Synthetic Long Vol Strategy Break-Out Momentum |
| Index identifier, if any.
| DBVSCVP8 Index |
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount
of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
| Narrative description.
| N/A |
For all other indices or custom baskets provide:
| i. Name.
| 6m Floating/10y Fixed EUR IRS Swap |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | DBDREU10 Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -16566.54546003 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| 1yr Floating/10yr Fixed USD OIS Swap |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | DBDRUS10 Index |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 82134.30021641 |
| ISO Currency Code.
|
United States Dollar
|
| Custom swap Flag |
Yes
No
|
1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index
|
Payments: fixed, floating or other.
|
Fixed
Floating
Other
|
| Payments: Fixed rate.
| 0.00000000 |
| Payments: Base currency
|
United States Dollar
|
| Payments: Amount
| 0.00000000 |
| ii. Termination or maturity date.
| 2024-09-09 |
| iii. Upfront payments or receipts |
| Upfront payments.
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| Upfront receipts.
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Notional amount.
| -449233.23000000 |
| ISO Currency Code.
| USD |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number.
| -745.63000000 |
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).
| BARCLAYS BANK PLC |
| 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.
| G5GSEF7VJP5I7OUK5573 |
| c. Title of the issue or description of the investment.
| BARCLAYS BANK PLC MTN ZERO COUPON 12/27/2024 |
| d. CUSIP (if any).
| ZF0353895 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2674350736 |
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
| 330000.00000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 321722.28000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 16.05172670691 |
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.
| |
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:
| a. Maturity date.
| 2024-12-27 |
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).
| GOLDMAN SACHS |
| 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.
| FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment.
| GOLDMAN SACHS COLLATERAL BALANCE FS FUNDS |
| d. CUSIP (if any).
| N/A |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | FSCOLLGS |
| Description of other unique identifier.
| All Others |
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
| 310000.00000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 310000.00000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 15.46686564307 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle)
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
| |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part C: Schedule of Portfolio Investments
|
|
For each investment held by the Fund and its consolidated subsidiaries,
disclose the information requested in Part C. A Fund may report
information for securities in an aggregate amount not exceeding five
percent of its total assets as miscellaneous securities in Part D in
lieu of reporting those securities in Part C, provided that the
securities so listed are not restricted, have been held for not more
than one year prior to the end of the reporting period covered by this
report, and have not been previously reported by name to the
shareholders of the Fund or to any exchange, or set forth in any
registration statement, application, or report to shareholders or
otherwise made available to the public.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Bank of America N.A. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| KD3XUN7C6T14HNAYLU02 |
| c. Title of the issue or description of the investment.
| GSG ETF TRS |
| d. CUSIP (if any).
| N/A |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | TRSISHAR3 |
| Description of other unique identifier.
| All Others |
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
| 11363.00000000 |
| Units
|
Number of contracts
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| -4204.31000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| -0.20976612223 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Derivative-equity
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
| |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Type of derivative instrument that most closely
represents the investment, selected from among the following
(forward, future, option, swaption, swap (including but not limited
to total return swaps, credit default swaps, and interest rate
swaps), warrant, other). |
Swap
|
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).
|
Counterparty Record: 1 |
| Name of counterparty. | GOLDMAN SACHS & CO. LLC |
| LEI (if any) of counterparty. | KD3XUN7C6T14HNAYLU02 |
2. If the reference instrument is an index or custom basket, and if the index’s or custom basket’s components are publicly available on a website
and are updated on that website no less frequently than quarterly, identify the index and provide the index identifier, if any. If the index’s or custom
basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the
Fund, provide a narrative description of the index. If the index’s or custom basket’s components are not publicly available in that manner, and the notional
amount of the derivative represents more than 5% of the net asset value of the Fund, provide the (i) name, (ii) identifier, (iii) number of shares or notional
amount or contract value as of the trade date (all of which would be reported as negative for short positions), and (iv) value of every component in the index
or custom basket. The identifier shall include CUSIP of the index’s or custom basket’s components, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN
are not available), or other identifier (if CUSIP, ISIN, and ticker are not available). If other identifier provided, indicate the type of identifier used.
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents greater than 1%,
but 5% or less, of the net asset value of the Fund, Funds shall report the required component information described above, but may limit reporting to the (i)
50 largest components in the index and (ii) any other components where the notional value for that components is over 1% of the notional value of the index or
custom basket.
An index or custom basket, where the components are publicly available on a website and are updated on that website no less frequently than quarterly.
| Index name.
| GSG ETF |
| Index identifier, if any.
| GSG US Equity |
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount
of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
| Custom swap Flag |
Yes
No
|
1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index
|
Payments: fixed, floating or other.
|
Fixed
Floating
Other
|
| Payments: fixed or floating
| Floating |
| Payments: Floating rate Index.
| SOFR+0.55% |
| Payments: Floating rate Spread.
| 0.55 |
| Payment: Floating Rate Reset Dates.
| Day |
| Payment: Floating Rate Reset Dates Unit.
| 1 |
| Payment: Floating Rate Tenor.
| Day |
| Payment: Floating Rate Tenor Unit.
| 1 |
| Payments: Base currency
|
United States Dollar
|
| Payments: Amount
| 0.00000000 |
| ii. Termination or maturity date.
| 2025-06-20 |
| iii. Upfront payments or receipts |
| Upfront payments.
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| Upfront receipts.
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Notional amount.
| -255894.76000000 |
| ISO Currency Code.
| USD |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number.
| -4204.31000000 |
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).
| Macquarie Bank Limited |
| 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.
| 4ZHCHI4KYZG2WVRT8631 |
| c. Title of the issue or description of the investment.
| Equity Risk Control Congestion strategy |
| d. CUSIP (if any).
| N/A |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | TMQIS311B |
| Description of other unique identifier.
| All Others |
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
| 2474.00000000 |
| Units
|
Number of contracts
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 272.39000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.013590385588 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Derivative-equity
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
| |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Type of derivative instrument that most closely
represents the investment, selected from among the following
(forward, future, option, swaption, swap (including but not limited
to total return swaps, credit default swaps, and interest rate
swaps), warrant, other). |
Swap
|
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).
|
Counterparty Record: 1 |
| Name of counterparty. | Macquarie Bank Limited |
| LEI (if any) of counterparty. | 4ZHCHI4KYZG2WVRT8631 |
2. If the reference instrument is an index or custom basket, and if the index’s or custom basket’s components are publicly available on a website
and are updated on that website no less frequently than quarterly, identify the index and provide the index identifier, if any. If the index’s or custom
basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the
Fund, provide a narrative description of the index. If the index’s or custom basket’s components are not publicly available in that manner, and the notional
amount of the derivative represents more than 5% of the net asset value of the Fund, provide the (i) name, (ii) identifier, (iii) number of shares or notional
amount or contract value as of the trade date (all of which would be reported as negative for short positions), and (iv) value of every component in the index
or custom basket. The identifier shall include CUSIP of the index’s or custom basket’s components, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN
are not available), or other identifier (if CUSIP, ISIN, and ticker are not available). If other identifier provided, indicate the type of identifier used.
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents greater than 1%,
but 5% or less, of the net asset value of the Fund, Funds shall report the required component information described above, but may limit reporting to the (i)
50 largest components in the index and (ii) any other components where the notional value for that components is over 1% of the notional value of the index or
custom basket.
An index or custom basket, where the components are publicly available on a website and are updated on that website no less frequently than quarterly.
| Index name.
| Equity Risk Control Congestion strategy |
| Index identifier, if any.
| MQIS311 Index |
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount
of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
| Narrative description.
| N/A |
For all other indices or custom baskets provide:
| i. Name.
| Macquarie QIS Index 311 |
At least one of the following other identifiers:
| Identifier.
| Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | MQIS311 INDEX |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 374567.56000000 |
| ISO Currency Code.
|
United States Dollar
|
| Custom swap Flag |
Yes
No
|
1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index
|
Payments: fixed, floating or other.
|
Fixed
Floating
Other
|
| Payments: Fixed rate.
| 0.25000000 |
| Payments: Base currency
|
United States Dollar
|
| Payments: Amount
| 0.00000000 |
| ii. Termination or maturity date.
| 2025-07-07 |
| iii. Upfront payments or receipts |
| Upfront payments.
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| Upfront receipts.
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Notional amount.
| -374295.17000000 |
| ISO Currency Code.
| USD |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number.
| 272.39000000 |
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).
| JPMORGAN SECURITIES LLC |
| 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.
| ZBUT11V806EZRVTWT807 |
| c. Title of the issue or description of the investment.
| JPM Momentum |
| d. CUSIP (if any).
| N/A |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | TJPQFMOW3 |
| Description of other unique identifier.
| All Others |
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
| 4810.00000000 |
| Units
|
Number of contracts
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2260.70000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.112793365029 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Derivative-equity
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
| |
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Type of derivative instrument that most closely
represents the investment, selected from among the following
(forward, future, option, swaption, swap (including but not limited
to total return swaps, credit default swaps, and interest rate
swaps), warrant, other). |
Swap
|
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).
|
Counterparty Record: 1 |
| Name of counterparty. | JPMORGAN SECURITIES LLC |
| LEI (if any) of counterparty. | ZBUT11V806EZRVTWT807 |
2. If the reference instrument is an index or custom basket, and if the index’s or custom basket’s components are publicly available on a website
and are updated on that website no less frequently than quarterly, identify the index and provide the index identifier, if any. If the index’s or custom
basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the
Fund, provide a narrative description of the index. If the index’s or custom basket’s components are not publicly available in that manner, and the notional
amount of the derivative represents more than 5% of the net asset value of the Fund, provide the (i) name, (ii) identifier, (iii) number of shares or notional
amount or contract value as of the trade date (all of which would be reported as negative for short positions), and (iv) value of every component in the index
or custom basket. The identifier shall include CUSIP of the index’s or custom basket’s components, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN
are not available), or other identifier (if CUSIP, ISIN, and ticker are not available). If other identifier provided, indicate the type of identifier used.
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents greater than 1%,
but 5% or less, of the net asset value of the Fund, Funds shall report the required component information described above, but may limit reporting to the (i)
50 largest components in the index and (ii) any other components where the notional value for that components is over 1% of the notional value of the index or
custom basket.
An index or custom basket, where the components are publicly available on a website and are updated on that website no less frequently than quarterly.
| Index name.
| JPM Momentum |
| Index identifier, if any.
| JPQFMOW1 Index |
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount
of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
| Narrative description.
| N/A |
For all other indices or custom baskets provide:
| i. Name.
| RENTOKIL INITIAL PLC |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00B082RF11 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -7.68593833 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2803.28569494 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| CITIZENS FINANCIAL GROUP |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US1746101054 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 74.83474996 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2696.29604127 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| ROCKWELL AUTOMATION INC |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US7739031091 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -9.94849539 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2738.62181321 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | FR0000121485 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -8.50886932 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2688.55807479 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| ARISTA NETWORKS INC |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US0404131064 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 8.34124758 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2923.44045328 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US83304A1060 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 162.95720265 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2706.71913614 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| LENNOX INTERNATIONAL INC |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US5261071071 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 5.03049850 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2691.21609031 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| MONOLITHIC POWER SYSTEMS INC |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US6098391054 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 3.24263582 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2664.40900499 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US4932671088 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 189.43084113 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2691.81225249 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| DISCOVER FINANCIAL SERVICES |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US2547091080 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -20.84433730 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2726.64776254 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| ALNYLAM PHARMACEUTICALS INC |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US02043Q1076 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -16.22298700 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -3942.18584210 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | CA6837151068 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -89.71071857 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2694.14161775 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| UIPATH INC - CLASS A |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US90364P1057 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -214.88207314 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2724.70468753 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| APPLOVIN CORP-CLASS A |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US03831W1080 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 32.86570690 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2735.08412867 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| GILEAD SCIENCES INC |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US3755581036 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -39.10867708 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2683.24633489 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| CONFLUENT INC-CLASS A |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US20717M1036 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -98.13460257 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2897.91481401 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US6792951054 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 28.51857943 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2669.62422079 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| HILTON WORLDWIDE HOLDINGS IN |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US43300A2033 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 12.34773126 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2694.27496179 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| SAMSARA INC-CL A |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US79589L1061 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 85.73888874 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2889.40055062 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| MITSUBISHI HEAVY INDUSTRIES |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | JP3900000005 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 277.02262922 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2966.86965541 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| SOFTBANK GROUP CORP |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | JP3436100006 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 41.37106367 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2671.83833685 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| PALANTIR TECHNOLOGIES INC-A |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US69608A1088 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 106.58959877 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2699.91453689 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| ATLASSIAN CORP-CL A |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US0494681010 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -15.55380403 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2751.15685703 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| CHARTER COMMUNICATIONS INC-A |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US16119P1084 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -9.16722297 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2740.63297953 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| TARGA RESOURCES CORP |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US87612G1013 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 20.99225598 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2703.38272584 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | AU000000REA9 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 9.12937064 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2691.72718257 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| EPAM SYSTEMS INC |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US29414B1044 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -14.26991346 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2684.31342224 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | DE0007164600 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 15.51761761 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2745.16838448 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US00724F1012 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -5.48479361 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -3047.02224416 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US68389X1054 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -20.48563836 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2892.57213735 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US0527691069 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -11.99853078 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2969.03644343 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US88160R1014 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -14.87027187 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2942.52939856 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| FIRST QUANTUM MINERALS LTD |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | CA3359341052 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -205.54327165 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2700.20658794 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US4448591028 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -7.21426691 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2695.61083314 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| UNITED THERAPEUTICS CORP |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US91307C1027 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 9.21874087 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2936.62990440 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US4612021034 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 4.48589979 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2948.17820284 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| LAM RESEARCH CORP |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US5128071082 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2.54279737 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2707.69778233 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| PALO ALTO NETWORKS INC |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US6974351057 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -7.89350153 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2675.97595420 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US11135F1012 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 17.40011952 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2793.58918992 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| MS&AD INSURANCE GROUP HOLDIN |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | JP3890310000 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 120.26317779 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2672.43200283 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US74736K1016 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -24.38513797 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2829.65141084 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US45784P1012 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -13.20650540 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2665.07279062 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| SNOWFLAKE INC-CLASS A |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US8334451098 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -19.75218410 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2668.32255102 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US3032501047 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1.93271768 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2877.15950949 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| SKYWORKS SOLUTIONS INC |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US83088M1027 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -26.37457587 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2811.00229720 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| KINROSS GOLD CORP |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | CA4969024047 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 322.15637291 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2682.47758422 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| INTUITIVE SURGICAL INC |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US46120E6023 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 6.07039451 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2700.41500077 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US81762P1021 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 3.57019029 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2808.56160186 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US60937P1066 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -11.33941693 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| -2834.40065700 |
| ISO Currency Code.
|
United States Dollar
|
For all other indices or custom baskets provide:
| i. Name.
| SUPER MICRO COMPUTER INC |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US86800U1043 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 3.31178906 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| 2713.51437195 |
| ISO Currency Code.
|
United States Dollar
|
| Custom swap Flag |
Yes
No
|
1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index
|
Payments: fixed, floating or other.
|
Fixed
Floating
Other
|
| Payments: Fixed rate.
| 0.00000000 |
| Payments: Base currency
|
United States Dollar
|
| Payments: Amount
| 0.00000000 |
| ii. Termination or maturity date.
| 2025-06-24 |
| iii. Upfront payments or receipts |
| Upfront payments.
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| Upfront receipts.
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Notional amount.
| -509138.50000000 |
| ISO Currency Code.
| USD |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number.
| 2260.70000000 |
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
|
