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).
| GOLDMAN SACHS INTERNATIONAL |
| 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.
| W22LROWP2IHZNBB6K528 |
| c. Title of the issue or description of the investment.
| GSCOFMR1 8/30/2024 FAMS ETRS |
| 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 | KJI385000 |
| Description of other unique identifier.
| Internal |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 371243.00000000 |
| 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.
| -611177.35000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| -0.48803559146 |
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
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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-interest rate
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| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
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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
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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 INTERNATIONAL |
| LEI (if any) of counterparty. | W22LROWP2IHZNBB6K528 |
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.
| GSCOFMR1 INDEX |
| Index identifier, if any.
| GSCOFMR1 |
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount
of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
For all other indices or custom baskets provide:
| i. Name.
| LME COPPER FUTURE SEP24 LPU24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00FP3V8068 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -25258969.79563290 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| KC HRW WHEAT FUT MAR25 KWH5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCE391000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -5.66333583 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME NICKEL FUTURE MAR25 LNH5 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H244L919 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -3106893.35602973 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME LEAD FUTURE SEP24 LLU4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H23XT736 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -12475709.11499820 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME NICKEL FUTURE APR25 LNJ5 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H245SJ33 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 3106233.38382674 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| COCOA FUTURE SEP24 CCU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYH620000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 22.82933587 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME LEAD FUTURE JAN25 LLF5 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H242D779 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 6429173.42229475 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE OCT24 CLV4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYO211000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 34527452.71917930 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME PRI ALUM FUTR SEP24 LAU24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00FP3V7Z46 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -24562360.23385410 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME ZINC FUTURE SEP24 LXU4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H23XVJ97 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -24431517.89546630 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LIVE CATTLE FUTR DEC24 LCZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JVL079000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -9.61039371 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SUGAR #11 (WORLD) FUT MAR25 SBH5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCD696000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -20.26581887 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LEAN HOGS FUTURE APR25 LHJ5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCE646000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -2.04213903 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LEAN HOGS FUTURE OCT24 LHV4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JTO868000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 13.77835791 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| NATURAL GAS FUT APR25 NGJ25 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | 48G99S227 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 25111779.03300020 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME NICKEL FUTURE SEP24 LNU4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H23XSL07 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -22851788.98100450 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME LEAD FUTURE AUG24 LLQ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KKX697000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 12463108.92722510 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SOYBEAN FUTURE NOV24 S X4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KBP061000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -12.35012282 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME NICKEL FUTURE OCT24 LNV4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H23YXK75 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 22847373.00537820 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME LEAD FUTURE DEC24 LLZ4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H2418F70 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -6425866.65948865 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| CATTLE FEEDER FUT MAR25 FCH5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KGL461000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -1.51461297 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| COTTON NO.2 FUTR DEC24 CTZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCC998000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -0.27271159 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME ZINC FUTURE OCT24 LXV4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H23Z0K92 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 24449012.42337820 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME PRI ALUM FUTR OCT24 LAV24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00FP3V9L40 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 24566785.90238960 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE SEP24 CLU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYH655000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -34529425.47007920 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME COPPER FUTURE OCT24 LPV24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00FP3V9M56 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 25258443.26037000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1TWHD92 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 34727849.59483330 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME LEAD FUTURE APR25 LLJ5 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H245T901 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2967354.78334350 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| NATURAL GAS FUT MAR25 NGH25 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | 48G99S490 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -25104181.36183770 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| KC HRW WHEAT FUT SEP24 KWU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYH634000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2.66496371 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR OCT24 COV4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KFP6QC22 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -34705324.33971590 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WHEAT FUTURE(CBT) DEC24 W Z4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCE383000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 6.67221846 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME LEAD FUTURE MAR25 LLH5 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H244M214 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -2965005.39324126 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| GASOLINE RBOB FUT SEP24 XBU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYG889000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -2.68620292 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| CATTLE FEEDER FUT JAN25 FCF5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KDS670000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.45032058 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| NY HARB ULSD FUT SEP24 HOU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | GIG540000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 11.51254332 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
| Custom swap Flag |
Yes
No
|
1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
|
Receipts: fixed, floating or other.
|
Fixed
Floating
Other
|
| Receipts: Fixed rate.
| 0.00000000 |
| Receipts: Base currency.
|
United States Dollar
|
| Receipts: Amount.
| 0.00000000 |
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.
| -0.00170000 |
| Payments: Base currency
|
United States Dollar
|
| Payments: Amount
| 0.00000000 |
| ii. Termination or maturity date.
| 2024-08-30 |
| 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.
| 43762421.83440000 |
| ISO Currency Code.
| USD |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number.
| -611177.35000000 |
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.
| B4TYDEB6GKMZO031MB27 |
| c. Title of the issue or description of the investment.
| BABXFMR2 8/30/2024 FAMS ETRS |
| 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 | KJI391000 |
| Description of other unique identifier.
| Internal |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 34043.00000000 |
| 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.
| 985750.83000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.787138936604 |
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-interest rate
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Type of derivative instrument that most closely
represents the investment, selected from among the following
(forward, future, option, swaption, swap (including but not limited
to total return swaps, credit default swaps, and interest rate
swaps), warrant, other). |
Swap
|
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).
|
Counterparty Record: 1 |
| Name of counterparty. | BANK OF AMERICA, N.A. |
| LEI (if any) of counterparty. | B4TYDEB6GKMZO031MB27 |
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.
| BABXFMR2 INDEX |
| Index identifier, if any.
| BABXFMR2 |
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount
of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
For all other indices or custom baskets provide:
| i. Name.
| SOYBEAN OIL FUTR JAN25 BOF5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCC310000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 6458740.08900000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| NY HARB ULSD FUT NOV24 HOX4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | GIG539000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 4308788.46700000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SOYBEAN FUTURE JAN25 S F5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCE385000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 10526640.28800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| COFFEE 'C' FUTURE DEC24 KCZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCD583000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 8231971.87300000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SOYBEAN OIL FUTR DEC24 BOZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCC309000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -6458740.08900000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| NATURAL GAS FUT NOV24 NGX24 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | 43W99D231 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -13421520.83600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SOYBEAN MEAL FUTR DEC24 SMZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | GJC167000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -6680904.70700000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| GASOLINE RBOB FUT NOV24 XBX4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KBB936000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 5288273.66300000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| COFFEE 'C' FUTURE SEP24 KCU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYN519000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -8231971.87300000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE SEP24 CLU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYH655000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -32606555.61500000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME PRI ALUM FUTR SEP24 LAU24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00FP3V7Z46 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -8718446.34300000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME ZINC FUTURE NOV24 LXX4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H2407S03 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 5555953.77200000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SOYBEAN FUTURE NOV24 S X4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KBP061000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -10526640.28800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LOW SU GASOIL G FUT SEP24 QSU4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H208PW83 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -5829148.84700000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SUGAR #11 (WORLD) FUT MAR25 SBH5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCD696000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| NATURAL GAS FUT DEC24 NGZ24 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | 43W99D249 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 13421520.83600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| KC HRW WHEAT FUT DEC24 KWZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JKH346000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 3493730.96100000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME COPPER FUTURE NOV24 LPX24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00FP3VHK96 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 12462121.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME ZINC FUTURE SEP24 LXU4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H23XVJ97 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -5555953.77200000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME PRI ALUM FUTR NOV24 LAX24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00FP3VHJ81 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 8718446.34300000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| COTTON NO.2 FUTR DEC24 CTZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCC998000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -2985673.22900000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| COTTON NO.2 FUT MAR25 CTH5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCC999000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2985673.22900000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| KC HRW WHEAT FUT SEP24 KWU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYH634000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -3493730.96100000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE NOV24 CLX4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KAU406000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 32606555.61500000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME NICKEL FUTURE NOV24 LNX4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H2405J71 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 5531034.29600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WHEAT FUTURE(CBT) SEP24 W U4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYH650000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -5255728.55500000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME COPPER FUTURE SEP24 LPU24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00FP3V8068 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -12462121.01000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME LEAD FUTURE SEP24 LLU4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H23XT736 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -1843394.40700000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LEAN HOGS FUTURE DEC24 LHZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCE648000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -4174931.39100000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME NICKEL FUTURE SEP24 LNU4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H23XSL07 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -5531034.29600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME LEAD FUTURE NOV24 LLX4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H2406830 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1843394.40700000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| GASOLINE RBOB FUT SEP24 XBU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYG889000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -5288273.66300000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LIVE CATTLE FUTR OCT24 LCV4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JTD192000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -8347615.94400000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SOYBEAN MEAL FUTR JAN25 SMF5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JOW388000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 6680904.70700000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LEAN HOGS FUTURE FEB25 LHG5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCE647000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 4174931.39100000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| CORN FUTURE DEC24 C Z4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCC993000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 10473192.77800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WHEAT FUTURE(CBT) DEC24 W Z4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCE383000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 5255728.55500000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LOW SU GASOIL G FUT NOV24 QSX4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H208PY08 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 5829148.84700000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| CORN FUTURE SEP24 C U4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYH632000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -10473192.77800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| NY HARB ULSD FUT SEP24 HOU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | GIG540000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -4308788.46700000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LIVE CATTLE FUTR FEB25 LCG5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCE644000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 8347615.94400000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
| Custom swap Flag |
Yes
No
|
1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
|
Receipts: fixed, floating or other.
|
Fixed
Floating
Other
|
| Receipts: Fixed rate.
| 0.00000000 |
| Receipts: Base currency.
|
United States Dollar
|
| Receipts: Amount.
| 0.00000000 |
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.
| 0.01140000 |
| Payments: Base currency
|
United States Dollar
|
| Payments: Amount
| 0.00000000 |
| ii. Termination or maturity date.
| 2024-08-30 |
| 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.
| 40957814.16000000 |
| ISO Currency Code.
| USD |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number.
| 985750.83000000 |
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 CHASE BANK NA NEW YORK NY |
| 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.
| 7H6GLXDRUGQFU57RNE97 |
| c. Title of the issue or description of the investment.
| JCOPFMR1 8/30/2024 FAMS ETRS |
| 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 | KJI388000 |
| Description of other unique identifier.
| Internal |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 236770.00000000 |
| 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.
| -928493.56000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| -0.74141802494 |
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-interest rate
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Type of derivative instrument that most closely
represents the investment, selected from among the following
(forward, future, option, swaption, swap (including but not limited
to total return swaps, credit default swaps, and interest rate
swaps), warrant, other). |
Swap
|
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).
|
Counterparty Record: 1 |
| Name of counterparty. | JPMORGAN CHASE BANK NA NEW YORK NY |
| LEI (if any) of counterparty. | 7H6GLXDRUGQFU57RNE97 |
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.
| JCOPFMR1 INDEX |
| Index identifier, if any.
| JCOPFMR1 |
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount
of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
For all other indices or custom baskets provide:
| i. Name.
| SOYBEAN FUTURE NOV24 S X4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KBP061000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -1586398.52690706 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME NICKEL FUTURE SEP24 LNU4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H23XSL07 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -3515381.44621862 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| COFFEE 'C' FUTURE SEP24 KCU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYN519000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -596054.92134285 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE SEP24 CLU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYH655000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 550038.83997796 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SUGAR #11 (WORLD) FUT OCT24 SBV4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KAC009000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME COPPER FUTURE SEP24 LPU24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00FP3V8068 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -1470046.48667580 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| COTTON NO.2 FUTR DEC24 CTZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCC998000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 6136229.96974696 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME PRI ALUM FUTR SEP24 LAU24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00FP3V7Z46 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -1987769.69623220 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| NY HARB ULSD FUT SEP24 HOU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | GIG540000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 21395.12656561 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| CORN FUTURE SEP24 C U4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYH632000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 4129366.23774501 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME ZINC FUTURE SEP24 LXU4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H23XVJ97 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 3485893.07502341 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| GASOLINE RBOB FUT SEP24 XBU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYG889000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -6767804.12736303 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME LEAD FUTURE SEP24 LLU4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H23XT736 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 3517310.49150791 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LIVE CATTLE FUTR OCT24 LCV4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JTD192000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1436463.46418537 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LEAN HOGS FUTURE OCT24 LHV4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JTO868000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2226379.19291974 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WHEAT FUTURE(CBT) SEP24 W U4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYH650000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2284198.22137734 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
| Custom swap Flag |
Yes
No
|
1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
|
Receipts: fixed, floating or other.
|
Fixed
Floating
Other
|
| Receipts: Fixed rate.
| 0.00000000 |
| Receipts: Base currency.
|
United States Dollar
|
| Receipts: Amount.
| 0.00000000 |
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.
| 0.00450000 |
| Payments: Base currency
|
United States Dollar
|
| Payments: Amount
| 0.00000000 |
| ii. Termination or maturity date.
| 2024-08-30 |
| 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.
| 72612505.21500000 |
| ISO Currency Code.
| USD |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number.
| -928493.56000000 |
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 LTD |
| 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.
| MQCP012F 8/30/2024 FAMS ETRS |
| 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 | KJI403000 |
| Description of other unique identifier.
| Internal |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 95668.00000000 |
| 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.
| 357243.97000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.285265434322 |
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-interest rate
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
AUSTRALIA
|
| 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 LTD |
| 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.
| MQCP012F INDEX |
| Index identifier, if any.
| MQCP012F |
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount
of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
For all other indices or custom baskets provide:
| i. Name.
| COTTON NO.2 FUTR DEC24 CTZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCC998000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2334591.06413070 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| CORN FUTURE SEP24 C U4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYH632000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -2317216.46436594 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| RED WHEAT FUT MGE SEP24 MWU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JOW412000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2341461.44930977 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| GASOLINE RBOB FUT SEP24 XBU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYG889000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2452128.31991536 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME LEAD FUTURE SEP24 LLU4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H23XT736 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -2419508.62357120 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WHITE SUGAR (ICE) FUT OCT24 QWV4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KFPXMJ29 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2337810.15708429 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME COPPER FUTURE SEP24 LPU24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00FP3V8068 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2608773.56746699 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| COCOA FUTURE SEP24 CCU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYH620000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -3130837.54407643 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR OCT24 COV4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KFP6QC22 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2437047.16169238 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SUGAR #11 (WORLD) FUT OCT24 SBV4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KAC009000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2331384.44720107 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME TIN FUTURE SEP24 LTU4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H25SJW18 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2078020.34132981 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| FCOJ-A FUTURE SEP24 JOU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JOW398000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -756898.52309692 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SOYBEAN FUTURE NOV24 S X4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KBP061000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2356421.92751587 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME NICKEL FUTURE SEP24 LNU4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H23XSL07 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -2432143.60456662 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME ZINC FUTURE SEP24 LXU4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H23XVJ97 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -2393285.14505698 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WHEAT FUTURE(CBT) SEP24 W U4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYH650000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -2368138.56140608 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LEAN HOGS FUTURE OCT24 LHV4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JTO868000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -2389737.43722285 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| COFFEE 'C' FUTURE SEP24 KCU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYN519000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -3126039.11383503 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SOYBEAN OIL FUTR DEC24 BOZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCC309000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2377132.79870491 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LOW SU GASOIL G FUT SEP24 QSU4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H208PW83 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -2416139.72162434 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME PRI ALUM FUTR SEP24 LAU24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00FP3V7Z46 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2611499.62896178 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| NY HARB ULSD FUT SEP24 HOU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | GIG540000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -2432967.12049182 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| KC HRW WHEAT FUT SEP24 KWU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYH634000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -2348194.68891814 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SILVER FUTURE SEP24 SIU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYV237000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -2387617.02754226 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| GOLD 100 OZ FUTR DEC24 GCZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCD706000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2373794.78255373 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LIVE CATTLE FUTR OCT24 LCV4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JTD192000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2343810.65075400 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
| Custom swap Flag |
Yes
No
|
1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
|
Receipts: fixed, floating or other.
|
Fixed
Floating
Other
|
| Receipts: Fixed rate.
| 0.00000000 |
| Receipts: Base currency.
|
United States Dollar
|
| Receipts: Amount.
| 0.00000000 |
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.
| 0.00450000 |
| Payments: Base currency
|
United States Dollar
|
| Payments: Amount
| 0.00000000 |
| ii. Termination or maturity date.
| 2024-08-30 |
| 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.
| 30300849.10560000 |
| ISO Currency Code.
| USD |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number.
| 357243.97000000 |
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).
| UST BILLS |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 254900HROIFWPRGM1V77 |
| c. Title of the issue or description of the investment.
| UST BILLS 0% 09/12/2024 |
| d. CUSIP (if any).
| 912797KK2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US912797KK23 |
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
| 111800000.00000000 |
| 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.
| 111111067.16000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 88.72409191814 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
U.S. Treasury
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2024-09-12 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part C: Schedule of Portfolio Investments
|
|
For each investment held by the Fund and its consolidated subsidiaries,
disclose the information requested in Part C. A Fund may report
information for securities in an aggregate amount not exceeding five
percent of its total assets as miscellaneous securities in Part D in
lieu of reporting those securities in Part C, provided that the
securities so listed are not restricted, have been held for not more
than one year prior to the end of the reporting period covered by this
report, and have not been previously reported by name to the
shareholders of the Fund or to any exchange, or set forth in any
registration statement, application, or report to shareholders or
otherwise made available to the public.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| 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.
| B4TYDEB6GKMZO031MB27 |
| c. Title of the issue or description of the investment.
| BABXFMR3 8/30/2024 FAMS ETRS |
| 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 | KJI415000 |
| Description of other unique identifier.
| Internal |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 324218.00000000 |
| 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.
| -126794.94000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| -0.10124793325 |
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-interest rate
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Type of derivative instrument that most closely
represents the investment, selected from among the following
(forward, future, option, swaption, swap (including but not limited
to total return swaps, credit default swaps, and interest rate
swaps), warrant, other). |
Swap
|
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).
|
Counterparty Record: 1 |
| Name of counterparty. | BANK OF AMERICA, N.A. |
| LEI (if any) of counterparty. | B4TYDEB6GKMZO031MB27 |
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.
| BABXFMR3 INDEX |
| Index identifier, if any.
| BABXFMR3 |
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount
of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE DEC24 CLZ4 PUT 57 11/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KMK627000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1621.09000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE DEC24 CLZ4 CALL 104 11/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KMF271000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 972.65400000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR DEC24 COZ4 CALL 118 10/28/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKWV0D44 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 324.21800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE OCT24 CLV4 CALL 93 09/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KKP879000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE NOV24 CLX4 PUT 55 10/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KKW450000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 CALL 100 09/25/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KFP6R074 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR OCT24 COV4 CALL 115 08/27/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW6TJ85 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE OCT24 CLV4 CALL 94 09/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KKR280000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR JAN25 COF5 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1TWHB78 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 18804.64400000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 CALL 99 09/25/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW6MW28 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE NOV24 CLX4 CALL 100 10/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KKW448000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1945.30800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE SEP24 CLU4 PUT 60 08/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KHD703000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE SEP24 CLU4 CALL 111 08/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KII656000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 PUT 60 09/25/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1VQ4Z03 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE SEP24 CLU4 CALL 123 08/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KHI224000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR DEC24 COZ4 PUT 62 10/28/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1VQ4D82 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 7132.79600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE SEP24 CLU4 CALL 117 08/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KHJ105000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR DEC24 COZ4 PUT 64 10/28/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1Z6JB79 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 11347.63000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR OCT24 COV4 PUT 61 08/27/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1VPXL63 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 CALL 103 09/25/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW6LR00 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 972.65400000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR DEC24 COZ4 PUT 61 10/28/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1VQ4B68 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 3242.18000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR OCT24 COV4 PUT 64 08/27/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1Z6J622 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 CALL 104 09/25/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW6V039 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 324.21800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR DEC24 COZ4 CALL 112 10/28/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW6VY74 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 324.21800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1TWHD92 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -5835.92400000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE SEP24 CLU4 CALL 121 08/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KHG963000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| CRUDE OIL PUT 53 11/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KNO386000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1296.87200000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE OCT24 CLV4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYO211000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -12644.50200000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE SEP24 CLU4 CALL 100 08/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KJD576000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 324.21800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE OCT24 CLV4 PUT 57 09/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KJP271000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1945.30800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE SEP24 CLU4 CALL 110 08/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KIL855000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE OCT24 CLV4 CALL 101 09/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KJY455000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE DEC24 CLZ4 PUT 58 11/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KMF252000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 9078.10400000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE OCT24 CLV4 CALL 95 09/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KKP105000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1621.09000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 PUT 65 09/25/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00F77B7432 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 CALL 108 09/25/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW6V369 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 324.21800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR JAN25 COF5 PUT 57 11/26/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1VQG095 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2593.74400000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE NOV24 CLX4 PUT 61 10/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KLV095000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 5835.92400000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE NOV24 CLX4 CALL 101 10/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KLG871000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1621.09000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE NOV24 CLX4 CALL 104 10/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KLO763000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE SEP24 CLU4 PUT 58 08/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KHJ106000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR DEC24 COZ4 CALL 109 10/28/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00K43ZBC97 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 324.21800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE OCT24 CLV4 CALL 99 09/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KKF969000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1296.87200000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE DEC24 CLZ4 CALL 97 11/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KNJ827000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1621.09000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR DEC24 COZ4 CALL 113 10/28/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW6VZ81 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR JAN25 COF5 PUT 58 11/26/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1VQG103 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 3890.61600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR OCT24 COV4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1TWLY83 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 30800.71000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR DEC24 COZ4 CALL 105 10/28/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00K6YKVF07 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 CALL 107 09/25/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW6V252 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1296.87200000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 PUT 58 09/25/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1VQ4W71 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 972.65400000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR DEC24 COZ4 CALL 111 10/28/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW6VX67 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 972.65400000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR DEC24 COZ4 CALL 107 10/28/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW6VV44 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1621.09000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR JAN25 COF5 CALL 104 11/26/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW4WK48 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE DEC24 CLZ4 CALL 101 11/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KMS032000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE DEC24 CLZ4 CALL 99 11/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KMV068000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2269.52600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE SEP24 CLU4 CALL 124 08/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KHH640000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE NOV24 CLX4 PUT 57 10/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KKY514000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1945.30800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE NOV24 CLX4 CALL 102 10/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KLH918000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 972.65400000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE NOV24 CLX4 CALL 108 10/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KLT493000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE SEP24 CLU4 CALL 107 08/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KJA276000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR DEC24 COZ4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1TWHG24 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 241218.19200000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR OCT24 COV4 PUT 62 08/27/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1VPXN87 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1621.09000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR OCT24 COV4 CALL 106 08/27/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW6T876 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR JAN25 COF5 PUT 56 11/26/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1VQFZ76 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2269.52600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE SEP24 CLU4 CALL 101 08/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KJC477000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE NOV24 CLX4 CALL 107 10/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KLP797000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE NOV24 CLX4 CALL 105 10/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KMB055000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 324.21800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 PUT 61 09/25/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1VQ5131 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1621.09000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR OCT24 COV4 PUT 63 08/27/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1Z1GW23 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 972.65400000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR DEC24 COZ4 CALL 104 10/28/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW6VS15 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1296.87200000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR OCT24 COV4 CALL 108 08/27/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW6TB00 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR JAN25 COF5 CALL 105 11/26/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KHLMPN25 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2269.52600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE DEC24 CLZ4 CALL 102 11/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KMQ334000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE SEP24 CLU4 CALL 120 08/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KHD704000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE DEC24 CLZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KBU160000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 95644.31000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 CALL 106 09/25/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW6V146 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1621.09000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 CALL 102 09/25/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW6TZ44 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2269.52600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE DEC24 CLZ4 PUT 54 11/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KMV067000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 3890.61600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE NOV24 CLX4 PUT 58 10/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KLE866000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 972.65400000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR OCT24 COV4 CALL 113 08/27/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW6TG54 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR DEC24 COZ4 CALL 110 10/28/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00K8W0DG16 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1296.87200000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE SEP24 CLU4 PUT 59 08/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KIF860000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR OCT24 COV4 CALL 118 08/27/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00LXNF7Y52 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 324.21800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE DEC24 CLZ4 PUT 55 11/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KMQ338000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 5511.70600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 PUT 62 09/25/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1VQ5354 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1296.87200000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR DEC24 COZ4 CALL 115 10/28/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00K8W0DH23 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 972.65400000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE SEP24 CLU4 PUT 61 08/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KHI223000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE NOV24 CLX4 CALL 111 10/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KLV096000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 324.21800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR DEC24 COZ4 CALL 106 10/28/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW6VT22 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1621.09000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE OCT24 CLV4 CALL 100 09/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KKH846000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 324.21800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR JAN25 COF5 CALL 102 11/26/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW4WH19 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 972.65400000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR OCT24 COV4 CALL 120 08/27/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW6TK90 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE OCT24 CLV4 PUT 54 09/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KKP104000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE DEC24 CLZ4 CALL 105 11/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KMJ077000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 972.65400000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE DEC24 CLZ4 CALL 98 11/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KNI341000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 PUT 63 09/25/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1Z1GY47 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1296.87200000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR OCT24 COV4 CALL 107 08/27/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW6T983 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1296.87200000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE SEP24 CLU4 CALL 115 08/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KIF859000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE OCT24 CLV4 PUT 53 09/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KKP878000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 324.21800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE OCT24 CLV4 PUT 58 09/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KKH025000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 324.21800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE NOV24 CLX4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KAU406000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 189343.31200000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE NOV24 CLX4 PUT 56 10/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KKX291000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1621.09000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE NOV24 CLX4 PUT 60 10/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KLP765000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2593.74400000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE OCT24 CLV4 PUT 56 09/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KJO286000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2593.74400000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE SEP24 CLU4 CALL 105 08/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KJB463000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 0.00000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR DEC24 COZ4 CALL 108 10/28/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW6VW50 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE NOV24 CLX4 CALL 103 10/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KLN635000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 972.65400000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE DEC24 CLZ4 CALL 103 11/15/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KMJ947000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1296.87200000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 PUT 57 09/25/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1VQ4V64 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR JAN25 COF5 CALL 106 11/26/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW4WL54 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE OCT24 CLV4 CALL 103 09/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KJO287000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1296.87200000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE NOV24 CLX4 PUT 62 10/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KLW972000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 4863.27000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE SEP24 CLU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYH655000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 37609.28800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE OCT24 CLV4 PUT 55 09/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KJQ035000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1296.87200000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 CALL 101 09/25/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW6MX35 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1945.30800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 PUT 59 09/25/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1VQ4X88 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2917.96200000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE OCT24 CLV4 CALL 102 09/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KJR115000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE OCT24 CLV4 CALL 104 09/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KJW057000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 324.21800000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE NOV24 CLX4 PUT 59 10/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KLG868000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 7132.79600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR DEC24 COZ4 PUT 63 10/28/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1Z1H072 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 3890.61600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR JAN25 COF5 CALL 103 11/26/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00KKW4WJ33 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 972.65400000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE NOV24 CLX4 CALL 99 10/17/2024 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KLA203000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1296.87200000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR DEC24 COZ4 PUT 65 10/28/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00F77B7655 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 4863.27000000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 PUT 64 09/25/2024 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1Z6J846 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 648.43600000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
| Custom swap Flag |
Yes
No
|
1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
|
Receipts: fixed, floating or other.
|
Fixed
Floating
Other
|
| Receipts: Fixed rate.
| 0.00000000 |
| Receipts: Base currency.
|
United States Dollar
|
| Receipts: Amount.
| 0.00000000 |
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.
| 0.00150000 |
| Payments: Base currency
|
United States Dollar
|
| Payments: Amount
| 0.00000000 |
| ii. Termination or maturity date.
| 2024-08-30 |
| 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.
| 30726950.40500000 |
| ISO Currency Code.
| USD |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number.
| -126794.94000000 |
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.
| BXIIFMR1 8/30/2024 FAMS ETRS |
| 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 | KJI382000 |
| Description of other unique identifier.
| Internal |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 65210.00000000 |
| 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.
| 159744.94000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.127559073117 |
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-interest rate
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Type of derivative instrument that most closely
represents the investment, selected from among the following
(forward, future, option, swaption, swap (including but not limited
to total return swaps, credit default swaps, and interest rate
swaps), warrant, other). |
Swap
|
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).
|
Counterparty Record: 1 |
| Name of counterparty. | BARCLAYS BANK PLC |
| LEI (if any) of counterparty. | G5GSEF7VJP5I7OUK5573 |
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.
| BXIIFMR1 INDEX |
| Index identifier, if any.
| BXIIFMR1 |
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount
of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
For all other indices or custom baskets provide:
| i. Name.
| GASOLINE RBOB FUT SEP24 XBU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYG889000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -923761.18479700 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| COPPER FUTURE DEC24 HGZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KBW306000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1278823.52680454 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LIVE CATTLE FUTR DEC24 LCZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JVL079000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1194851.93357684 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| COTTON NO.2 FUTR DEC24 CTZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCC998000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -859972.23766087 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE JAN25 CLF5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCC909000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1030591.71173669 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME NICKEL FUTURE SEP24 LNU4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H23XSL07 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -979644.03455906 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| NY HARB ULSD FUT SEP24 HOU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | GIG540000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -907359.71571042 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SILVER FUTURE SEP24 SIU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYV237000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 851673.29072784 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LEAN HOGS FUTURE OCT24 LHV4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JTO868000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -864072.60493252 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME PRI ALUM FUTR SEP24 LAU24 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00FP3V7Z46 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -1176731.74766981 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME COPPER FUTURE JAN25 LPF25 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00FP3XSH96 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1404437.17328200 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LME ZINC FUTURE JAN25 LXF5 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H242FX74 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 888183.74661369 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| GOLD 100 OZ FUTR DEC24 GCZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCD706000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1812779.73672349 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| NATURAL GAS FUT SEP24 NGU24 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | 37P99K995 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -342466.60302338 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| KC HRW WHEAT FUT SEP24 KWU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYH634000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -688444.29897996 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LIVE CATTLE FUTR OCT24 LCV4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JTD192000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -611543.99781354 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WHEAT FUTURE(CBT) SEP24 W U4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYH650000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -718644.60882501 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SOYBEAN OIL FUTR DEC24 BOZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCC309000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -829943.79949787 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1TWHD92 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -1011784.03910148 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SOYBEAN MEAL FUTR DEC24 SMZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | GJC167000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -1063541.96849446 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SUGAR #11 (WORLD) FUT OCT24 SBV4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KAC009000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -849537.17125100 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| CORN FUTURE SEP24 C U4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYH632000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -1092244.53939598 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SOYBEAN FUTURE NOV24 S X4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KBP061000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -1286950.60205553 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| COCOA FUTURE DEC24 CCZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCD581000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 389510.33770884 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LOW SU GASOIL G FUT SEP24 QSU4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H208PW83 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -907826.22456169 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| COFFEE 'C' FUTURE DEC24 KCZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCD583000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 799473.40558103 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
| Custom swap Flag |
Yes
No
|
1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
|
Receipts: fixed, floating or other.
|
Fixed
Floating
Other
|
| Receipts: Fixed rate.
| 0.00000000 |
| Receipts: Base currency.
|
United States Dollar
|
| Receipts: Amount.
| 0.00000000 |
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.
| -0.00150000 |
| Payments: Base currency
|
United States Dollar
|
| Payments: Amount
| 0.00000000 |
| ii. Termination or maturity date.
| 2024-08-30 |
| 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.
| 24393352.49800000 |
| ISO Currency Code.
| USD |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number.
| 159744.94000000 |
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).
| Fidelity SAI Alternative Risk Premia Commodity Strategy Fund Cayman Ltd. |
| 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.
| Fidelity SAI Alternative Risk Premia Commodity Strategy Fund Cayman Ltd. |
| d. CUSIP (if any).
| 31606V120 |
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 | KBI294000 |
| Description of other unique identifier.
| Internal |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3496333.13100000 |
| Units
|
Number of shares
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 28914674.99000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 23.08886366739 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Equity-common
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Registered fund
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| 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).
| Fidelity Revere Street Trust |
| 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.
| 549300BDV45LJNXBZC55 |
| c. Title of the issue or description of the investment.
| Fidelity Cash Central Fund |
| d. CUSIP (if any).
| 31635A105 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US31635A1051 |
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
| 12951420.41400000 |
| Units
|
Number of shares
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 12954010.70000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 10.34399961617 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle)
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Registered fund
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part C: Schedule of Portfolio Investments
|
|
For each investment held by the Fund and its consolidated subsidiaries,
disclose the information requested in Part C. A Fund may report
information for securities in an aggregate amount not exceeding five
percent of its total assets as miscellaneous securities in Part D in
lieu of reporting those securities in Part C, provided that the
securities so listed are not restricted, have been held for not more
than one year prior to the end of the reporting period covered by this
report, and have not been previously reported by name to the
shareholders of the Fund or to any exchange, or set forth in any
registration statement, application, or report to shareholders or
otherwise made available to the public.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| UBS 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.
| BFM8T61CT2L1QCEMIK50 |
| c. Title of the issue or description of the investment.
| UBCMFMR1 8/30/2024 FAMS ETRS |
| 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 | KJI412000 |
| Description of other unique identifier.
| Internal |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 288200.00000000 |
| 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.
| 1380549.10000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 1.102392123275 |
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-interest rate
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
SWITZERLAND
|
| 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. | UBS AG |
| LEI (if any) of counterparty. | BFM8T61CT2L1QCEMIK50 |
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.
| UBCMFMR1 INDEX |
| Index identifier, if any.
| UBCMFMR1 |
If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount
of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
For all other indices or custom baskets provide:
| i. Name.
| NATURAL GAS FUT MAR25 NGH25 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | 48G99S490 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2772149.17269840 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE SEP24 CLU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYH655000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1825049.19863200 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LEAN HOGS FUTURE DEC24 LHZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCE648000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1177126.74815560 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LIVE CATTLE FUTR OCT24 LCV4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JTD192000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 3606676.39266000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SOYBEAN MEAL FUTR DEC24 SMZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | GJC167000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -5295132.44044400 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SOYBEAN FUTURE NOV24 S X4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KBP061000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -7055590.08215600 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LEAN HOGS FUTURE FEB25 LHG5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCE647000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 590249.02936340 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| GASOLINE RBOB FUT MAR25 XBH5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KBW800000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -3073508.87982600 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WHEAT FUTURE(CBT) DEC24 W Z4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCE383000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2423288.55627980 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WHEAT FUTURE(CBT) MAR25 W H5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCE377000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1212954.43606040 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| GASOLINE RBOB FUT SEP24 XBU4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYG889000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 9220341.81970000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SOYBEAN MEAL FUTR JAN25 SMF5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JOW388000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 3532536.32879400 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| GASOLINE RBOB FUT JAN25 XBF5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | GIG541000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -6152792.96198600 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR MAY25 COK5 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H47KC530 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -1820319.44785020 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR JAN25 COF5 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1TWHB78 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -3642834.16928200 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LIVE CATTLE FUTR DEC24 LCZ4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JVL079000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -2410319.83410460 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SOYBEAN FUTURE JAN25 S F5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCE385000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 4712268.90987600 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| BRENT CRUDE FUTR NOV24 COX4 |
At least one of the following other identifiers:
| Identifier.
| ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | GB00H1TWHD92 |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 5456061.25981400 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SOYBEAN FUTURE MAR25 S H5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JMN853000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 2363477.74511420 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LIVE CATTLE FUTR FEB25 LCG5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCE644000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -1207427.75089200 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| NATURAL GAS FUT SEP24 NGU24 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | 37P99K995 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -8263950.13699200 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| LEAN HOGS FUTURE OCT24 LHV4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JTO868000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -1754234.01199420 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| NATURAL GAS FUT JAN25 NGF25 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | 48G99S631 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 5553076.99694000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WHEAT FUTURE(CBT) SEP24 W U4 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JYH650000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -3637758.35918000 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| SOYBEAN MEAL FUTR MAR25 SMH5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | JOW414000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| 1767545.57861860 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE MAR25 CLH5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCC911000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -609072.69420140 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
For all other indices or custom baskets provide:
| i. Name.
| WTI CRUDE FUTURE JAN25 CLF5 |
At least one of the following other identifiers:
| Identifier.
| Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | KCC909000 |
| Description of other identifier.
| Internal |
| iii. Number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions).
| -1218654.06630220 |
| ISO Currency Code.
|
United States Dollar
|
| iv. Value.
| N/A |
| ISO Currency Code.
|
N/A
|
| Custom swap Flag |
Yes
No
|
1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
|
Receipts: fixed, floating or other.
|
Fixed
Floating
Other
|
| Receipts: Fixed rate.
| 0.00000000 |
| Receipts: Base currency.
|
United States Dollar
|
| Receipts: Amount.
| 0.00000000 |
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.
| 0.00400000 |
| Payments: Base currency
|
United States Dollar
|
| Payments: Amount
| 0.00000000 |
| ii. Termination or maturity date.
| 2024-08-30 |
| 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.
| 53858816.00000000 |
| ISO Currency Code.
| USD |
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number.
| 1380549.10000000 |
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
|
