|
2026 Quarterly Report
(Unaudited)
|
|
BlackRock ETF Trust
|
|
• iShares Systematic Alternatives Active ETF | IALT | NASDAQ
|
|
|
|
Not FDIC Insured • May Lose Value • No Bank Guarantee
|
|
Security
|
Shares
|
Value
|
|
Common Stocks
|
||
|
Diversified Telecommunication Services — 0.2%
|
||
|
Space Exploration Technologies Corp., Class A(a)(b)
|
76,383
|
$8,277,626
|
|
Total Common Stocks — 0.2%
(Cost $10,274,187)
|
8,277,626
|
|
|
Grantor Trust
|
||
|
Financial Services — 0.0%
|
||
|
iShares Bitcoin Trust ETF(a)
|
14,216
|
506,658
|
|
Total Grantor Trust — 0.0%
(Cost $506,622)
|
506,658
|
|
|
Investment Companies
|
||
|
Domestic Equity — 0.0%
|
||
|
iShares Ethereum Trust ETF(a)
|
38,217
|
537,713
|
|
Total Investment Companies — 0.0%
(Cost $503,351)
|
537,713
|
|
|
Total Long-Term Investments — 0.2%
(Cost: $11,284,160)
|
9,321,997
|
|
|
|
Par
(000
)
|
|
|
Short-Term Securities
|
||
|
U.S. Treasury Obligations — 91.2%
|
||
|
U.S. Treasury Bills
|
|
|
|
3.63%, 09/03/26(c)
|
116,259
|
115,894,464
|
|
3.66%, 08/13/26(c)
|
150,000
|
149,849,791
|
|
3.68%, 08/04/26(c)
|
85,645
|
85,636,124
|
|
3.68%, 08/11/26(c)
|
100,000
|
99,919,852
|
|
3.70%, 10/22/26(c)
|
100,528
|
99,705,566
|
|
3.71%, 08/20/26(c)
|
100,000
|
99,829,528
|
|
3.71%, 04/15/27(c)
|
1,124,538
|
1,094,175,894
|
|
Security
|
Par
(000)
|
Value
|
|
U.S. Treasury Obligations (continued)
|
||
|
3.75%, 09/22/26(c)
|
100,000
|
$99,488,389
|
|
3.75%, 10/06/26(c)
|
68,073
|
67,629,786
|
|
3.76%, 09/24/26(b)(c)
|
105,682
|
105,117,907
|
|
3.76%, 10/01/26(c)
|
101,019
|
100,411,134
|
|
3.77%, 10/08/26(c)
|
150,000
|
148,989,145
|
|
3.85%, 10/20/26(c)
|
715,039
|
709,347,587
|
|
4.00%, 08/06/26(c)
|
66,713
|
66,692,486
|
|
4.00%, 08/18/26(c)
|
100,000
|
99,849,687
|
|
4.00%, 08/25/26(c)
|
138,435
|
138,130,742
|
|
4.00%, 09/10/26(c)
|
230,000
|
229,118,716
|
|
4.00%, 09/15/26(c)
|
150,000
|
149,350,072
|
|
4.00%, 09/17/26(c)
|
212,600
|
211,627,993
|
|
4.00%, 10/15/26(c)
|
50,000
|
49,626,666
|
|
4.00%, 11/05/26(b)(c)
|
150,000
|
148,546,760
|
|
4.00%, 11/10/26(c)
|
14,665
|
14,515,622
|
|
4.00%, 11/17/26(c)
|
64,435
|
63,725,230
|
|
4.00%, 11/19/26(c)
|
50,000
|
49,442,060
|
|
4.00%, 12/10/26(c)
|
50,000
|
49,326,405
|
|
4.00%, 12/17/26(c)
|
50,000
|
49,290,722
|
|
4.00%, 01/14/27(c)
|
121,651
|
119,557,025
|
|
4.00%, 01/21/27(c)
|
140,590
|
138,038,433
|
|
4.00%, 02/18/27(b)(c)
|
86,244
|
84,450,947
|
|
4.00%, 03/18/27(b)(c)
|
86,126
|
84,087,154
|
|
4.00%, 05/13/27(c)
|
155,005
|
150,369,904
|
|
Total Short-Term Securities — 91.2%
(Cost: $4,871,772,088)
|
4,871,741,791
|
|
|
Total Investments — 91.4%
(Cost: $4,883,056,248)
|
4,881,063,788
|
|
|
Other Assets Less Liabilities — 8.6%
|
461,645,286
|
|
|
Net Assets — 100.0%
|
$5,342,709,074
|
|
|
(a)
|
Non-income producing security.
|
|
(b)
|
All or a portion of this security is on loan.
|
|
(c)
|
Rates are discount rates or a range of discount rates as of period end.
|
|
Affiliated Issuer
|
Value at
04/30/26
|
Purchases
at Cost
|
Proceeds
from Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation
(Depreciation)
|
Value at
07/31/26
|
Shares
Held at
07/31/26
|
Income
|
Capital
Gain
Distributions
from
Underlying
Funds
|
|
BlackRock Cash Funds: Treasury, SL Agency Shares(a)
|
$—
|
$—
|
$0
(b)
|
$—
|
$—
|
$—
|
—
|
$146,889
|
$—
|
|
(a)
|
As of period end, the entity is no longer held.
|
|
(b)
|
Represents net amount purchased (sold).
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Notional
Amount
(000)
|
Value/
Unrealized
Appreciation
(Depreciation)
|
|
Long Contracts
|
|
|
|
|
|
WTI Crude Oil(a)
|
525
|
08/20/26
|
$44,452
|
$5,082,323
|
|
CAC 40 Index
|
460
|
08/21/26
|
45,329
|
880,365
|
|
IFSC Nifty 50 Index
|
2,764
|
08/25/26
|
135,099
|
2,940,931
|
|
Natural Gas(a)
|
1,236
|
08/27/26
|
33,953
|
(3,132,143
)
|
|
Brent Crude Oil(a)
|
884
|
08/28/26
|
77,730
|
(216,807
)
|
|
FTSE China A50 Index
|
754
|
08/28/26
|
11,160
|
(3,157
)
|
|
NY Harbor ULSD(a)
|
77
|
08/31/26
|
13,245
|
685,809
|
|
Low Sulphur Gasoil(a)
|
257
|
09/10/26
|
31,624
|
2,995,179
|
|
TOPIX Index
|
322
|
09/10/26
|
79,575
|
(1,580,052
)
|
|
10-Year Japanese Government Treasury Bonds
|
129
|
09/14/26
|
103,026
|
(486,822
)
|
|
LME Copper(a)
|
443
|
09/14/26
|
153,180
|
2,029,344
|
|
LME PRI Aluminum(a)
|
488
|
09/14/26
|
38,899
|
677,823
|
|
S&P/TSE 60 Index
|
1,567
|
09/17/26
|
466,014
|
4,676,905
|
|
10-Year Canadian Bonds
|
2,693
|
09/18/26
|
228,180
|
(2,180,050
)
|
|
E-Mini NASDAQ 100
|
12
|
09/18/26
|
6,817
|
103,266
|
|
E-Mini Russell 2000 Index
|
759
|
09/18/26
|
111,497
|
(2,011,637
)
|
|
FTSE/MIB Index
|
2
|
09/18/26
|
604
|
(185
)
|
|
MSCI Hong Kong Index
|
477
|
09/18/26
|
40,131
|
2,299,846
|
|
S&P 500 E-Mini Index
|
1,631
|
09/18/26
|
613,195
|
(488,166
)
|
|
Long Gilt
|
1,449
|
09/28/26
|
168,905
|
(1,727,493
)
|
|
Soybean(a)
|
1,630
|
11/13/26
|
96,781
|
1,434,218
|
|
Gold 100 OZ(a)
|
427
|
12/29/26
|
175,369
|
1,267,261
|
|
|
|
|
|
13,246,758
|
|
Short Contracts
|
|
|
|
|
|
CBOE Volatility Index
|
3,023
|
08/19/26
|
54,730
|
2,138,610
|
|
CME Bitcoin Index(a)
|
1
|
08/28/26
|
316
|
10,166
|
|
CME Ether Index(a)
|
5
|
08/28/26
|
468
|
20,665
|
|
Gasline RBOB(a)
|
178
|
08/31/26
|
23,282
|
(112,345
)
|
|
Euro-Bond
|
83
|
09/08/26
|
11,903
|
67,175
|
|
Australian 10-Year Treasury Bonds
|
449
|
09/15/26
|
34,160
|
(142,529
)
|
|
FTSE/JSE Top 40 Index
|
22
|
09/17/26
|
1,374
|
68,506
|
|
SPI 200 Index
|
1,768
|
09/17/26
|
278,139
|
(4,080,730
)
|
|
DAX Index
|
200
|
09/18/26
|
148,237
|
(3,446,899
)
|
|
FTSE 100 Index
|
269
|
09/18/26
|
39,426
|
(341,200
)
|
|
10-Year U.S. Treasury Notes
|
3,242
|
09/21/26
|
350,845
|
3,647,850
|
|
Silver(a)
|
15
|
09/28/26
|
4,334
|
(25,300
)
|
|
Corn(a)
|
787
|
12/14/26
|
18,258
|
437,631
|
|
|
|
|
|
(1,758,400
)
|
|
|
|
|
|
$11,488,358
|
|
(a)
|
All or a portion of the security is held by a wholly-owned subsidiary.
|
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
AUD
|
159,209,000
|
USD
|
110,030,025
|
Citibank N.A.
|
09/16/26
|
$1,913,100
|
|
AUD
|
49,168,000
|
USD
|
34,008,807
|
HSBC Bank PLC
|
09/16/26
|
562,226
|
|
AUD
|
108,623,000
|
USD
|
75,403,093
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
971,974
|
|
AUD
|
195,862,000
|
USD
|
136,468,515
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
1,246,090
|
|
BRL
|
2,053,606,000
|
USD
|
387,719,675
|
Goldman Sachs International
|
09/16/26
|
13,196,285
|
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
BRL
|
340,764,000
|
USD
|
65,481,643
|
HSBC Bank PLC
|
09/16/26
|
$1,044,130
|
|
CAD
|
5,163,000
|
USD
|
3,644,036
|
Barclays Bank PLC
|
09/16/26
|
45,821
|
|
CAD
|
373,203,000
|
USD
|
264,771,592
|
Citibank N.A.
|
09/16/26
|
1,946,511
|
|
CAD
|
29,085,000
|
USD
|
20,760,735
|
Goldman Sachs International
|
09/16/26
|
25,529
|
|
CAD
|
125,392,000
|
USD
|
88,777,774
|
HSBC Bank PLC
|
09/16/26
|
836,501
|
|
CAD
|
96,399,000
|
USD
|
68,314,545
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
579,217
|
|
CNY
|
3,034,830,000
|
USD
|
447,447,707
|
HSBC Bank PLC
|
09/16/26
|
1,277,275
|
|
EUR
|
219,453,213
|
CHF
|
201,796,000
|
Barclays Bank PLC
|
09/16/26
|
2,714,669
|
|
EUR
|
7,762,942
|
CHF
|
7,160,000
|
BNP Paribas SA
|
09/16/26
|
69,106
|
|
EUR
|
6,330,222
|
CHF
|
5,875,000
|
Citibank N.A.
|
09/16/26
|
11,064
|
|
EUR
|
153,890,549
|
CHF
|
140,788,000
|
Goldman Sachs International
|
09/16/26
|
2,799,050
|
|
EUR
|
2,667,114
|
CHF
|
2,427,000
|
HSBC Bank PLC
|
09/16/26
|
64,704
|
|
EUR
|
98,541,804
|
CHF
|
90,443,000
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
1,430,400
|
|
EUR
|
1,828,958
|
CHF
|
1,675,000
|
Merrill Lynch, Pierce, Fenner & Smith
|
09/16/26
|
31,075
|
|
EUR
|
11,540,721
|
CHF
|
10,571,000
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
193,904
|
|
EUR
|
1,345,521
|
PLN
|
5,788,000
|
BNP Paribas SA
|
09/16/26
|
4,927
|
|
EUR
|
54,988,433
|
SEK
|
598,794,000
|
Goldman Sachs International
|
09/16/26
|
490,948
|
|
EUR
|
45,134,000
|
USD
|
51,526,825
|
Barclays Bank PLC
|
09/16/26
|
607,986
|
|
EUR
|
3,247,000
|
USD
|
3,721,732
|
BNP Paribas SA
|
09/16/26
|
28,916
|
|
EUR
|
74,437,000
|
USD
|
84,808,977
|
HSBC Bank PLC
|
09/16/26
|
1,174,071
|
|
EUR
|
1,225,000
|
USD
|
1,404,151
|
Societe Generale
|
09/16/26
|
10,861
|
|
GBP
|
257,933,000
|
USD
|
343,334,625
|
Barclays Bank PLC
|
09/16/26
|
4,286,803
|
|
GBP
|
200,603,000
|
USD
|
266,790,599
|
HSBC Bank PLC
|
09/16/26
|
3,566,049
|
|
GBP
|
113,238,000
|
USD
|
151,527,958
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
1,085,145
|
|
INR
|
5,288,220,000
|
USD
|
54,821,656
|
HSBC Bank PLC
|
09/16/26
|
395,192
|
|
INR
|
7,953,628,000
|
USD
|
82,641,898
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
405,758
|
|
INR
|
178,947,000
|
USD
|
1,862,084
|
Societe Generale
|
09/16/26
|
6,388
|
|
JPY
|
3,363,681,000
|
USD
|
20,823,040
|
Bank of America N.A.
|
09/16/26
|
389,456
|
|
JPY
|
1,115,717,000
|
USD
|
6,919,819
|
BNP Paribas SA
|
09/16/26
|
116,265
|
|
JPY
|
7,702,550,000
|
USD
|
47,775,337
|
Citibank N.A.
|
09/16/26
|
799,517
|
|
JPY
|
2,240,976,000
|
USD
|
13,742,965
|
Deutsche Bank AG
|
09/16/26
|
389,378
|
|
JPY
|
5,063,301,000
|
USD
|
31,423,610
|
HSBC Bank PLC
|
09/16/26
|
507,257
|
|
JPY
|
2,907,944,000
|
USD
|
18,082,175
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
256,291
|
|
JPY
|
26,811,462,000
|
USD
|
167,703,022
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
1,379,014
|
|
JPY
|
1,063,042,000
|
USD
|
6,689,901
|
Societe Generale
|
09/16/26
|
13,997
|
|
KRW
|
8,453,559,000
|
USD
|
5,629,039
|
Bank of America N.A.
|
09/16/26
|
231,588
|
|
KRW
|
26,033,812,000
|
USD
|
17,256,308
|
Barclays Bank PLC
|
09/16/26
|
792,240
|
|
KRW
|
3,734,892,000
|
USD
|
2,407,666
|
BNP Paribas SA
|
09/16/26
|
181,635
|
|
KRW
|
55,901,145,000
|
USD
|
36,507,702
|
Citibank N.A.
|
09/16/26
|
2,247,072
|
|
KRW
|
16,666,266,000
|
USD
|
11,213,862
|
Deutsche Bank AG
|
09/16/26
|
340,416
|
|
KRW
|
47,384,922,000
|
USD
|
31,184,409
|
Goldman Sachs International
|
09/16/26
|
1,666,294
|
|
KRW
|
17,176,020,000
|
USD
|
11,047,946
|
HSBC Bank PLC
|
09/16/26
|
859,731
|
|
KRW
|
20,292,549,000
|
USD
|
13,305,543
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
762,741
|
|
KRW
|
20,511,065,000
|
USD
|
13,297,330
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
922,445
|
|
NOK
|
50,906,000
|
EUR
|
4,607,229
|
Bank of America N.A.
|
09/16/26
|
46,019
|
|
NOK
|
488,992,000
|
EUR
|
43,616,382
|
Barclays Bank PLC
|
09/16/26
|
1,180,927
|
|
NOK
|
917,322,075
|
EUR
|
82,247,482
|
Citibank N.A.
|
09/16/26
|
1,723,797
|
|
NOK
|
584,680,925
|
EUR
|
53,053,213
|
Goldman Sachs International
|
09/16/26
|
370,439
|
|
NOK
|
106,945,000
|
EUR
|
9,551,894
|
HSBC Bank PLC
|
09/16/26
|
243,521
|
|
NOK
|
870,846,000
|
EUR
|
77,281,671
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
2,559,101
|
|
NZD
|
24,273,000
|
USD
|
14,071,131
|
Bank of America N.A.
|
09/16/26
|
245,392
|
|
NZD
|
5,641,000
|
USD
|
3,307,904
|
Barclays Bank PLC
|
09/16/26
|
19,229
|
|
NZD
|
288,889,000
|
USD
|
166,490,028
|
Citibank N.A.
|
09/16/26
|
3,900,360
|
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
NZD
|
16,584,000
|
USD
|
9,667,076
|
Goldman Sachs International
|
09/16/26
|
$114,377
|
|
NZD
|
108,349,000
|
USD
|
63,011,955
|
HSBC Bank PLC
|
09/16/26
|
893,657
|
|
NZD
|
60,092,000
|
USD
|
34,490,940
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
952,082
|
|
NZD
|
305,704,000
|
USD
|
176,778,220
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
3,529,869
|
|
SEK
|
823,681,000
|
EUR
|
74,926,932
|
Citibank N.A.
|
09/16/26
|
148,631
|
|
SEK
|
110,252,000
|
EUR
|
10,011,562
|
Goldman Sachs International
|
09/16/26
|
40,245
|
|
SEK
|
1,910,117,000
|
EUR
|
173,032,311
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
1,180,183
|
|
SGD
|
19,877,000
|
USD
|
15,457,416
|
Goldman Sachs International
|
09/16/26
|
89,564
|
|
SGD
|
65,580,000
|
USD
|
51,106,292
|
HSBC Bank PLC
|
09/16/26
|
187,714
|
|
SGD
|
30,810,000
|
USD
|
24,069,180
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
29,147
|
|
TWD
|
72,124,000
|
USD
|
2,230,324
|
HSBC Bank PLC
|
09/16/26
|
5,875
|
|
USD
|
198,795,696
|
AUD
|
282,681,000
|
Barclays Bank PLC
|
09/16/26
|
36,866
|
|
USD
|
69,584,348
|
AUD
|
98,923,000
|
HSBC Bank PLC
|
09/16/26
|
29,550
|
|
USD
|
23,321,731
|
AUD
|
32,805,000
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
255,860
|
|
USD
|
19,484,314
|
AUD
|
27,648,000
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
44,436
|
|
USD
|
2,805,119
|
AUD
|
3,974,000
|
UBS AG
|
09/16/26
|
10,918
|
|
USD
|
52,456,454
|
CAD
|
73,020,000
|
Citibank N.A.
|
09/16/26
|
271,033
|
|
USD
|
3,766,055
|
CAD
|
5,259,000
|
HSBC Bank PLC
|
09/16/26
|
7,590
|
|
USD
|
148,533,158
|
CAD
|
206,038,000
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
1,283,365
|
|
USD
|
3,704,320
|
CNY
|
25,031,000
|
Citibank N.A.
|
09/16/26
|
3,278
|
|
USD
|
13,074,280
|
CNY
|
88,288,000
|
HSBC Bank PLC
|
09/16/26
|
20,162
|
|
USD
|
243,266,055
|
CNY
|
1,643,992,000
|
UBS AG
|
09/16/26
|
188,096
|
|
USD
|
22,141,385
|
EUR
|
19,100,000
|
Barclays Bank PLC
|
09/16/26
|
78,752
|
|
USD
|
16,777,672
|
EUR
|
14,482,000
|
Citibank N.A.
|
09/16/26
|
49,345
|
|
USD
|
31,207,758
|
EUR
|
26,844,000
|
HSBC Bank PLC
|
09/16/26
|
199,940
|
|
USD
|
7,331,410
|
EUR
|
6,296,000
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
58,827
|
|
USD
|
9,971,035
|
INR
|
947,689,000
|
Barclays Bank PLC
|
09/16/26
|
75,758
|
|
USD
|
5,561,359
|
INR
|
532,603,000
|
Citibank N.A.
|
09/16/26
|
195
|
|
USD
|
38,729,997
|
INR
|
3,693,910,000
|
Goldman Sachs International
|
09/16/26
|
160,106
|
|
USD
|
10,198,870
|
INR
|
973,217,000
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
37,044
|
|
USD
|
4,724,957
|
SGD
|
6,028,000
|
Citibank N.A.
|
09/16/26
|
10,101
|
|
USD
|
2,040,908
|
TWD
|
65,646,000
|
Bank of America N.A.
|
09/16/26
|
5,558
|
|
USD
|
3,814,127
|
TWD
|
122,324,000
|
Deutsche Bank AG
|
09/16/26
|
21,480
|
|
USD
|
1,867,186
|
TWD
|
60,185,000
|
HSBC Bank PLC
|
09/16/26
|
1,154
|
|
USD
|
34,838,785
|
TWD
|
1,121,470,000
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
67,687
|
|
USD
|
30,182,574
|
ZAR
|
499,824,000
|
Bank of America N.A.
|
09/16/26
|
30,524
|
|
USD
|
13,732,019
|
ZAR
|
225,777,530
|
Barclays Bank PLC
|
09/16/26
|
111,914
|
|
USD
|
4,635,267
|
ZAR
|
75,879,000
|
BNP Paribas SA
|
09/16/26
|
57,841
|
|
USD
|
14,568,613
|
ZAR
|
238,885,000
|
Goldman Sachs International
|
09/16/26
|
157,796
|
|
USD
|
74,688,950
|
ZAR
|
1,221,630,000
|
HSBC Bank PLC
|
09/16/26
|
993,713
|
|
USD
|
24,089,291
|
ZAR
|
397,949,470
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
82,857
|
|
ZAR
|
280,662,000
|
USD
|
16,731,969
|
Citibank N.A.
|
09/16/26
|
199,059
|
|
ZAR
|
5,348,824,000
|
USD
|
321,654,449
|
Goldman Sachs International
|
09/16/26
|
1,015,143
|
|
ZAR
|
1,153,255,000
|
USD
|
68,817,070
|
HSBC Bank PLC
|
09/16/26
|
753,422
|
|
MXN
|
175,850,000
|
USD
|
9,993,115
|
Barclays Bank PLC
|
09/17/26
|
122,739
|
|
MXN
|
813,536,000
|
USD
|
46,343,841
|
Goldman Sachs International
|
09/17/26
|
455,203
|
|
MXN
|
1,015,514,000
|
USD
|
57,704,602
|
HSBC Bank PLC
|
09/17/26
|
713,321
|
|
MXN
|
569,538,000
|
USD
|
32,365,781
|
Morgan Stanley & Co. International PLC
|
09/17/26
|
397,162
|
|
MXN
|
66,090,000
|
USD
|
3,761,597
|
Societe Generale
|
09/17/26
|
40,262
|
|
|
|
|
|
|
|
80,385,198
|
|
AUD
|
98,700,000
|
USD
|
69,462,987
|
HSBC Bank PLC
|
09/16/26
|
$(64,985
)
|
|
AUD
|
54,526,000
|
USD
|
38,841,869
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
(503,516
)
|
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
BRL
|
69,021,000
|
USD
|
13,481,255
|
HSBC Bank PLC
|
09/16/26
|
$(6,606
)
|
|
CAD
|
18,023,000
|
USD
|
12,970,066
|
Citibank N.A.
|
09/16/26
|
(89,515
)
|
|
CAD
|
24,069,000
|
USD
|
17,325,466
|
HSBC Bank PLC
|
09/16/26
|
(124,002
)
|
|
CHF
|
89,253,000
|
EUR
|
97,110,665
|
Barclays Bank PLC
|
09/16/26
|
(1,256,125
)
|
|
CHF
|
1,944,000
|
EUR
|
2,118,189
|
BNP Paribas SA
|
09/16/26
|
(30,874
)
|
|
CHF
|
30,088,000
|
EUR
|
32,825,875
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
(526,238
)
|
|
CHF
|
1,420,000
|
EUR
|
1,548,387
|
Merrill Lynch, Pierce, Fenner & Smith
|
09/16/26
|
(23,881
)
|
|
CHF
|
1,807,000
|
EUR
|
1,971,867
|
Societe Generale
|
09/16/26
|
(32,111
)
|
|
CHF
|
4,267,000
|
EUR
|
4,657,748
|
UBS AG
|
09/16/26
|
(77,482
)
|
|
CNY
|
794,258,000
|
USD
|
117,617,222
|
HSBC Bank PLC
|
09/16/26
|
(179,537
)
|
|
CNY
|
498,711,000
|
USD
|
73,829,648
|
UBS AG
|
09/16/26
|
(91,059
)
|
|
EUR
|
18,475,291
|
NOK
|
207,137,000
|
Citibank N.A.
|
09/16/26
|
(500,943
)
|
|
EUR
|
48,050,391
|
NOK
|
532,878,000
|
Goldman Sachs International
|
09/16/26
|
(686,797
)
|
|
EUR
|
204,164,647
|
NOK
|
2,246,718,000
|
HSBC Bank PLC
|
09/16/26
|
(1,076,613
)
|
|
EUR
|
218,128,706
|
NOK
|
2,416,073,000
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
(2,804,535
)
|
|
EUR
|
2,135,524
|
PLN
|
9,286,000
|
Goldman Sachs International
|
09/16/26
|
(18,857
)
|
|
EUR
|
15,877,778
|
PLN
|
68,775,000
|
HSBC Bank PLC
|
09/16/26
|
(68,707
)
|
|
EUR
|
83,646,967
|
SEK
|
921,290,000
|
Barclays Bank PLC
|
09/16/26
|
(349,978
)
|
|
EUR
|
95,289,901
|
SEK
|
1,051,571,000
|
Citibank N.A.
|
09/16/26
|
(613,983
)
|
|
EUR
|
7,276,048
|
SEK
|
80,235,000
|
HSBC Bank PLC
|
09/16/26
|
(40,591
)
|
|
EUR
|
30,058,000
|
SEK
|
331,326,000
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
(153,799
)
|
|
EUR
|
26,170,374
|
SEK
|
287,388,000
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
(19,690
)
|
|
EUR
|
2,155,737
|
SEK
|
23,865,000
|
Societe Generale
|
09/16/26
|
(21,824
)
|
|
EUR
|
74,453,000
|
USD
|
86,381,186
|
Barclays Bank PLC
|
09/16/26
|
(379,656
)
|
|
EUR
|
114,991,000
|
USD
|
133,493,966
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
(666,518
)
|
|
GBP
|
28,762,000
|
USD
|
38,930,259
|
Societe Generale
|
09/16/26
|
(167,140
)
|
|
INR
|
658,361,000
|
USD
|
6,929,459
|
Goldman Sachs International
|
09/16/26
|
(55,195
)
|
|
INR
|
3,572,187,000
|
USD
|
37,466,953
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
(168,030
)
|
|
INR
|
3,716,030,000
|
USD
|
39,116,105
|
UBS AG
|
09/16/26
|
(315,249
)
|
|
PLN
|
10,139,000
|
EUR
|
2,358,634
|
Citibank N.A.
|
09/16/26
|
(10,534
)
|
|
PLN
|
22,354,000
|
EUR
|
5,243,877
|
Goldman Sachs International
|
09/16/26
|
(73,667
)
|
|
PLN
|
28,846,000
|
EUR
|
6,764,646
|
HSBC Bank PLC
|
09/16/26
|
(92,582
)
|
|
PLN
|
11,166,000
|
EUR
|
2,606,168
|
Merrill Lynch, Pierce, Fenner & Smith
|
09/16/26
|
(21,562
)
|
|
PLN
|
10,671,000
|
EUR
|
2,503,278
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
(35,211
)
|
|
SEK
|
642,513,000
|
EUR
|
59,101,998
|
HSBC Bank PLC
|
09/16/26
|
(640,874
)
|
|
SGD
|
18,160,000
|
USD
|
14,238,528
|
Citibank N.A.
|
09/16/26
|
(34,515
)
|
|
SGD
|
7,616,000
|
USD
|
5,977,384
|
HSBC Bank PLC
|
09/16/26
|
(20,459
)
|
|
SGD
|
57,019,000
|
USD
|
44,601,173
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
(3,233
)
|
|
SGD
|
26,374,000
|
USD
|
20,672,535
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
(43,867
)
|
|
TWD
|
336,825,000
|
USD
|
10,630,089
|
Barclays Bank PLC
|
09/16/26
|
(186,854
)
|
|
TWD
|
51,096,000
|
USD
|
1,618,027
|
Citibank N.A.
|
09/16/26
|
(33,799
)
|
|
TWD
|
128,258,000
|
USD
|
4,038,477
|
Goldman Sachs International
|
09/16/26
|
(61,847
)
|
|
TWD
|
104,472,000
|
USD
|
3,275,056
|
HSBC Bank PLC
|
09/16/26
|
(35,909
)
|
|
TWD
|
726,709,000
|
USD
|
22,908,570
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
(377,008
)
|
|
TWD
|
48,670,000
|
USD
|
1,521,104
|
Societe Generale
|
09/16/26
|
(12,094
)
|
|
USD
|
235,708,221
|
AUD
|
339,292,000
|
Citibank N.A.
|
09/16/26
|
(2,854,968
)
|
|
USD
|
81,554,433
|
AUD
|
116,714,000
|
Deutsche Bank AG
|
09/16/26
|
(509,583
)
|
|
USD
|
3,228,920
|
AUD
|
4,627,000
|
Goldman Sachs International
|
09/16/26
|
(24,419
)
|
|
USD
|
126,168,352
|
AUD
|
182,157,000
|
HSBC Bank PLC
|
09/16/26
|
(1,909,985
)
|
|
USD
|
4,734,327
|
AUD
|
6,757,000
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
(16,659
)
|
|
USD
|
96,655,076
|
AUD
|
139,690,000
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
(1,563,839
)
|
|
USD
|
16,869,867
|
BRL
|
87,677,000
|
Bank of America N.A.
|
09/16/26
|
(246,907
)
|
|
USD
|
14,186,898
|
BRL
|
74,674,000
|
Barclays Bank PLC
|
09/16/26
|
(391,360
)
|
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
USD
|
6,686,115
|
BRL
|
34,532,000
|
BNP Paribas SA
|
09/16/26
|
$(55,407
)
|
|
USD
|
1,484,056
|
BRL
|
7,749,000
|
Goldman Sachs International
|
09/16/26
|
(28,745
)
|
|
USD
|
169,792,055
|
BRL
|
891,464,000
|
HSBC Bank PLC
|
09/16/26
|
(4,244,320
)
|
|
USD
|
21,392,699
|
BRL
|
110,354,000
|
Societe Generale
|
09/16/26
|
(151,200
)
|
|
USD
|
90,202,477
|
CAD
|
127,698,000
|
Citibank N.A.
|
09/16/26
|
(1,059,835
)
|
|
USD
|
4,601,663
|
CAD
|
6,498,000
|
HSBC Bank PLC
|
09/16/26
|
(42,282
)
|
|
USD
|
76,726,259
|
CAD
|
107,894,000
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
(382,668
)
|
|
USD
|
34,889,448
|
CAD
|
49,263,000
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
(317,487
)
|
|
USD
|
138,280,297
|
CNY
|
936,006,000
|
HSBC Bank PLC
|
09/16/26
|
(116,014
)
|
|
USD
|
32,720,224
|
EUR
|
28,529,000
|
Bank of America N.A.
|
09/16/26
|
(233,957
)
|
|
USD
|
192,398,817
|
EUR
|
168,184,000
|
BNP Paribas SA
|
09/16/26
|
(1,872,486
)
|
|
USD
|
217,599,377
|
EUR
|
190,050,000
|
Citibank N.A.
|
09/16/26
|
(1,929,598
)
|
|
USD
|
158,761,887
|
EUR
|
139,361,000
|
Deutsche Bank AG
|
09/16/26
|
(2,215,633
)
|
|
USD
|
101,734,420
|
EUR
|
88,750,000
|
HSBC Bank PLC
|
09/16/26
|
(781,742
)
|
|
USD
|
487,805,061
|
EUR
|
426,277,000
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
(4,592,481
)
|
|
USD
|
73,201,645
|
GBP
|
54,605,000
|
Barclays Bank PLC
|
09/16/26
|
(390,599
)
|
|
USD
|
206,106,320
|
GBP
|
154,356,000
|
HSBC Bank PLC
|
09/16/26
|
(1,922,327
)
|
|
USD
|
22,550,262
|
GBP
|
17,045,000
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
(421,623
)
|
|
USD
|
11,392,189
|
INR
|
1,094,140,000
|
Barclays Bank PLC
|
09/16/26
|
(32,253
)
|
|
USD
|
266,047,671
|
INR
|
25,574,078,000
|
Goldman Sachs International
|
09/16/26
|
(983,577
)
|
|
USD
|
77,175,254
|
INR
|
7,443,559,000
|
HSBC Bank PLC
|
09/16/26
|
(546,526
)
|
|
USD
|
42,677,789
|
INR
|
4,096,842,000
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
(99,309
)
|
|
USD
|
70,384,802
|
INR
|
6,821,695,000
|
UBS AG
|
09/16/26
|
(843,797
)
|
|
USD
|
29,979,952
|
JPY
|
4,806,298,000
|
Citibank N.A.
|
09/16/26
|
(330,168
)
|
|
USD
|
81,045,383
|
JPY
|
13,171,267,000
|
Deutsche Bank AG
|
09/16/26
|
(2,017,027
)
|
|
USD
|
37,552,765
|
JPY
|
6,042,180,000
|
HSBC Bank PLC
|
09/16/26
|
(551,241
)
|
|
USD
|
41,464,171
|
JPY
|
6,600,220,000
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
(159,021
)
|
|
USD
|
81,555,285
|
JPY
|
13,081,758,000
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
(942,651
)
|
|
USD
|
4,600,366
|
KRW
|
6,654,989,000
|
Citibank N.A.
|
09/16/26
|
(13,361
)
|
|
USD
|
31,546,771
|
KRW
|
47,424,640,000
|
Goldman Sachs International
|
09/16/26
|
(1,331,468
)
|
|
USD
|
45,022,554
|
KRW
|
66,626,178,000
|
HSBC Bank PLC
|
09/16/26
|
(1,167,599
)
|
|
USD
|
203,330,371
|
KRW
|
308,725,236,000
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
(10,700,605
)
|
|
USD
|
119,314,336
|
NZD
|
204,183,000
|
Barclays Bank PLC
|
09/16/26
|
(1,115,382
)
|
|
USD
|
100,563,287
|
NZD
|
173,622,000
|
Citibank N.A.
|
09/16/26
|
(1,841,166
)
|
|
USD
|
117,697,122
|
NZD
|
204,260,000
|
HSBC Bank PLC
|
09/16/26
|
(2,778,011
)
|
|
USD
|
56,873,511
|
NZD
|
98,627,000
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
(1,297,942
)
|
|
USD
|
42,867,993
|
NZD
|
73,123,000
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
(260,878
)
|
|
USD
|
7,654,963
|
SGD
|
9,860,000
|
Citibank N.A.
|
09/16/26
|
(57,128
)
|
|
USD
|
130,348,778
|
SGD
|
167,330,000
|
Deutsche Bank AG
|
09/16/26
|
(529,935
)
|
|
USD
|
12,614,461
|
SGD
|
16,228,000
|
Goldman Sachs International
|
09/16/26
|
(78,419
)
|
|
USD
|
17,200,681
|
SGD
|
22,148,000
|
HSBC Bank PLC
|
09/16/26
|
(122,582
)
|
|
USD
|
2,907,772
|
SGD
|
3,743,000
|
Standard Chartered Bank
|
09/16/26
|
(19,851
)
|
|
USD
|
36,071,616
|
ZAR
|
601,171,000
|
Morgan Stanley & Co. International PLC
|
09/16/26
|
(194,225
)
|
|
ZAR
|
103,887,000
|
USD
|
6,270,745
|
Barclays Bank PLC
|
09/16/26
|
(3,727
)
|
|
ZAR
|
92,343,000
|
USD
|
5,618,475
|
Citibank N.A.
|
09/16/26
|
(47,852
)
|
|
ZAR
|
90,765,000
|
USD
|
5,507,768
|
Goldman Sachs International
|
09/16/26
|
(32,340
)
|
|
ZAR
|
301,641,000
|
USD
|
18,406,294
|
HSBC Bank PLC
|
09/16/26
|
(209,700
)
|
|
ZAR
|
533,682,000
|
USD
|
32,258,809
|
JPMorgan Chase Bank N.A.
|
09/16/26
|
(64,265
)
|
|
MXN
|
201,472,000
|
USD
|
11,612,380
|
HSBC Bank PLC
|
09/17/26
|
(22,608
)
|
|
MXN
|
636,909,000
|
USD
|
36,759,721
|
Morgan Stanley & Co. International PLC
|
09/17/26
|
(121,229
)
|
|
USD
|
14,616,611
|
MXN
|
257,082,000
|
Barclays Bank PLC
|
09/17/26
|
(172,153
)
|
|
USD
|
54,491,540
|
MXN
|
956,652,000
|
Citibank N.A.
|
09/17/26
|
(540,319
)
|
|
USD
|
71,786,467
|
MXN
|
1,257,747,000
|
Deutsche Bank AG
|
09/17/26
|
(566,024
)
|
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
USD
|
18,638,959
|
MXN
|
327,793,000
|
Goldman Sachs International
|
09/17/26
|
$(217,489
)
|
|
USD
|
27,134,193
|
MXN
|
475,245,000
|
HSBC Bank PLC
|
09/17/26
|
(204,500
)
|
|
USD
|
9,254,287
|
MXN
|
163,242,000
|
JPMorgan Chase Bank N.A.
|
09/17/26
|
(136,286
)
|
|
USD
|
212,056,104
|
MXN
|
3,721,610,000
|
Morgan Stanley & Co. International PLC
|
09/17/26
|
(2,031,272
)
|
|
|
|
|
|
|
|
(73,458,061
)
|
|
|
|
|
|
|
|
$6,927,137
|
|
Reference Obligation/Index
|
Financing
Rate Received
by the Fund
|
Payment
Frequency
|
Termination
Date
|
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
CDX.NA.HY.46.V3
|
5.00%
|
Quarterly
|
06/20/31
|
|
USD
|
233,020
|
$(18,927,285
)
|
$(18,530,163
)
|
$(397,122
)
|
|
Reference Obligation/Index
|
Financing
Rate Received
by the Fund
|
Payment
Frequency
|
Termination
Date
|
Credit
Rating(a)
|
Notional
Amount (000)(b)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
CDX.NA.IG.46.V1
|
1.00%
|
Quarterly
|
06/20/31
|
BBB+
|
USD
|
1,517,408
|
$33,118,416
|
$32,757,629
|
$360,787
|
|
iTraxx.EUR.45.V1
|
1.00
|
Quarterly
|
06/20/31
|
BB+
|
EUR
|
1,445,590
|
36,618,201
|
35,493,287
|
1,124,914
|
|
iTraxx.XO.45.V1
|
5.00
|
Quarterly
|
06/20/31
|
B
|
EUR
|
229,650
|
27,763,589
|
26,765,698
|
997,891
|
|
|
|
|
|
|
|
|
$97,500,206
|
$95,016,614
|
$2,483,592
|
|
(a)
|
Using the rating of the issuer or the underlying securities of the index, as applicable,
provided by S&P Global Ratings.
|
|
(b)
|
The maximum potential amount the Fund may pay should a negative credit event take
place as defined under the terms of the agreement.
|
|
Paid by the Fund
|
Received by the Fund
|
Effective
Date
|
Termination
Date
|
|
Notional
Amount
(000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
||
|
Rate
|
Frequency
|
Rate
|
Frequency
|
|||||||
|
3.89%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
143,405
|
$711,685
|
$32,309
|
$679,376
|
|
3.90%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
406,494
|
1,947,642
|
118,374
|
1,829,268
|
|
3.91%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
55,806
|
255,371
|
249
|
255,122
|
|
3.91%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
254,087
|
1,178,689
|
(79,740
)
|
1,258,429
|
|
3.91%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
61,025
|
276,115
|
198,871
|
77,244
|
|
3.93%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
65,292
|
271,416
|
292
|
271,124
|
|
3.94%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
48,330
|
194,737
|
18,390
|
176,347
|
|
3.94%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
8,036
|
32,073
|
(1,058
)
|
33,131
|
|
3.96%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
72,212
|
256,575
|
94,552
|
162,023
|
|
3.97%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
82,623
|
277,827
|
(68,170
)
|
345,997
|
|
Paid by the Fund
|
Received by the Fund
|
Effective
Date
|
Termination
Date
|
|
Notional
Amount
(000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
||
|
Rate
|
Frequency
|
Rate
|
Frequency
|
|||||||
|
3.97%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
54,374
|
$185,737
|
$238
|
$185,499
|
|
3.98%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
39,675
|
129,631
|
(21,706
)
|
151,337
|
|
4.00%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
44,285
|
129,509
|
36,067
|
93,442
|
|
4.00%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
61,461
|
180,910
|
4,781
|
176,129
|
|
4.03%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
92,973
|
220,531
|
99,885
|
120,646
|
|
4.03%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
41,880
|
94,552
|
49,473
|
45,079
|
|
4.06%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
33,024
|
58,831
|
12,418
|
46,413
|
|
4.07%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
26,831
|
39,620
|
(11,641
)
|
51,261
|
|
4.07%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
348,278
|
540,824
|
(203,936
)
|
744,760
|
|
4.08%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
57,350
|
82,501
|
(131,597
)
|
214,098
|
|
4.08%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
29,681
|
39,305
|
30,647
|
8,658
|
|
4.08%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
58,967
|
79,211
|
65,174
|
14,037
|
|
4.14%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
18,869
|
3,780
|
(15,065
)
|
18,845
|
|
4.18%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/28
|
USD
|
13,753
|
(7,987
)
|
(1,633
)
|
(6,354
)
|
|
3.92%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/31
|
USD
|
48,408
|
513,506
|
(8,290
)
|
521,796
|
|
3.92%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/31
|
USD
|
94,212
|
994,337
|
860
|
993,477
|
|
4.02%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/31
|
USD
|
284,927
|
1,749,247
|
(508,856
)
|
2,258,103
|
|
4.03%
|
Annual
|
1-day SOFR,
3.66%
|
Annual
|
9/16/26(a)
|
09/16/31
|
USD
|
15,837
|
87,320
|
(19,496
)
|
106,816
|
|
|
|
|
|
|
|
|
|
$10,523,495
|
$(308,608
)
|
$10,832,103
|
|
(a)
|
Forward Swap.
|
|
Reference Entity
|
Fixed Amount Paid (Received)
by the Fund(a)
|
Counterparty
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
||
|
BOVESPA
Index Future
August
2026
|
BRL
|
17,942,436
|
Merrill Lynch
International
|
08/12/26
|
BRL
|
17,942
|
$(11,429)
|
$—
|
$(11,429)
|
|
Korean Stock
Price 200
Index Future
September
2026
|
KRW
|
87,735,743,600
|
Citibank N.A.
|
09/10/26
|
KRW
|
87,735,744
|
(11,296,604)
|
—
|
(11,296,604)
|
|
Reference Entity
|
Fixed Amount Paid (Received)
by the Fund(a)
|
Counterparty
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
||
|
Korean Stock
Price 200
Index Future
September
2026
|
KRW
|
16,128,775,400
|
Citibank N.A.
|
09/10/26
|
KRW
|
16,128,775
|
$(3,541,620)
|
$—
|
$(3,541,620)
|
|
Korean Stock
Price 200
Index Future
September
2026
|
KRW
|
4,736,297,150
|
Citibank N.A.
|
09/10/26
|
KRW
|
4,736,297
|
(972,634)
|
—
|
(972,634)
|
|
Korean Stock
Price 200
Index Future
September
2026
|
KRW
|
9,106,274,450
|
Citibank N.A.
|
09/10/26
|
KRW
|
9,106,275
|
(1,688,328)
|
—
|
(1,688,328)
|
|
Korean Stock
Price 200
Index Future
September
2026
|
KRW
|
4,329,998,725
|
Citibank N.A.
|
09/10/26
|
KRW
|
4,329,999
|
(687,653)
|
—
|
(687,653)
|
|
Korean Stock
Price 200
Index Future
September
2026
|
KRW
|
3,352,257,975
|
Citibank N.A.
|
09/10/26
|
KRW
|
3,352,258
|
(363,310)
|
—
|
(363,310)
|
|
Korean Stock
Price 200
Index Future
September
2026
|
KRW
|
12,137,562,000
|
Citibank N.A.
|
09/10/26
|
KRW
|
12,137,562
|
(1,284,325)
|
—
|
(1,284,325)
|
|
Korean Stock
Price 200
Index Future
September
2026
|
KRW
|
5,164,495,450
|
Citibank N.A.
|
09/10/26
|
KRW
|
5,164,496
|
(550,069)
|
—
|
(550,069)
|
|
Korean Stock
Price 200
Index Future
September
2026
|
KRW
|
6,445,945,000
|
Citibank N.A.
|
09/10/26
|
KRW
|
6,445,945
|
(545,255)
|
—
|
(545,255)
|
|
Korean Stock
Price 200
Index Future
September
2026
|
KRW
|
11,934,725,250
|
Citibank N.A.
|
09/10/26
|
KRW
|
11,934,725
|
(780,599)
|
—
|
(780,599)
|
|
Taiwan Stock
Exchange
Capitalization
Weighted
Stock Index
Future
August
2026
|
TWD
|
1,207,374,445
|
Citibank N.A.
|
08/19/26
|
TWD
|
1,207,375
|
(1,909,931)
|
—
|
(1,909,931)
|
|
Reference Entity
|
Fixed Amount Paid (Received)
by the Fund(a)
|
Counterparty
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
||
|
Taiwan Stock
Exchange
Capitalization
Weighted
Stock Index
Future
August
2026
|
TWD
|
55,299,593
|
Citibank N.A.
|
08/19/26
|
TWD
|
55,300
|
$(87,478)
|
$—
|
$(87,478)
|
|
Taiwan Stock
Exchange
Capitalization
Weighted
Stock Index
Future
August
2026
|
TWD
|
73,031,155
|
Citibank N.A.
|
08/19/26
|
TWD
|
73,031
|
(94,927)
|
—
|
(94,927)
|
|
Taiwan Stock
Exchange
Capitalization
Weighted
Stock Index
Future
August
2026
|
TWD
|
180,423,327
|
Citibank N.A.
|
08/19/26
|
TWD
|
180,423
|
(170,653)
|
—
|
(170,653)
|
|
Thai SET50
Index
Futures
September
2026
|
THB
|
430,525
|
Merrill Lynch
International
|
09/29/26
|
THB
|
431
|
93
|
—
|
93
|
|
|
|
|
|
|
|
|
$(23,984,722)
|
$—
|
$(23,984,722)
|
|
(a)
|
At termination, the fixed amount paid (received) will be exchanged for the total return
of the reference entity.
|
|
Paid by the Fund
|
Received by the Fund
|
|
|
|
|
|
|
|
|
||
|
Rate
|
Frequency
|
Reference
|
Frequency
|
Counterparty
|
Effective
Date
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
MSCI World Equal
Weighted Index
|
Quarterly
|
1-day SOFR plus
0.01%, 3.66%
|
Quarterly
|
Morgan Stanley
& Co.
International
PLC
|
N/A
|
11/30/26
|
USD
|
173,939
|
$(1,777,853)
|
$—
|
$(1,777,853)
|
|
MSCI World Equal
Weighted Index
|
Quarterly
|
1-day SOFR plus
0.08%, 3.66%
|
Quarterly
|
Merrill Lynch
International
|
N/A
|
11/30/26
|
USD
|
120,311
|
(1,960,718)
|
—
|
(1,960,718)
|
|
MSCI World Equal
Weighted Index
|
Quarterly
|
1-day SOFR plus
0.18%, 3.66%
|
Quarterly
|
JPMorgan
Chase Bank
N.A.
|
N/A
|
11/30/26
|
USD
|
120,492
|
(1,649,635)
|
—
|
(1,649,635)
|
|
MSCI World Equal
Weighted Index
|
Quarterly
|
1-day SOFR
|
Quarterly
|
Morgan Stanley
& Co.
International
PLC
|
N/A
|
01/29/27
|
USD
|
156,522
|
17,261
|
(17,261)
|
34,522
|
|
MSCI World Equal
Weighted Index
|
Quarterly
|
1-day SOFR plus
0.20%, 3.66%
|
Quarterly
|
JPMorgan
Chase Bank
N.A.
|
N/A
|
01/29/27
|
USD
|
122,038
|
66,785
|
—
|
66,785
|
|
MSCI World Equal
Weighted Index
|
Quarterly
|
1-day SOFR plus
0.22%, 3.66%
|
Quarterly
|
JPMorgan
Chase Bank
N.A.
|
N/A
|
01/29/27
|
USD
|
121,295
|
80,007
|
—
|
80,007
|
|
MSCI World Equal
Weighted Index
|
Quarterly
|
1-day SOFR plus
0.22%, 3.66%
|
Quarterly
|
Merrill Lynch
International
|
N/A
|
01/29/27
|
USD
|
121,941
|
(635,412)
|
—
|
(635,412)
|
|
MSCI World Equal
Weighted Index
|
Quarterly
|
1-day SOFR plus
0.24%, 3.66%
|
Quarterly
|
Merrill Lynch
International
|
N/A
|
01/29/27
|
USD
|
121,731
|
(634,171)
|
—
|
(634,171)
|
|
MSCI World Equal
Weighted Index
|
Quarterly
|
1-day SOFR plus
0.25%, 3.66%
|
Quarterly
|
JPMorgan
Chase Bank
N.A.
|
N/A
|
01/29/27
|
USD
|
123,330
|
(642,545)
|
—
|
(642,545)
|
|
MSCI World Equal
Weighted Index
|
Quarterly
|
1-day SOFR plus
0.25%, 3.66%
|
Quarterly
|
JPMorgan
Chase Bank
N.A.
|
N/A
|
01/29/27
|
USD
|
123,943
|
(645,654)
|
—
|
(645,654)
|
|
MSCI World Equal
Weighted Index
|
Quarterly
|
1-day SOFR plus
0.25%, 3.66%
|
Quarterly
|
JPMorgan
Chase Bank
N.A.
|
N/A
|
01/29/27
|
USD
|
92,596
|
(482,229)
|
—
|
(482,229)
|
|
MSCI World Equal
Weighted Index
|
Quarterly
|
1-day SOFR plus
0.30%, 3.66%
|
Quarterly
|
Citibank N.A.
|
N/A
|
01/29/27
|
USD
|
122,434
|
(637,492)
|
—
|
(637,492)
|
|
|
|
|
|
|
|
|
|
|
$(8,901,656)
|
$(17,261)
|
$(8,884,395)
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a)
|
||||||||
|
3M Co.
|
Goldman Sachs Bank USA
|
$2,145,965
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
$210,546
|
|
|
3M Co.
|
Morgan Stanley & Co. International
PLC
|
9,236,840
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
297,087
|
|
|
A O Smith Corp.
|
Morgan Stanley & Co. International
PLC
|
3,551,979
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
46,681
|
|
|
A O Smith Corp.
|
Morgan Stanley & Co. International
PLC
|
2,180,373
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
21,227
|
|
|
ABB Ltd.
|
Citibank NA
|
18,300,938
|
11/11/26
|
0.21%
|
SSARON
|
Monthly
|
(201,766
)
|
|
|
Abbott Laboratories
|
Barclays Bank PLC
|
3,840,366
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
195,894
|
|
|
Abbott Laboratories
|
Morgan Stanley & Co. International
PLC
|
4,528,667
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
231,004
|
|
|
AbbVie, Inc.
|
Citibank NA
|
5,141,483
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(47,903
)
|
|
|
Accenture PLC
|
Citibank NA
|
24,436,726
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
4,246,694
|
|
|
Accenture PLC
|
Citibank NA
|
5,306,049
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
978,337
|
|
|
Accor SA
|
Morgan Stanley & Co. International
PLC
|
6,238,903
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
(165,330
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Acs Actividades De
Construccio
|
Barclays Bank PLC
|
$58,100
|
01/11/27
|
0.26%
|
1D ESTR
|
Monthly
|
$—
|
|
|
ACS Actividades de
Construccion y Servicios
SA
|
Barclays Bank PLC
|
6,638,399
|
02/14/28
|
0.26%
|
1D ESTR
|
Monthly
|
(371,804
)
|
|
|
Acuity, Inc.
|
Citibank NA
|
38,128
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(363
)
|
|
|
Acuity, Inc.
|
Goldman Sachs Bank USA
|
3,111,036
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(57,009
)
|
|
|
AddTech AB
|
Goldman Sachs Bank USA
|
4,276,123
|
08/19/26
|
0.26%
|
1D STIBOR
|
Monthly
|
71,217
|
|
|
Adobe, Inc.
|
Citibank NA
|
18,587,240
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
2,728,160
|
|
|
Adobe, Inc.
|
Morgan Stanley & Co. International
PLC
|
39,305
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
5,769
|
|
|
Advanced Energy Industries,
Inc.
|
Goldman Sachs Bank USA
|
8,288,115
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(339,344
)
|
|
|
Advanced Energy Industries,
Inc.
|
Morgan Stanley & Co. International
PLC
|
23,798
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(2,084
)
|
|
|
Advanced Micro Devices, Inc.
|
Barclays Bank PLC
|
2,235,939
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(277,057
)
|
|
|
AECOM
|
Morgan Stanley & Co. International
PLC
|
14,185,506
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
997,066
|
|
|
Aegon Ltd.
|
Citibank NA
|
263,032
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
5,449
|
|
|
Aehr Test Systems
|
Goldman Sachs Bank USA
|
8,867
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(789
)
|
|
|
AerCap Holdings NV
|
Morgan Stanley & Co. International
PLC
|
1,608,214
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
3,097
|
|
|
Aflac, Inc.
|
Citibank NA
|
185,123
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
5,842
|
|
|
AGC, Inc.
|
Goldman Sachs Bank USA
|
1,724,942
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
(122,140
)
|
|
|
Agilent Technologies, Inc.
|
Citibank NA
|
1,040,988
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
38,298
|
|
|
AGL Energy Ltd.
|
Goldman Sachs Bank USA
|
5,906,023
|
08/19/26
|
0.30%
|
1D AONIA
|
Monthly
|
35,560
|
|
|
AGNC Investment Corp.
|
Goldman Sachs Bank USA
|
477,966
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(10,631
)
|
|
|
Agree Realty Corp.
|
Citibank NA
|
5,300,140
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(157,793
)
|
|
|
AIA Group Ltd.
|
Citibank NA
|
1,978,785
|
02/24/27
|
0.30%
|
HONIA
|
Monthly
|
55,539
|
|
|
Air Canada
|
Morgan Stanley & Co. International
PLC
|
2,500,794
|
12/09/27
|
0.20%
|
CABROVER
|
Monthly
|
296,611
|
|
|
Air Products and Chemicals,
Inc.
|
Goldman Sachs Bank USA
|
2,525,734
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
10,320
|
|
|
Airbnb, Inc.
|
Barclays Bank PLC
|
2,202,566
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
180,389
|
|
|
Airbnb, Inc.
|
Goldman Sachs Bank USA
|
16,273,317
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
390,247
|
|
|
Aisin Corp.
|
Citibank NA
|
5,129,120
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(259,655
)
|
|
|
Akamai Technologies, Inc.
|
Citibank NA
|
3,892,189
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(261,600
)
|
|
|
Aker BP ASA
|
Citibank NA
|
25,484,049
|
11/11/26
|
0.26%
|
NOWA
|
Monthly
|
70,850
|
|
|
Akzo Nobel NV
|
Goldman Sachs Bank USA
|
191,177
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
(101
)
|
|
|
Albemarle Corp.
|
Goldman Sachs Bank USA
|
941,211
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(15,501
)
|
|
|
Albemarle Corp.
|
Morgan Stanley & Co. International
PLC
|
16,640,903
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
26,920
|
|
|
Albertsons Cos., Inc.
|
Goldman Sachs Bank USA
|
775,786
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(158,780
)
|
|
|
Alcoa Corp.
|
Citibank NA
|
1,173,688
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(23,133
)
|
|
|
Alexandria Real Estate
Equities, Inc.
|
Barclays Bank PLC
|
1,931,294
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
70,420
|
|
|
Algonquin Power & Utilities
Corp.
|
Barclays Bank PLC
|
6,280,379
|
01/11/27
|
0.20%
|
CABROVER
|
Monthly
|
(149,533
)
|
|
|
Align Technology, Inc.
|
Citibank NA
|
6,741,116
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(128,990
)
|
|
|
Alimentation Couche-Tard, Inc.
|
Barclays Bank PLC
|
5,279,206
|
01/11/27
|
0.20%
|
CABROVER
|
Monthly
|
104,462
|
|
|
Allegion plc
|
Barclays Bank PLC
|
45,064
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
5,619
|
|
|
Allianz SE
|
Morgan Stanley & Co. International
PLC
|
14,761,351
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
202,626
|
|
|
Allstate Corp./The
|
Morgan Stanley & Co. International
PLC
|
40,293
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
1,960
|
|
|
Ally Financial, Inc.
|
Goldman Sachs Bank USA
|
14,100,829
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(882,103
)
|
|
|
Alnylam Pharmaceuticals, Inc.
|
Goldman Sachs Bank USA
|
444,112
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(117,129
)
|
|
|
Alphabet, Inc.
|
Citibank NA
|
2,829,426
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
116,125
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Alphabet, Inc.
|
Morgan Stanley & Co. International
PLC
|
$4,673,226
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
$201,466
|
|
|
ALS Ltd.
|
Goldman Sachs Bank USA
|
2,735,335
|
08/19/26
|
0.30%
|
1D AONIA
|
Monthly
|
(97,174
)
|
|
|
Altria Group, Inc.
|
Citibank NA
|
462,032
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(24,584
)
|
|
|
Amazon.com, Inc.
|
Citibank NA
|
1,622,621
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
177,140
|
|
|
Amcor PLC
|
Barclays Bank PLC
|
1,644,357
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
63,552
|
|
|
Amcor PLC
|
Goldman Sachs Bank USA
|
409,374
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(8,595
)
|
|
|
Amdocs Ltd.
|
Citibank NA
|
3,469,335
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
304,803
|
|
|
American Airlines Group, Inc.
|
Citibank NA
|
2,342,632
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
76,029
|
|
|
American Eagle Outfitters, Inc.
|
Morgan Stanley & Co. International
PLC
|
8,037
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(289
)
|
|
|
American Express Co.
|
Goldman Sachs Bank USA
|
23,655,965
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(1,464,473
)
|
|
|
American Financial Group,
Inc./OH
|
Citibank NA
|
4,978,658
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
46,450
|
|
|
American International Group,
Inc.
|
Citibank NA
|
1,007,312
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
4,248
|
|
|
American International Group,
Inc.
|
Morgan Stanley & Co. International
PLC
|
14,933,308
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
62,978
|
|
|
American Tower Corp.
|
Barclays Bank PLC
|
11,270,431
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
494,818
|
|
|
Ameriprise Financial, Inc.
|
Citibank NA
|
24,761
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
894
|
|
|
Ameriprise Financial, Inc.
|
Morgan Stanley & Co. International
PLC
|
2,389,656
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
86,275
|
|
|
AMETEK, Inc.
|
Barclays Bank PLC
|
1,258,948
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
24,532
|
|
|
AMETEK, Inc.
|
Morgan Stanley & Co. International
PLC
|
4,910,845
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
95,694
|
|
|
Amgen, Inc.
|
Citibank NA
|
3,925,154
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
204,917
|
|
|
Amgen, Inc.
|
Morgan Stanley & Co. International
PLC
|
4,858,948
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
253,666
|
|
|
Amphenol Corp.
|
Barclays Bank PLC
|
964,119
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
19,526
|
|
|
Amphenol Corp.
|
Morgan Stanley & Co. International
PLC
|
2,900,862
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
58,750
|
|
|
Ampol Ltd.
|
Citibank NA
|
1,671,590
|
02/24/27
|
0.30%
|
1D AONIA
|
Monthly
|
50,546
|
|
|
Amundi SA
|
Barclays Bank PLC
|
1,160,087
|
02/14/28
|
0.26%
|
1D ESTR
|
Monthly
|
90,503
|
|
|
ANA Holdings, Inc.
|
Barclays Bank PLC
|
2,084,289
|
12/11/28
|
0.00%
|
1D P TONA
|
Monthly
|
62,252
|
|
|
Analog Devices, Inc.
|
Barclays Bank PLC
|
4,006,805
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(160,390
)
|
|
|
Analog Devices, Inc.
|
Citibank NA
|
15,180,385
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(676,141
)
|
|
|
Anheuser-Busch InBev SA/NV
|
Goldman Sachs Bank USA
|
7,630,257
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
617,483
|
|
|
Anritsu Corp.
|
Goldman Sachs Bank USA
|
1,384,490
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
(199,938
)
|
|
|
Antofagasta PLC
|
Morgan Stanley & Co. International
PLC
|
5,112,440
|
12/09/27
|
0.25%
|
1D SONIA
|
Monthly
|
(112,862
)
|
|
|
AP Moller - Maersk A/S
|
Goldman Sachs Bank USA
|
227,583
|
08/19/26
|
0.26%
|
DESTR
|
Monthly
|
3,338
|
|
|
APA Group
|
Morgan Stanley & Co. International
PLC
|
4,362,314
|
12/09/27
|
0.29%
|
1D AONIA
|
Monthly
|
2,638
|
|
|
API Group Corp.
|
Citibank NA
|
2,001,718
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
37,516
|
|
|
Apple, Inc.
|
Citibank NA
|
1,438,153
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(74,933
)
|
|
|
Apple, Inc.
|
Morgan Stanley & Co. International
PLC
|
3,209,691
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(167,236
)
|
|
|
Applied Digital Corp.
|
Goldman Sachs Bank USA
|
126,423
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
22,688
|
|
|
Applied Industrial
Technologies, Inc.
|
Citibank NA
|
340,757
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
3,762
|
|
|
Applied Materials, Inc.
|
Barclays Bank PLC
|
4,157,904
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(318,396
)
|
|
|
Applied Materials, Inc.
|
Goldman Sachs Bank USA
|
7,649,058
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(759,468
)
|
|
|
AppLovin Corp.
|
Goldman Sachs Bank USA
|
127,670
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(16,026
)
|
|
|
Arch Capital Group Ltd.
|
Citibank NA
|
3,197,617
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
55,333
|
|
|
Archer-Daniels-Midland Co.
|
Citibank NA
|
11,968,952
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(1,103,414
)
|
|
|
Ares Capital Corp.
|
Barclays Bank PLC
|
45,471
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(241
)
|
|
|
Ares Management Corp.
|
Morgan Stanley & Co. International
PLC
|
558,455
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
20,127
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Argan, Inc.
|
Citibank NA
|
$1,919,604
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
$(109,629
)
|
|
|
Aristocrat Leisure Ltd.
|
Citibank NA
|
13,884,504
|
02/24/27
|
0.30%
|
1D AONIA
|
Monthly
|
412,785
|
|
|
Aritzia, Inc.
|
Citibank NA
|
126,509
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
(1,362
)
|
|
|
Arkema SA
|
Goldman Sachs Bank USA
|
727,522
|
08/19/26
|
0.18%
|
1D ESTR
|
Monthly
|
36,429
|
|
|
Armstrong World Industries,
Inc.
|
Goldman Sachs Bank USA
|
58,774
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
7,073
|
|
|
Asahi Kasei Corp.
|
Morgan Stanley & Co. International
PLC
|
1,681,869
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(143,609
)
|
|
|
ASM International NV
|
Citibank NA
|
9,974,921
|
11/11/26
|
0.21%
|
1D ESTR
|
Monthly
|
(1,006,097
)
|
|
|
ASML Holding NV
|
Morgan Stanley & Co. International
PLC
|
23,695,612
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
(2,371,205
)
|
|
|
ASMPT Ltd.
|
Citibank NA
|
81,937
|
02/24/27
|
0.30%
|
HONIA
|
Monthly
|
(9,016
)
|
|
|
ASR Nederland NV
|
Barclays Bank PLC
|
9,794,818
|
02/14/28
|
0.26%
|
1D ESTR
|
Monthly
|
33,090
|
|
|
Assa Abloy AB
|
Goldman Sachs Bank USA
|
5,252,599
|
08/19/26
|
0.10%
|
1D STIBOR
|
Monthly
|
275,973
|
|
|
Assurant, Inc.
|
Citibank NA
|
31,139
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
689
|
|
|
Astellas Pharma, Inc.
|
Barclays Bank PLC
|
2,222,699
|
12/11/28
|
0.00%
|
1D P TONA
|
Monthly
|
7,833
|
|
|
AT&T, Inc.
|
Citibank NA
|
2,228,738
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(11,293
)
|
|
|
Atco Ltd./Canada
|
Citibank NA
|
9,734,042
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
149,850
|
|
|
Atlas Copco AB
|
Citibank NA
|
285,966
|
11/11/26
|
0.26%
|
TN STIBOR
|
Monthly
|
(1,782
)
|
|
|
Atlas Copco AB
|
Goldman Sachs Bank USA
|
2,220,823
|
08/19/26
|
0.26%
|
1D STIBOR
|
Monthly
|
170,586
|
|
|
Atmos Energy Corp.
|
Citibank NA
|
151,878
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(4,842
)
|
|
|
Aurizon Holdings Ltd.
|
Citibank NA
|
2,451,962
|
02/24/27
|
0.30%
|
1D AONIA
|
Monthly
|
(79,862
)
|
|
|
Aurubis AG
|
Goldman Sachs Bank USA
|
2,924,538
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
80,285
|
|
|
Autodesk, Inc.
|
Barclays Bank PLC
|
443,223
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
66,865
|
|
|
Autodesk, Inc.
|
Citibank NA
|
5,184,785
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
744,456
|
|
|
Autoliv, Inc.
|
Goldman Sachs Bank USA
|
3,881,311
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
3,471
|
|
|
Automatic Data Processing,
Inc.
|
Barclays Bank PLC
|
6,237,487
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
598,811
|
|
|
AutoNation, Inc.
|
Citibank NA
|
270,851
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
8,455
|
|
|
Avantor, Inc.
|
Goldman Sachs Bank USA
|
119,616
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
27,554
|
|
|
Avery Dennison Corp.
|
Morgan Stanley & Co. International
PLC
|
298,488
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
22,811
|
|
|
Aviva PLC
|
Goldman Sachs Bank USA
|
10,772,672
|
08/19/26
|
0.25%
|
1D SONIA
|
Monthly
|
613,747
|
|
|
Avnet, Inc.
|
Citibank NA
|
748,890
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(10,719
)
|
|
|
Avnet, Inc.
|
Goldman Sachs Bank USA
|
4,430,763
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
135,169
|
|
|
AXA SA
|
Barclays Bank PLC
|
39,502,094
|
02/14/28
|
0.26%
|
1D ESTR
|
Monthly
|
31,763
|
|
|
Axcelis Technologies, Inc.
|
Citibank NA
|
71,543
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(5,831
)
|
|
|
Axsome Therapeutics, Inc.
|
Morgan Stanley & Co. International
PLC
|
1,608,090
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(145,159
)
|
|
|
Azimut Holding SpA
|
Citibank NA
|
4,393,680
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
154,836
|
|
|
B2Gold Corp.
|
Citibank NA
|
121,108
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
(6,752
)
|
|
|
Babcock International Group
PLC
|
Barclays Bank PLC
|
4,090,169
|
02/14/28
|
0.25%
|
1D SONIA
|
Monthly
|
50,959
|
|
|
Baker Hughes Co.
|
Citibank NA
|
8,377
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
576
|
|
|
Balfour Beatty PLC
|
Goldman Sachs Bank USA
|
6,087,488
|
08/19/26
|
0.25%
|
1D SONIA
|
Monthly
|
(3,678
)
|
|
|
Banca Mediolanum SpA
|
Goldman Sachs Bank USA
|
3,462,640
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
111,726
|
|
|
Banco BPM SpA
|
Barclays Bank PLC
|
377,211
|
02/14/28
|
0.26%
|
1D ESTR
|
Monthly
|
6,010
|
|
|
Banco Santander SA
|
Citibank NA
|
2,072,504
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
43,826
|
|
|
Bank Leumi Le-Israel BM
|
Goldman Sachs Bank USA
|
226,859
|
08/19/26
|
0.55%
|
SHIR
|
Monthly
|
1,036
|
|
|
Bank of America Corp.
|
Barclays Bank PLC
|
39,061,909
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
205,842
|
|
|
Bank of Nova Scotia (The)
|
Citibank NA
|
28,244,254
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
16,872
|
|
|
Bankinter SA
|
Citibank NA
|
466,696
|
11/11/26
|
0.22%
|
1D ESTR
|
Monthly
|
3,000
|
|
|
Barclays PLC
|
Morgan Stanley & Co. International
PLC
|
2,362,127
|
12/09/27
|
0.25%
|
1D SONIA
|
Monthly
|
(76,195
)
|
|
|
Barrick Mining Corp.
|
Morgan Stanley & Co. International
PLC
|
21,282,932
|
12/09/27
|
0.20%
|
CABROVER
|
Monthly
|
(536,307
)
|
|
|
Barry Callebaut AG
|
Citibank NA
|
243,206
|
11/11/26
|
0.26%
|
SSARON
|
Monthly
|
(785
)
|
|
|
BASF SE
|
Goldman Sachs Bank USA
|
15,831,482
|
08/19/26
|
0.10%
|
1D ESTR
|
Monthly
|
727,959
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
BE Semiconductor Industries
NV
|
Morgan Stanley & Co. International
PLC
|
$4,146,846
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
$(793,059
)
|
|
|
Becton Dickinson & Co.
|
Barclays Bank PLC
|
1,924,762
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
156,585
|
|
|
Becton Dickinson & Co.
|
Goldman Sachs Bank USA
|
3,036,376
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
167,874
|
|
|
Bentley Systems, Inc.
|
Morgan Stanley & Co. International
PLC
|
40,238
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
7,712
|
|
|
Bentley Systems, Inc.
|
Morgan Stanley & Co. International
PLC
|
2,258,781
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
344,322
|
|
|
Best Buy Co., Inc.
|
Citibank NA
|
3,451,586
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(42,505
)
|
|
|
Best Buy Co., Inc.
|
Citibank NA
|
2,601,449
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(20,032
)
|
|
|
Biogen, Inc.
|
Goldman Sachs Bank USA
|
4,367,880
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
126,448
|
|
|
BioMarin Pharmaceutical, Inc.
|
Barclays Bank PLC
|
2,463,838
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
68,346
|
|
|
BioMarin Pharmaceutical, Inc.
|
Citibank NA
|
101,616
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
2,819
|
|
|
BioNTech SE
|
Citibank NA
|
5,133,203
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(73,223
)
|
|
|
Blackstone, Inc.
|
Citibank NA
|
42,373
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
1,701
|
|
|
Block, Inc.
|
Barclays Bank PLC
|
25,143,853
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
1,227,626
|
|
|
Blue Owl Capital, Inc.
|
Citibank NA
|
1,446,932
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
180,077
|
|
|
BlueScope Steel Ltd.
|
Goldman Sachs Bank USA
|
7,139,571
|
08/19/26
|
0.30%
|
1D AONIA
|
Monthly
|
50,213
|
|
|
BNP Paribas SA
|
Goldman Sachs Bank USA
|
8,119,803
|
08/19/26
|
0.18%
|
1D ESTR
|
Monthly
|
597,484
|
|
|
Booking Holdings, Inc.
|
Goldman Sachs Bank USA
|
482,409
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
26,654
|
|
|
Booking Holdings, Inc.
|
Morgan Stanley & Co. International
PLC
|
30,444,169
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
2,452,997
|
|
|
Boot Barn Holdings, Inc.
|
Morgan Stanley & Co. International
PLC
|
922,421
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(2,408
)
|
|
|
Booz Allen Hamilton Holding
Corp.
|
Citibank NA
|
4,558,143
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
247,448
|
|
|
Booz Allen Hamilton Holding
Corp.
|
Goldman Sachs Bank USA
|
16,433
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
1,485
|
|
|
BorgWarner, Inc.
|
Citibank NA
|
5,201,937
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(41,292
)
|
|
|
Boston Scientific Corp.
|
Citibank NA
|
4,284,968
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
374,947
|
|
|
BP PLC
|
Goldman Sachs Bank USA
|
1,406,276
|
08/19/26
|
0.25%
|
1D SONIA
|
Monthly
|
123,472
|
|
|
Brambles Ltd.
|
Morgan Stanley & Co. International
PLC
|
997,177
|
12/09/27
|
0.29%
|
1D AONIA
|
Monthly
|
22,970
|
|
|
Brenntag SE
|
Goldman Sachs Bank USA
|
156,367
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
(1,372
)
|
|
|
Bridgebio Pharma, Inc.
|
Goldman Sachs Bank USA
|
2,552,375
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(79,356
)
|
|
|
Bridgestone Corp.
|
Goldman Sachs Bank USA
|
8,744,427
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
481,781
|
|
|
BrightSpring Health Services,
Inc.
|
Goldman Sachs Bank USA
|
1,216,939
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(152,429
)
|
|
|
Bristol-Myers Squibb Co.
|
Barclays Bank PLC
|
2,922,070
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
218,819
|
|
|
Bristol-Myers Squibb Co.
|
Morgan Stanley & Co. International
PLC
|
21,385,359
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
1,576,004
|
|
|
Broadcom, Inc.
|
Barclays Bank PLC
|
2,040,794
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(38,727
)
|
|
|
Broadcom, Inc.
|
Citibank NA
|
461,887
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(8,765
)
|
|
|
Broadridge Financial Solutions,
Inc.
|
Citibank NA
|
2,406,228
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
164,122
|
|
|
Brookfield Corp.
|
Citibank NA
|
4,761,935
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
53,341
|
|
|
Brown-Forman Corp.
|
Morgan Stanley & Co. International
PLC
|
7,157
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
629
|
|
|
Bruker Corp.
|
Goldman Sachs Bank USA
|
336,867
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
5,988
|
|
|
BT Group PLC
|
Goldman Sachs Bank USA
|
4,428,666
|
08/19/26
|
0.25%
|
1D SONIA
|
Monthly
|
136,051
|
|
|
Bureau Veritas SA
|
Barclays Bank PLC
|
9,658,633
|
02/14/28
|
0.26%
|
1D ESTR
|
Monthly
|
166,880
|
|
|
Burlington Stores, Inc.
|
Goldman Sachs Bank USA
|
5,658,138
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
380,880
|
|
|
BWX Technologies, Inc.
|
Citibank NA
|
111,058
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(4,102
)
|
|
|
Cadence Design Systems, Inc.
|
Citibank NA
|
1,348,377
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
12,043
|
|
|
CaixaBank SA
|
Citibank NA
|
10,814,051
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
(399,251
)
|
|
|
Cal-Maine Foods, Inc.
|
Morgan Stanley & Co. International
PLC
|
3,009,205
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(2,740
)
|
|
|
Camden Property Trust
|
Goldman Sachs Bank USA
|
2,714,302
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(25,719
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Campbell's Co. (The)
|
Goldman Sachs Bank USA
|
$6,808
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
$28
|
|
|
Canadian Apartment Properties
REIT
|
Goldman Sachs Bank USA
|
763,353
|
08/18/26
|
0.20%
|
1D CORRA
|
Monthly
|
(13,534
)
|
|
|
Canadian Imperial Bank of
Commerce/New York
|
Goldman Sachs Bank USA
|
14,810,869
|
08/18/26
|
0.20%
|
1D CORRA
|
Monthly
|
(71,406
)
|
|
|
Canadian National Railway
Co.
|
Goldman Sachs Bank USA
|
19,790,322
|
08/18/26
|
0.20%
|
1D CORRA
|
Monthly
|
453,135
|
|
|
Canadian Natural Resources
Ltd.
|
Citibank NA
|
31,905,857
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
1,144,967
|
|
|
Canadian Tire Corp. Ltd.
|
Barclays Bank PLC
|
10,311,025
|
01/11/27
|
0.20%
|
CABROVER
|
Monthly
|
341,282
|
|
|
Canon, Inc.
|
Goldman Sachs Bank USA
|
7,039,409
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
8,440
|
|
|
Capgemini SE
|
Goldman Sachs Bank USA
|
5,028,028
|
08/19/26
|
0.18%
|
1D ESTR
|
Monthly
|
506,365
|
|
|
Capital One Financial Corp.
|
Citibank NA
|
2,489,816
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
94,592
|
|
|
Capital Power Corp.
|
Goldman Sachs Bank USA
|
511,848
|
08/18/26
|
0.20%
|
1D CORRA
|
Monthly
|
(52,259
)
|
|
|
CapitaLand Integrated
Commercial Trust
|
Citibank NA
|
3,467,187
|
02/24/27
|
0.30%
|
SORA
|
Monthly
|
26,525
|
|
|
Capstone Copper Corp.
|
Goldman Sachs Bank USA
|
3,030,657
|
08/18/26
|
0.20%
|
1D CORRA
|
Monthly
|
48,583
|
|
|
Cardinal Health, Inc.
|
Barclays Bank PLC
|
5,974,649
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
257,094
|
|
|
Cardinal Health, Inc.
|
Morgan Stanley & Co. International
PLC
|
2,039,774
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
87,773
|
|
|
CareTrust REIT, Inc.
|
Goldman Sachs Bank USA
|
1,357,866
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
62,306
|
|
|
CareTrust REIT, Inc.
|
Morgan Stanley & Co. International
PLC
|
316,790
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(3,289
)
|
|
|
Carlisle Cos., Inc.
|
Citibank NA
|
2,792,368
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
239,598
|
|
|
Carpenter Technology Corp.
|
Goldman Sachs Bank USA
|
6,823,053
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(679,113
)
|
|
|
Carpenter Technology Corp.
|
Goldman Sachs Bank USA
|
856,416
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(85,241
)
|
|
|
Carrier Global Corp.
|
Goldman Sachs Bank USA
|
21,447
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(2,162
)
|
|
|
Casey's General Stores, Inc.
|
Goldman Sachs Bank USA
|
18,595
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
1,438
|
|
|
Casey's General Stores, Inc.
|
Morgan Stanley & Co. International
PLC
|
2,272,931
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
37,832
|
|
|
Castellum AB
|
Goldman Sachs Bank USA
|
271,958
|
08/19/26
|
0.26%
|
1D STIBOR
|
Monthly
|
691
|
|
|
Caterpillar, Inc.
|
Citibank NA
|
8,896,657
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(745,298
)
|
|
|
Cava Group, Inc.
|
Barclays Bank PLC
|
1,578,827
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
72,927
|
|
|
Cavco Industries, Inc.
|
Morgan Stanley & Co. International
PLC
|
991,317
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(40,032
)
|
|
|
Cboe Global Markets, Inc.
|
Citibank NA
|
14,654
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
1,478
|
|
|
CBRE Group, Inc.
|
Citibank NA
|
10,566,897
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
749,218
|
|
|
CDW Corp./DE
|
Citibank NA
|
273,032
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
37,812
|
|
|
CDW Corp./DE
|
Goldman Sachs Bank USA
|
784,137
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(596
)
|
|
|
Celestica, Inc.
|
Citibank NA
|
1,857,594
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
(13,497
)
|
|
|
Cellnex Telecom SA
|
Goldman Sachs Bank USA
|
6,794,240
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
355,836
|
|
|
Celsius Holdings, Inc.
|
Goldman Sachs Bank USA
|
184,877
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
2,096
|
|
|
CF Industries Holdings, Inc.
|
Citibank NA
|
444,197
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(7,534
)
|
|
|
CG oncology, Inc.
|
Citibank NA
|
1,346,624
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
36,527
|
|
|
CGI, Inc.
|
Barclays Bank PLC
|
19,394,255
|
01/11/27
|
0.20%
|
CABROVER
|
Monthly
|
2,119,919
|
|
|
CH Robinson Worldwide, Inc.
|
Citibank NA
|
3,270,324
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(940,327
)
|
|
|
CH Robinson Worldwide, Inc.
|
Morgan Stanley & Co. International
PLC
|
2,667,089
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(747,928
)
|
|
|
Charles River Laboratories
International, Inc.
|
Goldman Sachs Bank USA
|
159,431
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(1,557
)
|
|
|
Charles Schwab Corp/The
|
Barclays Bank PLC
|
14,684,846
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
646,833
|
|
|
Charter Hall Group
|
Citibank NA
|
5,007,058
|
02/24/27
|
0.30%
|
1D AONIA
|
Monthly
|
166,606
|
|
|
Check Point Software
Technologies Ltd.
|
Morgan Stanley & Co. International
PLC
|
5,442,845
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(55,076
)
|
|
|
Cheesecake Factory, Inc./The
|
Goldman Sachs Bank USA
|
5,057
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
1,332
|
|
|
Chemed Corp.
|
Citibank NA
|
1,872,087
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
106,818
|
|
|
Cheniere Energy, Inc.
|
Morgan Stanley & Co. International
PLC
|
5,812,741
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(83,257
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Chevron Corp.
|
Barclays Bank PLC
|
$3,171,819
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
$63,279
|
|
|
Chevron Corp.
|
Goldman Sachs Bank USA
|
36,852,769
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
2,937,400
|
|
|
Chime Financial, Inc.
|
Barclays Bank PLC
|
1,738,814
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
93,236
|
|
|
Chime Financial, Inc.
|
Citibank NA
|
804,896
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
43,159
|
|
|
Chipotle Mexican Grill, Inc.
|
Citibank NA
|
17,681,632
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
2,756,577
|
|
|
Chocoladefabriken Lindt &
Spruengli AG
|
Barclays Bank PLC
|
3,580,939
|
02/14/28
|
0.26%
|
SSARON
|
Monthly
|
(37,524
)
|
|
|
Chord Energy Corp.
|
Goldman Sachs Bank USA
|
111,713
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
15,331
|
|
|
Chugai Pharmaceutical Co.
Ltd.
|
Goldman Sachs Bank USA
|
554,300
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
(11,908
)
|
|
|
Church & Dwight Co., Inc.
|
Barclays Bank PLC
|
6,876,124
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
118,932
|
|
|
Cie Generale des
Etablissements Michelin
SCA
|
Morgan Stanley & Co. International
PLC
|
10,178,149
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
40,385
|
|
|
Ciena Corp.
|
Citibank NA
|
795,909
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(40,300
)
|
|
|
Ciena Corp.
|
Citibank NA
|
2,607,273
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(125,530
)
|
|
|
Cigna Group/The
|
Citibank NA
|
17,376
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(354
)
|
|
|
Cigna Group/The
|
Morgan Stanley & Co. International
PLC
|
3,122,811
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(63,585
)
|
|
|
Cincinnati Financial Corp.
|
Barclays Bank PLC
|
11,291
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(98
)
|
|
|
Cintas Corp.
|
Morgan Stanley & Co. International
PLC
|
2,903,007
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
47,144
|
|
|
Cirrus Logic, Inc.
|
Morgan Stanley & Co. International
PLC
|
7,220,690
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(466,163
)
|
|
|
Cisco Systems, Inc.
|
Barclays Bank PLC
|
4,272,457
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
130,060
|
|
|
Citigroup, Inc.
|
Barclays Bank PLC
|
38,022,043
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
57,465
|
|
|
Citizens Financial Group, Inc.
|
Goldman Sachs Bank USA
|
27,950,225
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
139,011
|
|
|
Citizens Financial Group, Inc.
|
Morgan Stanley & Co. International
PLC
|
26,223
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(286
)
|
|
|
CK Asset Holdings Ltd.
|
Morgan Stanley & Co. International
PLC
|
1,778,944
|
12/09/27
|
0.30%
|
HONIA
|
Monthly
|
(3,412
)
|
|
|
CK Hutchison Holdings Ltd.
|
Citibank NA
|
50,109
|
02/24/27
|
0.30%
|
HONIA
|
Monthly
|
1,422
|
|
|
CK Infrastructure Holdings Ltd.
|
Citibank NA
|
541,980
|
02/24/27
|
0.30%
|
HONIA
|
Monthly
|
4,413
|
|
|
Clean Harbors, Inc.
|
Goldman Sachs Bank USA
|
4,937,043
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
154,766
|
|
|
Clear Secure, Inc.
|
Goldman Sachs Bank USA
|
225,103
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
2,430
|
|
|
Clorox Co./The
|
Barclays Bank PLC
|
52,285
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(126
)
|
|
|
CME Group, Inc.
|
Morgan Stanley & Co. International
PLC
|
4,088,034
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
304,257
|
|
|
CME Group, Inc.
|
Morgan Stanley & Co. International
PLC
|
6,600,872
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
491,278
|
|
|
Co.lgate-Palmolive Co.
|
Goldman Sachs Bank USA
|
1,227,527
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(2,281
)
|
|
|
Coca-Cola Bottlers Japan
Holdings, Inc.
|
Goldman Sachs Bank USA
|
234,961
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
(35,504
)
|
|
|
Cochlear Ltd.
|
Goldman Sachs Bank USA
|
136,186
|
08/19/26
|
0.30%
|
1D AONIA
|
Monthly
|
(3,433
)
|
|
|
Coeur Mining, Inc.
|
Barclays Bank PLC
|
461,188
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(14,365
)
|
|
|
Cogent Biosciences, Inc.
|
Goldman Sachs Bank USA
|
985,212
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(9,276
)
|
|
|
Cognex Corp.
|
Barclays Bank PLC
|
4,174,459
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
194,729
|
|
|
Cognex Corp.
|
Morgan Stanley & Co. International
PLC
|
243,531
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
10,514
|
|
|
Cognizant Technology
Solutions Corp.
|
Citibank NA
|
5,833,963
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
1,644,264
|
|
|
Cognizant Technology
Solutions Corp.
|
Goldman Sachs Bank USA
|
6,654,824
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
1,502,272
|
|
|
Coherent Corp.
|
Goldman Sachs Bank USA
|
341,892
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(41,672
)
|
|
|
Columbia Banking System,
Inc.
|
Barclays Bank PLC
|
56,907
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(2,372
)
|
|
|
Columbia Banking System,
Inc.
|
Morgan Stanley & Co. International
PLC
|
1,696,271
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(70,700
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Comcast Corp.
|
Barclays Bank PLC
|
$4,605,576
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
$101,630
|
|
|
Comcast Corp.
|
Citibank NA
|
13,524
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
253
|
|
|
Comfort Systems USA, Inc.
|
Citibank NA
|
4,349,992
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(134,737
)
|
|
|
Commerzbank AG
|
Goldman Sachs Bank USA
|
253,521
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
1,010
|
|
|
Computershare Ltd.
|
Barclays Bank PLC
|
4,011,761
|
12/11/28
|
0.00%
|
1D AONIA
|
Monthly
|
94,972
|
|
|
Conagra Brands, Inc.
|
Barclays Bank PLC
|
10,107,090
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(218,090
)
|
|
|
Conagra Brands, Inc.
|
Barclays Bank PLC
|
43,660
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(942
)
|
|
|
ConocoPhillips
|
Morgan Stanley & Co. International
PLC
|
602,147
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
8,567
|
|
|
Constellation Brands, Inc.
|
Goldman Sachs Bank USA
|
11,337,959
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(116,171
)
|
|
|
Continental AG
|
Citibank NA
|
2,999,425
|
11/11/26
|
0.24%
|
1D ESTR
|
Monthly
|
42,104
|
|
|
Cooper Cos., Inc./The
|
Goldman Sachs Bank USA
|
27,534
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
671
|
|
|
Corning, Inc.
|
Morgan Stanley & Co. International
PLC
|
694,811
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(71,303
)
|
|
|
Corteva, Inc.
|
Morgan Stanley & Co. International
PLC
|
398,208
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(44,170
)
|
|
|
Costco Wholesale Corp.
|
Barclays Bank PLC
|
6,348,364
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
168,275
|
|
|
Credit Agricole SA
|
Morgan Stanley & Co. International
PLC
|
384,534
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
23,986
|
|
|
Credo Technology Group
Holding Ltd.
|
Citibank NA
|
253,836
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(23,663
)
|
|
|
CRH PLC
|
Goldman Sachs Bank USA
|
10,089,526
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(868,615
)
|
|
|
CRH PLC
|
Goldman Sachs Bank USA
|
10,916
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(940
)
|
|
|
CRISPR Therapeutics AG
|
Goldman Sachs Bank USA
|
607,102
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
3,475
|
|
|
Crowdstrike Holdings, Inc.
|
Barclays Bank PLC
|
2,684,608
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
34,765
|
|
|
Crown Holdings, Inc.
|
Barclays Bank PLC
|
1,129,720
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
13,778
|
|
|
CSL Ltd.
|
Citibank NA
|
3,809,254
|
02/24/27
|
0.30%
|
1D AONIA
|
Monthly
|
159,357
|
|
|
CSX Corp.
|
Goldman Sachs Bank USA
|
686,583
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
13,473
|
|
|
CubeSmart
|
Goldman Sachs Bank USA
|
5,462
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
135
|
|
|
Cullen/Frost Bankers, Inc.
|
Morgan Stanley & Co. International
PLC
|
271,299
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
6,822
|
|
|
Cummins, Inc.
|
Citibank NA
|
261,442
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
8,727
|
|
|
Curtiss-Wright Corp.
|
Goldman Sachs Bank USA
|
4,510
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(166
)
|
|
|
CVS Health Corp.
|
Barclays Bank PLC
|
2,234,446
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(75,460
)
|
|
|
CVS Health Corp.
|
Citibank NA
|
3,685,011
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(123,530
)
|
|
|
CyberAgent, Inc.
|
Morgan Stanley & Co. International
PLC
|
5,656,697
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
166,781
|
|
|
Cytokinetics, Inc.
|
Goldman Sachs Bank USA
|
169,552
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(2,720
)
|
|
|
Daifuku Co Ltd.
|
Morgan Stanley & Co. International
PLC
|
2,036,043
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(94,776
)
|
|
|
Daiichi Life Group, Inc.
|
Barclays Bank PLC
|
15,086,068
|
12/11/28
|
0.00%
|
1D P TONA
|
Monthly
|
164,085
|
|
|
Daimler Truck Holding AG
|
Citibank NA
|
1,578,592
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
69,586
|
|
|
Daiwa Securities Group, Inc.
|
Goldman Sachs Bank USA
|
8,538,493
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
(450,555
)
|
|
|
Danaher Corp.
|
Citibank NA
|
966,102
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
85,425
|
|
|
Danone SA
|
Citibank NA
|
9,391,603
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
(325,868
)
|
|
|
Danske Bank A/S
|
Goldman Sachs Bank USA
|
6,619,650
|
08/19/26
|
0.26%
|
DESTR
|
Monthly
|
67,908
|
|
|
Darden Restaurants, Inc.
|
Barclays Bank PLC
|
2,768,106
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
137,592
|
|
|
Darden Restaurants, Inc.
|
Goldman Sachs Bank USA
|
308,798
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(12,589
)
|
|
|
Dassault Systemes SE
|
Citibank NA
|
3,250,904
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
442,089
|
|
|
Datadog, Inc.
|
Goldman Sachs Bank USA
|
1,409,323
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
18,958
|
|
|
Datadog, Inc.
|
Goldman Sachs Bank USA
|
3,489,550
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
46,314
|
|
|
DaVita, Inc.
|
Citibank NA
|
7,290,287
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
238,936
|
|
|
Deckers Outdoor Corp.
|
Barclays Bank PLC
|
2,440,785
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(136,397
)
|
|
|
Deere & Co.
|
Morgan Stanley & Co. International
PLC
|
2,978,251
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(72,983
)
|
|
|
Dell Technologies, Inc.
|
Morgan Stanley & Co. International
PLC
|
19,999,844
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(1,649,150
)
|
|
|
Delta Air Lines, Inc.
|
Citibank NA
|
5,303,178
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
232,998
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Denso Corp.
|
Goldman Sachs Bank USA
|
$16,817,599
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
$(117,062
)
|
|
|
Dentsu Group, Inc.
|
Citibank NA
|
2,741,797
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
133,865
|
|
|
Deutsche Bank AG
|
Citibank NA
|
3,720,938
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
82,555
|
|
|
Deutsche Boerse AG
|
Morgan Stanley & Co. International
PLC
|
5,917,776
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
172,835
|
|
|
Deutsche Post AG
|
Goldman Sachs Bank USA
|
18,968,365
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
76,548
|
|
|
Deutsche Telekom AG
|
Citibank NA
|
20,962,295
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
(354,571
)
|
|
|
Devon Energy Corp.
|
Morgan Stanley & Co. International
PLC
|
29,800
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
166
|
|
|
Dexcom, Inc.
|
Goldman Sachs Bank USA
|
615,223
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
90,680
|
|
|
DiaSorin SpA
|
Citibank NA
|
388,683
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
17,709
|
|
|
Dick's Sporting Goods, Inc.
|
Barclays Bank PLC
|
635,433
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(43,001
)
|
|
|
Digital Realty Trust, Inc.
|
Barclays Bank PLC
|
11,680,146
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
661,881
|
|
|
Dillard's, Inc.
|
Citibank NA
|
1,530,490
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(2,571
)
|
|
|
Dillard's, Inc.
|
Citibank NA
|
775,560
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(1,305
)
|
|
|
Diploma PLC
|
Barclays Bank PLC
|
11,886,738
|
02/14/28
|
0.25%
|
1D SONIA
|
Monthly
|
(371,390
)
|
|
|
DMG Mori Co Ltd.
|
Barclays Bank PLC
|
731,379
|
12/11/28
|
0.00%
|
1D P TONA
|
Monthly
|
28,234
|
|
|
DNB Bank ASA
|
Citibank NA
|
716,855
|
11/11/26
|
0.26%
|
NOWA
|
Monthly
|
19,205
|
|
|
Dollar General Corp.
|
Barclays Bank PLC
|
19,194,031
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
1,087,087
|
|
|
Dollar Tree, Inc.
|
Goldman Sachs Bank USA
|
4,248,091
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
16,116
|
|
|
Dollar Tree, Inc.
|
Morgan Stanley & Co. International
PLC
|
761,361
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
31,539
|
|
|
Domino's Pizza, Inc.
|
Barclays Bank PLC
|
248,508
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
21,453
|
|
|
Domino's Pizza, Inc.
|
Goldman Sachs Bank USA
|
2,649,765
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
284,366
|
|
|
Donaldson Co., Inc.
|
Barclays Bank PLC
|
5,455,690
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
196,731
|
|
|
DoorDash, Inc.
|
Goldman Sachs Bank USA
|
298,741
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
9,426
|
|
|
Dover Corp.
|
Citibank NA
|
4,037,669
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(186,516
)
|
|
|
Dow, Inc.
|
Citibank NA
|
40,094
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(1,232
)
|
|
|
Dow, Inc.
|
Goldman Sachs Bank USA
|
10,700,791
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
212,575
|
|
|
Dowa Holdings Co. Ltd.
|
Citibank NA
|
760,096
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(30,494
)
|
|
|
Doximity, Inc.
|
Goldman Sachs Bank USA
|
6,700
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(406
)
|
|
|
DR Horton, Inc.
|
Citibank NA
|
31,782
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
120
|
|
|
DR Horton, Inc.
|
Morgan Stanley & Co. International
PLC
|
6,802,522
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(32,780
)
|
|
|
Dropbox, Inc.
|
Citibank NA
|
8,310,104
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
1,075,804
|
|
|
DSM-Firmenich AG
|
Goldman Sachs Bank USA
|
881,582
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
105,830
|
|
|
DT Midstream, Inc.
|
Morgan Stanley & Co. International
PLC
|
916,295
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(34,751
)
|
|
|
DTE Energy Co.
|
Barclays Bank PLC
|
3,345,197
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(150,427
)
|
|
|
Duke Energy Corp.
|
Goldman Sachs Bank USA
|
206,777
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
1,813
|
|
|
DuPont de Nemours, Inc.
|
Goldman Sachs Bank USA
|
8,587,109
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
106,226
|
|
|
DuPont de Nemours, Inc.
|
Goldman Sachs Bank USA
|
3,294,702
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
53,167
|
|
|
Dycom Industries, Inc.
|
Citibank NA
|
946,447
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(72,114
)
|
|
|
Dynatrace, Inc.
|
Barclays Bank PLC
|
2,984,538
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
213,594
|
|
|
Eagle Materials, Inc.
|
Citibank NA
|
18,507
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
143
|
|
|
East West Bancorp, Inc.
|
Barclays Bank PLC
|
68,169
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(311
)
|
|
|
East West Bancorp, Inc.
|
Goldman Sachs Bank USA
|
2,292,167
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(34,513
)
|
|
|
Eastman Chemical Co.
|
Barclays Bank PLC
|
51,480
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
423
|
|
|
Eastman Chemical Co.
|
Morgan Stanley & Co. International
PLC
|
516,673
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
4,245
|
|
|
Eaton Corp PLC
|
Goldman Sachs Bank USA
|
49,130
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
278
|
|
|
eBay, Inc.
|
Barclays Bank PLC
|
958,386
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
26,432
|
|
|
Ecolab, Inc.
|
Barclays Bank PLC
|
516,680
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
20,812
|
|
|
Edison International
|
Citibank NA
|
288,162
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(25,131
)
|
|
|
EDP SA
|
Morgan Stanley & Co. International
PLC
|
7,482,678
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
(236,242
)
|
|
|
Edwards Lifesciences Corp.
|
Morgan Stanley & Co. International
PLC
|
1,948,778
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
39,267
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Eiffage SA
|
Goldman Sachs Bank USA
|
$3,404,829
|
08/19/26
|
0.18%
|
1D ESTR
|
Monthly
|
$33,569
|
|
|
Eisai Co. Ltd.
|
Morgan Stanley & Co. International
PLC
|
1,449,892
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
74,294
|
|
|
Element Fleet Management
Corp.
|
Goldman Sachs Bank USA
|
4,996,590
|
08/18/26
|
0.20%
|
1D CORRA
|
Monthly
|
267,734
|
|
|
Elevance Health, Inc.
|
Citibank NA
|
12,770,647
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(430,316
)
|
|
|
Eli Lilly & Co.
|
Barclays Bank PLC
|
2,627,240
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(32,010
)
|
|
|
EMCOR Group, Inc.
|
Barclays Bank PLC
|
1,996,720
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
130,025
|
|
|
Emera, Inc.
|
Citibank NA
|
6,160,096
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
(128,822
)
|
|
|
Emerson Electric Co.
|
Barclays Bank PLC
|
24,030,903
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
1,638,656
|
|
|
Empire Co. Ltd.
|
Citibank NA
|
1,594,657
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
49,342
|
|
|
EMS-Chemie Holding AG
|
Goldman Sachs Bank USA
|
328,931
|
08/19/26
|
0.26%
|
SSARON
|
Monthly
|
16,379
|
|
|
Enagas SA
|
Morgan Stanley & Co. International
PLC
|
468,270
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
(14,658
)
|
|
|
Endeavour Mining PLC
|
Goldman Sachs Bank USA
|
644,948
|
08/19/26
|
0.25%
|
1D SONIA
|
Monthly
|
4,704
|
|
|
Endesa SA
|
Morgan Stanley & Co. International
PLC
|
7,016,940
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
189,033
|
|
|
Enel SpA
|
Goldman Sachs Bank USA
|
29,256,860
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
(945,993
)
|
|
|
ENEOS Holdings, Inc.
|
Morgan Stanley & Co. International
PLC
|
18,691,803
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(87,822
)
|
|
|
EnerSys
|
Morgan Stanley & Co. International
PLC
|
1,494,324
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(113,275
)
|
|
|
Eni SpA
|
Barclays Bank PLC
|
8,539,677
|
02/14/28
|
0.26%
|
1D ESTR
|
Monthly
|
683,137
|
|
|
Ensign Group, Inc./The
|
Goldman Sachs Bank USA
|
1,594,964
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
102,723
|
|
|
Entain PLC
|
Goldman Sachs Bank USA
|
1,230,301
|
08/19/26
|
0.25%
|
1D SONIA
|
Monthly
|
(65,994
)
|
|
|
Entegris, Inc.
|
Barclays Bank PLC
|
6,966,112
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(933,848
)
|
|
|
EOG Resources, Inc.
|
Citibank NA
|
1,408,896
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
45,887
|
|
|
EOG Resources, Inc.
|
Morgan Stanley & Co. International
PLC
|
15,326,308
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
492,969
|
|
|
EQT Corp.
|
Citibank NA
|
1,745,009
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(23,262
)
|
|
|
Equifax, Inc.
|
Citibank NA
|
8,169,810
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
86,086
|
|
|
Equinix, Inc.
|
Goldman Sachs Bank USA
|
182,023
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(591
)
|
|
|
Equinix, Inc.
|
Morgan Stanley & Co. International
PLC
|
10,039,680
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(100,681
)
|
|
|
Equinor ASA
|
Morgan Stanley & Co. International
PLC
|
15,902,801
|
04/24/28
|
0.26%
|
NOWA
|
Monthly
|
338,334
|
|
|
Erste Group Bank AG
|
Citibank NA
|
2,594,742
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
(61,198
)
|
|
|
ESCO Technologies, Inc.
|
Goldman Sachs Bank USA
|
44,288
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(1,724
)
|
|
|
EssilorLuxottica SA
|
Citibank NA
|
9,096,324
|
11/11/26
|
0.22%
|
1D ESTR
|
Monthly
|
(12,286
)
|
|
|
Estee Lauder Cos., Inc./The
|
Morgan Stanley & Co. International
PLC
|
5,843,346
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
89,811
|
|
|
Etsy, Inc.
|
Barclays Bank PLC
|
9,451,974
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
140,934
|
|
|
Eurofins Scientific SE
|
Barclays Bank PLC
|
6,872,188
|
02/14/28
|
0.26%
|
1D ESTR
|
Monthly
|
(213,503
)
|
|
|
Evercore, Inc.
|
Barclays Bank PLC
|
1,737,661
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(81,648
)
|
|
|
Evercore, Inc.
|
Goldman Sachs Bank USA
|
1,129,204
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(105,656
)
|
|
|
Everest Group Ltd.
|
Goldman Sachs Bank USA
|
51,706
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
1,423
|
|
|
Everpure, Inc.
|
Barclays Bank PLC
|
1,972,865
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
68,513
|
|
|
Everpure, Inc.
|
Goldman Sachs Bank USA
|
461,148
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
41,846
|
|
|
Everus Construction Group,
Inc.
|
Barclays Bank PLC
|
1,371,396
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(116,093
)
|
|
|
Evolution Mining Ltd.
|
Citibank NA
|
6,027,880
|
02/24/27
|
0.30%
|
1D AONIA
|
Monthly
|
(48,366
)
|
|
|
Evonik Industries AG
|
Citibank NA
|
2,926,755
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
137,942
|
|
|
Exelixis, Inc.
|
Citibank NA
|
4,871,708
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(173,568
)
|
|
|
Exelon Corp.
|
Goldman Sachs Bank USA
|
8,908,331
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(61,268
)
|
|
|
Expand Energy Corp.
|
Barclays Bank PLC
|
2,940,538
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
27,142
|
|
|
Expedia Group, Inc.
|
Goldman Sachs Bank USA
|
3,554,700
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
367,700
|
|
|
Expeditors International of
Washington, Inc.
|
Barclays Bank PLC
|
3,120,419
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(159,847
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Expeditors International of
Washington, Inc.
|
Morgan Stanley & Co. International
PLC
|
$13,397,298
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
$(721,770
)
|
|
|
ExxonMobil Holdings Corp.
|
Citibank NA
|
740,897
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
4,749
|
|
|
F5, Inc.
|
Citibank NA
|
3,744,283
|
02/22/28
|
0.11%
|
1D OBFR01
|
Monthly
|
21,357
|
|
|
F5, Inc.
|
Morgan Stanley & Co. International
PLC
|
485,539
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
2,376
|
|
|
FactSet Research Systems,
Inc.
|
Barclays Bank PLC
|
57,379
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
4,210
|
|
|
FactSet Research Systems,
Inc.
|
Citibank NA
|
3,559,957
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
215,121
|
|
|
FANUC Corp.
|
Morgan Stanley & Co. International
PLC
|
2,008,253
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(130,484
)
|
|
|
Fastenal Co.
|
Morgan Stanley & Co. International
PLC
|
4,571,123
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
240,002
|
|
|
FedEx Corp.
|
Citibank NA
|
6,241,372
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(244,920
)
|
|
|
FedEx Corp.
|
Morgan Stanley & Co. International
PLC
|
10,915
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(463
)
|
|
|
Ferguson Enterprises, Inc.
|
Morgan Stanley & Co. International
PLC
|
1,725,083
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
30,986
|
|
|
Fidelity National Financial, Inc.
|
Goldman Sachs Bank USA
|
32,384
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
943
|
|
|
Fidelity National Information
Services, Inc.
|
Citibank NA
|
6,646,817
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
693,538
|
|
|
Fifth Third BanCorp.
|
Goldman Sachs Bank USA
|
58,114
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(1,444
)
|
|
|
Figma, Inc.
|
Goldman Sachs Bank USA
|
413,459
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(7,388
)
|
|
|
Finning International, Inc.
|
Goldman Sachs Bank USA
|
3,696,511
|
08/18/26
|
0.20%
|
1D CORRA
|
Monthly
|
(486,810
)
|
|
|
First Citizens BancShares,
Inc./NC
|
Goldman Sachs Bank USA
|
2,196,351
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
86,511
|
|
|
First Horizon Corp.
|
Barclays Bank PLC
|
13,970,756
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(34,929
)
|
|
|
First Majestic Silver Corp.
|
Citibank NA
|
9,380,705
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
(1,268,496
)
|
|
|
First Solar, Inc.
|
Goldman Sachs Bank USA
|
156,003
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(8,915
)
|
|
|
FirstEnergy Corp.
|
Goldman Sachs Bank USA
|
2,767,178
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(18,774
)
|
|
|
Flex Ltd.
|
Morgan Stanley & Co. International
PLC
|
3,651,122
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(345,775
)
|
|
|
Flowserve Corp.
|
Citibank NA
|
889,280
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
72,298
|
|
|
Flowserve Corp.
|
Goldman Sachs Bank USA
|
22,183
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
2,286
|
|
|
Fluor Corp.
|
Citibank NA
|
1,274,840
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(35,090
)
|
|
|
FNB Corp./PA
|
Citibank NA
|
3,584,013
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
4,058
|
|
|
FormFactor, Inc.
|
Goldman Sachs Bank USA
|
1,065,568
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(88,422
)
|
|
|
Fortescue Ltd.
|
Goldman Sachs Bank USA
|
4,823,202
|
08/19/26
|
0.30%
|
1D AONIA
|
Monthly
|
(156,954
)
|
|
|
Fortinet, Inc.
|
Morgan Stanley & Co. International
PLC
|
2,302,027
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
102,444
|
|
|
Fortis, Inc./Canada
|
Citibank NA
|
10,654,792
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
(303,533
)
|
|
|
Fortive Corp.
|
Barclays Bank PLC
|
20,805,083
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(355,488
)
|
|
|
Fortuna Mining Corp.
|
Goldman Sachs Bank USA
|
462,053
|
08/18/26
|
0.20%
|
1D CORRA
|
Monthly
|
(3,495
)
|
|
|
Fortune Brands Innovations,
Inc.
|
Citibank NA
|
9,088
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(172
)
|
|
|
Fox Corp.
|
Citibank NA
|
11,770,333
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
371,146
|
|
|
Franklin Resources, Inc.
|
Barclays Bank PLC
|
8,743,950
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
399,469
|
|
|
Franklin Resources, Inc.
|
Citibank NA
|
58,284
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
2,664
|
|
|
Freeport-McMoRan, Inc.
|
Morgan Stanley & Co. International
PLC
|
6,213,350
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(226,548
)
|
|
|
Freeport-McMoRan, Inc.
|
Morgan Stanley & Co. International
PLC
|
946,186
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(16,131
)
|
|
|
Fresenius Medical Care AG
|
Citibank NA
|
4,551,330
|
11/11/26
|
0.05%
|
1D ESTR
|
Monthly
|
188,036
|
|
|
Fresenius SE & Co. KGaA
|
Goldman Sachs Bank USA
|
5,447,358
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
365,307
|
|
|
Frontline PLC
|
Morgan Stanley & Co. International
PLC
|
3,037,483
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
112,825
|
|
|
Fuji Electric Co. Ltd.
|
Citibank NA
|
4,172,219
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
295,968
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Fujitsu Ltd.
|
Barclays Bank PLC
|
$11,085,821
|
12/11/28
|
0.00%
|
1D P TONA
|
Monthly
|
$1,127,989
|
|
|
Fukuoka Financial Group, Inc.
|
Goldman Sachs Bank USA
|
1,059,874
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
(45,107
)
|
|
|
Futu Holdings Ltd.
|
Goldman Sachs Bank USA
|
2,034,998
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
117,754
|
|
|
Galaxy Entertainment Group
Ltd.
|
Goldman Sachs Bank USA
|
11,372,519
|
08/19/26
|
0.30%
|
HONIA
|
Monthly
|
1,030,145
|
|
|
Gaming and Leisure
Properties, Inc.
|
Goldman Sachs Bank USA
|
8,806
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
152
|
|
|
Gap, Inc./The
|
Goldman Sachs Bank USA
|
1,782,002
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(16,814
)
|
|
|
Garmin Ltd.
|
Barclays Bank PLC
|
9,793,086
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
2,169,048
|
|
|
Gartner, Inc.
|
Goldman Sachs Bank USA
|
149,253
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(13,184
)
|
|
|
GE HealthCare Technologies,
Inc.
|
Morgan Stanley & Co. International
PLC
|
980,104
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
105,496
|
|
|
GE Vernova, Inc.
|
Goldman Sachs Bank USA
|
164,149
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
8,162
|
|
|
GE Vernova, Inc.
|
Morgan Stanley & Co. International
PLC
|
658,985
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
3,519
|
|
|
Generac Holdings, Inc.
|
Citibank NA
|
3,532,955
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(269,996
)
|
|
|
General Dynamics Corp.
|
Morgan Stanley & Co. International
PLC
|
15,262,617
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
419,644
|
|
|
General Dynamics Corp.
|
Morgan Stanley & Co. International
PLC
|
2,646,087
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
40,921
|
|
|
General Electric Co.
|
Citibank NA
|
4,738,750
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
256,861
|
|
|
General Electric Co.
|
Citibank NA
|
545,904
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
30,208
|
|
|
General Mills, Inc.
|
Goldman Sachs Bank USA
|
5,418,942
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(223,967
)
|
|
|
General Mills, Inc.
|
Goldman Sachs Bank USA
|
38,523
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(1,521
)
|
|
|
General Motors Co.
|
Citibank NA
|
6,621,240
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
544,608
|
|
|
Generali
|
Barclays Bank PLC
|
15,176,132
|
02/14/28
|
0.26%
|
1D ESTR
|
Monthly
|
340,062
|
|
|
Genuine Parts Co.
|
Barclays Bank PLC
|
274,323
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
9,116
|
|
|
Genuine Parts Co.
|
Morgan Stanley & Co. International
PLC
|
3,534,906
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
117,468
|
|
|
George Weston Ltd.
|
Citibank NA
|
5,422,312
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
51,198
|
|
|
Getlink SE
|
Barclays Bank PLC
|
1,976,731
|
02/14/28
|
0.26%
|
1D ESTR
|
Monthly
|
(14,099
)
|
|
|
Gibson Energy, Inc.
|
Citibank NA
|
1,421,364
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
48,250
|
|
|
Gilead Sciences, Inc.
|
Citibank NA
|
5,199,642
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(5,044
)
|
|
|
Gilead Sciences, Inc.
|
Morgan Stanley & Co. International
PLC
|
5,179,060
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(5,166
)
|
|
|
Glaukos Corp.
|
Citibank NA
|
1,569,346
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
141,201
|
|
|
Glencore PLC
|
Goldman Sachs Bank USA
|
3,138,714
|
08/19/26
|
0.25%
|
1D SONIA
|
Monthly
|
175,841
|
|
|
Global-e Online Ltd.
|
Barclays Bank PLC
|
11,867,580
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
1,237,627
|
|
|
GLOBALFOUNDRIES, Inc.
|
Goldman Sachs Bank USA
|
36,907
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(6,863
)
|
|
|
Globe Life, Inc.
|
Morgan Stanley & Co. International
PLC
|
18,400
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(175
)
|
|
|
Globus Medical, Inc.
|
Citibank NA
|
2,396,219
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
104,418
|
|
|
GoDaddy, Inc.
|
Morgan Stanley & Co. International
PLC
|
4,020,765
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(299,534
)
|
|
|
Golar LNG Ltd.
|
Barclays Bank PLC
|
4,585,305
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(53,478
)
|
|
|
Goldman Sachs Group,
Inc./The
|
Citibank NA
|
29,526,725
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(1,981,582
)
|
|
|
GPT Group/The
|
Citibank NA
|
2,470,188
|
02/24/27
|
0.30%
|
1D AONIA
|
Monthly
|
94,626
|
|
|
Graco, Inc.
|
Goldman Sachs Bank USA
|
1,083,958
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
61,733
|
|
|
Grifols SA
|
Morgan Stanley & Co. International
PLC
|
4,152,727
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
86,260
|
|
|
Groupe Bruxelles Lambert NV
|
Barclays Bank PLC
|
6,093,772
|
02/14/28
|
0.26%
|
1D ESTR
|
Monthly
|
28,786
|
|
|
Guardant Health, Inc.
|
Morgan Stanley & Co. International
PLC
|
1,461,370
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
108,961
|
|
|
Guidewire Software, Inc.
|
Citibank NA
|
8,976
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
1,204
|
|
|
Guidewire Software, Inc.
|
Goldman Sachs Bank USA
|
146,522
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(13,423
)
|
|
|
GXO Logistics, Inc.
|
Goldman Sachs Bank USA
|
7,831,839
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(319,025
)
|
|
|
H & M Hennes & Mauritz AB
|
Citibank NA
|
8,687,892
|
11/11/26
|
0.20%
|
TN STIBOR
|
Monthly
|
526,904
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
H&R Block, Inc.
|
Barclays Bank PLC
|
$58,138
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
$6,586
|
|
|
Halliburton Co.
|
Citibank NA
|
14,525,141
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(343,010
)
|
|
|
Halliburton Co.
|
Citibank NA
|
436,657
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(10,312
)
|
|
|
Halozyme Therapeutics, Inc.
|
Barclays Bank PLC
|
810,495
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
49,159
|
|
|
Hamamatsu Photonics KK
|
Morgan Stanley & Co. International
PLC
|
2,294,736
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(130,701
)
|
|
|
Hamilton Lane, Inc.
|
Goldman Sachs Bank USA
|
306,528
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
11,148
|
|
|
Hasbro, Inc.
|
Morgan Stanley & Co. International
PLC
|
17,458,646
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
904,463
|
|
|
Hasbro, Inc.
|
Morgan Stanley & Co. International
PLC
|
1,771,451
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
97,485
|
|
|
HCA Healthcare, Inc.
|
Citibank NA
|
20,594,355
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
1,445,032
|
|
|
Healthcare Realty Trust, Inc.
|
Citibank NA
|
7,085,231
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(114,806
)
|
|
|
HealthEquity, Inc.
|
Morgan Stanley & Co. International
PLC
|
1,100,010
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
42,416
|
|
|
Healthpeak Properties, Inc.
|
Morgan Stanley & Co. International
PLC
|
7,747,583
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(128,695
)
|
|
|
Hecla Mining Co.
|
Morgan Stanley & Co. International
PLC
|
1,560,197
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(128,994
)
|
|
|
HEICO Corp.
|
Barclays Bank PLC
|
458,701
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
24,470
|
|
|
HEICO Corp.
|
Barclays Bank PLC
|
7,435,414
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
444,775
|
|
|
HEICO Corp.
|
Morgan Stanley & Co. International
PLC
|
1,569,929
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
98,905
|
|
|
Heineken Holding NV
|
Citibank NA
|
307,602
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
4,506
|
|
|
Henderson Land Development
Co. Ltd.
|
Citibank NA
|
210,548
|
02/24/27
|
0.30%
|
HONIA
|
Monthly
|
6,974
|
|
|
Hensoldt AG
|
Goldman Sachs Bank USA
|
177,923
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
(10,464
)
|
|
|
Hershey Co./The
|
Citibank NA
|
248,328
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
3,920
|
|
|
Hershey Co./The
|
Morgan Stanley & Co. International
PLC
|
2,050,382
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
32,363
|
|
|
Hewlett Packard Enterprise
Co.
|
Citibank NA
|
7,648,450
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(35,224
)
|
|
|
Hexcel Corp.
|
Citibank NA
|
2,949,003
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(101,509
)
|
|
|
Hexcel Corp.
|
Goldman Sachs Bank USA
|
244,628
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(5,681
)
|
|
|
HF Sinclair Corp.
|
Morgan Stanley & Co. International
PLC
|
956,431
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
14,889
|
|
|
Hikma Pharmaceuticals PLC
|
Citibank NA
|
1,399,541
|
11/11/26
|
0.25%
|
1D SONIA
|
Monthly
|
13,346
|
|
|
Hitachi Construction Machinery
Co. Ltd.
|
Barclays Bank PLC
|
1,733,556
|
12/11/28
|
0.00%
|
1D P TONA
|
Monthly
|
2,952
|
|
|
Hitachi Ltd.
|
Morgan Stanley & Co. International
PLC
|
9,797,051
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
797,663
|
|
|
HOCHTIEF AG
|
Morgan Stanley & Co. International
PLC
|
1,062,041
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
(9,829
)
|
|
|
Home Depot, Inc./The
|
Morgan Stanley & Co. International
PLC
|
1,660,896
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
2,556
|
|
|
Honda Motor Co. Ltd.
|
Citibank NA
|
3,237,927
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
58,109
|
|
|
Honeywell International, Inc.
|
Barclays Bank PLC
|
850,511
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
24,469
|
|
|
Horiba Ltd.
|
Goldman Sachs Bank USA
|
3,419,442
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
(453,063
)
|
|
|
Hormel Foods Corp.
|
Barclays Bank PLC
|
27,302
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(217
)
|
|
|
Hormel Foods Corp.
|
Morgan Stanley & Co. International
PLC
|
1,057,912
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(8,393
)
|
|
|
Host Hotels & Resorts, Inc.
|
Citibank NA
|
1,909,285
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
49,096
|
|
|
Houlihan Lokey, Inc.
|
Morgan Stanley & Co. International
PLC
|
2,037,171
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(202,884
)
|
|
|
Howmet Aerospace, Inc.
|
Morgan Stanley & Co. International
PLC
|
976,061
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(2,546
)
|
|
|
Hoya Corp.
|
Goldman Sachs Bank USA
|
5,412,903
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
(213,728
)
|
|
|
HP, Inc.
|
Goldman Sachs Bank USA
|
132,953
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(12
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Hubbell, Inc.
|
Barclays Bank PLC
|
$39,101
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
$(352
)
|
|
|
Hubbell, Inc.
|
Citibank NA
|
11,533,806
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(103,767
)
|
|
|
HubSpot, Inc.
|
Morgan Stanley & Co. International
PLC
|
20,900
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
3,311
|
|
|
Hudbay Minerals, Inc.
|
Citibank NA
|
2,805,180
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
(110,140
)
|
|
|
Huntington Bancshares,
Inc./OH
|
Barclays Bank PLC
|
14,799
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(996
)
|
|
|
Huntington Bancshares,
Inc./OH
|
Citibank NA
|
3,183,767
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(214,342
)
|
|
|
Huntington Ingalls Industries,
Inc.
|
Citibank NA
|
690,982
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
122,532
|
|
|
Huntington Ingalls Industries,
Inc.
|
Morgan Stanley & Co. International
PLC
|
442,816
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
78,524
|
|
|
Iberdrola SA
|
Goldman Sachs Bank USA
|
490,704
|
|
0.00%
|
|
Monthly
|
3,603
|
|
|
Iberdrola SA
|
Goldman Sachs Bank USA
|
24,940,901
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
(648,705
)
|
|
|
Ibiden Co. Ltd.
|
Goldman Sachs Bank USA
|
506,276
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
83,976
|
|
|
ICON PLC
|
Citibank NA
|
3,603,885
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(133,199
)
|
|
|
IDACORP, Inc.
|
Goldman Sachs Bank USA
|
135,016
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(1,395
)
|
|
|
IDEX Corp.
|
Morgan Stanley & Co. International
PLC
|
2,346,826
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
74,973
|
|
|
IDEXX Laboratories, Inc.
|
Morgan Stanley & Co. International
PLC
|
2,450,865
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
63,273
|
|
|
IGM Financial, Inc.
|
Goldman Sachs Bank USA
|
1,645,981
|
08/18/26
|
0.20%
|
1D CORRA
|
Monthly
|
2,838
|
|
|
Illinois Tool Works, Inc.
|
Citibank NA
|
1,390,469
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
66,090
|
|
|
Illinois Tool Works, Inc.
|
Morgan Stanley & Co. International
PLC
|
40,525,914
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
1,679,266
|
|
|
Illumina, Inc.
|
Barclays Bank PLC
|
13,529,198
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
1,005,623
|
|
|
Illumina, Inc.
|
Goldman Sachs Bank USA
|
23,955
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
2,298
|
|
|
IMI PLC
|
Citibank NA
|
13,362,876
|
11/11/26
|
0.25%
|
1D SONIA
|
Monthly
|
(308,135
)
|
|
|
Imperial Oil Ltd.
|
Goldman Sachs Bank USA
|
7,950,251
|
08/18/26
|
0.20%
|
1D CORRA
|
Monthly
|
528,996
|
|
|
Incyte Corp.
|
Barclays Bank PLC
|
2,225,085
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
32,887
|
|
|
Incyte Corp.
|
Citibank NA
|
1,982,904
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
63,876
|
|
|
Indra Sistemas SA
|
Goldman Sachs Bank USA
|
426,997
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
7,785
|
|
|
Industrivarden AB
|
Citibank NA
|
1,202,837
|
11/11/26
|
0.26%
|
TN STIBOR
|
Monthly
|
43,211
|
|
|
Indutrade AB
|
Goldman Sachs Bank USA
|
1,068,048
|
08/19/26
|
0.26%
|
1D STIBOR
|
Monthly
|
104,327
|
|
|
Informa PLC
|
Goldman Sachs Bank USA
|
3,544,792
|
08/19/26
|
0.25%
|
1D SONIA
|
Monthly
|
(29,815
)
|
|
|
ING Groep NV
|
Citibank NA
|
13,312,545
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
580,595
|
|
|
Ingredion, Inc.
|
Goldman Sachs Bank USA
|
52,659
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
154
|
|
|
Inpex Corp.
|
Citibank NA
|
3,517,370
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
36,734
|
|
|
Insmed, Inc.
|
Citibank NA
|
2,134,720
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(160,945
)
|
|
|
Insmed, Inc.
|
Citibank NA
|
243,033
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(18,323
)
|
|
|
Installed Building Products,
Inc.
|
Citibank NA
|
37,365
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(357
)
|
|
|
Installed Building Products,
Inc.
|
Morgan Stanley & Co. International
PLC
|
9,476,961
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(98,544
)
|
|
|
Insulet Corp.
|
Goldman Sachs Bank USA
|
53,677
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
2,046
|
|
|
Intel Corp.
|
Barclays Bank PLC
|
144,354
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(1,477
)
|
|
|
Interactive Brokers Group, Inc.
|
Citibank NA
|
416,823
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(24,564
)
|
|
|
Intercontinental Exchange,
Inc.
|
Citibank NA
|
4,276
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
299
|
|
|
Intercontinental Exchange,
Inc.
|
Goldman Sachs Bank USA
|
5,211,941
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
468,549
|
|
|
InterDigital, Inc.
|
Goldman Sachs Bank USA
|
2,903,136
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
371,904
|
|
|
InterDigital, Inc.
|
Morgan Stanley & Co. International
PLC
|
860,923
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
152,011
|
|
|
International Business
Machines Corp.
|
Citibank NA
|
2,064,592
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
147,530
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
International Business
Machines Corp.
|
Goldman Sachs Bank USA
|
$3,646,616
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
$174,668
|
|
|
International Paper Co.
|
Goldman Sachs Bank USA
|
232,417
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
25,873
|
|
|
International Paper Co.
|
Goldman Sachs Bank USA
|
199,908
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(8,497
)
|
|
|
Intesa Sanpaolo SpA
|
Morgan Stanley & Co. International
PLC
|
40,619,809
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
658,556
|
|
|
Intuit, Inc.
|
Goldman Sachs Bank USA
|
16,887,783
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
2,168,709
|
|
|
Intuit, Inc.
|
Morgan Stanley & Co. International
PLC
|
3,233,855
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
359,229
|
|
|
Invesco Ltd.
|
Citibank NA
|
12,932
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(382
)
|
|
|
Invesco Ltd.
|
Goldman Sachs Bank USA
|
3,262,522
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(75,372
)
|
|
|
Ionis Pharmaceuticals, Inc.
|
Morgan Stanley & Co. International
PLC
|
3,147,001
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(130,518
)
|
|
|
Ipsen SA
|
Barclays Bank PLC
|
12,193,415
|
02/14/28
|
0.26%
|
1D ESTR
|
Monthly
|
395,415
|
|
|
IQVIA Holdings, Inc.
|
Goldman Sachs Bank USA
|
4,940,526
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
105,118
|
|
|
Italgas SpA
|
Barclays Bank PLC
|
307,028
|
02/14/28
|
0.26%
|
1D ESTR
|
Monthly
|
(34,405
)
|
|
|
ITOCHU Corp.
|
Citibank NA
|
37,187,086
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
574,692
|
|
|
ITT, Inc.
|
Goldman Sachs Bank USA
|
37,861
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
355
|
|
|
J M Smucker Co./The
|
Citibank NA
|
2,754,579
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
28,234
|
|
|
J Sainsbury PLC
|
Barclays Bank PLC
|
2,457,364
|
02/14/28
|
0.25%
|
1D SONIA
|
Monthly
|
46,210
|
|
|
J Sainsbury PLC
|
Goldman Sachs Bank USA
|
5,567,490
|
08/19/26
|
0.15%
|
1D SONIA
|
Monthly
|
130,043
|
|
|
Jabil, Inc.
|
Barclays Bank PLC
|
18,651,796
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(140,403
)
|
|
|
Jack Henry & Associates, Inc.
|
Morgan Stanley & Co. International
PLC
|
4,180,471
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
225,535
|
|
|
Jack Henry & Associates, Inc.
|
Morgan Stanley & Co. International
PLC
|
3,270,946
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
149,974
|
|
|
Jacobs Solutions, Inc.
|
Citibank NA
|
21,373,064
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
695,682
|
|
|
Japan Airlines Co Ltd.
|
Barclays Bank PLC
|
480,451
|
12/11/28
|
0.00%
|
1D P TONA
|
Monthly
|
12,019
|
|
|
Japan Post Holdings Co Ltd.
|
Barclays Bank PLC
|
10,072,758
|
12/11/28
|
0.00%
|
1D P TONA
|
Monthly
|
(409,082
)
|
|
|
Japan Tobacco, Inc.
|
Morgan Stanley & Co. International
PLC
|
10,880,750
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
1,046,240
|
|
|
JB Hi-Fi Ltd.
|
Citibank NA
|
10,153,022
|
02/24/27
|
0.30%
|
1D AONIA
|
Monthly
|
465,499
|
|
|
JB Hunt Transport Services,
Inc.
|
Morgan Stanley & Co. International
PLC
|
926,717
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(16,354
)
|
|
|
Jefferies Financial Group, Inc.
|
Morgan Stanley & Co. International
PLC
|
5,093,479
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(123,787
)
|
|
|
JFE Holdings, Inc.
|
Goldman Sachs Bank USA
|
174,486
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
(3,160
)
|
|
|
Johnson & Johnson
|
Morgan Stanley & Co. International
PLC
|
4,152,198
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
11,695
|
|
|
Johnson Controls International
plc
|
Citibank NA
|
515,462
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
8,261
|
|
|
Johnson Matthey PLC
|
Citibank NA
|
2,014,653
|
11/11/26
|
0.25%
|
1D SONIA
|
Monthly
|
72,271
|
|
|
JPMorgan Chase & Co.
|
Goldman Sachs Bank USA
|
6,084,761
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
153,531
|
|
|
Kajima Corp.
|
Goldman Sachs Bank USA
|
11,057,044
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
(768,806
)
|
|
|
Kandenko Co. Ltd.
|
Citibank NA
|
4,655,439
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(520,969
)
|
|
|
Kao Corp.
|
Citibank NA
|
11,604,486
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
108,357
|
|
|
Kawasaki Heavy Industries
Ltd.
|
Goldman Sachs Bank USA
|
15,183
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
194
|
|
|
Kawasaki Kisen Kaisha Ltd.
|
Goldman Sachs Bank USA
|
248,242
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
(2,342
)
|
|
|
Keppel Ltd.
|
Citibank NA
|
369,940
|
02/24/27
|
0.30%
|
SORA
|
Monthly
|
3,374
|
|
|
Kerry Group PLC
|
Barclays Bank PLC
|
6,678,827
|
02/14/28
|
0.26%
|
1D ESTR
|
Monthly
|
47,957
|
|
|
Kesko OYJ
|
Citibank NA
|
1,227,434
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
61,315
|
|
|
KeyCorp.
|
Goldman Sachs Bank USA
|
25,648
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(1,025
)
|
|
|
Keyera Corp.
|
Citibank NA
|
3,117,194
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
(50,460
)
|
|
|
Keysight Technologies, Inc.
|
Goldman Sachs Bank USA
|
939,086
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(10,563
)
|
|
|
Keysight Technologies, Inc.
|
Morgan Stanley & Co. International
PLC
|
6,659,340
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(171,805
)
|
|
|
Kimberly-Clark Corp.
|
Barclays Bank PLC
|
1,567,872
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
6,192
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Kimberly-Clark Corp.
|
Goldman Sachs Bank USA
|
$700,785
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
$(24,156
)
|
|
|
Kinden Corp.
|
Citibank NA
|
5,236,102
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(241,149
)
|
|
|
Kinder Morgan, Inc.
|
Barclays Bank PLC
|
9,092,294
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(86,753
)
|
|
|
Kinder Morgan, Inc.
|
Morgan Stanley & Co. International
PLC
|
1,121,172
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(12,667
)
|
|
|
Kingfisher PLC
|
Morgan Stanley & Co. International
PLC
|
249,358
|
12/09/27
|
0.25%
|
1D SONIA
|
Monthly
|
9,403
|
|
|
Kinross Gold Corp.
|
Barclays Bank PLC
|
8,008,057
|
01/11/27
|
0.20%
|
CABROVER
|
Monthly
|
(429,129
)
|
|
|
Kinsale Capital Group, Inc.
|
Goldman Sachs Bank USA
|
2,056,051
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
236,799
|
|
|
Kinsale Capital Group, Inc.
|
Morgan Stanley & Co. International
PLC
|
37,449
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
3,540
|
|
|
KION Group AG
|
Goldman Sachs Bank USA
|
2,333,392
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
(95,657
)
|
|
|
Kirby Corp.
|
Goldman Sachs Bank USA
|
50,797
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(3,849
)
|
|
|
KLA Corp.
|
Goldman Sachs Bank USA
|
636,232
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(9,343
)
|
|
|
KLA Corp.
|
Morgan Stanley & Co. International
PLC
|
2,293,514
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(298,217
)
|
|
|
Klarna Group PLC
|
Goldman Sachs Bank USA
|
240,385
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
3,998
|
|
|
Klepierre SA
|
Citibank NA
|
1,446,780
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
48,935
|
|
|
Knight-Swift Transportation
Holdings, Inc.
|
Citibank NA
|
720,023
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(61,643
)
|
|
|
Kobe Bussan Co Ltd.
|
Citibank NA
|
2,960,865
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
161,716
|
|
|
Kobe Steel Ltd.
|
Morgan Stanley & Co. International
PLC
|
255,694
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
9,644
|
|
|
Kodiak Gas Services, Inc.
|
Citibank NA
|
92,326
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(11,424
)
|
|
|
Koninklijke KPN NV
|
Citibank NA
|
2,271,774
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
(81,450
)
|
|
|
Koninklijke Philips NV
|
Barclays Bank PLC
|
22,644,098
|
02/14/28
|
0.26%
|
1D ESTR
|
Monthly
|
(333,380
)
|
|
|
Kraft Heinz Co./The
|
Citibank NA
|
11,994
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(51
)
|
|
|
Kratos Defense & Security
Solutions, Inc.
|
Barclays Bank PLC
|
2,586
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(70
)
|
|
|
Kratos Defense & Security
Solutions, Inc.
|
Morgan Stanley & Co. International
PLC
|
2,615,369
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(70,449
)
|
|
|
Kroger Co./The
|
Goldman Sachs Bank USA
|
16,498,222
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
329,293
|
|
|
Kubota Corp.
|
Citibank NA
|
2,517,978
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(69,858
)
|
|
|
Kuehne and Nagel
International AG
|
Barclays Bank PLC
|
3,161,744
|
02/14/28
|
0.26%
|
SSARON
|
Monthly
|
(32,207
)
|
|
|
Kyocera Corp.
|
Citibank NA
|
698,482
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(27,963
)
|
|
|
L3Harris Technologies, Inc.
|
Citibank NA
|
11,537,288
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(327,718
)
|
|
|
L3Harris Technologies, Inc.
|
Citibank NA
|
160,260
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(4,552
)
|
|
|
Labcorp Holdings, Inc.
|
Morgan Stanley & Co. International
PLC
|
919,530
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
90,627
|
|
|
Labcorp Holdings, Inc.
|
Morgan Stanley & Co. International
PLC
|
2,431,251
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
239,618
|
|
|
Lam Research Corp.
|
Goldman Sachs Bank USA
|
8,539,412
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(1,023,156
)
|
|
|
Lam Research Corp.
|
Morgan Stanley & Co. International
PLC
|
5,267,707
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(279,042
)
|
|
|
Lamar Advertising Co.
|
Citibank NA
|
39,569
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
261
|
|
|
Land Securities Group PLC
|
Citibank NA
|
1,739,239
|
11/11/26
|
0.25%
|
1D SONIA
|
Monthly
|
15,464
|
|
|
Landstar System, Inc.
|
Goldman Sachs Bank USA
|
2,532,660
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(391,727
)
|
|
|
Las Vegas Sands Corp.
|
Goldman Sachs Bank USA
|
17,871
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
1,636
|
|
|
Lattice Semiconductor Corp.
|
Citibank NA
|
3,841
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(361
)
|
|
|
Lattice Semiconductor Corp.
|
Morgan Stanley & Co. International
PLC
|
2,588,324
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(209,050
)
|
|
|
Lazard, Inc.
|
Citibank NA
|
1,048,622
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(28,874
)
|
|
|
Lear Corp.
|
Citibank NA
|
10,745,812
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(981,778
)
|
|
|
LEG Immobilien SE
|
Citibank NA
|
1,379,504
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
(8,825
)
|
|
|
Legal & General Group PLC
|
Morgan Stanley & Co. International
PLC
|
1,451,412
|
12/09/27
|
0.25%
|
1D SONIA
|
Monthly
|
8,895
|
|
|
Legrand SA
|
Goldman Sachs Bank USA
|
5,813,476
|
08/19/26
|
0.18%
|
1D ESTR
|
Monthly
|
(360,340
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Lennar Corp.
|
Barclays Bank PLC
|
$691,046
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
$1,682
|
|
|
Lennar Corp.
|
Goldman Sachs Bank USA
|
2,297,627
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(79,201
)
|
|
|
Lennox International, Inc.
|
Morgan Stanley & Co. International
PLC
|
28,770
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(6,313
)
|
|
|
Leonardo SpA
|
Goldman Sachs Bank USA
|
4,863,270
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
473,092
|
|
|
Levi Strauss & Co.
|
Citibank NA
|
1,329,923
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(11,826
)
|
|
|
Lincoln Electric Holdings, Inc.
|
Citibank NA
|
92,442
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
4,504
|
|
|
Linde PLC
|
Goldman Sachs Bank USA
|
395,895
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(27,543
)
|
|
|
Link REIT
|
Goldman Sachs Bank USA
|
3,311,263
|
08/19/26
|
0.30%
|
HONIA
|
Monthly
|
50,777
|
|
|
Lithia Motors, Inc.
|
Goldman Sachs Bank USA
|
4,021,175
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
655,897
|
|
|
Littelfuse, Inc.
|
Citibank NA
|
5,116,952
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
320,363
|
|
|
Littelfuse, Inc.
|
Goldman Sachs Bank USA
|
1,510,682
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
100,440
|
|
|
Live Nation Entertainment, Inc.
|
Morgan Stanley & Co. International
PLC
|
2,415,798
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(51,461
)
|
|
|
LKQ Corp.
|
Citibank NA
|
4,706,626
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(511,955
)
|
|
|
LKQ Corp.
|
Citibank NA
|
31,538
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(3,430
)
|
|
|
Lloyds Banking Group PLC
|
Goldman Sachs Bank USA
|
3,228,867
|
08/19/26
|
0.25%
|
1D SONIA
|
Monthly
|
62,600
|
|
|
Loblaw Cos Ltd.
|
Citibank NA
|
1,616,962
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
31,563
|
|
|
Lockheed Martin Corp.
|
Barclays Bank PLC
|
3,207,549
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
426,418
|
|
|
Lockheed Martin Corp.
|
Morgan Stanley & Co. International
PLC
|
19,095,156
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
2,519,836
|
|
|
Logitech International SA
|
Citibank NA
|
1,417,777
|
11/11/26
|
0.24%
|
SSARON
|
Monthly
|
(46,065
)
|
|
|
London Stock Exchange Group
PLC
|
Morgan Stanley & Co. International
PLC
|
4,436,206
|
12/09/27
|
0.25%
|
1D SONIA
|
Monthly
|
(181,963
)
|
|
|
LondonMetric Property PLC
|
Morgan Stanley & Co. International
PLC
|
2,050,834
|
12/09/27
|
0.25%
|
1D SONIA
|
Monthly
|
18,456
|
|
|
Lonza Group AG
|
Citibank NA
|
2,324,875
|
11/11/26
|
0.26%
|
SSARON
|
Monthly
|
117,335
|
|
|
Lotus Bakeries NV
|
Morgan Stanley & Co. International
PLC
|
442,348
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
6,569
|
|
|
Louisiana-Pacific Corp.
|
Morgan Stanley & Co. International
PLC
|
389,752
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(1,020
)
|
|
|
Lowe's Cos., Inc.
|
Goldman Sachs Bank USA
|
148,948
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(1,611
)
|
|
|
LPL Financial Holdings, Inc.
|
Goldman Sachs Bank USA
|
7,760,979
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
579,621
|
|
|
Lululemon Athletica, Inc.
|
Morgan Stanley & Co. International
PLC
|
2,599,687
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
126,120
|
|
|
Lumentum Holdings, Inc.
|
Goldman Sachs Bank USA
|
5,409,888
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(273,804
)
|
|
|
Lumentum Holdings, Inc.
|
Goldman Sachs Bank USA
|
9,024
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(457
)
|
|
|
Lundin Gold, Inc.
|
Barclays Bank PLC
|
5,163,115
|
01/11/27
|
0.20%
|
CABROVER
|
Monthly
|
(214,972
)
|
|
|
LY Corp.
|
Morgan Stanley & Co. International
PLC
|
4,033,626
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
6,426
|
|
|
LyondellBasell Industries NV
|
Citibank NA
|
13,996,324
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(53,901
)
|
|
|
LyondellBasell Industries NV
|
Goldman Sachs Bank USA
|
1,498,719
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
83,203
|
|
|
M&G PLC
|
Barclays Bank PLC
|
1,094,741
|
02/14/28
|
0.25%
|
1D SONIA
|
Monthly
|
3,760
|
|
|
M&T Bank Corp.
|
Morgan Stanley & Co. International
PLC
|
6,170,933
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(108,012
)
|
|
|
MACOM Technology Solutions
Holdings, Inc.
|
Goldman Sachs Bank USA
|
268,699
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(38,129
)
|
|
|
MACOM Technology Solutions
Holdings, Inc.
|
Morgan Stanley & Co. International
PLC
|
1,905,989
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(210,278
)
|
|
|
Macquarie Group Ltd.
|
Morgan Stanley & Co. International
PLC
|
34,440,482
|
12/09/27
|
0.29%
|
1D AONIA
|
Monthly
|
(357,959
)
|
|
|
Madison Square Garden
Sports Corp.
|
Citibank NA
|
673,736
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(6,055
)
|
|
|
Madrigal Pharmaceuticals, Inc.
|
Citibank NA
|
1,388,750
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(181,662
)
|
|
|
Madrigal Pharmaceuticals, Inc.
|
Citibank NA
|
1,238,208
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(161,970
)
|
|
|
Magna International, Inc.
|
Goldman Sachs Bank USA
|
9,423,682
|
08/18/26
|
0.20%
|
1D CORRA
|
Monthly
|
281,805
|
|
|
Magnolia Oil & Gas Corp.
|
Goldman Sachs Bank USA
|
74,176
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(2,831
)
|
|
|
Manulife Financial Corp.
|
Goldman Sachs Bank USA
|
166,223
|
08/18/26
|
0.20%
|
1D CORRA
|
Monthly
|
(386
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
MARA Holdings, Inc.
|
Goldman Sachs Bank USA
|
$278,887
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
$35,164
|
|
|
Marathon Petroleum Corp.
|
Morgan Stanley & Co. International
PLC
|
13,553,851
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
31,573
|
|
|
Markel Group, Inc.
|
Goldman Sachs Bank USA
|
9,061,595
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(188,244
)
|
|
|
Marks & Spencer Group PLC
|
Morgan Stanley & Co. International
PLC
|
190,315
|
12/09/27
|
0.25%
|
1D SONIA
|
Monthly
|
4,315
|
|
|
Marriott International, Inc./MD
|
Goldman Sachs Bank USA
|
824,710
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
4,464
|
|
|
Maruwa Co Ltd./Aichi
|
Citibank NA
|
182,081
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(12,778
)
|
|
|
Marvell Technology, Inc.
|
Goldman Sachs Bank USA
|
379,106
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(34,371
)
|
|
|
Masco Corp.
|
Morgan Stanley & Co. International
PLC
|
42,905
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(3,592
)
|
|
|
MasTec, Inc.
|
Citibank NA
|
4,895,695
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(1,291,225
)
|
|
|
Mastercard, Inc.
|
Goldman Sachs Bank USA
|
243,521
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
17,240
|
|
|
Match Group, Inc.
|
Goldman Sachs Bank USA
|
5,219,540
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(87,531
)
|
|
|
McDonald's Corp.
|
Morgan Stanley & Co. International
PLC
|
3,479,124
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
93,324
|
|
|
McKesson Corp.
|
Barclays Bank PLC
|
31,778,494
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
1,645,452
|
|
|
McKesson Corp.
|
Barclays Bank PLC
|
1,998,468
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
103,478
|
|
|
Medtronic PLC
|
Citibank NA
|
5,576,627
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
238,346
|
|
|
Medtronic PLC
|
Goldman Sachs Bank USA
|
8,180,097
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
500,138
|
|
|
MEIJI Holdings Co Ltd.
|
Barclays Bank PLC
|
2,076,549
|
12/11/28
|
0.00%
|
1D P TONA
|
Monthly
|
33,412
|
|
|
MercadoLibre, Inc.
|
Barclays Bank PLC
|
2,243,615
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
98,189
|
|
|
Mercedes-Benz Group AG
|
Citibank NA
|
1,286,938
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
24,347
|
|
|
Merck & Co., Inc.
|
Citibank NA
|
5,262,217
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
112,700
|
|
|
Merck KGaA
|
Citibank NA
|
2,211,987
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
94,496
|
|
|
Meta Platforms, Inc.
|
Barclays Bank PLC
|
1,137,059
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(127,744
)
|
|
|
MetLife, Inc.
|
Barclays Bank PLC
|
16,061,264
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
480,979
|
|
|
Mettler-Toledo International,
Inc.
|
Goldman Sachs Bank USA
|
9,976,816
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
755,905
|
|
|
Miami International Holdings,
Inc.
|
Goldman Sachs Bank USA
|
247,621
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
26,904
|
|
|
Microchip Technology, Inc.
|
Citibank NA
|
23,852,826
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(2,922,436
)
|
|
|
Microchip Technology, Inc.
|
Goldman Sachs Bank USA
|
3,247,429
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(403,385
)
|
|
|
Micron Technology, Inc.
|
Barclays Bank PLC
|
1,955,245
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(249,103
)
|
|
|
Microsoft Corp.
|
Citibank NA
|
3,483,004
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
663,693
|
|
|
Middleby Corp./The
|
Citibank NA
|
700,142
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
13,844
|
|
|
Millicom International Cellular
SA
|
Citibank NA
|
1,087,714
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(26,454
)
|
|
|
MINEBEA MITSUMI, Inc.
|
Morgan Stanley & Co. International
PLC
|
342,604
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(28,321
)
|
|
|
Mineral Resources Ltd.
|
Goldman Sachs Bank USA
|
5,598,556
|
08/19/26
|
0.30%
|
1D AONIA
|
Monthly
|
(237,710
)
|
|
|
Mirum Pharmaceuticals, Inc.
|
Goldman Sachs Bank USA
|
57,717
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(7,179
)
|
|
|
Mirvac Group
|
Barclays Bank PLC
|
996,276
|
12/11/28
|
0.00%
|
1D AONIA
|
Monthly
|
33,139
|
|
|
Mitsubishi Corp.
|
Goldman Sachs Bank USA
|
16,157,958
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
590,960
|
|
|
Mitsubishi Electric Corp.
|
Goldman Sachs Bank USA
|
15,828,105
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
18,451
|
|
|
Mitsubishi Estate Co Ltd.
|
Citibank NA
|
9,884,770
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(802,681
)
|
|
|
Mitsubishi Gas Chemical Co.,
Inc.
|
Citibank NA
|
447,303
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(41,767
)
|
|
|
Mitsubishi HC Capital, Inc.
|
Goldman Sachs Bank USA
|
535,010
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
19,263
|
|
|
Mitsubishi Heavy Industries
Ltd.
|
Barclays Bank PLC
|
14,125,890
|
12/11/28
|
0.00%
|
1D P TONA
|
Monthly
|
(627,138
)
|
|
|
Mitsubishi Materials Corp.
|
Citibank NA
|
887,806
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(15,736
)
|
|
|
Mitsubishi UFJ Financial
Group, Inc.
|
Citibank NA
|
15,054,235
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(468,502
)
|
|
|
Mitsui & Co Ltd.
|
Morgan Stanley & Co. International
PLC
|
6,438,733
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(37,993
)
|
|
|
Mitsui Chemicals, Inc.
|
Citibank NA
|
3,571,509
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(179,383
)
|
|
|
Mitsui Fudosan Co Ltd.
|
Barclays Bank PLC
|
26,595,055
|
12/11/28
|
0.00%
|
1D P TONA
|
Monthly
|
(123,751
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Mizrahi Tefahot Bank Ltd.
|
Goldman Sachs Bank USA
|
$324,143
|
08/19/26
|
0.55%
|
SHIR
|
Monthly
|
$617
|
|
|
MKS, Inc.
|
Citibank NA
|
34,484
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(4,739
)
|
|
|
MKS, Inc.
|
Goldman Sachs Bank USA
|
18,004,302
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(2,815,315
)
|
|
|
Mobileye Global, Inc.
|
Citibank NA
|
1,202,591
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(91,650
)
|
|
|
Modec, Inc.
|
Goldman Sachs Bank USA
|
4,955,319
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
56,616
|
|
|
Moderna, Inc.
|
Barclays Bank PLC
|
2,357,887
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(100,893
)
|
|
|
Moelis & Co.
|
Goldman Sachs Bank USA
|
3,861,151
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(144,449
)
|
|
|
Molina Healthcare, Inc.
|
Goldman Sachs Bank USA
|
6,581,685
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(1,064,419
)
|
|
|
Molson Coors Beverage Co.
|
Goldman Sachs Bank USA
|
2,072,729
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
65,907
|
|
|
Monday.com Ltd.
|
Goldman Sachs Bank USA
|
2,804,143
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
192,249
|
|
|
Mondi PLC
|
Morgan Stanley & Co. International
PLC
|
469,852
|
12/09/27
|
0.25%
|
1D SONIA
|
Monthly
|
84,708
|
|
|
MongoDB, Inc.
|
Barclays Bank PLC
|
1,725,798
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
153,965
|
|
|
MongoDB, Inc.
|
Goldman Sachs Bank USA
|
3,722,721
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
49,630
|
|
|
Monolithic Power Systems,
Inc.
|
Barclays Bank PLC
|
1,438,880
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
54,173
|
|
|
Monster Beverage Corp.
|
Morgan Stanley & Co. International
PLC
|
343,360
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
2,548
|
|
|
Moody's Corp.
|
Morgan Stanley & Co. International
PLC
|
1,547,942
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(35,783
)
|
|
|
Morgan Stanley
|
Goldman Sachs Bank USA
|
24,795,854
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(1,937,719
)
|
|
|
Motorola Solutions, Inc.
|
Barclays Bank PLC
|
14,154,649
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
1,060,869
|
|
|
Motorola Solutions, Inc.
|
Morgan Stanley & Co. International
PLC
|
3,536,204
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
273,123
|
|
|
Mowi ASA
|
Goldman Sachs Bank USA
|
11,728,961
|
08/19/26
|
0.26%
|
NOWA
|
Monthly
|
541,881
|
|
|
MSC Industrial Direct Co., Inc.
|
Citibank NA
|
4,775,644
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(107,545
)
|
|
|
MSCI, Inc.
|
Morgan Stanley & Co. International
PLC
|
1,068,247
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
2,414
|
|
|
MTU Aero Engines AG
|
Goldman Sachs Bank USA
|
268,987
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
5,221
|
|
|
Mueller Industries, Inc.
|
Citibank NA
|
2,217,715
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
85,251
|
|
|
Muenchener
Rueckversicherungs-Gesellschaft
AG in Muenchen
|
Citibank NA
|
7,261,774
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
229,549
|
|
|
Murata Manufacturing Co Ltd.
|
Morgan Stanley & Co. International
PLC
|
6,084,654
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(780,967
)
|
|
|
MYR Group, Inc.
|
Goldman Sachs Bank USA
|
864,403
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(170,306
)
|
|
|
Nasdaq, Inc.
|
Morgan Stanley & Co. International
PLC
|
750,198
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
27,152
|
|
|
Nasdaq, Inc.
|
Morgan Stanley & Co. International
PLC
|
1,118,888
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
40,497
|
|
|
Natera, Inc.
|
Citibank NA
|
1,988,520
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
26,642
|
|
|
National Australia Bank Ltd.
|
Goldman Sachs Bank USA
|
5,059,895
|
08/19/26
|
0.30%
|
1D AONIA
|
Monthly
|
242,375
|
|
|
National Fuel Gas Co.
|
Morgan Stanley & Co. International
PLC
|
128,764
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(855
)
|
|
|
National Grid PLC
|
Barclays Bank PLC
|
7,575
|
|
0.00%
|
|
Monthly
|
(36
)
|
|
|
Naturgy Energy Group SA
|
Goldman Sachs Bank USA
|
1,440,155
|
08/19/26
|
0.15%
|
1D ESTR
|
Monthly
|
1,558
|
|
|
NatWest Group PLC
|
Citibank NA
|
6,221,546
|
11/11/26
|
0.25%
|
1D SONIA
|
Monthly
|
138,860
|
|
|
NEC Corp.
|
Citibank NA
|
30,575,190
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
2,644,325
|
|
|
Nemetschek SE
|
Morgan Stanley & Co. International
PLC
|
1,139,638
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
89,419
|
|
|
NetApp, Inc.
|
Citibank NA
|
7,487,484
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
502,533
|
|
|
NetApp, Inc.
|
Citibank NA
|
1,914,544
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
137,492
|
|
|
Netflix, Inc.
|
Barclays Bank PLC
|
1,894,854
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
87,927
|
|
|
Netflix, Inc.
|
Goldman Sachs Bank USA
|
1,138,178
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
50,344
|
|
|
Neurocrine Biosciences, Inc.
|
Citibank NA
|
3,129,315
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(106,733
)
|
|
|
New York Times Co./The
|
Citibank NA
|
2,361,737
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
61,478
|
|
|
NewMarket Corp.
|
Goldman Sachs Bank USA
|
1,228,694
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
157,067
|
|
|
Newmont Corp.
|
Barclays Bank PLC
|
3,860,705
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(55,423
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Newmont Corp.
|
Citibank NA
|
$23,444,179
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
$(492,257
)
|
|
|
News Corp.
|
Barclays Bank PLC
|
111,821
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
900
|
|
|
Nexi SpA
|
Citibank NA
|
500,776
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
3,942
|
|
|
Next PLC
|
Citibank NA
|
3,434,149
|
11/11/26
|
0.25%
|
1D SONIA
|
Monthly
|
5,483
|
|
|
NextEra Energy, Inc.
|
Citibank NA
|
12,296,695
|
02/22/28
|
0.11%
|
1D OBFR01
|
Monthly
|
(333,635
)
|
|
|
NextEra Energy, Inc.
|
Morgan Stanley & Co. International
PLC
|
188,566
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(5,251
)
|
|
|
Nextpower, Inc.
|
Goldman Sachs Bank USA
|
3,820
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(674
)
|
|
|
NGK Corp.
|
Citibank NA
|
8,580,986
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(1,050,403
)
|
|
|
NH Foods Ltd.
|
Morgan Stanley & Co. International
PLC
|
2,258,969
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
7,616
|
|
|
Nibe Industrier AB
|
Goldman Sachs Bank USA
|
132,176
|
08/19/26
|
0.26%
|
1D STIBOR
|
Monthly
|
2,330
|
|
|
NIKE, Inc.
|
Morgan Stanley & Co. International
PLC
|
4,827,186
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(59,983
)
|
|
|
NIKE, Inc.
|
Morgan Stanley & Co. International
PLC
|
3,729,338
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(44,176
)
|
|
|
Nippon Electric Glass Co Ltd.
|
Goldman Sachs Bank USA
|
2,560,179
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
(270,663
)
|
|
|
Nitto Denko Corp.
|
Citibank NA
|
4,119,959
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
82,207
|
|
|
Nitto Denko Corp.
|
Goldman Sachs Bank USA
|
15,706,436
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
164,657
|
|
|
NN Group NV
|
Morgan Stanley & Co. International
PLC
|
19,372,843
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
387,589
|
|
|
NNN REIT, Inc.
|
Morgan Stanley & Co. International
PLC
|
2,501,177
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(72,144
)
|
|
|
Noble Corp PLC
|
Goldman Sachs Bank USA
|
157,288
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
7,054
|
|
|
Nokia OYJ
|
Citibank NA
|
3,009,660
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
(305,419
)
|
|
|
Nomura Holdings, Inc.
|
Citibank NA
|
7,444,497
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(296,015
)
|
|
|
Nordex SE
|
Morgan Stanley & Co. International
PLC
|
11,309,739
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
(647,833
)
|
|
|
Nordson Corp.
|
Citibank NA
|
612,610
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
8,262
|
|
|
Nordson Corp.
|
Morgan Stanley & Co. International
PLC
|
3,361,450
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
71,358
|
|
|
Norsk Hydro ASA
|
Morgan Stanley & Co. International
PLC
|
1,761,101
|
04/24/28
|
0.26%
|
NOWA
|
Monthly
|
34,522
|
|
|
Northland Power, Inc.
|
Citibank NA
|
9,880,875
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
(24,402
)
|
|
|
Northrop Grumman Corp.
|
Barclays Bank PLC
|
323,572
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
10,595
|
|
|
Northrop Grumman Corp.
|
Morgan Stanley & Co. International
PLC
|
15,866,608
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
519,543
|
|
|
Nova Ltd.
|
Barclays Bank PLC
|
1,679,943
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(184,475
)
|
|
|
NSK Ltd.
|
Citibank NA
|
129,661
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(23
)
|
|
|
Nucor Corp.
|
Barclays Bank PLC
|
1,626,059
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
147,441
|
|
|
Nucor Corp.
|
Morgan Stanley & Co. International
PLC
|
1,318,917
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
119,591
|
|
|
Nutanix, Inc.
|
Citibank NA
|
182,705
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
19,346
|
|
|
nVent Electric PLC
|
Barclays Bank PLC
|
8,590,500
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(251,530
)
|
|
|
nVent Electric PLC
|
Morgan Stanley & Co. International
PLC
|
17,907
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(524
)
|
|
|
NVIDIA Corp.
|
Barclays Bank PLC
|
4,223,325
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(195,878
)
|
|
|
NVIDIA Corp.
|
Citibank NA
|
2,769,727
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(76,064
)
|
|
|
NVR, Inc.
|
Barclays Bank PLC
|
38,096
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(1,213
)
|
|
|
NVR, Inc.
|
Morgan Stanley & Co. International
PLC
|
9,371,537
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(298,491
)
|
|
|
NXP Semiconductors NV
|
Citibank NA
|
11,669,953
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(2,032,401
)
|
|
|
Obayashi Corp.
|
Morgan Stanley & Co. International
PLC
|
11,304,541
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(465,202
)
|
|
|
Okta, Inc.
|
Goldman Sachs Bank USA
|
332,150
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(4,149
)
|
|
|
Old Dominion Freight Line,
Inc.
|
Barclays Bank PLC
|
3,370,013
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(299,074
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Old National Bancorp/IN
|
Morgan Stanley & Co. International
PLC
|
$542,517
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
$3,124
|
|
|
Ollie's Bargain Outlet Holdings,
Inc.
|
Barclays Bank PLC
|
2,392,266
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
252,727
|
|
|
Omega Healthcare Investors,
Inc.
|
Barclays Bank PLC
|
388,837
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
154
|
|
|
Omnicom Group, Inc.
|
Goldman Sachs Bank USA
|
5,809,378
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(166,037
)
|
|
|
OMV AG
|
Goldman Sachs Bank USA
|
6,886,815
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
232,138
|
|
|
OneMain Holdings, Inc.
|
Goldman Sachs Bank USA
|
434,056
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
14,330
|
|
|
ONEOK, Inc.
|
Barclays Bank PLC
|
64,317
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(659
)
|
|
|
Ono Pharmaceutical Co Ltd.
|
Morgan Stanley & Co. International
PLC
|
14,434,425
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(164,946
)
|
|
|
Onto Innovation, Inc.
|
Citibank NA
|
36,020
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(4,474
)
|
|
|
Onto Innovation, Inc.
|
Morgan Stanley & Co. International
PLC
|
3,491,922
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(433,696
)
|
|
|
Open Text Corp.
|
Goldman Sachs Bank USA
|
3,031,333
|
08/18/26
|
0.20%
|
1D CORRA
|
Monthly
|
330,624
|
|
|
Orange SA
|
Goldman Sachs Bank USA
|
21,580,550
|
08/19/26
|
0.18%
|
1D ESTR
|
Monthly
|
203,137
|
|
|
O'Reilly Automotive, Inc.
|
Citibank NA
|
4,927,537
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
160,588
|
|
|
Orica Ltd.
|
Citibank NA
|
8,866,769
|
02/24/27
|
0.30%
|
1D AONIA
|
Monthly
|
90,886
|
|
|
Origin Energy Ltd.
|
Goldman Sachs Bank USA
|
3,544,837
|
08/19/26
|
0.30%
|
1D AONIA
|
Monthly
|
74,892
|
|
|
Osaka Gas Co Ltd.
|
Morgan Stanley & Co. International
PLC
|
1,166,077
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
10,719
|
|
|
Oshkosh Corp.
|
Morgan Stanley & Co. International
PLC
|
17,243
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(724
)
|
|
|
Otis Worldwide Corp.
|
Morgan Stanley & Co. International
PLC
|
1,462,909
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
31,997
|
|
|
Otsuka Corp.
|
Barclays Bank PLC
|
5,408,653
|
12/11/28
|
0.00%
|
1D P TONA
|
Monthly
|
488,699
|
|
|
Otsuka Holdings Co Ltd.
|
Goldman Sachs Bank USA
|
993,617
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
(2,063
)
|
|
|
Owens Corning
|
Citibank NA
|
20,140
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(138
)
|
|
|
PACCAR, Inc.
|
Barclays Bank PLC
|
6,818
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
82
|
|
|
PACCAR, Inc.
|
Morgan Stanley & Co. International
PLC
|
3,679,209
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
44,057
|
|
|
Packaging Corp of America
|
Morgan Stanley & Co. International
PLC
|
1,565,155
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
121,061
|
|
|
Palantir Technologies, Inc.
|
Citibank NA
|
365,364
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(4,429
)
|
|
|
Palo Alto Networks, Inc.
|
Goldman Sachs Bank USA
|
2,898,008
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(181,647
)
|
|
|
Pan American Silver Corp.
|
Goldman Sachs Bank USA
|
4,775,232
|
08/18/26
|
0.20%
|
1D CORRA
|
Monthly
|
(44,216
)
|
|
|
Parker-Hannifin Corp.
|
Goldman Sachs Bank USA
|
263,475
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
7,024
|
|
|
Parker-Hannifin Corp.
|
Morgan Stanley & Co. International
PLC
|
45,266,991
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
259,814
|
|
|
Partners Group Holding AG
|
Goldman Sachs Bank USA
|
287,518
|
08/19/26
|
0.26%
|
SSARON
|
Monthly
|
(4,118
)
|
|
|
Paychex, Inc.
|
Citibank NA
|
4,605,344
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
253,681
|
|
|
Paycom Software, Inc.
|
Goldman Sachs Bank USA
|
238,490
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(7,470
)
|
|
|
Pearson PLC
|
Barclays Bank PLC
|
3,465,119
|
02/14/28
|
0.25%
|
1D SONIA
|
Monthly
|
99,617
|
|
|
Pegasystems, Inc.
|
Goldman Sachs Bank USA
|
891,815
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
704
|
|
|
Pentair PLC
|
Citibank NA
|
898,161
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
34,490
|
|
|
Pentair PLC
|
Morgan Stanley & Co. International
PLC
|
1,502,095
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
37,905
|
|
|
Penta-Ocean Construction Co
Ltd.
|
Citibank NA
|
1,765,161
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(124,174
)
|
|
|
Permian Resources Corp.
|
Morgan Stanley & Co. International
PLC
|
116,716
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(491
)
|
|
|
Pernod Ricard SA
|
Goldman Sachs Bank USA
|
2,629,470
|
08/19/26
|
0.18%
|
1D ESTR
|
Monthly
|
(22,056
)
|
|
|
Peyto Exploration &
Development Corp.
|
Citibank NA
|
310,460
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
2,555
|
|
|
Pfizer, Inc.
|
Citibank NA
|
6,597,555
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
52,504
|
|
|
Pfizer, Inc.
|
Morgan Stanley & Co. International
PLC
|
4,116,670
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
31,514
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
PG&E Corp.
|
Morgan Stanley & Co. International
PLC
|
$6,429,793
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
$(259,180
)
|
|
|
Pinnacle West Capital Corp.
|
Morgan Stanley & Co. International
PLC
|
1,376,154
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(57,628
)
|
|
|
Plexus Corp.
|
Citibank NA
|
39,411
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(1,207
)
|
|
|
PLS Group Ltd.
|
Goldman Sachs Bank USA
|
2,032,707
|
08/19/26
|
0.30%
|
1D AONIA
|
Monthly
|
(223,700
)
|
|
|
PNC Financial Services Group,
Inc./The
|
Goldman Sachs Bank USA
|
2,104,917
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(22,751
)
|
|
|
Pool Corp.
|
Citibank NA
|
3,025,242
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(159,365
)
|
|
|
Pool Corp.
|
Citibank NA
|
702,949
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(37,550
)
|
|
|
Popular, Inc.
|
Citibank NA
|
1,155,847
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
8,774
|
|
|
Poste Italiane SpA
|
Morgan Stanley & Co. International
PLC
|
11,168,981
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
(465,263
)
|
|
|
Power Corp of Canada
|
Citibank NA
|
2,860,957
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
107,589
|
|
|
Power Integrations, Inc.
|
Goldman Sachs Bank USA
|
823,619
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(119,565
)
|
|
|
PPG Industries, Inc.
|
Goldman Sachs Bank USA
|
5,875,090
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(234,370
)
|
|
|
PPG Industries, Inc.
|
Morgan Stanley & Co. International
PLC
|
59,047
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(3,456
)
|
|
|
PPL Corp.
|
Morgan Stanley & Co. International
PLC
|
8,940,015
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(218,427
)
|
|
|
Primary Health Properties PLC
|
Barclays Bank PLC
|
1,384,488
|
02/14/28
|
0.25%
|
1D SONIA
|
Monthly
|
(4,861
)
|
|
|
Principal Financial Group, Inc.
|
Citibank NA
|
1,672,895
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
84,224
|
|
|
Principal Financial Group, Inc.
|
Morgan Stanley & Co. International
PLC
|
264,455
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
13,314
|
|
|
Procore Technologies, Inc.
|
Citibank NA
|
752,569
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
150,041
|
|
|
Procter & Gamble Co./The
|
Morgan Stanley & Co. International
PLC
|
4,184,402
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(119,465
)
|
|
|
Progressive Corp./The
|
Barclays Bank PLC
|
2,328,483
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
78,322
|
|
|
Prosperity Bancshares, Inc.
|
Goldman Sachs Bank USA
|
3,844,362
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
126,219
|
|
|
Prudential PLC
|
Citibank NA
|
15,061,950
|
11/11/26
|
0.25%
|
1D SONIA
|
Monthly
|
250,547
|
|
|
Prysmian SpA
|
Citibank NA
|
6,119,698
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
(396,016
)
|
|
|
PTC Therapeutics, Inc.
|
Goldman Sachs Bank USA
|
4,358,039
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(598,650
)
|
|
|
PTC, Inc.
|
Goldman Sachs Bank USA
|
454,638
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
49,984
|
|
|
Public Service Enterprise
Group, Inc.
|
Citibank NA
|
5,480,595
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(199,720
)
|
|
|
Publicis Groupe SA
|
Goldman Sachs Bank USA
|
15,060,421
|
08/19/26
|
0.05%
|
1D ESTR
|
Monthly
|
601,747
|
|
|
PulteGroup, Inc.
|
Citibank NA
|
1,465,228
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(5,764
)
|
|
|
PulteGroup, Inc.
|
Citibank NA
|
26,998
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(60
)
|
|
|
Puma SE
|
Goldman Sachs Bank USA
|
215,255
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
(9,182
)
|
|
|
QIAGEN NV
|
Barclays Bank PLC
|
406,227
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
8,311
|
|
|
QIAGEN NV
|
Citibank NA
|
2,109,521
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
13,020
|
|
|
QIAGEN NV
|
Goldman Sachs Bank USA
|
5,451,846
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
21,152
|
|
|
QUALCOMM, Inc.
|
Citibank NA
|
3,245,523
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(371,261
)
|
|
|
QUALCOMM, Inc.
|
Citibank NA
|
3,390,444
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(481,789
)
|
|
|
Quanta Services, Inc.
|
Morgan Stanley & Co. International
PLC
|
742,184
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
27,950
|
|
|
Quebecor, Inc.
|
Goldman Sachs Bank USA
|
3,867,357
|
08/18/26
|
0.20%
|
1D CORRA
|
Monthly
|
(101,024
)
|
|
|
Quest Diagnostics, Inc.
|
Barclays Bank PLC
|
3,987,609
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
440,513
|
|
|
Quest Diagnostics, Inc.
|
Citibank NA
|
2,441,162
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
269,676
|
|
|
QXO, Inc.
|
Goldman Sachs Bank USA
|
343,131
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(2,624
)
|
|
|
Rakuten Group, Inc.
|
Morgan Stanley & Co. International
PLC
|
2,629,118
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
130,731
|
|
|
Ralph Lauren Corp.
|
Morgan Stanley & Co. International
PLC
|
689,109
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(12,104
)
|
|
|
Rambus, Inc.
|
Morgan Stanley & Co. International
PLC
|
18,586
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(2,291
)
|
|
|
Ramsay Health Care Ltd.
|
Goldman Sachs Bank USA
|
148,643
|
08/19/26
|
0.30%
|
1D AONIA
|
Monthly
|
157
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Range Resources Corp.
|
Morgan Stanley & Co. International
PLC
|
$519,056
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
$18,619
|
|
|
Raymond James Financial,
Inc.
|
Barclays Bank PLC
|
57,123
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
2,710
|
|
|
RBC Bearings, Inc.
|
Goldman Sachs Bank USA
|
15,934
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(1,048
)
|
|
|
REA Group Ltd.
|
Barclays Bank PLC
|
1,677,825
|
12/11/28
|
0.00%
|
1D AONIA
|
Monthly
|
8,173
|
|
|
Reckitt Benckiser Group PLC
|
Morgan Stanley & Co. International
PLC
|
7,413,371
|
12/09/27
|
0.25%
|
1D SONIA
|
Monthly
|
298,476
|
|
|
Reddit, Inc.
|
Citibank NA
|
2,119,509
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(367,886
)
|
|
|
Regal Rexnord Corp.
|
Citibank NA
|
292,974
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(13,040
)
|
|
|
Regeneron Pharmaceuticals,
Inc.
|
Barclays Bank PLC
|
3,237,667
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
554,129
|
|
|
Regeneron Pharmaceuticals,
Inc.
|
Goldman Sachs Bank USA
|
4,731,775
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
706,539
|
|
|
Regions Financial Corp.
|
Barclays Bank PLC
|
139,796
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
408
|
|
|
Regions Financial Corp.
|
Morgan Stanley & Co. International
PLC
|
2,293,961
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
5,345
|
|
|
Regis Resources Ltd.
|
Citibank NA
|
1,710,345
|
02/24/27
|
0.30%
|
1D AONIA
|
Monthly
|
(54,393
)
|
|
|
Reliance, Inc.
|
Barclays Bank PLC
|
3,862,100
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
198,900
|
|
|
Reliance, Inc.
|
Morgan Stanley & Co. International
PLC
|
4,470,381
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
230,227
|
|
|
Reliance, Inc.
|
Morgan Stanley & Co. International
PLC
|
352,610
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
18,160
|
|
|
Remitly Global, Inc.
|
Citibank NA
|
587,248
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(8,640
)
|
|
|
RenaissanceRe Holdings Ltd.
|
Morgan Stanley & Co. International
PLC
|
1,302,417
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
1,181
|
|
|
Renesas Electronics Corp.
|
Morgan Stanley & Co. International
PLC
|
3,011,535
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(526,109
)
|
|
|
Repligen Corp.
|
Barclays Bank PLC
|
10,367
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
68
|
|
|
Repligen Corp.
|
Goldman Sachs Bank USA
|
2,171,943
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(8,004
)
|
|
|
Repsol SA
|
Citibank NA
|
1,731,161
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
63,964
|
|
|
ResMed, Inc.
|
Citibank NA
|
4,953,736
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
464,020
|
|
|
ResMed, Inc.
|
Goldman Sachs Bank USA
|
8,508,373
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
430,006
|
|
|
Restaurant Brands
International, Inc.
|
Citibank NA
|
7,483,795
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
29,889
|
|
|
Revolution Medicines, Inc.
|
Morgan Stanley & Co. International
PLC
|
1,855,558
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
45,621
|
|
|
Revvity, Inc.
|
Citibank NA
|
6,860,564
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
91,259
|
|
|
Rexel SA
|
Morgan Stanley & Co. International
PLC
|
1,698,012
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
(98,892
)
|
|
|
Rhythm Pharmaceuticals, Inc.
|
Goldman Sachs Bank USA
|
754,009
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(71,765
)
|
|
|
Rio Tinto Ltd.
|
Goldman Sachs Bank USA
|
20,396,902
|
08/19/26
|
0.30%
|
1D AONIA
|
Monthly
|
565,487
|
|
|
Rio Tinto PLC
|
Goldman Sachs Bank USA
|
1,240,625
|
08/19/26
|
0.25%
|
1D SONIA
|
Monthly
|
70,679
|
|
|
Robert Half, Inc.
|
Goldman Sachs Bank USA
|
1,520,775
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
45,582
|
|
|
Rocket Lab Corp.
|
Goldman Sachs Bank USA
|
328,727
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(48,533
)
|
|
|
Rockwell Automation, Inc.
|
Citibank NA
|
33,442,187
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
1,561,886
|
|
|
Rockwell Automation, Inc.
|
Morgan Stanley & Co. International
PLC
|
1,055,879
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
22,860
|
|
|
Rohm Co Ltd.
|
Morgan Stanley & Co. International
PLC
|
3,957,011
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(427,659
)
|
|
|
Roivant Sciences Ltd.
|
Morgan Stanley & Co. International
PLC
|
2,141,694
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(61,349
)
|
|
|
Rollins, Inc.
|
Barclays Bank PLC
|
4,060,446
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(513,744
)
|
|
|
Roper Technologies, Inc.
|
Citibank NA
|
2,007,128
|
02/22/28
|
0.15%
|
1D OBFR01
|
Monthly
|
329,405
|
|
|
Ross Stores, Inc.
|
Citibank NA
|
10,618,766
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
564,394
|
|
|
Ross Stores, Inc.
|
Morgan Stanley & Co. International
PLC
|
2,613,640
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
141,100
|
|
|
Royal Caribbean Cruises Ltd.
|
Goldman Sachs Bank USA
|
20,744
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
1,855
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Royal Gold, Inc.
|
Barclays Bank PLC
|
$2,844,206
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
$(41,124
)
|
|
|
Royalty Pharma PLC
|
Goldman Sachs Bank USA
|
899,552
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
33,867
|
|
|
RPM International, Inc.
|
Citibank NA
|
488,914
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(1,638
)
|
|
|
RTX Corp.
|
Barclays Bank PLC
|
28,588,565
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
2,953,002
|
|
|
RTX Corp.
|
Barclays Bank PLC
|
574,506
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
59,962
|
|
|
RWE AG
|
Citibank NA
|
30,283,437
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
(992,857
)
|
|
|
S&P Global, Inc.
|
Morgan Stanley & Co. International
PLC
|
1,222,821
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(48,821
)
|
|
|
Sage Group PLC/The
|
Morgan Stanley & Co. International
PLC
|
9,525,414
|
12/09/27
|
0.25%
|
1D SONIA
|
Monthly
|
1,724,199
|
|
|
Saia, Inc.
|
Goldman Sachs Bank USA
|
1,497,424
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(212,236
)
|
|
|
Saipem SpA
|
Goldman Sachs Bank USA
|
6,121,661
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
(166,840
)
|
|
|
Salesforce, Inc.
|
Citibank NA
|
453,955
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
58,541
|
|
|
Salesforce, Inc.
|
Goldman Sachs Bank USA
|
19,303,387
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
1,729,547
|
|
|
Samsara, Inc.
|
Goldman Sachs Bank USA
|
14,026
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
323
|
|
|
Sandfire Resources Ltd.
|
Barclays Bank PLC
|
1,552,817
|
12/11/28
|
0.00%
|
1D AONIA
|
Monthly
|
10,173
|
|
|
Sands China Ltd.
|
Goldman Sachs Bank USA
|
4,311,162
|
08/19/26
|
0.30%
|
HONIA
|
Monthly
|
584,876
|
|
|
Sandvik AB
|
Morgan Stanley & Co. International
PLC
|
3,975,378
|
12/09/27
|
0.26%
|
1D STIBOR
|
Monthly
|
76,004
|
|
|
Santos Ltd.
|
Citibank NA
|
4,711,387
|
02/24/27
|
0.30%
|
1D AONIA
|
Monthly
|
25,616
|
|
|
Sartorius AG
|
Goldman Sachs Bank USA
|
142,071
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
(4,460
)
|
|
|
SBI Holdings, Inc.
|
Morgan Stanley & Co. International
PLC
|
5,299,797
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
356,134
|
|
|
SCREEN Holdings Co. Ltd.
|
Morgan Stanley & Co. International
PLC
|
3,930,423
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(1,039,236
)
|
|
|
Sea Ltd.
|
Citibank NA
|
8,772,163
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
155,570
|
|
|
Seagate Technology Holdings
PLC
|
Barclays Bank PLC
|
1,822,557
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(104,304
)
|
|
|
Seagate Technology Holdings
PLC
|
Citibank NA
|
4,613,147
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(246,884
)
|
|
|
Seatrium Ltd.
|
Goldman Sachs Bank USA
|
1,096,962
|
08/19/26
|
0.30%
|
SORA
|
Monthly
|
75,575
|
|
|
SEI Investments Co.
|
Citibank NA
|
3,118,327
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
133,575
|
|
|
SEI Investments Co.
|
Citibank NA
|
133,411
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
5,715
|
|
|
Seiko Epson Corp.
|
Morgan Stanley & Co. International
PLC
|
219,668
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(1,695
)
|
|
|
Sekisui Chemical Co Ltd.
|
Morgan Stanley & Co. International
PLC
|
710,602
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(1,592
)
|
|
|
Sekisui House Ltd.
|
Citibank NA
|
880,060
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(10,937
)
|
|
|
Sempra
|
Goldman Sachs Bank USA
|
13,845,467
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(631,239
)
|
|
|
Semtech Corp.
|
Barclays Bank PLC
|
143,609
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
4,019
|
|
|
Service Corp International/US
|
Goldman Sachs Bank USA
|
4,471,841
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
470,811
|
|
|
ServiceNow, Inc.
|
Citibank NA
|
680,439
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
112,409
|
|
|
ServiceTitan, Inc.
|
Morgan Stanley & Co. International
PLC
|
1,835,224
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
345,516
|
|
|
Seven & i Holdings Co Ltd.
|
Goldman Sachs Bank USA
|
5,695,787
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
383,977
|
|
|
Severn Trent PLC
|
Morgan Stanley & Co. International
PLC
|
2,266,901
|
12/09/27
|
0.25%
|
1D SONIA
|
Monthly
|
(21,632
)
|
|
|
SGS SA
|
Goldman Sachs Bank USA
|
4,106,450
|
08/19/26
|
0.26%
|
SSARON
|
Monthly
|
48,507
|
|
|
SharkNinja, Inc.
|
Morgan Stanley & Co. International
PLC
|
729,785
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
54,638
|
|
|
Shell PLC
|
Citibank NA
|
22,678,856
|
11/11/26
|
0.25%
|
1D SONIA
|
Monthly
|
717,527
|
|
|
Sherwin-Williams Co./The
|
Citibank NA
|
1,885,230
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
123,399
|
|
|
Sherwin-Williams Co./The
|
Citibank NA
|
2,615,752
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
161,153
|
|
|
Shimadzu Corp.
|
Morgan Stanley & Co. International
PLC
|
522,856
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(1,489
)
|
|
|
Shimizu Corp.
|
Morgan Stanley & Co. International
PLC
|
5,208,023
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(273,196
)
|
|
|
Shin-Etsu Chemical Co Ltd.
|
Goldman Sachs Bank USA
|
6,901,933
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
(1,811,098
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Siemens AG
|
Morgan Stanley & Co. International
PLC
|
$2,266,525
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
$96,461
|
|
|
Siemens Energy AG
|
Citibank NA
|
17,485,749
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
(472,523
)
|
|
|
SIG Group AG
|
Morgan Stanley & Co. International
PLC
|
1,081,431
|
12/09/27
|
0.26%
|
SSARON
|
Monthly
|
54,472
|
|
|
Sika AG
|
Barclays Bank PLC
|
288,262
|
02/14/28
|
0.26%
|
SSARON
|
Monthly
|
1,526
|
|
|
Singapore Technologies
Engineering Ltd.
|
Citibank NA
|
336,701
|
02/24/27
|
0.30%
|
SORA
|
Monthly
|
(11,389
)
|
|
|
Singapore Telecommunications
Ltd.
|
Barclays Bank PLC
|
82,399
|
12/11/28
|
0.00%
|
SORA
|
Monthly
|
(53
)
|
|
|
SiTime Corp.
|
Goldman Sachs Bank USA
|
193,193
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(6,943
)
|
|
|
Skanska AB
|
Citibank NA
|
2,305,873
|
11/11/26
|
0.26%
|
TN STIBOR
|
Monthly
|
30,564
|
|
|
SKF AB
|
Goldman Sachs Bank USA
|
3,484,163
|
08/19/26
|
0.15%
|
1D STIBOR
|
Monthly
|
(28,407
)
|
|
|
Skyworks Solutions, Inc.
|
Barclays Bank PLC
|
2,423,781
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(26,997
)
|
|
|
Skyworks Solutions, Inc.
|
Citibank NA
|
2,724,756
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(31,084
)
|
|
|
SLB Ltd.
|
Barclays Bank PLC
|
2,181,522
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
87,865
|
|
|
SLB Ltd.
|
Citibank NA
|
7,530,525
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
303,306
|
|
|
Smiths Group PLC
|
Citibank NA
|
5,753,994
|
11/11/26
|
0.25%
|
1D SONIA
|
Monthly
|
(73,813
)
|
|
|
Smurfit Westrock PLC
|
Morgan Stanley & Co. International
PLC
|
612,865
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(728
)
|
|
|
Snam SpA
|
Citibank NA
|
4,614,929
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
(220,966
)
|
|
|
Snap, Inc.
|
Goldman Sachs Bank USA
|
2,122,641
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(31,215
)
|
|
|
Snap-on, Inc.
|
Citibank NA
|
4,106,379
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
42,866
|
|
|
Snowflake, Inc.
|
Goldman Sachs Bank USA
|
693,080
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
40,706
|
|
|
Societe Generale SA
|
Morgan Stanley & Co. International
PLC
|
16,821,080
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
744,073
|
|
|
SoFi Technologies, Inc.
|
Goldman Sachs Bank USA
|
324,375
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
22,490
|
|
|
Sojitz Corp.
|
Morgan Stanley & Co. International
PLC
|
128,709
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(1,749
)
|
|
|
Sonic Healthcare Ltd.
|
Goldman Sachs Bank USA
|
150,610
|
08/19/26
|
0.30%
|
1D AONIA
|
Monthly
|
(4,911
)
|
|
|
Sonova Holding AG
|
Goldman Sachs Bank USA
|
3,870,279
|
08/19/26
|
0.10%
|
SSARON
|
Monthly
|
244,047
|
|
|
Sony Group Corp.
|
Morgan Stanley & Co. International
PLC
|
11,619,617
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
924,789
|
|
|
South Bow Corp.
|
Citibank NA
|
1,541,055
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
(61,209
)
|
|
|
South32 Ltd.
|
Goldman Sachs Bank USA
|
316,475
|
08/19/26
|
0.30%
|
1D AONIA
|
Monthly
|
6,231
|
|
|
SOUTHSTATE BANK Corp.
|
Morgan Stanley & Co. International
PLC
|
55,489
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
1,575
|
|
|
Southwest Airlines Co.
|
Citibank NA
|
16,401,532
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(913,595
)
|
|
|
Spotify Technology SA
|
Barclays Bank PLC
|
14,795,214
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
804,413
|
|
|
Spotify Technology SA
|
Citibank NA
|
2,232,819
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
121,398
|
|
|
Sprott, Inc.
|
Goldman Sachs Bank USA
|
688,247
|
08/18/26
|
0.20%
|
1D CORRA
|
Monthly
|
(30,670
)
|
|
|
Sprouts Farmers Market, Inc.
|
Barclays Bank PLC
|
14,196
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
2,538
|
|
|
SPX Technologies, Inc.
|
Citibank NA
|
152,240
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
396
|
|
|
SPX Technologies, Inc.
|
Goldman Sachs Bank USA
|
11,097
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
104
|
|
|
SS&C Technologies Holdings,
Inc.
|
Citibank NA
|
16,504,747
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
2,470,048
|
|
|
St James's Place PLC
|
Citibank NA
|
3,653,163
|
11/11/26
|
0.25%
|
1D SONIA
|
Monthly
|
(46,975
)
|
|
|
STAG Industrial, Inc.
|
Goldman Sachs Bank USA
|
265,189
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(11,027
)
|
|
|
Standard Chartered PLC
|
Morgan Stanley & Co. International
PLC
|
8,237,700
|
12/09/27
|
0.25%
|
1D SONIA
|
Monthly
|
146,609
|
|
|
Standard Life PLC
|
Citibank NA
|
1,394,915
|
11/11/26
|
0.25%
|
1D SONIA
|
Monthly
|
15,406
|
|
|
Standard Life PLC
|
Morgan Stanley & Co. International
PLC
|
2,151,582
|
12/09/27
|
0.25%
|
1D SONIA
|
Monthly
|
23,764
|
|
|
StandardAero, Inc.
|
Citibank NA
|
517,376
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
26,061
|
|
|
Stanley Black & Decker, Inc.
|
Citibank NA
|
4,519,352
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
269,895
|
|
|
Stanley Black & Decker, Inc.
|
Citibank NA
|
458,299
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
27,370
|
|
|
Starbucks Corp.
|
Morgan Stanley & Co. International
PLC
|
3,172,324
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
36,538
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
State Street Corp.
|
Goldman Sachs Bank USA
|
$3,055,058
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
$(20,469
)
|
|
|
Steel Dynamics, Inc.
|
Morgan Stanley & Co. International
PLC
|
1,691,618
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
63,182
|
|
|
StepStone Group, Inc.
|
Barclays Bank PLC
|
2,517,823
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
168,426
|
|
|
STERIS PLC
|
Citibank NA
|
1,366,715
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
67,180
|
|
|
STERIS PLC
|
Morgan Stanley & Co. International
PLC
|
3,924,814
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
332,333
|
|
|
Stifel Financial Corp.
|
Goldman Sachs Bank USA
|
2,358,720
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
124,600
|
|
|
Stryker Corp.
|
Citibank NA
|
2,269,204
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
105,801
|
|
|
Stryker Corp.
|
Morgan Stanley & Co. International
PLC
|
1,797,921
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
95,698
|
|
|
SUMCO Corp.
|
Citibank NA
|
4,235,874
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(527,679
)
|
|
|
Sumitomo Chemical Co Ltd.
|
Morgan Stanley & Co. International
PLC
|
5,683,728
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(343,998
)
|
|
|
Sumitomo Corp.
|
Citibank NA
|
2,498,169
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
73,984
|
|
|
Sumitomo Electric Industries
Ltd.
|
Morgan Stanley & Co. International
PLC
|
7,433,644
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(961,684
)
|
|
|
Sumitomo Heavy Industries
Ltd.
|
Morgan Stanley & Co. International
PLC
|
7,381,726
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(108,168
)
|
|
|
Sumitomo Metal Mining Co
Ltd.
|
Goldman Sachs Bank USA
|
6,119,675
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
475,150
|
|
|
Sumitomo Realty &
Development Co Ltd.
|
Morgan Stanley & Co. International
PLC
|
5,087,371
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(304,154
)
|
|
|
Sumitomo Rubber Industries
Ltd.
|
Goldman Sachs Bank USA
|
3,716,849
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
45,297
|
|
|
Sun Communities, Inc.
|
Citibank NA
|
103,386
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
3,300
|
|
|
Sun Hung Kai Properties Ltd.
|
Citibank NA
|
2,233,691
|
02/24/27
|
0.30%
|
HONIA
|
Monthly
|
10,672
|
|
|
Sun Life Financial, Inc.
|
Barclays Bank PLC
|
5,911,985
|
01/11/27
|
0.20%
|
CABROVER
|
Monthly
|
73,394
|
|
|
Sunbelt Rentals Holdings, Inc.
|
Morgan Stanley & Co. International
PLC
|
548,299
|
12/09/27
|
0.25%
|
1D SONIA
|
Monthly
|
(12,887
)
|
|
|
Suncor Energy, Inc.
|
Citibank NA
|
44,158,783
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
1,413,546
|
|
|
Sunrise Communications AG
|
Goldman Sachs Bank USA
|
993,647
|
08/19/26
|
0.26%
|
SSARON
|
Monthly
|
5,047
|
|
|
Super Micro Computer, Inc.
|
Goldman Sachs Bank USA
|
165,318
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
17,350
|
|
|
Svenska Handelsbanken AB
|
Citibank NA
|
3,301,306
|
11/11/26
|
0.26%
|
TN STIBOR
|
Monthly
|
64,024
|
|
|
Swatch Group AG/The
|
Goldman Sachs Bank USA
|
264,751
|
08/19/26
|
0.26%
|
SSARON
|
Monthly
|
8,013
|
|
|
Swedish Orphan Biovitrum AB
|
Barclays Bank PLC
|
151,186
|
02/14/28
|
0.26%
|
1D STIBOR
|
Monthly
|
2,834
|
|
|
Swire Pacific Ltd.
|
Citibank NA
|
337,228
|
02/24/27
|
0.30%
|
HONIA
|
Monthly
|
37,405
|
|
|
Synopsys, Inc.
|
Goldman Sachs Bank USA
|
257,291
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(22,092
)
|
|
|
T Rowe Price Group, Inc.
|
Morgan Stanley & Co. International
PLC
|
6,054,446
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(222,325
)
|
|
|
Taisei Corp.
|
Barclays Bank PLC
|
6,373,602
|
12/11/28
|
0.00%
|
1D P TONA
|
Monthly
|
(347,022
)
|
|
|
Taiyo Yuden Co Ltd.
|
Citibank NA
|
3,040,797
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(400,182
)
|
|
|
Takeda Pharmaceutical Co
Ltd.
|
Citibank NA
|
3,349,939
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(53,719
)
|
|
|
Take-Two Interactive Software,
Inc.
|
Citibank NA
|
1,097,592
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
43,889
|
|
|
Tapestry, Inc.
|
Barclays Bank PLC
|
1,055,984
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
63,478
|
|
|
Tapestry, Inc.
|
Morgan Stanley & Co. International
PLC
|
9,582,715
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
582,954
|
|
|
Targa Resources Corp.
|
Goldman Sachs Bank USA
|
44,506
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(1,246
)
|
|
|
TD SYNNEX Corp.
|
Citibank NA
|
184,456
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
2,205
|
|
|
TD SYNNEX Corp.
|
Goldman Sachs Bank USA
|
759,493
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
17,068
|
|
|
TDK Corp.
|
Goldman Sachs Bank USA
|
371,055
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
21,206
|
|
|
TE Connectivity PLC
|
Citibank NA
|
22,238,584
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
570,792
|
|
|
Technology One Ltd.
|
Citibank NA
|
2,273,094
|
02/24/27
|
0.30%
|
1D AONIA
|
Monthly
|
133,249
|
|
|
Techtronic Industries Co Ltd.
|
Citibank NA
|
662,552
|
02/24/27
|
0.30%
|
HONIA
|
Monthly
|
9,446
|
|
|
Tele2 AB
|
Citibank NA
|
19,574,065
|
11/11/26
|
0.26%
|
TN STIBOR
|
Monthly
|
492,835
|
|
|
Teledyne Technologies, Inc.
|
Barclays Bank PLC
|
7,680,453
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
59,861
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Teledyne Technologies, Inc.
|
Citibank NA
|
$991,362
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
$7,727
|
|
|
Telefonaktiebolaget LM
Ericsson
|
Goldman Sachs Bank USA
|
879,259
|
08/19/26
|
0.26%
|
1D STIBOR
|
Monthly
|
(11,525
)
|
|
|
Telefonica SA
|
Goldman Sachs Bank USA
|
10,131,587
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
(42,784
)
|
|
|
Telenor ASA
|
Citibank NA
|
4,386,133
|
11/11/26
|
0.26%
|
NOWA
|
Monthly
|
13,152
|
|
|
Telia Co. AB
|
Goldman Sachs Bank USA
|
611,120
|
08/19/26
|
0.26%
|
1D STIBOR
|
Monthly
|
(17,845
)
|
|
|
Telstra Group Ltd.
|
Goldman Sachs Bank USA
|
2,853,575
|
08/19/26
|
0.30%
|
1D AONIA
|
Monthly
|
74,244
|
|
|
TELUS Corp.
|
Barclays Bank PLC
|
9,590,118
|
01/11/27
|
0.20%
|
CABROVER
|
Monthly
|
(766,534
)
|
|
|
Temenos AG
|
Barclays Bank PLC
|
2,095,425
|
02/14/28
|
0.26%
|
SSARON
|
Monthly
|
17,298
|
|
|
Tempus AI, Inc.
|
Goldman Sachs Bank USA
|
152,207
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
8,489
|
|
|
Tenaris SA
|
Morgan Stanley & Co. International
PLC
|
1,153,210
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
(30,270
)
|
|
|
Tenet Healthcare Corp.
|
Citibank NA
|
6,142,195
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
1,868,598
|
|
|
Teradyne, Inc.
|
Citibank NA
|
1,289,415
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(6,177
)
|
|
|
Teradyne, Inc.
|
Goldman Sachs Bank USA
|
2,766,822
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
205,216
|
|
|
Terna - Rete Elettrica
Nazionale
|
Goldman Sachs Bank USA
|
471,931
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
(7,955
)
|
|
|
Tesco PLC
|
Goldman Sachs Bank USA
|
5,441,568
|
08/19/26
|
0.25%
|
1D SONIA
|
Monthly
|
191,239
|
|
|
Tesla, Inc.
|
Barclays Bank PLC
|
2,287,819
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(384,148
)
|
|
|
Tetra Tech, Inc.
|
Goldman Sachs Bank USA
|
24,657
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
1,440
|
|
|
Tetra Tech, Inc.
|
Morgan Stanley & Co. International
PLC
|
3,659,667
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
257,523
|
|
|
Teva Pharmaceutical Industries
Ltd.
|
Citibank NA
|
493,797
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
79,597
|
|
|
Texas Instruments, Inc.
|
Citibank NA
|
5,233,328
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(283,519
)
|
|
|
Texas Instruments, Inc.
|
Citibank NA
|
1,800,149
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(112,896
)
|
|
|
Texas Roadhouse, Inc.
|
Barclays Bank PLC
|
3,770,597
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
275,955
|
|
|
TFI International, Inc.
|
Morgan Stanley & Co. International
PLC
|
1,813,770
|
12/09/27
|
0.20%
|
CABROVER
|
Monthly
|
(216,347
)
|
|
|
Thermo Fisher Scientific, Inc.
|
Citibank NA
|
13,791,122
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
1,229,120
|
|
|
Thomson Reuters Corp.
|
Citibank NA
|
20,008,631
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
2,363,813
|
|
|
TJX Cos, Inc./The
|
Citibank NA
|
4,620,624
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
53,790
|
|
|
TJX Cos, Inc./The
|
Goldman Sachs Bank USA
|
183,580
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
7,746
|
|
|
TKO Group Holdings, Inc.
|
Morgan Stanley & Co. International
PLC
|
554,945
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(4,970
)
|
|
|
T-Mobile US, Inc.
|
Barclays Bank PLC
|
2,625,425
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(250,663
)
|
|
|
Toast, Inc.
|
Citibank NA
|
2,221,362
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
232,707
|
|
|
Tokyo Electron Ltd.
|
Citibank NA
|
12,587,464
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(2,323,316
)
|
|
|
Tokyo Gas Co Ltd.
|
Morgan Stanley & Co. International
PLC
|
4,786,109
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(6,827
)
|
|
|
Tokyo Metro Co Ltd.
|
Goldman Sachs Bank USA
|
253,657
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
(7,236
)
|
|
|
Tokyo Ohka Kogyo Co Ltd.
|
Morgan Stanley & Co. International
PLC
|
3,097,898
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(503,737
)
|
|
|
Tokyo Seimitsu Co Ltd.
|
Citibank NA
|
2,157,028
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(199,417
)
|
|
|
Tokyo Tatemono Co Ltd.
|
Morgan Stanley & Co. International
PLC
|
604,371
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(21,976
)
|
|
|
Tokyu Fudosan Holdings Corp.
|
Citibank NA
|
7,002,718
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(84,288
)
|
|
|
Toray Industries, Inc.
|
Goldman Sachs Bank USA
|
3,595,445
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
(89,298
)
|
|
|
Toro Co./The
|
Barclays Bank PLC
|
844,159
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(26,608
)
|
|
|
Toro Co./The
|
Goldman Sachs Bank USA
|
1,588,995
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(35,841
)
|
|
|
Toronto-Dominion Bank/The
|
Goldman Sachs Bank USA
|
2,403,823
|
08/18/26
|
0.20%
|
1D CORRA
|
Monthly
|
32,898
|
|
|
Tosoh Corp.
|
Citibank NA
|
818,009
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
(39,314
)
|
|
|
TotalEnergies SE
|
Citibank NA
|
3,570,793
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
103,911
|
|
|
Tourmaline Oil Corp.
|
Citibank NA
|
20,330,419
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
(887,804
)
|
|
|
Tower Semiconductor Ltd.
|
Barclays Bank PLC
|
1,839,036
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(220,068
)
|
|
|
Toyo Tire Corp.
|
Morgan Stanley & Co. International
PLC
|
491,508
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
23,065
|
|
|
TPG, Inc.
|
Barclays Bank PLC
|
2,130,253
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
72,437
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
TPG, Inc.
|
Morgan Stanley & Co. International
PLC
|
$1,755,556
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
$78,557
|
|
|
Tractor Supply Co.
|
Citibank NA
|
13,020,925
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
625,324
|
|
|
Tractor Supply Co.
|
Citibank NA
|
2,611,719
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
125,427
|
|
|
Trade Desk, Inc./The
|
Morgan Stanley & Co. International
PLC
|
1,647,629
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
32,454
|
|
|
Tradeweb Markets, Inc.
|
Goldman Sachs Bank USA
|
1,680,450
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(3,004
)
|
|
|
Trane Technologies PLC
|
Barclays Bank PLC
|
10,037,478
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(395,268
)
|
|
|
Trane Technologies PLC
|
Barclays Bank PLC
|
730,765
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(28,777
)
|
|
|
TransAlta Corp.
|
Citibank NA
|
13,312,688
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
(1,482,182
)
|
|
|
Travelers Cos., Inc./The
|
Morgan Stanley & Co. International
PLC
|
16,759,972
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
102,700
|
|
|
Travere Therapeutics, Inc.
|
Citibank NA
|
419,832
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(6,693
)
|
|
|
Trelleborg AB
|
Citibank NA
|
3,798,632
|
11/11/26
|
0.26%
|
TN STIBOR
|
Monthly
|
40,818
|
|
|
Trend Micro, Inc./Japan
|
Citibank NA
|
3,280,534
|
02/24/27
|
0.25%
|
1D P TONA
|
Monthly
|
47,574
|
|
|
Trimble, Inc.
|
Goldman Sachs Bank USA
|
4,965,785
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
445,696
|
|
|
Trimble, Inc.
|
Goldman Sachs Bank USA
|
741,314
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
66,535
|
|
|
Truist Financial Corp.
|
Citibank NA
|
13,417,779
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
28,532
|
|
|
Tryg A/S
|
Barclays Bank PLC
|
8,340,726
|
02/14/28
|
0.26%
|
DESTR
|
Monthly
|
(124,844
)
|
|
|
Twilio, Inc.
|
Goldman Sachs Bank USA
|
1,649,377
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(110,639
)
|
|
|
Twilio, Inc.
|
Goldman Sachs Bank USA
|
487,177
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(32,680
)
|
|
|
Tyler Technologies, Inc.
|
Morgan Stanley & Co. International
PLC
|
10,804
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
961
|
|
|
Tyson Foods, Inc.
|
Citibank NA
|
10,409,260
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
121,492
|
|
|
Ubiquiti, Inc.
|
Citibank NA
|
291,325
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
10,309
|
|
|
UCB SA
|
Barclays Bank PLC
|
3,592,869
|
02/14/28
|
0.26%
|
1D ESTR
|
Monthly
|
(305,781
)
|
|
|
UiPath, Inc.
|
Citibank NA
|
1,516,233
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
291,910
|
|
|
UiPath, Inc.
|
Goldman Sachs Bank USA
|
894,479
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
11,366
|
|
|
Ulta Beauty, Inc.
|
Citibank NA
|
2,266,742
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
137,405
|
|
|
Umicore SA
|
Goldman Sachs Bank USA
|
2,087,829
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
168,069
|
|
|
Unibail-Rodamco-Westfield
|
Morgan Stanley & Co. International
PLC
|
2,377,772
|
12/09/27
|
0.26%
|
1D ESTR
|
Monthly
|
24,029
|
|
|
Unicaja Banco SA
|
Citibank NA
|
2,688,770
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
(7,590
)
|
|
|
UniCredit SpA
|
Citibank NA
|
8,432,729
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
(129,044
)
|
|
|
Unilever PLC
|
Goldman Sachs Bank USA
|
3,247,810
|
08/19/26
|
0.25%
|
1D SONIA
|
Monthly
|
43,581
|
|
|
Union Pacific Corp.
|
Citibank NA
|
632,807
|
02/22/28
|
0.18%
|
1D OBFR01
|
Monthly
|
(930
)
|
|
|
United Airlines Holdings, Inc.
|
Citibank NA
|
15,774,053
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
543,376
|
|
|
United Parcel Service, Inc.
|
Citibank NA
|
10,555,449
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(1,054,962
)
|
|
|
United Parcel Service, Inc.
|
Morgan Stanley & Co. International
PLC
|
3,126,637
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(313,635
)
|
|
|
United Therapeutics Corp.
|
Barclays Bank PLC
|
4,945,498
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(87,825
)
|
|
|
UnitedHealth Group, Inc.
|
Barclays Bank PLC
|
4,289,378
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(168,170
)
|
|
|
UnitedHealth Group, Inc.
|
Citibank NA
|
5,226,012
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(199,754
)
|
|
|
Universal Display Corp.
|
Citibank NA
|
2,301,654
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(40,340
)
|
|
|
Universal Health Services, Inc.
|
Goldman Sachs Bank USA
|
6,753,709
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
931,703
|
|
|
Unum Group
|
Goldman Sachs Bank USA
|
35,867
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(1,165
)
|
|
|
Urban Outfitters, Inc.
|
Citibank NA
|
529,606
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
3,377
|
|
|
Urban Outfitters, Inc.
|
Morgan Stanley & Co. International
PLC
|
734,889
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
4,686
|
|
|
US BanCorp.
|
Morgan Stanley & Co. International
PLC
|
13,385,955
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(272,566
)
|
|
|
Vail Resorts, Inc.
|
Barclays Bank PLC
|
750,303
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
23,038
|
|
|
Valero Energy Corp.
|
Barclays Bank PLC
|
44,772
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
285
|
|
|
Valero Energy Corp.
|
Citibank NA
|
34,039,226
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
222,698
|
|
|
VAT Group AG
|
Citibank NA
|
5,955,835
|
11/11/26
|
0.26%
|
SSARON
|
Monthly
|
(352,730
)
|
|
|
Vaxcyte, Inc.
|
Goldman Sachs Bank USA
|
1,374,867
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(64,454
)
|
|
|
Veeva Systems, Inc.
|
Citibank NA
|
6,363,311
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
638,366
|
|
|
Veeva Systems, Inc.
|
Citibank NA
|
13,103
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
1,365
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Ventas, Inc.
|
Barclays Bank PLC
|
$13,036,600
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
$(492,327
)
|
|
|
Veralto Corp.
|
Goldman Sachs Bank USA
|
11,466
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
399
|
|
|
VeriSign, Inc.
|
Citibank NA
|
3,050,508
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
318,654
|
|
|
VeriSign, Inc.
|
Goldman Sachs Bank USA
|
893,528
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
64,408
|
|
|
Verizon Communications, Inc.
|
Citibank NA
|
8,449,672
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
417,873
|
|
|
Verizon Communications, Inc.
|
Morgan Stanley & Co. International
PLC
|
21,791
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
1,240
|
|
|
Vertex Pharmaceuticals, Inc.
|
Morgan Stanley & Co. International
PLC
|
1,467,802
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
14,070
|
|
|
Vertiv Holdings Co.
|
Barclays Bank PLC
|
37,645
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(7,449
)
|
|
|
Vestas Wind Systems A/S
|
Goldman Sachs Bank USA
|
8,705,760
|
08/19/26
|
0.26%
|
DESTR
|
Monthly
|
(165,013
)
|
|
|
Viatris, Inc.
|
Goldman Sachs Bank USA
|
518,131
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
27,335
|
|
|
Viatris, Inc.
|
Goldman Sachs Bank USA
|
1,310,898
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
69,160
|
|
|
Viavi Solutions, Inc.
|
Goldman Sachs Bank USA
|
2,751,309
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(217,389
)
|
|
|
VICI Properties, Inc.
|
Goldman Sachs Bank USA
|
4,973
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
8
|
|
|
Viking Holdings Ltd.
|
Goldman Sachs Bank USA
|
137,505
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
10,568
|
|
|
Vinci SA
|
Citibank NA
|
3,909,836
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
94,107
|
|
|
Virtu Financial, Inc.
|
Morgan Stanley & Co. International
PLC
|
1,385,902
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(19,313
)
|
|
|
Visa, Inc.
|
Citibank NA
|
6,463,565
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
165,585
|
|
|
Visa, Inc.
|
Goldman Sachs Bank USA
|
888,560
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
27,497
|
|
|
Vishay Intertechnology, Inc.
|
Goldman Sachs Bank USA
|
117,629
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(18,117
)
|
|
|
Vodafone Group PLC
|
Morgan Stanley & Co. International
PLC
|
1,857,715
|
12/09/27
|
0.25%
|
1D SONIA
|
Monthly
|
15,928
|
|
|
voestalpine AG
|
Citibank NA
|
7,283,937
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
76,931
|
|
|
Volkswagen AG
|
Goldman Sachs Bank USA
|
590,092
|
08/19/26
|
0.26%
|
1D ESTR
|
Monthly
|
(2,163
)
|
|
|
Vonovia SE
|
Barclays Bank PLC
|
3,377,143
|
02/14/28
|
0.26%
|
1D ESTR
|
Monthly
|
32,180
|
|
|
Voya Financial, Inc.
|
Morgan Stanley & Co. International
PLC
|
129,849
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
1,199
|
|
|
Vulcan Materials Co.
|
Goldman Sachs Bank USA
|
70,832
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(5,032
)
|
|
|
W R Berkley Corp.
|
Goldman Sachs Bank USA
|
10,090,812
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
384,109
|
|
|
W R Berkley Corp.
|
Goldman Sachs Bank USA
|
23,689
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
902
|
|
|
Walt Disney Co./The
|
Citibank NA
|
1,526,538
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
5,095
|
|
|
Walt Disney Co./The
|
Goldman Sachs Bank USA
|
15,058
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(149
)
|
|
|
Wartsila OYJ Abp
|
Citibank NA
|
453,585
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
(19,507
)
|
|
|
Waste Management, Inc.
|
Barclays Bank PLC
|
1,683,026
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(69,990
)
|
|
|
Watsco, Inc.
|
Barclays Bank PLC
|
7,754,656
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(1,053,053
)
|
|
|
Watsco, Inc.
|
Morgan Stanley & Co. International
PLC
|
3,020,914
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(427,124
)
|
|
|
Watts Water Technologies,
Inc.
|
Goldman Sachs Bank USA
|
860,803
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(8,430
)
|
|
|
WEC Energy Group, Inc.
|
Citibank NA
|
7,220,373
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
(254,040
)
|
|
|
Wells Fargo & Co.
|
Goldman Sachs Bank USA
|
8,430,346
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(80,141
)
|
|
|
West Fraser Timber Co Ltd.
|
Goldman Sachs Bank USA
|
181,936
|
08/18/26
|
0.20%
|
1D CORRA
|
Monthly
|
(5,472
)
|
|
|
West Pharmaceutical Services,
Inc.
|
Barclays Bank PLC
|
2,511,737
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(122,290
)
|
|
|
Western Digital Corp.
|
Goldman Sachs Bank USA
|
1,940,774
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
117,087
|
|
|
Western Digital Corp.
|
Morgan Stanley & Co. International
PLC
|
11,016,211
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(209,309
)
|
|
|
Westgold Resources Ltd.
|
Morgan Stanley & Co. International
PLC
|
35,229
|
12/09/27
|
0.29%
|
1D AONIA
|
Monthly
|
(819
)
|
|
|
Westlake Corp.
|
Goldman Sachs Bank USA
|
7,126,971
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(605,862
)
|
|
|
WH Group Ltd.
|
Citibank NA
|
338,050
|
02/24/27
|
0.30%
|
HONIA
|
Monthly
|
3,570
|
|
|
Wheaton Precious Metals
Corp.
|
Citibank NA
|
1,696,693
|
02/22/28
|
0.20%
|
1D CORRA
|
Monthly
|
(46,535
)
|
|
|
Williams Cos., Inc./The
|
Morgan Stanley & Co. International
PLC
|
1,618,817
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(64,109
)
|
|
|
Williams-Sonoma, Inc.
|
Barclays Bank PLC
|
54,251
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
1,542
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Williams-Sonoma, Inc.
|
Morgan Stanley & Co. International
PLC
|
$2,003,283
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
$56,943
|
|
|
Wolters Kluwer NV
|
Citibank NA
|
5,704,460
|
11/11/26
|
0.26%
|
1D ESTR
|
Monthly
|
770,537
|
|
|
Woodside Energy Group Ltd.
|
Goldman Sachs Bank USA
|
853,748
|
08/19/26
|
0.30%
|
1D AONIA
|
Monthly
|
42,193
|
|
|
Woodward, Inc.
|
Barclays Bank PLC
|
6,587,130
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(713,759
)
|
|
|
Workday, Inc.
|
Citibank NA
|
13,639
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
2,876
|
|
|
Worley Ltd.
|
Citibank NA
|
476,262
|
02/24/27
|
0.30%
|
1D AONIA
|
Monthly
|
(5,866
)
|
|
|
WP Carey, Inc.
|
Barclays Bank PLC
|
16,464,743
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(393,226
)
|
|
|
WW Grainger, Inc.
|
Barclays Bank PLC
|
1,756,151
|
01/11/27
|
0.20%
|
1D OBFR01
|
Monthly
|
36,588
|
|
|
Wyndham Hotels & Resorts,
Inc.
|
Goldman Sachs Bank USA
|
1,650,671
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(87,295
)
|
|
|
Wyndham Hotels & Resorts,
Inc.
|
Morgan Stanley & Co. International
PLC
|
23,007
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(249
)
|
|
|
Xcel Energy, Inc.
|
Morgan Stanley & Co. International
PLC
|
3,754,268
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
(92,787
)
|
|
|
XPO, Inc.
|
Goldman Sachs Bank USA
|
6,021,708
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(113,190
)
|
|
|
Xylem, Inc./NY
|
Citibank NA
|
9,497,465
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
67,874
|
|
|
Xylem, Inc./NY
|
Citibank NA
|
3,300,350
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
23,586
|
|
|
Yamaha Motor Co Ltd.
|
Goldman Sachs Bank USA
|
539,385
|
08/19/26
|
0.25%
|
1D P TONA
|
Monthly
|
(23,272
)
|
|
|
Yaskawa Electric Corp.
|
Morgan Stanley & Co. International
PLC
|
7,539,118
|
12/09/27
|
0.25%
|
1D P TONA
|
Monthly
|
(687,247
)
|
|
|
Yum! Brands, Inc.
|
Morgan Stanley & Co. International
PLC
|
193,169
|
12/09/27
|
0.20%
|
1D FEDL01
|
Monthly
|
7,474
|
|
|
Zebra Technologies Corp.
|
Goldman Sachs Bank USA
|
3,585,831
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
403,069
|
|
|
Zions Bancorp N.A.
|
Goldman Sachs Bank USA
|
14,382
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
(372
)
|
|
|
Zoetis, Inc.
|
Citibank NA
|
2,228,494
|
02/22/28
|
0.20%
|
1D OBFR01
|
Monthly
|
79,695
|
|
|
Zscaler, Inc.
|
Goldman Sachs Bank USA
|
7,803,982
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
158,513
|
|
|
Zurn Elkay Water Solutions
Corp.
|
Goldman Sachs Bank USA
|
1,848,425
|
08/18/26
|
0.20%
|
1D FEDL01
|
Monthly
|
111,767
|
|
|
Total long positions of equity swaps
|
|
|
|
|
49,379,757
|
|||
|
Short Contracts(b)
|
||||||||
|
3i Group PLC
|
Barclays Bank PLC
|
$(1,720,697)
|
02/14/28
|
(0.25)%
|
1D SONIA
|
Monthly
|
$(161,922
)
|
|
|
ABN AMRO Bank NV
|
Barclays Bank PLC
|
(14,615,619)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(360,485
)
|
|
|
ABN AMRO Bank NV
|
Citibank NA
|
(1,496,244)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
(36,313
)
|
|
|
Acadia Healthcare Co., Inc.
|
Goldman Sachs Bank USA
|
(3,317,790)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
229,491
|
|
|
ACM Research, Inc.
|
Citibank NA
|
(130,327)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
16,074
|
|
|
adidas AG
|
Barclays Bank PLC
|
(4,740,186)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
493,352
|
|
|
Admiral Group PLC
|
Citibank NA
|
(4,801,873)
|
11/11/26
|
0.00%
|
1D SONIA
|
Monthly
|
(291,504
)
|
|
|
Advanced Drainage Systems,
Inc.
|
Citibank NA
|
(3,260)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
75
|
|
|
Adyen NV
|
Barclays Bank PLC
|
(13,237,589)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(1,007,500
)
|
|
|
Aedifica SA
|
Barclays Bank PLC
|
(25,572)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
100
|
|
|
Aedifica SA
|
Goldman Sachs Bank USA
|
(2,675,472)
|
08/19/26
|
(0.26)%
|
1D ESTR
|
Monthly
|
(51,513
)
|
|
|
Aena SME SA
|
Barclays Bank PLC
|
(377,976)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(6,817
)
|
|
|
Aena SME SA
|
Goldman Sachs Bank USA
|
(21,487,760)
|
08/19/26
|
(0.26)%
|
1D ESTR
|
Monthly
|
(418,631
)
|
|
|
Aeon Co. Ltd.
|
Barclays Bank PLC
|
(2,583,459)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(17,912
)
|
|
|
AeroVironment, Inc.
|
Goldman Sachs Bank USA
|
(796,622)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(45,974
)
|
|
|
Affiliated Managers Group,
Inc.
|
Citibank NA
|
(12,828)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(741
)
|
|
|
Affiliated Managers Group,
Inc.
|
Citibank NA
|
(1,697,097)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(98,047
)
|
|
|
Affirm Holdings, Inc.
|
Barclays Bank PLC
|
(100,007)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
3,254
|
|
|
Affirm Holdings, Inc.
|
Goldman Sachs Bank USA
|
(1,707,657)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
213,170
|
|
|
Affirm Holdings, Inc.
|
Morgan Stanley & Co. International
PLC
|
(1,242,585)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
40,430
|
|
|
AGCO Corp.
|
Citibank NA
|
(21,697)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
2,797
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
AGCO Corp.
|
Morgan Stanley & Co. International
PLC
|
$(3,264,137)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
$420,820
|
|
|
AGNC Investment Corp.
|
Citibank NA
|
(2,592,471)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
14,510
|
|
|
AIB Group PLC
|
Barclays Bank PLC
|
(2,708,959)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
130,340
|
|
|
Air France-KLM
|
Citibank NA
|
(110,186)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
(4,568
)
|
|
|
Air Liquide SA
|
Barclays Bank PLC
|
(3,161,455)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
90,684
|
|
|
Air Liquide SA
|
Morgan Stanley & Co. International
PLC
|
(21,208,229)
|
12/09/27
|
(0.26)%
|
1D ESTR
|
Monthly
|
707,528
|
|
|
Air Products and Chemicals,
Inc.
|
Morgan Stanley & Co. International
PLC
|
(6,007,163)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
42,423
|
|
|
Airbus SE
|
Barclays Bank PLC
|
(24,167,150)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
543,402
|
|
|
AIXTRON SE
|
Barclays Bank PLC
|
(250,986)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
30,505
|
|
|
AIXTRON SE
|
Citibank NA
|
(1,533,332)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
186,361
|
|
|
AIXTRON SE
|
Goldman Sachs Bank USA
|
(57,553)
|
08/19/26
|
(0.26)%
|
1D ESTR
|
Monthly
|
7,737
|
|
|
Ajinomoto Co., Inc.
|
Barclays Bank PLC
|
(1,033,399)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
68,158
|
|
|
Ajinomoto Co., Inc.
|
Citibank NA
|
(798,986)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
52,697
|
|
|
Akamai Technologies, Inc.
|
Barclays Bank PLC
|
(1,235,542)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
90,653
|
|
|
Alaska Air Group, Inc.
|
Barclays Bank PLC
|
(4,183,721)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(289,058
)
|
|
|
Albertsons Cos., Inc.
|
Citibank NA
|
(21,929)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
4,536
|
|
|
Alcoa Corp.
|
Goldman Sachs Bank USA
|
(665,303)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
45,467
|
|
|
Alcon AG
|
Morgan Stanley & Co. International
PLC
|
(10,287,418)
|
12/09/27
|
(0.26)%
|
SSARON
|
Monthly
|
(110,753
)
|
|
|
Alexandria Real Estate
Equities, Inc.
|
Morgan Stanley & Co. International
PLC
|
(1,135,118)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(41,389
)
|
|
|
Alfa Laval AB
|
Citibank NA
|
(1,514,297)
|
11/11/26
|
0.00%
|
TN STIBOR
|
Monthly
|
23,010
|
|
|
Alignment Healthcare, Inc.
|
Goldman Sachs Bank USA
|
(855,660)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
248,563
|
|
|
Alkermes PLC
|
Citibank NA
|
(20,243)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
1,382
|
|
|
Allegion plc
|
Citibank NA
|
(3,779,770)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(471,290
)
|
|
|
Alliant Energy Corp.
|
Barclays Bank PLC
|
(16,655)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
729
|
|
|
Alliant Energy Corp.
|
Citibank NA
|
(4,390,274)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
192,171
|
|
|
Allison Transmission Holdings,
Inc.
|
Goldman Sachs Bank USA
|
(1,329,078)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(2,907
)
|
|
|
Allstate Corp./The
|
Citibank NA
|
(11,793,532)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(549,831
)
|
|
|
Allstate Corp./The
|
Morgan Stanley & Co. International
PLC
|
(1,047,613)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(50,960
)
|
|
|
Ally Financial, Inc.
|
Morgan Stanley & Co. International
PLC
|
(2,513,358)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
75,395
|
|
|
Almonty Industries, Inc.
|
Morgan Stanley & Co. International
PLC
|
(1,737,064)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
398,005
|
|
|
AltaGas Ltd.
|
Citibank NA
|
(302,345)
|
02/22/28
|
0.00%
|
1D CORRA
|
Monthly
|
2,366
|
|
|
AltaGas Ltd.
|
Morgan Stanley & Co. International
PLC
|
(8,363,133)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
68,611
|
|
|
Amentum Holdings, Inc.
|
Citibank NA
|
(3,641)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(133
)
|
|
|
Amentum Holdings, Inc.
|
Morgan Stanley & Co. International
PLC
|
(124,322)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(4,527
)
|
|
|
Amer Sports, Inc.
|
Citibank NA
|
(1,998,509)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(65,687
)
|
|
|
Amer Sports, Inc.
|
Goldman Sachs Bank USA
|
(832,798)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
4,882
|
|
|
Ameren Corp.
|
Citibank NA
|
(3,402,187)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
74,099
|
|
|
American Airlines Group, Inc.
|
Citibank NA
|
(3,223,444)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(158,403
)
|
|
|
American Electric Power Co.,
Inc.
|
Citibank NA
|
(1,168,222)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
45,826
|
|
|
American Electric Power Co.,
Inc.
|
Morgan Stanley & Co. International
PLC
|
(2,368,114)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
92,895
|
|
|
American Express Co.
|
Goldman Sachs Bank USA
|
(25,091)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
1,553
|
|
|
American Healthcare REIT,
Inc.
|
Citibank NA
|
(867,159)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
22,484
|
|
|
American Healthcare REIT,
Inc.
|
Goldman Sachs Bank USA
|
(608,283)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(15,827
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
American Homes 4 Rent
|
Citibank NA
|
$(2,022,288)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
$(14,628
)
|
|
|
American Homes 4 Rent
|
Goldman Sachs Bank USA
|
(935,499)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
2,513
|
|
|
American Homes 4 Rent
|
Morgan Stanley & Co. International
PLC
|
(18,216)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(132
)
|
|
|
American Tower Corp.
|
Citibank NA
|
(2,596,514)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(114,143
)
|
|
|
American Water Works Co.,
Inc.
|
Citibank NA
|
(14,276,315)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(36,270
)
|
|
|
American Water Works Co.,
Inc.
|
Citibank NA
|
(2,301,096)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
885
|
|
|
American Water Works Co.,
Inc.
|
Goldman Sachs Bank USA
|
(3,125,540)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(80,452
)
|
|
|
Amkor Technology, Inc.
|
Goldman Sachs Bank USA
|
(342,495)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(57,362
)
|
|
|
Anglo American PLC
|
Barclays Bank PLC
|
(9,621,294)
|
02/14/28
|
(0.25)%
|
1D SONIA
|
Monthly
|
(618,879
)
|
|
|
Annaly Capital Management,
Inc.
|
Citibank NA
|
(7,404,900)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(99,084
)
|
|
|
Annaly Capital Management,
Inc.
|
Citibank NA
|
(156,716)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(2,097
)
|
|
|
Annaly Capital Management,
Inc.
|
Goldman Sachs Bank USA
|
(9,241)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
176
|
|
|
Antero Midstream Corp.
|
Morgan Stanley & Co. International
PLC
|
(5,681,470)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
218,805
|
|
|
Antero Resources Corp.
|
Goldman Sachs Bank USA
|
(678,417)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(51,720
)
|
|
|
ANZ Group Holdings Ltd.
|
Barclays Bank PLC
|
(11,319,895)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
(443,082
)
|
|
|
Aon PLC
|
Citibank NA
|
(11,939,001)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(245,786
)
|
|
|
Aon PLC
|
Goldman Sachs Bank USA
|
(12,785)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(194
)
|
|
|
API Group Corp.
|
Citibank NA
|
(9,932)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(186
)
|
|
|
Apollo Global Management,
Inc.
|
Citibank NA
|
(5,653,805)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(311,092
)
|
|
|
Apollo Global Management,
Inc.
|
Goldman Sachs Bank USA
|
(1,298,220)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(40,067
)
|
|
|
Apollo Global Management,
Inc.
|
Morgan Stanley & Co. International
PLC
|
(4,975,039)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(273,744
)
|
|
|
Appfolio, Inc.
|
Citibank NA
|
(1,171,156)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(129,816
)
|
|
|
Applied Digital Corp.
|
Citibank NA
|
(2,356,649)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
191,853
|
|
|
Applied Industrial
Technologies, Inc.
|
Citibank NA
|
(3,048,718)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(33,662
)
|
|
|
Applied Optoelectronics, Inc.
|
Citibank NA
|
(58,355)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
8,554
|
|
|
Applied Optoelectronics, Inc.
|
Citibank NA
|
(1,902,239)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
94,313
|
|
|
AppLovin Corp.
|
Morgan Stanley & Co. International
PLC
|
(3,808,723)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
143,084
|
|
|
AptarGroup, Inc.
|
Citibank NA
|
(4,317,766)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(160,115
)
|
|
|
AptarGroup, Inc.
|
Goldman Sachs Bank USA
|
(13,557)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(509
)
|
|
|
Aptiv PLC
|
Citibank NA
|
(2,111,290)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
63,462
|
|
|
ArcelorMittal SA
|
Barclays Bank PLC
|
(1,847,422)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(95,670
)
|
|
|
Arch Capital Group Ltd.
|
Goldman Sachs Bank USA
|
(20,102)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(406
)
|
|
|
Archer Aviation, Inc.
|
Citibank NA
|
(754,591)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
78,664
|
|
|
Argenx SE
|
Barclays Bank PLC
|
(2,671,931)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
52,764
|
|
|
Argenx SE
|
Morgan Stanley & Co. International
PLC
|
(2,467,102)
|
12/09/27
|
(0.26)%
|
1D ESTR
|
Monthly
|
50,924
|
|
|
Aris Mining Corp.
|
Goldman Sachs Bank USA
|
(7,884,041)
|
08/18/26
|
(0.15)%
|
1D CORRA
|
Monthly
|
561,511
|
|
|
Arista Networks, Inc.
|
Citibank NA
|
(2,647,882)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(82,978
)
|
|
|
Arista Networks, Inc.
|
Goldman Sachs Bank USA
|
(1,928,599)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(94,568
)
|
|
|
ARM Holdings PLC
|
Goldman Sachs Bank USA
|
(5,803,019)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
765,455
|
|
|
Armstrong World Industries,
Inc.
|
Citibank NA
|
(2,964,413)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(327,578
)
|
|
|
Arrow Electronics, Inc.
|
Goldman Sachs Bank USA
|
(2,359,845)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(119,882
)
|
|
|
Arrowhead Pharmaceuticals,
Inc.
|
Goldman Sachs Bank USA
|
(216,106)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(38,605
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
Artemis Gold, Inc.
|
Citibank NA
|
$(849)
|
02/22/28
|
0.00%
|
1D CORRA
|
Monthly
|
$33
|
|
|
Artemis Gold, Inc.
|
Morgan Stanley & Co. International
PLC
|
(3,446,121)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
133,906
|
|
|
Arthur J Gallagher & Co.
|
Citibank NA
|
(18,700,972)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(525,070
)
|
|
|
Arthur J Gallagher & Co.
|
Morgan Stanley & Co. International
PLC
|
(2,856,650)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(81,518
)
|
|
|
Asics Corp.
|
Barclays Bank PLC
|
(17,398,241)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
226,514
|
|
|
Asics Corp.
|
Citibank NA
|
(1,383,136)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
18,008
|
|
|
Asics Corp.
|
Goldman Sachs Bank USA
|
(3,190,282)
|
08/19/26
|
0.09%
|
1D P TONA
|
Monthly
|
109,160
|
|
|
Assurant, Inc.
|
Citibank NA
|
(3,533,468)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(78,133
)
|
|
|
Assurant, Inc.
|
Goldman Sachs Bank USA
|
(5,752)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(111
)
|
|
|
AST SpaceMobile, Inc.
|
Citibank NA
|
(1,016,228)
|
02/22/28
|
(0.25)%
|
1D OBFR01
|
Monthly
|
48,720
|
|
|
AstraZeneca PLC
|
Barclays Bank PLC
|
(195,224)
|
02/14/28
|
(0.25)%
|
1D SONIA
|
Monthly
|
1,468
|
|
|
Athabasca Oil Corp.
|
Morgan Stanley & Co. International
PLC
|
(1,608,245)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
81,076
|
|
|
AtkinsRealis Group, Inc.
|
Citibank NA
|
(1,896)
|
02/22/28
|
0.00%
|
1D CORRA
|
Monthly
|
36
|
|
|
AtkinsRealis Group, Inc.
|
Morgan Stanley & Co. International
PLC
|
(3,736,565)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
68,572
|
|
|
Atlassian Corp.
|
Citibank NA
|
(998,838)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(182,633
)
|
|
|
Atlassian Corp.
|
Goldman Sachs Bank USA
|
(892,555)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(89,917
)
|
|
|
Atmos Energy Corp.
|
Morgan Stanley & Co. International
PLC
|
(9,816)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
313
|
|
|
Auckland International Airport
Ltd.
|
Citibank NA
|
(2,798,093)
|
02/24/27
|
(0.50)%
|
1M BBR
|
Monthly
|
(40,504
)
|
|
|
AutoNation, Inc.
|
Citibank NA
|
(3,488,720)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(108,911
)
|
|
|
AutoZone, Inc.
|
Citibank NA
|
(16,778,218)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(248,514
)
|
|
|
AutoZone, Inc.
|
Goldman Sachs Bank USA
|
(2,971)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(46
)
|
|
|
Avantor, Inc.
|
Barclays Bank PLC
|
(2,303,957)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(595,452
)
|
|
|
Avery Dennison Corp.
|
Citibank NA
|
(3,687,031)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(281,765
)
|
|
|
Avery Dennison Corp.
|
Goldman Sachs Bank USA
|
(9,251)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(763
)
|
|
|
Avis Budget Group, Inc.
|
Barclays Bank PLC
|
(28,434)
|
01/11/27
|
(0.38)%
|
1D OBFR01
|
Monthly
|
4,657
|
|
|
Avis Budget Group, Inc.
|
Citibank NA
|
(1,507,839)
|
02/22/28
|
(0.62)%
|
1D OBFR01
|
Monthly
|
246,964
|
|
|
Avis Budget Group, Inc.
|
Merrill Lynch International
|
(52,618)
|
02/15/28
|
(0.77)%
|
1D OBFR01
|
Monthly
|
7,675
|
|
|
Avis Budget Group, Inc.
|
Morgan Stanley & Co. International
PLC
|
(762,959)
|
12/09/27
|
(0.33)%
|
1D FEDL01
|
Monthly
|
124,963
|
|
|
Axon Enterprise, Inc.
|
Barclays Bank PLC
|
(7,315,337)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(539,843
)
|
|
|
Axon Enterprise, Inc.
|
Barclays Bank PLC
|
(34,896)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(2,575
)
|
|
|
AXT, Inc.
|
Goldman Sachs Bank USA
|
(1,028,616)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(318,852
)
|
|
|
Baker Hughes Co.
|
Morgan Stanley & Co. International
PLC
|
(2,424,178)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(166,609
)
|
|
|
Banco Comercial Portugues
SA
|
Barclays Bank PLC
|
(17,183,190)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(93,015
)
|
|
|
Banco Comercial Portugues
SA
|
Citibank NA
|
(291,358)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
(1,499
)
|
|
|
Banco de Sabadell SA
|
Barclays Bank PLC
|
(682,004)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(4,814
)
|
|
|
Banco de Sabadell SA
|
Citibank NA
|
(3,893,912)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
(27,485
)
|
|
|
Bandai Namco Holdings, Inc.
|
Barclays Bank PLC
|
(2,264,919)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(284,372
)
|
|
|
Bandai Namco Holdings, Inc.
|
Citibank NA
|
(3,580,117)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(449,501
)
|
|
|
Bandai Namco Holdings, Inc.
|
Goldman Sachs Bank USA
|
(2,309,631)
|
08/19/26
|
0.14%
|
1D P TONA
|
Monthly
|
(219,382
)
|
|
|
Bank of America Corp.
|
Barclays Bank PLC
|
(5,349,910)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(28,651
)
|
|
|
Bank of Ireland Group PLC
|
Barclays Bank PLC
|
(2,337,120)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
14,553
|
|
|
Bank of Ireland Group PLC
|
Citibank NA
|
(230,375)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
1,434
|
|
|
Bank of Montreal
|
Goldman Sachs Bank USA
|
(7,398,751)
|
08/18/26
|
(0.15)%
|
1D CORRA
|
Monthly
|
174,762
|
|
|
Bank of Montreal
|
Morgan Stanley & Co. International
PLC
|
(14,867,658)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
46,561
|
|
|
Bank of New York Mellon
Corp./The
|
Citibank NA
|
(96,234)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
2,436
|
|
|
Bath & Body Works, Inc.
|
Barclays Bank PLC
|
(658,048)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(1,968
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
BAWAG Group AG
|
Barclays Bank PLC
|
$(157,599)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
$(1,595
)
|
|
|
BAWAG Group AG
|
Citibank NA
|
(10,773,164)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
(109,047
)
|
|
|
BAWAG Group AG
|
Goldman Sachs Bank USA
|
(2,473,563)
|
08/19/26
|
(0.22)%
|
1D ESTR
|
Monthly
|
(20,011
)
|
|
|
Baxter International, Inc.
|
Citibank NA
|
(1,387,686)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(282,133
)
|
|
|
Bayer AG
|
Barclays Bank PLC
|
(9,739,726)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(220,925
)
|
|
|
Bayer AG
|
Morgan Stanley & Co. International
PLC
|
(637,504)
|
12/09/27
|
(0.26)%
|
1D ESTR
|
Monthly
|
(15,681
)
|
|
|
Bayerische Motoren Werke
AG
|
Barclays Bank PLC
|
(13,573,196)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(419,057
)
|
|
|
Bayerische Motoren Werke
AG
|
Citibank NA
|
(5,114,591)
|
11/11/26
|
(0.11)%
|
1D ESTR
|
Monthly
|
(157,907
)
|
|
|
Bayerische Motoren Werke
AG
|
Goldman Sachs Bank USA
|
(3,659,121)
|
08/19/26
|
(0.26)%
|
1D ESTR
|
Monthly
|
(74,920
)
|
|
|
BCE, Inc.
|
Goldman Sachs Bank USA
|
(2,658,064)
|
08/18/26
|
(0.15)%
|
1D CORRA
|
Monthly
|
(6,133
)
|
|
|
Beijer Ref AB
|
Citibank NA
|
(103,978)
|
11/11/26
|
0.00%
|
TN STIBOR
|
Monthly
|
4,952
|
|
|
Berkshire Hathaway, Inc.
|
Citibank NA
|
(1,342,376)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(34,689
)
|
|
|
BHP Group Ltd.
|
Barclays Bank PLC
|
(2,768,622)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
(6,612
)
|
|
|
BILL Holdings, Inc.
|
Barclays Bank PLC
|
(671,790)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(51,960
)
|
|
|
Biogen, Inc.
|
Goldman Sachs Bank USA
|
(8,087)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(234
)
|
|
|
Bio-Rad Laboratories, Inc.
|
Citibank NA
|
(15,910)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(1,015
)
|
|
|
BJ's Wholesale Club Holdings,
Inc.
|
Goldman Sachs Bank USA
|
(5,317,372)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(418,696
)
|
|
|
BJ's Wholesale Club Holdings,
Inc.
|
Goldman Sachs Bank USA
|
(6,317)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(528
)
|
|
|
Block, Inc.
|
Barclays Bank PLC
|
(2,002,186)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(97,705
)
|
|
|
Bloom Energy Corp.
|
Citibank NA
|
(354,134)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(88,975
)
|
|
|
BOC Hong Kong Holdings Ltd.
|
Barclays Bank PLC
|
(3,138,195)
|
12/11/28
|
(0.30)%
|
HONIA
|
Monthly
|
(313,187
)
|
|
|
BOC Hong Kong Holdings Ltd.
|
Citibank NA
|
(740,252)
|
02/24/27
|
0.00%
|
HONIA
|
Monthly
|
(71,056
)
|
|
|
Boeing Co./The
|
Citibank NA
|
(6,904,530)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(244,300
)
|
|
|
Boeing Co./The
|
Citibank NA
|
(1,463,888)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(52,550
)
|
|
|
Bollore SE
|
Goldman Sachs Bank USA
|
(1,993,932)
|
08/19/26
|
(0.18)%
|
1D ESTR
|
Monthly
|
88,193
|
|
|
Bombardier, Inc.
|
Morgan Stanley & Co. International
PLC
|
(7,506,002)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
318,983
|
|
|
Boston Scientific Corp.
|
Goldman Sachs Bank USA
|
(16,183)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(1,387
)
|
|
|
Bouygues SA
|
Barclays Bank PLC
|
(5,074,288)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(57,634
)
|
|
|
Boyd Gaming Corp.
|
Citibank NA
|
(658,096)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
12,150
|
|
|
Boyd Gaming Corp.
|
Goldman Sachs Bank USA
|
(405,598)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
11,940
|
|
|
Bridgebio Pharma, Inc.
|
Barclays Bank PLC
|
(1,026,968)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
31,930
|
|
|
Bright Horizons Family
Solutions, Inc.
|
Goldman Sachs Bank USA
|
(261,407)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(1,943
)
|
|
|
BrightSpring Health Services,
Inc.
|
Citibank NA
|
(8,869,517)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
1,289,034
|
|
|
Brinker International, Inc.
|
Citibank NA
|
(2,371,759)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(337,529
)
|
|
|
British Land Co. PLC/The
|
Barclays Bank PLC
|
(1,134,391)
|
02/14/28
|
(0.25)%
|
1D SONIA
|
Monthly
|
(15,222
)
|
|
|
Brixmor Property Group, Inc.
|
Citibank NA
|
(2,022,181)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
55,548
|
|
|
Brookfield Asset Management
Ltd.
|
Morgan Stanley & Co. International
PLC
|
(16,458,298)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
(622,315
)
|
|
|
Brown & Brown, Inc.
|
Citibank NA
|
(17,858,336)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(1,368,256
)
|
|
|
Brown & Brown, Inc.
|
Citibank NA
|
(258,146)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
7,381
|
|
|
Brown & Brown, Inc.
|
Morgan Stanley & Co. International
PLC
|
(2,658,038)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(203,651
)
|
|
|
BRP, Inc.
|
Morgan Stanley & Co. International
PLC
|
(380,103)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
(7,381
)
|
|
|
Bruker Corp.
|
Citibank NA
|
(351,749)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(18,253
)
|
|
|
Builders FirstSource, Inc.
|
Citibank NA
|
(2,151,995)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
121,920
|
|
|
Bunge Global SA
|
Morgan Stanley & Co. International
PLC
|
(1,364,272)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
158,562
|
|
|
Bunzl PLC
|
Barclays Bank PLC
|
(5,317,776)
|
02/14/28
|
(0.25)%
|
1D SONIA
|
Monthly
|
(124,407
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
Bunzl PLC
|
Citibank NA
|
$(5,397,683)
|
11/11/26
|
0.00%
|
1D SONIA
|
Monthly
|
$(126,277
)
|
|
|
Buzzi SpA
|
Morgan Stanley & Co. International
PLC
|
(635,272)
|
12/09/27
|
(0.26)%
|
1D ESTR
|
Monthly
|
16,905
|
|
|
BXP, Inc.
|
Citibank NA
|
(2,402,829)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(96,598
)
|
|
|
CACI International, Inc.
|
Citibank NA
|
(1,321,425)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(85,715
)
|
|
|
CACI International, Inc.
|
Morgan Stanley & Co. International
PLC
|
(1,185,870)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(76,922
)
|
|
|
Cadence Design Systems, Inc.
|
Citibank NA
|
(18,313,150)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(167,957
)
|
|
|
CAE, Inc.
|
Goldman Sachs Bank USA
|
(1,131)
|
08/18/26
|
(0.15)%
|
1D CORRA
|
Monthly
|
(55
)
|
|
|
CAE, Inc.
|
Morgan Stanley & Co. International
PLC
|
(10,471,233)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
(613,070
)
|
|
|
Camden Property Trust
|
Morgan Stanley & Co. International
PLC
|
(21,170)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
227
|
|
|
Cameco Corp.
|
Goldman Sachs Bank USA
|
(3,795,861)
|
08/18/26
|
(0.15)%
|
1D CORRA
|
Monthly
|
135,263
|
|
|
Cameco Corp.
|
Morgan Stanley & Co. International
PLC
|
(10,775,102)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
535,750
|
|
|
Capcom Co. Ltd.
|
Barclays Bank PLC
|
(4,778,111)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(886,530
)
|
|
|
Capital One Financial Corp.
|
Goldman Sachs Bank USA
|
(33,631)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(19
)
|
|
|
CapitaLand Ascendas REIT
|
Goldman Sachs Bank USA
|
(118,437)
|
08/19/26
|
(0.30)%
|
SORA
|
Monthly
|
(3,744
)
|
|
|
Capricorn Metals Ltd.
|
Barclays Bank PLC
|
(591,634)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
2,441
|
|
|
CAR Group Ltd.
|
Barclays Bank PLC
|
(1,870,357)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
(41,164
)
|
|
|
CAR Group Ltd.
|
Citibank NA
|
(213,120)
|
02/24/27
|
0.00%
|
1D AONIA
|
Monthly
|
(4,691
)
|
|
|
Carlsberg A/S
|
Citibank NA
|
(1,185,877)
|
11/11/26
|
0.00%
|
DESTR
|
Monthly
|
(26,324
)
|
|
|
Carlyle Group, Inc./The
|
Citibank NA
|
(2,836,195)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(124,823
)
|
|
|
CarMax, Inc.
|
Morgan Stanley & Co. International
PLC
|
(4,676,890)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
15,468
|
|
|
Carrier Global Corp.
|
Citibank NA
|
(13,201,464)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
979,402
|
|
|
Carvana Co.
|
Barclays Bank PLC
|
(4,367,588)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
27,145
|
|
|
Carvana Co.
|
Goldman Sachs Bank USA
|
(230,469)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(6,312
)
|
|
|
Casella Waste Systems, Inc.
|
Barclays Bank PLC
|
(80,483)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
641
|
|
|
Casella Waste Systems, Inc.
|
Goldman Sachs Bank USA
|
(55,571)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
3,808
|
|
|
Caterpillar, Inc.
|
Citibank NA
|
(32,015)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
2,682
|
|
|
CBRE Group, Inc.
|
Barclays Bank PLC
|
(2,743,719)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(194,536
)
|
|
|
Celanese Corp.
|
Citibank NA
|
(4,290,548)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
322,944
|
|
|
Cellebrite DI Ltd.
|
Citibank NA
|
(50,169)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(2,017
)
|
|
|
Celsius Holdings, Inc.
|
Citibank NA
|
(394,139)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(10,245
)
|
|
|
Cencora, Inc.
|
Citibank NA
|
(135,261)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(4,842
)
|
|
|
Cencora, Inc.
|
Morgan Stanley & Co. International
PLC
|
(3,437,414)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(77,303
)
|
|
|
Cenovus Energy, Inc.
|
Goldman Sachs Bank USA
|
(2,850,069)
|
08/18/26
|
(0.15)%
|
1D CORRA
|
Monthly
|
(262,536
)
|
|
|
Cenovus Energy, Inc.
|
Morgan Stanley & Co. International
PLC
|
(6,242,368)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
(215,412
)
|
|
|
Centene Corp.
|
Citibank NA
|
(1,217,515)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
67,814
|
|
|
CenterPoint Energy, Inc.
|
Citibank NA
|
(2,202,061)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
87,238
|
|
|
Central Japan Railway Co.
|
Barclays Bank PLC
|
(21,374,793)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(919,535
)
|
|
|
Central Japan Railway Co.
|
Citibank NA
|
(648,950)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(27,918
)
|
|
|
Centrus Energy Corp.
|
Merrill Lynch International
|
(282,868)
|
02/15/28
|
(0.66)%
|
1D OBFR01
|
Monthly
|
(36,845
)
|
|
|
Centrus Energy Corp.
|
Morgan Stanley & Co. International
PLC
|
(2,205,165)
|
12/09/27
|
(0.48)%
|
1D FEDL01
|
Monthly
|
(33,530
)
|
|
|
CF Industries Holdings, Inc.
|
Citibank NA
|
(3,663,477)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
62,137
|
|
|
Charles River Laboratories
International, Inc.
|
Citibank NA
|
(1,236,530)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(78,082
)
|
|
|
Charles Schwab Corp/The
|
Goldman Sachs Bank USA
|
(313,407)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(7,470
)
|
|
|
Charter Communications, Inc.
|
Citibank NA
|
(4,521,859)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(546,352
)
|
|
|
Cheniere Energy, Inc.
|
Goldman Sachs Bank USA
|
(2,665,237)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(80,635
)
|
|
|
Chewy, Inc.
|
Citibank NA
|
(1,918,602)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(100,708
)
|
|
|
Chewy, Inc.
|
Morgan Stanley & Co. International
PLC
|
(951,550)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(47,754
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
Chocoladefabriken Lindt &
Spruengli AG
|
Citibank NA
|
$(355,495)
|
11/11/26
|
0.00%
|
SSARON
|
Monthly
|
$2,243
|
|
|
Chubb Ltd.
|
Citibank NA
|
(46,679)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(1,013
)
|
|
|
Chubb Ltd.
|
Citibank NA
|
(3,531,051)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(28,351
)
|
|
|
Chubb Ltd.
|
Morgan Stanley & Co. International
PLC
|
(7,391,115)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(160,428
)
|
|
|
Chubu Electric Power Co., Inc.
|
Barclays Bank PLC
|
(21,223,360)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
1,517,086
|
|
|
Chubu Electric Power Co., Inc.
|
Citibank NA
|
(126,807)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
9,064
|
|
|
Churchill Downs, Inc.
|
Citibank NA
|
(229,417)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(6,033
)
|
|
|
Cie Financiere Richemont SA
|
Citibank NA
|
(5,591,904)
|
11/11/26
|
0.00%
|
SSARON
|
Monthly
|
123,901
|
|
|
Cincinnati Financial Corp.
|
Barclays Bank PLC
|
(17,385)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
150
|
|
|
Cincinnati Financial Corp.
|
Citibank NA
|
(5,729,804)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
49,552
|
|
|
Cintas Corp.
|
Goldman Sachs Bank USA
|
(4,160,622)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(166,484
)
|
|
|
Circle Internet Group, Inc.
|
Citibank NA
|
(2,743,258)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
147,197
|
|
|
Cirrus Logic, Inc.
|
Citibank NA
|
(27,759)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
2,018
|
|
|
Citigroup, Inc.
|
Merrill Lynch International
|
(2,469,557)
|
02/15/28
|
0.10%
|
1D OBFR01
|
Monthly
|
22,145
|
|
|
Citigroup, Inc.
|
Morgan Stanley & Co. International
PLC
|
(818,363)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(1,238
)
|
|
|
Clean Harbors, Inc.
|
Citibank NA
|
(29,096)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(628
)
|
|
|
Clear Secure, Inc.
|
Citibank NA
|
(1,622,189)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(91,190
)
|
|
|
Clear Secure, Inc.
|
Goldman Sachs Bank USA
|
(109)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(1
)
|
|
|
Cleveland-Cliffs, Inc.
|
Citibank NA
|
(1,598,027)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(277,855
)
|
|
|
Cleveland-Cliffs, Inc.
|
Goldman Sachs Bank USA
|
(1,043,223)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(176,871
)
|
|
|
Clorox Co./The
|
Morgan Stanley & Co. International
PLC
|
(1,934,639)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
4,647
|
|
|
Cloudflare, Inc.
|
Goldman Sachs Bank USA
|
(4,844,198)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(125,551
)
|
|
|
CLP Holdings Ltd.
|
Citibank NA
|
(365,641)
|
02/24/27
|
0.00%
|
HONIA
|
Monthly
|
(2,226
)
|
|
|
CLP Holdings Ltd.
|
Goldman Sachs Bank USA
|
(9,806)
|
08/19/26
|
(0.30)%
|
HONIA
|
Monthly
|
(137
)
|
|
|
CMS Energy Corp.
|
Citibank NA
|
(1,742,451)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
46,870
|
|
|
CNH Industrial NV
|
Barclays Bank PLC
|
(38,477)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
1,618
|
|
|
CNX Resources Corp.
|
Citibank NA
|
(2,881,424)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(97,351
)
|
|
|
CNX Resources Corp.
|
Goldman Sachs Bank USA
|
(475,242)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(36,447
)
|
|
|
Co.mmercial Metals Co.
|
Citibank NA
|
(448,037)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(4,278
)
|
|
|
Co.mmercial Metals Co.
|
Goldman Sachs Bank USA
|
(6,404)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(124
)
|
|
|
Coca-Cola Co./The
|
Morgan Stanley & Co. International
PLC
|
(1,732,941)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(67,559
)
|
|
|
Coca-Cola Consolidated, Inc.
|
Goldman Sachs Bank USA
|
(301,094)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(18,524
)
|
|
|
Coca-Cola Europacific
Partners PLC
|
Morgan Stanley & Co. International
PLC
|
(22,651,782)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(772,220
)
|
|
|
Coeur Mining, Inc.
|
Citibank NA
|
(8,940,799)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
502,902
|
|
|
Coinbase Global, Inc.
|
Goldman Sachs Bank USA
|
(11,442,084)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
1,424,298
|
|
|
Colliers International Group,
Inc.
|
Morgan Stanley & Co. International
PLC
|
(180,778)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
52
|
|
|
Coloplast A/S
|
Barclays Bank PLC
|
(4,133,583)
|
02/14/28
|
(0.26)%
|
DESTR
|
Monthly
|
(181,976
)
|
|
|
Coloplast A/S
|
Citibank NA
|
(2,891,812)
|
11/11/26
|
0.00%
|
DESTR
|
Monthly
|
(118,347
)
|
|
|
Comfort Systems USA, Inc.
|
Citibank NA
|
(3,342,118)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
114,516
|
|
|
Commerce Bancshares,
Inc./MO
|
Citibank NA
|
(5,289,222)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(51,360
)
|
|
|
Commerce Bancshares,
Inc./MO
|
Goldman Sachs Bank USA
|
(543,970)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(10,382
)
|
|
|
Commonwealth Bank of
Australia
|
Barclays Bank PLC
|
(7,430,037)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
(258,009
)
|
|
|
Commvault Systems, Inc.
|
Morgan Stanley & Co. International
PLC
|
(1,046,710)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
78,982
|
|
|
Compass Group PLC
|
Citibank NA
|
(8,473,026)
|
04/01/27
|
0.00%
|
1D OBFR01
|
Monthly
|
(199,561
)
|
|
|
Compass, Inc.
|
Citibank NA
|
(1,368,766)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(15,803
)
|
|
|
Compass, Inc.
|
Citibank NA
|
(1,697,681)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(19,600
)
|
|
|
Compass, Inc.
|
Goldman Sachs Bank USA
|
(200,300)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
19,951
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
ConocoPhillips
|
Goldman Sachs Bank USA
|
$(372,556)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
$(4,546
)
|
|
|
Consolidated Edison, Inc.
|
Citibank NA
|
(9,072,004)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
262,229
|
|
|
Consolidated Edison, Inc.
|
Goldman Sachs Bank USA
|
(5,070,399)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
67,109
|
|
|
Consolidated Edison, Inc.
|
Morgan Stanley & Co. International
PLC
|
(131,145)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
3,791
|
|
|
Constellation Brands, Inc.
|
Goldman Sachs Bank USA
|
(32,252)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
345
|
|
|
Constellation Energy Corp.
|
Citibank NA
|
(23,956,778)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
1,053,386
|
|
|
Constellation Energy Corp.
|
Citibank NA
|
(3,438,174)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
151,960
|
|
|
Constellation Software,
Inc./Canada
|
Citibank NA
|
(1,857)
|
02/22/28
|
0.00%
|
1D CORRA
|
Monthly
|
(285
)
|
|
|
Constellation Software,
Inc./Canada
|
Morgan Stanley & Co. International
PLC
|
(18,431,471)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
(2,833,773
)
|
|
|
Construction Partners, Inc.
|
Goldman Sachs Bank USA
|
(1,715,759)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
6,660
|
|
|
Construction Partners, Inc.
|
Goldman Sachs Bank USA
|
(450,088)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(1
)
|
|
|
Contact Energy Ltd.
|
Citibank NA
|
(2,287,553)
|
02/24/27
|
(0.50)%
|
1M BBR
|
Monthly
|
5,426
|
|
|
Contact Energy Ltd.
|
Morgan Stanley & Co. International
PLC
|
(421,313)
|
12/09/27
|
(0.40)%
|
1D NZOCO
|
Monthly
|
999
|
|
|
Cooper Cos., Inc./The
|
Barclays Bank PLC
|
(676,448)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(17,463
)
|
|
|
Cooper Cos., Inc./The
|
Citibank NA
|
(4,813,670)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(124,268
)
|
|
|
Copart, Inc.
|
Morgan Stanley & Co. International
PLC
|
(18,747)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(1,346
)
|
|
|
Corcept Therapeutics, Inc.
|
Citibank NA
|
(976,687)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(253,737
)
|
|
|
Core & Main, Inc.
|
Citibank NA
|
(21,919)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(110
)
|
|
|
Corebridge Financial, Inc.
|
Goldman Sachs Bank USA
|
(77,603)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
1,656
|
|
|
CoreWeave, Inc.
|
Citibank NA
|
(2,127,732)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
279,870
|
|
|
Corning, Inc.
|
Barclays Bank PLC
|
(11,016,868)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
1,056,647
|
|
|
Corpay, Inc.
|
Morgan Stanley & Co. International
PLC
|
(3,408,705)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(219,429
)
|
|
|
Corteva, Inc.
|
Citibank NA
|
(20,420,691)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
2,268,906
|
|
|
CoStar Group, Inc.
|
Goldman Sachs Bank USA
|
(1,262,716)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
15,654
|
|
|
CoStar Group, Inc.
|
Goldman Sachs Bank USA
|
(247,137)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
8,343
|
|
|
Crane Co.
|
Morgan Stanley & Co. International
PLC
|
(1,518,494)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
21,072
|
|
|
Credit Acceptance Corp.
|
Citibank NA
|
(1,507,836)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
71,907
|
|
|
Credo Technology Group
Holding Ltd.
|
Goldman Sachs Bank USA
|
(11,883,217)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
1,035,078
|
|
|
Crescent Energy Co.
|
Goldman Sachs Bank USA
|
(1,319,822)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(168,709
)
|
|
|
Crocs, Inc.
|
Morgan Stanley & Co. International
PLC
|
(388,442)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
23,358
|
|
|
Crowdstrike Holdings, Inc.
|
Morgan Stanley & Co. International
PLC
|
(8,404,097)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(108,831
)
|
|
|
Crown Castle, Inc.
|
Barclays Bank PLC
|
(1,398,953)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
21,661
|
|
|
Crown Castle, Inc.
|
Citibank NA
|
(3,907,938)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
60,510
|
|
|
Crown Holdings, Inc.
|
Citibank NA
|
(9,198)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(112
)
|
|
|
CSX Corp.
|
Morgan Stanley & Co. International
PLC
|
(3,266,280)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(2,614
)
|
|
|
CTS Eventim AG & Co. KGaA
|
Goldman Sachs Bank USA
|
(2,753,760)
|
08/19/26
|
(0.26)%
|
1D ESTR
|
Monthly
|
(66,182
)
|
|
|
CubeSmart
|
Morgan Stanley & Co. International
PLC
|
(1,707,919)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(14,122
)
|
|
|
Cummins, Inc.
|
Citibank NA
|
(7,657,432)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
307,688
|
|
|
CVC Capital Partners PLC
|
Citibank NA
|
(261,021)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
(4,750
)
|
|
|
Cytokinetics, Inc.
|
Citibank NA
|
(1,308,547)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
80,560
|
|
|
Daikin Industries Ltd.
|
Barclays Bank PLC
|
(3,184,161)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
156,697
|
|
|
Daito Trust Construction Co.
Ltd.
|
Barclays Bank PLC
|
(4,490,358)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(201,955
)
|
|
|
Daito Trust Construction Co.
Ltd.
|
Citibank NA
|
(295,845)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(13,306
)
|
|
|
Darling Ingredients, Inc.
|
Citibank NA
|
(604,462)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
38,630
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
Darling Ingredients, Inc.
|
Morgan Stanley & Co. International
PLC
|
$(1,873,799)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
$81,281
|
|
|
Dassault Aviation SA
|
Barclays Bank PLC
|
(1,747,464)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(40,584
)
|
|
|
Dassault Aviation SA
|
Citibank NA
|
(20,871,938)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
(838,539
)
|
|
|
DaVita, Inc.
|
Barclays Bank PLC
|
(2,058,550)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(71,049
)
|
|
|
DBS Group Holdings Ltd.
|
Morgan Stanley & Co. International
PLC
|
(2,389,377)
|
12/09/27
|
(0.30)%
|
SORA
|
Monthly
|
(10,806
)
|
|
|
Deckers Outdoor Corp.
|
Citibank NA
|
(1,442,368)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
78,685
|
|
|
Deere & Co.
|
Barclays Bank PLC
|
(1,175,184)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
28,367
|
|
|
Dell Technologies, Inc.
|
Citibank NA
|
(1,341,117)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
88,524
|
|
|
Descartes Systems Group,
Inc./The
|
Goldman Sachs Bank USA
|
(1,999,046)
|
08/18/26
|
(0.15)%
|
1D CORRA
|
Monthly
|
(113,613
)
|
|
|
Descartes Systems Group,
Inc./The
|
Morgan Stanley & Co. International
PLC
|
(3,665,276)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
(353,891
)
|
|
|
Devon Energy Corp.
|
Goldman Sachs Bank USA
|
(1,671,234)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(26,195
)
|
|
|
Dexerials Corp.
|
Barclays Bank PLC
|
(2,058,266)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
267,781
|
|
|
Diageo PLC
|
Citibank NA
|
(20,891,240)
|
11/11/26
|
0.00%
|
1D SONIA
|
Monthly
|
(729,538
)
|
|
|
Dick's Sporting Goods, Inc.
|
Citibank NA
|
(9,677,117)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
654,874
|
|
|
Dick's Sporting Goods, Inc.
|
Goldman Sachs Bank USA
|
(209)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
13
|
|
|
Digital Realty Trust, Inc.
|
Morgan Stanley & Co. International
PLC
|
(1,185,966)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(41,488
)
|
|
|
DigitalOcean Holdings, Inc.
|
Morgan Stanley & Co. International
PLC
|
(282,792)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
49,907
|
|
|
Discovery Mining Ltd.
|
Goldman Sachs Bank USA
|
(125,971)
|
08/18/26
|
(0.20)%
|
1D CORRA
|
Monthly
|
(13,201
)
|
|
|
Discovery Mining Ltd.
|
Morgan Stanley & Co. International
PLC
|
(2,258,854)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
84,490
|
|
|
Docusign, Inc.
|
Citibank NA
|
(1,280,770)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(185,603
)
|
|
|
Docusign, Inc.
|
Morgan Stanley & Co. International
PLC
|
(7,327)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(1,062
)
|
|
|
Dollar General Corp.
|
Morgan Stanley & Co. International
PLC
|
(1,130,256)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(64,014
)
|
|
|
Dollar Tree, Inc.
|
Barclays Bank PLC
|
(686,483)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(28,437
)
|
|
|
Dollarama, Inc.
|
Morgan Stanley & Co. International
PLC
|
(23,175,146)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
(781,075
)
|
|
|
DoorDash, Inc.
|
Citibank NA
|
(5,863,135)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(607,987
)
|
|
|
Dropbox, Inc.
|
Barclays Bank PLC
|
(1,244,314)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(167,846
)
|
|
|
DSV A/S
|
Barclays Bank PLC
|
(7,434,738)
|
02/14/28
|
(0.26)%
|
DESTR
|
Monthly
|
156,867
|
|
|
DSV A/S
|
Citibank NA
|
(1,069,928)
|
11/11/26
|
0.00%
|
DESTR
|
Monthly
|
24,335
|
|
|
DT Midstream, Inc.
|
Morgan Stanley & Co. International
PLC
|
(7,684,368)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
291,432
|
|
|
DTE Energy Co.
|
Citibank NA
|
(1,862,221)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
79,483
|
|
|
Duke Energy Corp.
|
Citibank NA
|
(5,149,929)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
103,755
|
|
|
Duolingo, Inc.
|
Goldman Sachs Bank USA
|
(361,642)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(9,894
)
|
|
|
Dycom Industries, Inc.
|
Goldman Sachs Bank USA
|
(36,874)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
2,382
|
|
|
Dynex Capital, Inc.
|
Goldman Sachs Bank USA
|
(4,735,220)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
216,853
|
|
|
East Japan Railway Co.
|
Barclays Bank PLC
|
(3,113,415)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
9,563
|
|
|
East Japan Railway Co.
|
Citibank NA
|
(5,094,558)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(61,656
)
|
|
|
Eaton Corp PLC
|
Morgan Stanley & Co. International
PLC
|
(3,230,458)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(65,814
)
|
|
|
Ebara Corp.
|
Barclays Bank PLC
|
(3,227,035)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
110,646
|
|
|
Ebara Corp.
|
Citibank NA
|
(7,031)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
241
|
|
|
Ebara Corp.
|
Goldman Sachs Bank USA
|
(184,036)
|
08/19/26
|
0.10%
|
1D P TONA
|
Monthly
|
24,482
|
|
|
EchoStar Corp.
|
Citibank NA
|
(33,036)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
2,932
|
|
|
EchoStar Corp.
|
Goldman Sachs Bank USA
|
(2,648,459)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
320,512
|
|
|
Ecolab, Inc.
|
Citibank NA
|
(8,193,402)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(333,448
)
|
|
|
Edison International
|
Citibank NA
|
(4,561,887)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
397,846
|
|
|
Edwards Lifesciences Corp.
|
Morgan Stanley & Co. International
PLC
|
(9,619,920)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(194,986
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
Elanco Animal Health, Inc.
|
Morgan Stanley & Co. International
PLC
|
$(1,138,501)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
$(46,277
)
|
|
|
Elastic NV
|
Morgan Stanley & Co. International
PLC
|
(1,229,111)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(148,926
)
|
|
|
Eldorado Gold Corp.
|
Goldman Sachs Bank USA
|
(1,724,133)
|
08/18/26
|
(0.15)%
|
1D CORRA
|
Monthly
|
(14,566
)
|
|
|
Eldorado Gold Corp.
|
Morgan Stanley & Co. International
PLC
|
(2,741,235)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
172,996
|
|
|
Electric Power Development
Co Ltd.
|
Barclays Bank PLC
|
(133,889)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
1,413
|
|
|
Electric Power Development
Co Ltd.
|
Citibank NA
|
(796,161)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
8,405
|
|
|
elf Beauty, Inc.
|
Morgan Stanley & Co. International
PLC
|
(3,336,726)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(162,973
)
|
|
|
Eli Lilly & Co.
|
Citibank NA
|
(2,849,604)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
41,839
|
|
|
Elia Group SA/NV
|
Citibank NA
|
(2,164,571)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
240,687
|
|
|
Elia Group SA/NV
|
Morgan Stanley & Co. International
PLC
|
(1,400,595)
|
12/09/27
|
(0.26)%
|
1D ESTR
|
Monthly
|
155,738
|
|
|
EMCOR Group, Inc.
|
Goldman Sachs Bank USA
|
(1,203,842)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(43,338
)
|
|
|
EnerSys
|
Goldman Sachs Bank USA
|
(11,327)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
908
|
|
|
Enphase Energy, Inc.
|
Citibank NA
|
(1,901,423)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
98,002
|
|
|
Enphase Energy, Inc.
|
Citibank NA
|
(855,878)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
44,113
|
|
|
Enpro, Inc.
|
Morgan Stanley & Co. International
PLC
|
(2,207,634)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
135,762
|
|
|
Entegris, Inc.
|
Goldman Sachs Bank USA
|
(23,439)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
3,319
|
|
|
Entergy Corp.
|
Citibank NA
|
(12,281,361)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
776,138
|
|
|
Entergy Corp.
|
Citibank NA
|
(1,354,665)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
85,610
|
|
|
Epiroc AB
|
Barclays Bank PLC
|
(2,082,251)
|
02/14/28
|
(0.26)%
|
1D STIBOR
|
Monthly
|
(6,135
)
|
|
|
Epiroc AB
|
Barclays Bank PLC
|
(2,144,208)
|
02/14/28
|
(0.26)%
|
1D STIBOR
|
Monthly
|
(3,908
)
|
|
|
EQT Corp.
|
Citibank NA
|
(12,336,370)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
164,454
|
|
|
EQT Corp.
|
Goldman Sachs Bank USA
|
(417,640)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(34,259
)
|
|
|
Equifax, Inc.
|
Goldman Sachs Bank USA
|
(4,633)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(27
)
|
|
|
Equinox Gold Corp.
|
Morgan Stanley & Co. International
PLC
|
(1,439,422)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
64,582
|
|
|
Equity Residential
|
Citibank NA
|
(4,168,763)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
112,323
|
|
|
Equity Residential
|
Goldman Sachs Bank USA
|
(1,151,344)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
29,735
|
|
|
Equity Residential
|
Morgan Stanley & Co. International
PLC
|
(31,891)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
859
|
|
|
ERO Copper Corp.
|
Goldman Sachs Bank USA
|
(1,025,618)
|
08/18/26
|
(0.15)%
|
1D CORRA
|
Monthly
|
(59,991
)
|
|
|
ERO Copper Corp.
|
Morgan Stanley & Co. International
PLC
|
(1,740,508)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
20,563
|
|
|
Essex Property Trust, Inc.
|
Citibank NA
|
(14,630,641)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
445,803
|
|
|
Essex Property Trust, Inc.
|
Citibank NA
|
(25,497)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
777
|
|
|
Essex Property Trust, Inc.
|
Goldman Sachs Bank USA
|
(5,732,748)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
165,877
|
|
|
Essity AB
|
Barclays Bank PLC
|
(3,843,778)
|
02/14/28
|
(0.26)%
|
1D STIBOR
|
Monthly
|
47,056
|
|
|
Estee Lauder Cos., Inc./The
|
Goldman Sachs Bank USA
|
(1,233,168)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(23,821
)
|
|
|
Etsy, Inc.
|
Morgan Stanley & Co. International
PLC
|
(2,380,116)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(35,489
)
|
|
|
Everest Group Ltd.
|
Citibank NA
|
(7,280,461)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(21,076
)
|
|
|
Everest Group Ltd.
|
Morgan Stanley & Co. International
PLC
|
(11,656,199)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(33,744
)
|
|
|
Evergy, Inc.
|
Goldman Sachs Bank USA
|
(69,446)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
1,959
|
|
|
Eversource Energy
|
Citibank NA
|
(12,257,307)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
472,448
|
|
|
Eversource Energy
|
Goldman Sachs Bank USA
|
(7,969)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
238
|
|
|
Eversource Energy
|
Morgan Stanley & Co. International
PLC
|
(11,616)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
448
|
|
|
Evolution AB
|
Morgan Stanley & Co. International
PLC
|
(3,706,575)
|
12/09/27
|
(0.26)%
|
1D STIBOR
|
Monthly
|
(179,857
)
|
|
|
Exelon Corp.
|
Citibank NA
|
(2,728,074)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
51,407
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
Expand Energy Corp.
|
Citibank NA
|
$(6,740,011)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
$(62,213
)
|
|
|
Expand Energy Corp.
|
Goldman Sachs Bank USA
|
(9,173,320)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(594,046
)
|
|
|
Expedia Group, Inc.
|
Barclays Bank PLC
|
(224,268)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(28,914
)
|
|
|
Experian PLC
|
Barclays Bank PLC
|
(6,092,176)
|
02/14/28
|
(0.25)%
|
1D SONIA
|
Monthly
|
(172,504
)
|
|
|
Experian PLC
|
Goldman Sachs Bank USA
|
(452,211)
|
08/19/26
|
(0.10)%
|
1D SONIA
|
Monthly
|
(12,883
)
|
|
|
Extra Space Storage, Inc.
|
Barclays Bank PLC
|
(55,554)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(1,145
)
|
|
|
F5, Inc.
|
Barclays Bank PLC
|
(12,018)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(59
)
|
|
|
Fabrinet
|
Citibank NA
|
(3,320,363)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
505,873
|
|
|
Fabrinet
|
Goldman Sachs Bank USA
|
(399,540)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
42,068
|
|
|
Fair Isaac Corp.
|
Goldman Sachs Bank USA
|
(21,704)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
1,491
|
|
|
Fast Retailing Co. Ltd.
|
Barclays Bank PLC
|
(20,101,229)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
171,690
|
|
|
Fast Retailing Co. Ltd.
|
Citibank NA
|
(246,944)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
2,109
|
|
|
Fast Retailing Co. Ltd.
|
Goldman Sachs Bank USA
|
(1,360,722)
|
08/19/26
|
0.13%
|
1D P TONA
|
Monthly
|
(10,352
)
|
|
|
Fastenal Co.
|
Goldman Sachs Bank USA
|
(15,968,897)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(827,313
)
|
|
|
Fastighets AB Balder
|
Barclays Bank PLC
|
(1,030,019)
|
02/14/28
|
(0.26)%
|
1D STIBOR
|
Monthly
|
(43,615
)
|
|
|
Fastly, Inc.
|
Goldman Sachs Bank USA
|
(1,434,080)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(190,733
)
|
|
|
Federal Realty Investment
Trust
|
Goldman Sachs Bank USA
|
(12,792,957)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(181,645
)
|
|
|
Fermi, Inc.
|
Citibank NA
|
(1,286,825)
|
02/22/28
|
(0.25)%
|
1D OBFR01
|
Monthly
|
179,375
|
|
|
Ferrari NV
|
Citibank NA
|
(13,909,775)
|
11/11/26
|
(0.19)%
|
1D ESTR
|
Monthly
|
(607,697
)
|
|
|
Ferrovial NV
|
Barclays Bank PLC
|
(1,082,122)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(15,300
)
|
|
|
Ferrovial NV
|
Morgan Stanley & Co. International
PLC
|
(556,624)
|
12/09/27
|
(0.26)%
|
1D ESTR
|
Monthly
|
(6,204
)
|
|
|
Fidelity National Financial, Inc.
|
Citibank NA
|
(1,148,074)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(31,789
)
|
|
|
Fidelity National Financial, Inc.
|
Morgan Stanley & Co. International
PLC
|
(1,182,612)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(32,746
)
|
|
|
Fidelity National Information
Services, Inc.
|
Citibank NA
|
(212,267)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(22,148
)
|
|
|
Fifth Third BanCorp.
|
Citibank NA
|
(9,154,305)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
185,721
|
|
|
Fifth Third BanCorp.
|
Goldman Sachs Bank USA
|
(464,911)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
11,555
|
|
|
Figma, Inc.
|
Citibank NA
|
(917,456)
|
02/22/28
|
(0.45)%
|
1D OBFR01
|
Monthly
|
(121,786
)
|
|
|
Figure Technology Solutions,
Inc.
|
Goldman Sachs Bank USA
|
(118,912)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
16,656
|
|
|
FinecoBank Banca Fineco
SpA
|
Barclays Bank PLC
|
(154,807)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(149
)
|
|
|
First Citizens BancShares,
Inc./NC
|
Citibank NA
|
(2,896,133)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(152,058
)
|
|
|
First Horizon Corp.
|
Morgan Stanley & Co. International
PLC
|
(16,152)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
50
|
|
|
First Industrial Realty Trust,
Inc.
|
Citibank NA
|
(4,066,459)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
112,307
|
|
|
First Industrial Realty Trust,
Inc.
|
Goldman Sachs Bank USA
|
(744,170)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(678
)
|
|
|
First Quantum Minerals Ltd.
|
Morgan Stanley & Co. International
PLC
|
(2,359,298)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
20,463
|
|
|
First Solar, Inc.
|
Morgan Stanley & Co. International
PLC
|
(2,172,144)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(22,568
)
|
|
|
FirstCash Holdings, Inc.
|
Morgan Stanley & Co. International
PLC
|
(5,244,801)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
118,846
|
|
|
FirstEnergy Corp.
|
Barclays Bank PLC
|
(50,711)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
1,049
|
|
|
FirstService Corp.
|
Morgan Stanley & Co. International
PLC
|
(131,301)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
1,284
|
|
|
Fiserv, Inc.
|
Citibank NA
|
(4,348,600)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(322,119
)
|
|
|
Fiserv, Inc.
|
Citibank NA
|
(4,773,411)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(353,586
)
|
|
|
Fiserv, Inc.
|
Goldman Sachs Bank USA
|
(752,076)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(53,464
)
|
|
|
Five Below, Inc.
|
Goldman Sachs Bank USA
|
(9,652)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(1,205
)
|
|
|
Flagstar Bank N.A.
|
Citibank NA
|
(1,163,408)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
51,603
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
Flagstar Bank N.A.
|
Morgan Stanley & Co. International
PLC
|
$(198,083)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
$8,786
|
|
|
Flughafen Zurich AG
|
Morgan Stanley & Co. International
PLC
|
(643,587)
|
12/09/27
|
(0.26)%
|
SSARON
|
Monthly
|
(13,396
)
|
|
|
Fluor Corp.
|
Barclays Bank PLC
|
(1,804,134)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
42,665
|
|
|
Flutter Entertainment PLC
|
Citibank NA
|
(1,758,177)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(82,271
)
|
|
|
Ford Motor Co.
|
Citibank NA
|
(9,385,014)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(161,639
)
|
|
|
Fortinet, Inc.
|
Goldman Sachs Bank USA
|
(271,501)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(15,474
)
|
|
|
Fortive Corp.
|
Citibank NA
|
(37,295)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
644
|
|
|
Fortum OYJ
|
Citibank NA
|
(1,868,664)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
95,817
|
|
|
Fortum OYJ
|
Morgan Stanley & Co. International
PLC
|
(306,408)
|
12/09/27
|
(0.26)%
|
1D ESTR
|
Monthly
|
15,711
|
|
|
Freshpet, Inc.
|
Barclays Bank PLC
|
(312,904)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(9,922
)
|
|
|
FTAI Aviation Ltd.
|
Citibank NA
|
(5,699,749)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
422,441
|
|
|
FTAI Aviation Ltd.
|
Morgan Stanley & Co. International
PLC
|
(24,919)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
1,847
|
|
|
FTI Consulting, Inc.
|
Citibank NA
|
(41,945)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(769
)
|
|
|
FuelCell Energy, Inc.
|
Goldman Sachs Bank USA
|
(1,495,487)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(121,265
)
|
|
|
Furukawa Electric Co. Ltd.
|
Citibank NA
|
(489,629)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
67,919
|
|
|
Furukawa Electric Co. Ltd.
|
Goldman Sachs Bank USA
|
(2,937,435)
|
08/19/26
|
0.20%
|
1D P TONA
|
Monthly
|
569,369
|
|
|
G Mining Ventures Corp.
|
Barclays Bank PLC
|
(90,412)
|
01/11/27
|
(0.50)%
|
CABROVER
|
Monthly
|
2,809
|
|
|
G Mining Ventures Corp.
|
Goldman Sachs Bank USA
|
(1,668,110)
|
08/18/26
|
(0.20)%
|
1D CORRA
|
Monthly
|
(166,124
)
|
|
|
G Mining Ventures Corp.
|
Morgan Stanley & Co. International
PLC
|
(1,935,071)
|
12/09/27
|
(0.28)%
|
CABROVER
|
Monthly
|
60,114
|
|
|
Galderma Group AG
|
Citibank NA
|
(3,434,511)
|
11/11/26
|
0.00%
|
SSARON
|
Monthly
|
(41,177
)
|
|
|
Galp Energia SGPS SA
|
Barclays Bank PLC
|
(2,171,458)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
55,397
|
|
|
GameStop Corp.
|
Goldman Sachs Bank USA
|
(1,040,099)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
25,231
|
|
|
Gap, Inc./The
|
Citibank NA
|
(455,251)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(10,194
)
|
|
|
Gartner, Inc.
|
Goldman Sachs Bank USA
|
(1,023,398)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(132,056
)
|
|
|
GE HealthCare Technologies,
Inc.
|
Morgan Stanley & Co. International
PLC
|
(647,834)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(23,727
)
|
|
|
Gen Digital, Inc.
|
Citibank NA
|
(5,694,466)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(416,288
)
|
|
|
Gen Digital, Inc.
|
Morgan Stanley & Co. International
PLC
|
(754,047)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(55,124
)
|
|
|
Gen Digital, Inc.
|
Morgan Stanley & Co. International
PLC
|
(18,801)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(1,374
)
|
|
|
Generac Holdings, Inc.
|
Citibank NA
|
(234,146)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
2,345
|
|
|
General Motors Co.
|
Barclays Bank PLC
|
(1,216,427)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(99,678
)
|
|
|
Genesis Minerals Ltd.
|
Barclays Bank PLC
|
(1,658,282)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
110,601
|
|
|
GFL Environmental, Inc.
|
Goldman Sachs Bank USA
|
(12,842,477)
|
08/18/26
|
(0.15)%
|
1D CORRA
|
Monthly
|
(630,157
)
|
|
|
Gildan Activewear, Inc.
|
Goldman Sachs Bank USA
|
(11,065,693)
|
08/18/26
|
(0.15)%
|
1D CORRA
|
Monthly
|
(586,845
)
|
|
|
Gildan Activewear, Inc.
|
Morgan Stanley & Co. International
PLC
|
(11,711,229)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
(404,744
)
|
|
|
Gitlab, Inc.
|
Goldman Sachs Bank USA
|
(35,555)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(1,819
)
|
|
|
Glaukos Corp.
|
Citibank NA
|
(863,048)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(78,254
)
|
|
|
Global Payments, Inc.
|
Citibank NA
|
(2,586,031)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(167,337
)
|
|
|
Global Payments, Inc.
|
Citibank NA
|
(15,580,149)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(1,008,162
)
|
|
|
Global Payments, Inc.
|
Goldman Sachs Bank USA
|
(1,412,653)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(105,832
)
|
|
|
Globant SA
|
Barclays Bank PLC
|
(1,829,067)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(353,647
)
|
|
|
Globus Medical, Inc.
|
Citibank NA
|
(6,886,355)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(300,081
)
|
|
|
GoDaddy, Inc.
|
Barclays Bank PLC
|
(17,880)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
1,332
|
|
|
Goldman Sachs Group,
Inc./The
|
Merrill Lynch International
|
(2,574,876)
|
02/15/28
|
0.10%
|
1D OBFR01
|
Monthly
|
298,797
|
|
|
Goldman Sachs Group,
Inc./The
|
Morgan Stanley & Co. International
PLC
|
(727,008)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
52,841
|
|
|
Goodman Group
|
Barclays Bank PLC
|
(2,839,595)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
(60,481
)
|
|
|
Graco, Inc.
|
Citibank NA
|
(5,632,168)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(419,287
)
|
|
|
Granite Construction, Inc.
|
Goldman Sachs Bank USA
|
(25,286)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
729
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
Graphic Packaging Holding
Co.
|
Citibank NA
|
$(11,999)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
$410
|
|
|
Great-West Lifeco, Inc.
|
Citibank NA
|
(7,754)
|
02/22/28
|
0.00%
|
1D CORRA
|
Monthly
|
(69
)
|
|
|
Great-West Lifeco, Inc.
|
Morgan Stanley & Co. International
PLC
|
(4,927,633)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
(43,863
)
|
|
|
GSK PLC
|
Barclays Bank PLC
|
(17,505,151)
|
02/14/28
|
(0.25)%
|
1D SONIA
|
Monthly
|
(172,734
)
|
|
|
GSK PLC
|
Citibank NA
|
(724,802)
|
11/11/26
|
0.00%
|
1D SONIA
|
Monthly
|
(7,152
)
|
|
|
Guardant Health, Inc.
|
Goldman Sachs Bank USA
|
(30,636)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
182
|
|
|
GXO Logistics, Inc.
|
Citibank NA
|
(1,558,243)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
111,076
|
|
|
Haleon PLC
|
Barclays Bank PLC
|
(6,399,920)
|
02/14/28
|
(0.25)%
|
1D SONIA
|
Monthly
|
41,341
|
|
|
Haleon PLC
|
Citibank NA
|
(417,780)
|
11/11/26
|
0.00%
|
1D SONIA
|
Monthly
|
3,038
|
|
|
Halma PLC
|
Barclays Bank PLC
|
(1,642,423)
|
02/14/28
|
(0.25)%
|
1D SONIA
|
Monthly
|
52,494
|
|
|
Halozyme Therapeutics, Inc.
|
Citibank NA
|
(1,582,625)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(95,991
)
|
|
|
Hankyu Hanshin Holdings, Inc.
|
Barclays Bank PLC
|
(14,473,426)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(66,069
)
|
|
|
Hankyu Hanshin Holdings, Inc.
|
Citibank NA
|
(117,658)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(693
)
|
|
|
Hannover Rueck SE
|
Goldman Sachs Bank USA
|
(2,048,672)
|
08/19/26
|
(0.26)%
|
1D ESTR
|
Monthly
|
3,563
|
|
|
Harel Insurance Investments &
Financial Services Ltd.
|
Citibank NA
|
(43,399)
|
11/11/26
|
0.00%
|
SHIR
|
Monthly
|
1,034
|
|
|
Harley-Davidson, Inc.
|
Citibank NA
|
(1,572,075)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
175,307
|
|
|
Harmonic Drive Systems, Inc.
|
Citibank NA
|
(678,898)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
89,364
|
|
|
Hartford Insurance Group
Inc/The
|
Barclays Bank PLC
|
(25,070)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(190
)
|
|
|
HCA Healthcare, Inc.
|
Citibank NA
|
(1,040,864)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(85,985
)
|
|
|
Healthpeak Properties, Inc.
|
Citibank NA
|
(38,278)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
621
|
|
|
Heidelberg Materials AG
|
Barclays Bank PLC
|
(2,923,708)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
143,149
|
|
|
Heineken NV
|
Barclays Bank PLC
|
(6,749,431)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(79,119
)
|
|
|
Heineken NV
|
Citibank NA
|
(13,773,003)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
(144,581
)
|
|
|
Henkel AG & Co. KGaA
|
Barclays Bank PLC
|
(849,944)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(7,720
)
|
|
|
Henkel AG & Co. KGaA
|
Citibank NA
|
(5,734,746)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
(52,088
)
|
|
|
Henkel AG & Co. KGaA
|
Morgan Stanley & Co. International
PLC
|
(7,314,115)
|
12/09/27
|
(0.26)%
|
1D ESTR
|
Monthly
|
(66,433
)
|
|
|
Henry Schein, Inc.
|
Barclays Bank PLC
|
(49,614)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(550
)
|
|
|
Herc Holdings, Inc.
|
Goldman Sachs Bank USA
|
(1,242,011)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(10,007
)
|
|
|
Hermes International SCA
|
Barclays Bank PLC
|
(1,800,549)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
142,076
|
|
|
Hewlett Packard Enterprise
Co.
|
Morgan Stanley & Co. International
PLC
|
(575,490)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
2,750
|
|
|
HF Sinclair Corp.
|
Citibank NA
|
(6,916,536)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(46,435
)
|
|
|
Hilton Worldwide Holdings,
Inc.
|
Barclays Bank PLC
|
(227,934)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
2,629
|
|
|
Hilton Worldwide Holdings,
Inc.
|
Morgan Stanley & Co. International
PLC
|
(5,921,088)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
68,300
|
|
|
Hims & Hers Health, Inc.
|
Barclays Bank PLC
|
(67,827)
|
01/11/27
|
(0.75)%
|
1D OBFR01
|
Monthly
|
8,371
|
|
|
Hims & Hers Health, Inc.
|
Citibank NA
|
(392,167)
|
02/22/28
|
(0.32)%
|
1D OBFR01
|
Monthly
|
48,402
|
|
|
Hims & Hers Health, Inc.
|
Goldman Sachs Bank USA
|
(23,566)
|
08/18/26
|
(0.37)%
|
1D FEDL01
|
Monthly
|
5,960
|
|
|
Hims & Hers Health, Inc.
|
Morgan Stanley & Co. International
PLC
|
(1,005,111)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
124,053
|
|
|
Hiscox Ltd.
|
Barclays Bank PLC
|
(4,864,768)
|
02/14/28
|
(0.25)%
|
1D SONIA
|
Monthly
|
34,943
|
|
|
Hiscox Ltd.
|
Citibank NA
|
(62,057)
|
11/11/26
|
0.00%
|
1D SONIA
|
Monthly
|
461
|
|
|
Home Depot, Inc./The
|
Citibank NA
|
(8,864,962)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(13,640
)
|
|
|
Hong Kong & China Gas Co.
Ltd.
|
Citibank NA
|
(2,546,703)
|
02/24/27
|
(0.20)%
|
HONIA
|
Monthly
|
(33,370
)
|
|
|
Hong Kong & China Gas Co.
Ltd.
|
Morgan Stanley & Co. International
PLC
|
(40,648)
|
12/09/27
|
(0.30)%
|
HONIA
|
Monthly
|
(533
)
|
|
|
Host Hotels & Resorts, Inc.
|
Citibank NA
|
(4,211,820)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(108,304
)
|
|
|
Houlihan Lokey, Inc.
|
Barclays Bank PLC
|
(29,546)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
2,943
|
|
|
Howden Joinery Group PLC
|
Barclays Bank PLC
|
(504,622)
|
02/14/28
|
(0.25)%
|
1D SONIA
|
Monthly
|
(10,171
)
|
|
|
Howden Joinery Group PLC
|
Goldman Sachs Bank USA
|
(29,712)
|
08/19/26
|
(0.25)%
|
1D SONIA
|
Monthly
|
164
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
HP, Inc.
|
Morgan Stanley & Co. International
PLC
|
$(198,390)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
$(17,152
)
|
|
|
Huber and Suhner AG
|
Citibank NA
|
(373,133)
|
11/11/26
|
0.00%
|
SSARON
|
Monthly
|
4,708
|
|
|
HubSpot, Inc.
|
Citibank NA
|
(164,945)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(26,130
)
|
|
|
Humana, Inc.
|
Citibank NA
|
(38,170)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
3,239
|
|
|
Humana, Inc.
|
Morgan Stanley & Co. International
PLC
|
(5,679,318)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
481,942
|
|
|
Hydro One Ltd.
|
Citibank NA
|
(4,717)
|
02/22/28
|
0.00%
|
1D CORRA
|
Monthly
|
93
|
|
|
Hydro One Ltd.
|
Morgan Stanley & Co. International
PLC
|
(1,315,270)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
25,833
|
|
|
iA Financial Corp, Inc.
|
Morgan Stanley & Co. International
PLC
|
(4,076,355)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
(29,715
)
|
|
|
IAMGOLD Corp.
|
Morgan Stanley & Co. International
PLC
|
(874,839)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
49,536
|
|
|
ICON PLC
|
Citibank NA
|
(1,425,226)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
31,652
|
|
|
IDEXX Laboratories, Inc.
|
Citibank NA
|
(4,559,407)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(119,450
)
|
|
|
IHI Corp.
|
Barclays Bank PLC
|
(4,113,350)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(4,357
)
|
|
|
ImmunityBio, Inc.
|
Barclays Bank PLC
|
(277,127)
|
01/11/27
|
(1.75)%
|
1D OBFR01
|
Monthly
|
12,546
|
|
|
ImmunityBio, Inc.
|
Citibank NA
|
(10,154)
|
02/22/28
|
(8.69)%
|
1D OBFR01
|
Monthly
|
460
|
|
|
ImmunityBio, Inc.
|
Morgan Stanley & Co. International
PLC
|
(1,061,336)
|
12/09/27
|
(0.98)%
|
1D FEDL01
|
Monthly
|
48,050
|
|
|
Infineon Technologies AG
|
Barclays Bank PLC
|
(11,815,670)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
1,280,999
|
|
|
Ingersoll Rand, Inc.
|
Citibank NA
|
(3,288,477)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
9,558
|
|
|
Ingersoll Rand, Inc.
|
Citibank NA
|
(52,881)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
101
|
|
|
Innodata, Inc.
|
Goldman Sachs Bank USA
|
(222,250)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
8,439
|
|
|
Insulet Corp.
|
Citibank NA
|
(12,845,387)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(515,389
)
|
|
|
Intel Corp.
|
Merrill Lynch International
|
(264,478)
|
02/15/28
|
0.10%
|
1D OBFR01
|
Monthly
|
32,845
|
|
|
Intellia Therapeutics, Inc.
|
Citibank NA
|
(584,169)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
23,619
|
|
|
International Consolidated
Airlines Group SA
|
Barclays Bank PLC
|
(5,387,298)
|
02/14/28
|
(0.25)%
|
1D SONIA
|
Monthly
|
48,601
|
|
|
International Consolidated
Airlines Group SA
|
Citibank NA
|
(1,258,103)
|
11/11/26
|
0.00%
|
1D SONIA
|
Monthly
|
11,350
|
|
|
International Flavors &
Fragrances, Inc.
|
Citibank NA
|
(10,124,471)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(264,915
)
|
|
|
International Flavors &
Fragrances, Inc.
|
Goldman Sachs Bank USA
|
(13,104)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(680
)
|
|
|
Intuitive Surgical, Inc.
|
Citibank NA
|
(17,375)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(645
)
|
|
|
Intuitive Surgical, Inc.
|
Goldman Sachs Bank USA
|
(13,887,074)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
417,781
|
|
|
Investor AB
|
Barclays Bank PLC
|
(21,795,034)
|
02/14/28
|
(0.26)%
|
1D STIBOR
|
Monthly
|
(500,763
)
|
|
|
Invitation Homes, Inc.
|
Citibank NA
|
(16,811,667)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(125,375
)
|
|
|
Invitation Homes, Inc.
|
Citibank NA
|
(45,253)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(337
)
|
|
|
Invitation Homes, Inc.
|
Goldman Sachs Bank USA
|
(4,145,190)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
11,881
|
|
|
Ionis Pharmaceuticals, Inc.
|
Citibank NA
|
(214,042)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
8,877
|
|
|
IonQ, Inc.
|
Citibank NA
|
(203,468)
|
02/22/28
|
(0.28)%
|
1D OBFR01
|
Monthly
|
(10,326
)
|
|
|
IonQ, Inc.
|
Goldman Sachs Bank USA
|
(20,593)
|
08/18/26
|
(0.44)%
|
1D FEDL01
|
Monthly
|
587
|
|
|
IonQ, Inc.
|
Morgan Stanley & Co. International
PLC
|
(731,193)
|
12/09/27
|
(0.23)%
|
1D FEDL01
|
Monthly
|
(37,108
)
|
|
|
IQVIA Holdings, Inc.
|
Barclays Bank PLC
|
(1,726,330)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(317,404
)
|
|
|
IRhythm Holdings, Inc.
|
Goldman Sachs Bank USA
|
(54,931)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(1,896
)
|
|
|
Iron Mountain, Inc.
|
Citibank NA
|
(3,076,020)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
54,104
|
|
|
Iron Mountain, Inc.
|
Morgan Stanley & Co. International
PLC
|
(1,053,853)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
18,536
|
|
|
Isetan Mitsukoshi Holdings
Ltd.
|
Barclays Bank PLC
|
(4,045,147)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
311,121
|
|
|
Isetan Mitsukoshi Holdings
Ltd.
|
Citibank NA
|
(152,328)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
11,716
|
|
|
Isuzu Motors Ltd.
|
Barclays Bank PLC
|
(1,630,688)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(31,349
)
|
|
|
Isuzu Motors Ltd.
|
Citibank NA
|
(130,279)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(2,505
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
J Front Retailing Co Ltd.
|
Citibank NA
|
$(266,350)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
$13,285
|
|
|
J M Smucker Co./The
|
Citibank NA
|
(21,839)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(224
)
|
|
|
Jabil, Inc.
|
Morgan Stanley & Co. International
PLC
|
(43,924)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
447
|
|
|
Jacobs Solutions, Inc.
|
Barclays Bank PLC
|
(6,264)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(213
)
|
|
|
James Hardie Industries PLC
|
Citibank NA
|
(2,961,309)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(180,451
)
|
|
|
James Hardie Industries PLC
|
Goldman Sachs Bank USA
|
(170,792)
|
08/18/26
|
(0.35)%
|
1D FEDL01
|
Monthly
|
65
|
|
|
Japan Exchange Group, Inc.
|
Barclays Bank PLC
|
(1,437,263)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
34,783
|
|
|
Japan Exchange Group, Inc.
|
Citibank NA
|
(1,996,277)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
48,312
|
|
|
Japan Petroleum Exploration
Co Ltd.
|
Barclays Bank PLC
|
(1,514,886)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(31,758
)
|
|
|
Japan Post Bank Co Ltd.
|
Barclays Bank PLC
|
(6,515,213)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
639,267
|
|
|
Japan Post Bank Co Ltd.
|
Citibank NA
|
(795,375)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
78,042
|
|
|
Japan Post Bank Co Ltd.
|
Goldman Sachs Bank USA
|
(143,176)
|
08/19/26
|
(0.04)%
|
1D P TONA
|
Monthly
|
11,697
|
|
|
Jazz Pharmaceuticals PLC
|
Citibank NA
|
(1,118,898)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(6,329
)
|
|
|
JB Hunt Transport Services,
Inc.
|
Goldman Sachs Bank USA
|
(118,524)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
1,943
|
|
|
JBT Marel Corp.
|
Barclays Bank PLC
|
(647,935)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(15,475
)
|
|
|
JBT Marel Corp.
|
Barclays Bank PLC
|
(99,131)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(2,368
)
|
|
|
JBT Marel Corp.
|
Citibank NA
|
(7,506,496)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(179,281
)
|
|
|
Jefferies Financial Group, Inc.
|
Morgan Stanley & Co. International
PLC
|
(2,263,862)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
55,019
|
|
|
JetBlue Airways Corp.
|
Barclays Bank PLC
|
(808,801)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(99,860
)
|
|
|
Johnson & Johnson
|
Goldman Sachs Bank USA
|
(710,917)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(1,480
)
|
|
|
Johnson Controls International
plc
|
Goldman Sachs Bank USA
|
(1,098,503)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(52,925
)
|
|
|
Jones Lang LaSalle, Inc.
|
Citibank NA
|
(1,822,725)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(174,319
)
|
|
|
JPMorgan Chase & Co.
|
Citibank NA
|
(6,709,310)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(68,979
)
|
|
|
JPMorgan Chase & Co.
|
Merrill Lynch International
|
(60,709)
|
02/15/28
|
0.10%
|
1D OBFR01
|
Monthly
|
(854
)
|
|
|
JX Advanced Metals Corp.
|
Barclays Bank PLC
|
(15,865,670)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
356,891
|
|
|
JX Advanced Metals Corp.
|
Citibank NA
|
(372,111)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
8,370
|
|
|
K92 Mining, Inc.
|
Citibank NA
|
(2,177)
|
02/22/28
|
0.00%
|
1D CORRA
|
Monthly
|
(9
)
|
|
|
K92 Mining, Inc.
|
Morgan Stanley & Co. International
PLC
|
(466,456)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
(1,871
)
|
|
|
Karman Holdings, Inc.
|
Barclays Bank PLC
|
(1,309,820)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(15,413
)
|
|
|
Karman Holdings, Inc.
|
Goldman Sachs Bank USA
|
(1,861,507)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(30,354
)
|
|
|
KBC Group NV
|
Barclays Bank PLC
|
(8,332,291)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(142,857
)
|
|
|
KDDI Corp.
|
Citibank NA
|
(1,838,021)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(35,671
)
|
|
|
Keel Infrastructure Corp.
|
Goldman Sachs Bank USA
|
(341,023)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
29,790
|
|
|
Kering SA
|
Barclays Bank PLC
|
(4,936,727)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(736,573
)
|
|
|
Keurig Dr. Pepper, Inc.
|
Citibank NA
|
(20,333,720)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(619,438
)
|
|
|
Keurig Dr. Pepper, Inc.
|
Citibank NA
|
(251,536)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(7,663
)
|
|
|
Keurig Dr. Pepper, Inc.
|
Goldman Sachs Bank USA
|
(2,209,621)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(73,405
)
|
|
|
KeyCorp.
|
Citibank NA
|
(7,436,682)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
167,333
|
|
|
Keyence Corp.
|
Barclays Bank PLC
|
(10,967,990)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(1,170,406
)
|
|
|
Keyence Corp.
|
Citibank NA
|
(1,767,569)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(188,619
)
|
|
|
Kikkoman Corp.
|
Barclays Bank PLC
|
(3,803,996)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(44,727
)
|
|
|
Kimco Realty Corp.
|
Citibank NA
|
(10,282,613)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
259,622
|
|
|
Kimco Realty Corp.
|
Citibank NA
|
(50,372)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
1,272
|
|
|
Kimco Realty Corp.
|
Goldman Sachs Bank USA
|
(641,108)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
847
|
|
|
Kinetik Holdings, Inc.
|
Barclays Bank PLC
|
(340,898)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
6,934
|
|
|
Kinetik Holdings, Inc.
|
Citibank NA
|
(635,752)
|
02/22/28
|
(0.28)%
|
1D OBFR01
|
Monthly
|
12,932
|
|
|
Kinetik Holdings, Inc.
|
Goldman Sachs Bank USA
|
(24,765)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(925
)
|
|
|
Kingspan Group PLC
|
Barclays Bank PLC
|
(265,095)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(14,573
)
|
|
|
Kingspan Group PLC
|
Citibank NA
|
(1,983,234)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
(109,023
)
|
|
|
Kioxia Holdings Corp.
|
Barclays Bank PLC
|
(8,732,616)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
1,903,575
|
|
|
Kioxia Holdings Corp.
|
Citibank NA
|
(3,031,591)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(424,741
)
|
|
|
Kioxia Holdings Corp.
|
Goldman Sachs Bank USA
|
(2,985,167)
|
08/19/26
|
0.20%
|
1D P TONA
|
Monthly
|
(80,933
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
Kioxia Holdings Corp.
|
Morgan Stanley & Co. International
PLC
|
$(3,007,142)
|
12/09/27
|
(0.25)%
|
1D P TONA
|
Monthly
|
$(421,315
)
|
|
|
Kirin Holdings Co Ltd.
|
Barclays Bank PLC
|
(2,544,268)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(32,747
)
|
|
|
KKR & Co., Inc.
|
Citibank NA
|
(3,976,818)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(245,611
)
|
|
|
KKR & Co., Inc.
|
Goldman Sachs Bank USA
|
(4,748,240)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(91,898
)
|
|
|
KKR & Co., Inc.
|
Morgan Stanley & Co. International
PLC
|
(1,641,970)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(101,409
)
|
|
|
Knorr-Bremse AG
|
Barclays Bank PLC
|
(3,308,742)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
30,517
|
|
|
Knorr-Bremse AG
|
Goldman Sachs Bank USA
|
(919,050)
|
08/19/26
|
(0.26)%
|
1D ESTR
|
Monthly
|
(19,472
)
|
|
|
Kohl's Corp.
|
Citibank NA
|
(387,763)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(1,219
)
|
|
|
Komatsu Ltd.
|
Barclays Bank PLC
|
(879,293)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(62,275
)
|
|
|
Komatsu Ltd.
|
Citibank NA
|
(117,509)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(8,322
)
|
|
|
Komatsu Ltd.
|
Goldman Sachs Bank USA
|
(13,388,366)
|
08/19/26
|
0.20%
|
1D P TONA
|
Monthly
|
(1,008,512
)
|
|
|
Konami Group Corp.
|
Barclays Bank PLC
|
(174,319)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(18,910
)
|
|
|
Konami Group Corp.
|
Citibank NA
|
(2,545,055)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(276,092
)
|
|
|
Konami Group Corp.
|
Goldman Sachs Bank USA
|
(2,003,075)
|
08/19/26
|
0.16%
|
1D P TONA
|
Monthly
|
(186,856
)
|
|
|
Kone Oyj
|
Barclays Bank PLC
|
(1,199,423)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(85,085
)
|
|
|
Kroger Co./The
|
Citibank NA
|
(1,634,654)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(5,682
)
|
|
|
Krystal Biotech, Inc.
|
Citibank NA
|
(2,898,164)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(37,174
)
|
|
|
Krystal Biotech, Inc.
|
Morgan Stanley & Co. International
PLC
|
(351,619)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(4,510
)
|
|
|
Kurita Water Industries Ltd.
|
Barclays Bank PLC
|
(33,604)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
1,362
|
|
|
Kurita Water Industries Ltd.
|
Citibank NA
|
(128,816)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
5,220
|
|
|
Kymera Therapeutics, Inc.
|
Citibank NA
|
(3,745,980)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
235,860
|
|
|
L E Lundbergforetagen AB
|
Barclays Bank PLC
|
(1,856,422)
|
02/14/28
|
(0.26)%
|
1D STIBOR
|
Monthly
|
(51,552
)
|
|
|
L E Lundbergforetagen AB
|
Citibank NA
|
(442,058)
|
11/11/26
|
0.00%
|
TN STIBOR
|
Monthly
|
(12,276
)
|
|
|
Lamb Weston Holdings, Inc.
|
Citibank NA
|
(1,621,344)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(153,690
)
|
|
|
Lamb Weston Holdings, Inc.
|
Citibank NA
|
(664,368)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(62,977
)
|
|
|
Landstar System, Inc.
|
Citibank NA
|
(3,435,705)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
551,300
|
|
|
Las Vegas Sands Corp.
|
Citibank NA
|
(6,893,120)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(496,506
)
|
|
|
Lasertec Corp.
|
Barclays Bank PLC
|
(166,756)
|
12/11/28
|
0.00%
|
1D P TONA
|
Monthly
|
5,943
|
|
|
Legence Corp.
|
Citibank NA
|
(494,789)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
8,026
|
|
|
Leidos Holdings, Inc.
|
Goldman Sachs Bank USA
|
(11,146)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(761
)
|
|
|
Lemonade, Inc.
|
Citibank NA
|
(493,391)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
57,442
|
|
|
Lennox International, Inc.
|
Goldman Sachs Bank USA
|
(2,746,503)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
663,776
|
|
|
Leonardo DRS, Inc.
|
Citibank NA
|
(1,162,303)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(3,544
)
|
|
|
Liberty Energy, Inc.
|
Goldman Sachs Bank USA
|
(3,119,572)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
476,972
|
|
|
Life Time Group Holdings, Inc.
|
Citibank NA
|
(4,820,126)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(334,443
)
|
|
|
Life Time Group Holdings, Inc.
|
Goldman Sachs Bank USA
|
(290,388)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(21,433
)
|
|
|
Life Time Group Holdings, Inc.
|
Morgan Stanley & Co. International
PLC
|
(698,659)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(50,497
)
|
|
|
Lincoln Electric Holdings, Inc.
|
Goldman Sachs Bank USA
|
(3,466,192)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(110,881
)
|
|
|
Lincoln National Corp.
|
Citibank NA
|
(1,123,523)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(105,347
)
|
|
|
Lincoln National Corp.
|
Goldman Sachs Bank USA
|
(5,687,828)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(645,713
)
|
|
|
Lincoln National Corp.
|
Morgan Stanley & Co. International
PLC
|
(267,672)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(25,098
)
|
|
|
Linde PLC
|
Citibank NA
|
(18,621,391)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
1,108,856
|
|
|
Linde PLC
|
Goldman Sachs Bank USA
|
(4,915,640)
|
08/18/26
|
0.10%
|
1D FEDL01
|
Monthly
|
334,195
|
|
|
Lineage, Inc.
|
Citibank NA
|
(87,201)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
1,656
|
|
|
Liquidia Corp.
|
Goldman Sachs Bank USA
|
(138,665)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
4,257
|
|
|
Lithia Motors, Inc.
|
Barclays Bank PLC
|
(5,201,575)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(695,736
)
|
|
|
Loews Corp.
|
Citibank NA
|
(1,054,322)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(12,042
)
|
|
|
Loews Corp.
|
Morgan Stanley & Co. International
PLC
|
(467,403)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(5,338
)
|
|
|
L'Oreal SA
|
Barclays Bank PLC
|
(22,956,057)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(349,247
)
|
|
|
Lottery Corp Ltd/The
|
Barclays Bank PLC
|
(1,634,741)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
(11,259
)
|
|
|
Lottomatica Group SpA
|
Citibank NA
|
(339,594)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
14,508
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
Lowe's Cos., Inc.
|
Morgan Stanley & Co. International
PLC
|
$(11,035)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
$(187
)
|
|
|
LPL Financial Holdings, Inc.
|
Goldman Sachs Bank USA
|
(608,214)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(45,424
)
|
|
|
Lululemon Athletica, Inc.
|
Citibank NA
|
(1,442,407)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(69,977
)
|
|
|
Lululemon Athletica, Inc.
|
Goldman Sachs Bank USA
|
(312,818)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(6,348
)
|
|
|
Lumen Technologies, Inc.
|
Barclays Bank PLC
|
(71,965)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
3,437
|
|
|
Lumen Technologies, Inc.
|
Citibank NA
|
(1,366,867)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
65,283
|
|
|
Lundin Mining Corp.
|
Citibank NA
|
(3,500)
|
02/22/28
|
0.00%
|
1D CORRA
|
Monthly
|
256
|
|
|
Lundin Mining Corp.
|
Morgan Stanley & Co. International
PLC
|
(2,394,332)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
175,179
|
|
|
LVMH Moet Hennessy Louis
Vuitton SE
|
Barclays Bank PLC
|
(8,200,917)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(61,917
)
|
|
|
Lyft, Inc.
|
Citibank NA
|
(120,285)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(9,846
)
|
|
|
Lyft, Inc.
|
Citibank NA
|
(1,512,414)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(123,799
)
|
|
|
Lynas Rare Earths Ltd.
|
Barclays Bank PLC
|
(2,133,227)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
198,569
|
|
|
Lynas Rare Earths Ltd.
|
Morgan Stanley & Co. International
PLC
|
(33,300)
|
12/09/27
|
(0.31)%
|
1D AONIA
|
Monthly
|
3,100
|
|
|
M&T Bank Corp.
|
Morgan Stanley & Co. International
PLC
|
(29,335)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
519
|
|
|
Macerich Co./The
|
Citibank NA
|
(1,305,026)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(24,701
)
|
|
|
Makita Corp.
|
Barclays Bank PLC
|
(138,665)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
13,044
|
|
|
Makita Corp.
|
Citibank NA
|
(7,111)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
669
|
|
|
Mapfre SA
|
Morgan Stanley & Co. International
PLC
|
(3,051,220)
|
12/09/27
|
(0.26)%
|
1D ESTR
|
Monthly
|
88,010
|
|
|
Maplebear, Inc.
|
Citibank NA
|
(5,834,402)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
16,957
|
|
|
Maplebear, Inc.
|
Goldman Sachs Bank USA
|
(6,237)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
394
|
|
|
Maplebear, Inc.
|
Goldman Sachs Bank USA
|
(166,201)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
3,144
|
|
|
MARA Holdings, Inc.
|
Citibank NA
|
(323,764)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
28,437
|
|
|
Marathon Petroleum Corp.
|
Goldman Sachs Bank USA
|
(992,679)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(57,368
)
|
|
|
Marex Group Ltd.
|
Barclays Bank PLC
|
(199,657)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
2,820
|
|
|
Marex Group Ltd.
|
Citibank NA
|
(145,133)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
2,050
|
|
|
Markel Group, Inc.
|
Barclays Bank PLC
|
(19,446)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
623
|
|
|
Marsh & McLennan Cos., Inc.
|
Citibank NA
|
(487,492)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(37,949
)
|
|
|
Marsh & McLennan Cos., Inc.
|
Goldman Sachs Bank USA
|
(677,918)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(51,819
)
|
|
|
Martin Marietta Materials, Inc.
|
Citibank NA
|
(7,047,531)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
343,593
|
|
|
Marubeni Corp.
|
Barclays Bank PLC
|
(3,755,608)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
83,980
|
|
|
MasTec, Inc.
|
Morgan Stanley & Co. International
PLC
|
(23,585)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
6,220
|
|
|
Mastercard, Inc.
|
Goldman Sachs Bank USA
|
(5,531,771)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(165,417
)
|
|
|
Matador Resources Co.
|
Goldman Sachs Bank USA
|
(682,741)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
35,667
|
|
|
Match Group, Inc.
|
Barclays Bank PLC
|
(30,766)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(1,116
)
|
|
|
Mattel, Inc.
|
Barclays Bank PLC
|
(33,624)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(1,611
)
|
|
|
MaxLinear, Inc.
|
Morgan Stanley & Co. International
PLC
|
(3,051,107)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
702,317
|
|
|
McCormick & Co., Inc./MD
|
Barclays Bank PLC
|
(10,196)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
220
|
|
|
McCormick & Co., Inc./MD
|
Citibank NA
|
(8,572,116)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
184,559
|
|
|
McCormick & Co., Inc./MD
|
Goldman Sachs Bank USA
|
(1,477)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
1
|
|
|
McDonald's Corp.
|
Citibank NA
|
(7,856,231)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(210,735
)
|
|
|
MDA Space Ltd.
|
Goldman Sachs Bank USA
|
(1,605,844)
|
08/18/26
|
(0.28)%
|
1D CORRA
|
Monthly
|
143,354
|
|
|
MDA Space Ltd.
|
Morgan Stanley & Co. International
PLC
|
(1,448,348)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
66,115
|
|
|
Medibank Pvt Ltd.
|
Barclays Bank PLC
|
(2,404,229)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
(19,451
)
|
|
|
Mercari, Inc.
|
Barclays Bank PLC
|
(872,500)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
22,820
|
|
|
Mercari, Inc.
|
Citibank NA
|
(210,988)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
5,333
|
|
|
Methanex Corp.
|
Goldman Sachs Bank USA
|
(1,598,952)
|
08/18/26
|
(0.15)%
|
1D CORRA
|
Monthly
|
903
|
|
|
MetLife, Inc.
|
Barclays Bank PLC
|
(2,136,349)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(65,508
)
|
|
|
Metro, Inc./CN
|
Morgan Stanley & Co. International
PLC
|
(4,470,751)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
(43,114
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
MGM Resorts International
|
Citibank NA
|
$(6,368,509)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
$128,798
|
|
|
MGM Resorts International
|
Morgan Stanley & Co. International
PLC
|
(362,328)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
7,328
|
|
|
Mid-America Apartment
Communities, Inc.
|
Citibank NA
|
(7,353,316)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(43,035
)
|
|
|
Mid-America Apartment
Communities, Inc.
|
Goldman Sachs Bank USA
|
(2,600,624)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(9,782
)
|
|
|
Middleby Corp./The
|
Citibank NA
|
(100,731)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(1,992
)
|
|
|
Mirion Technologies, Inc.
|
Goldman Sachs Bank USA
|
(5,340)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
441
|
|
|
MISUMI Group, Inc.
|
Barclays Bank PLC
|
(2,397,730)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(47,980
)
|
|
|
MISUMI Group, Inc.
|
Citibank NA
|
(382,517)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(7,654
)
|
|
|
Mitsui Kinzoku Co Ltd.
|
Barclays Bank PLC
|
(2,259,640)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
245,119
|
|
|
Mitsui Kinzoku Co Ltd.
|
Citibank NA
|
(1,414,915)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
153,486
|
|
|
Mizuho Financial Group, Inc.
|
Barclays Bank PLC
|
(203,703)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
6,695
|
|
|
Mizuho Financial Group, Inc.
|
Citibank NA
|
(219,785)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
7,224
|
|
|
Mizuho Financial Group, Inc.
|
Goldman Sachs Bank USA
|
(8,511,951)
|
08/19/26
|
0.20%
|
1D P TONA
|
Monthly
|
356,860
|
|
|
Moderna, Inc.
|
Goldman Sachs Bank USA
|
(798,536)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
77,379
|
|
|
Modine Manufacturing Co.
|
Citibank NA
|
(16,976)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
3,303
|
|
|
Modine Manufacturing Co.
|
Morgan Stanley & Co. International
PLC
|
(3,466,501)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
674,582
|
|
|
Moelis & Co.
|
Citibank NA
|
(1,159,334)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(21,476
)
|
|
|
Moelis & Co.
|
Morgan Stanley & Co. International
PLC
|
(178,546)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(3,307
)
|
|
|
Mohawk Industries, Inc.
|
Citibank NA
|
(20,978)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(2,411
)
|
|
|
Molina Healthcare, Inc.
|
Citibank NA
|
(1,525,571)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
179,706
|
|
|
Molson Coors Beverage Co.
|
Citibank NA
|
(17,565)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(223
)
|
|
|
Moncler SpA
|
Citibank NA
|
(738,705)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
20,554
|
|
|
Monday.com Ltd.
|
Goldman Sachs Bank USA
|
(9,524)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(760
)
|
|
|
Mondelez International, Inc.
|
Barclays Bank PLC
|
(512,456)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(3,035
)
|
|
|
Mondelez International, Inc.
|
Citibank NA
|
(18,078,195)
|
02/22/28
|
0.06%
|
1D OBFR01
|
Monthly
|
(437,097
)
|
|
|
Monolithic Power Systems,
Inc.
|
Citibank NA
|
(5,388,228)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(106,266
)
|
|
|
MonotaRO Co Ltd.
|
Barclays Bank PLC
|
(142,853)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(11,101
)
|
|
|
Monster Beverage Corp.
|
Morgan Stanley & Co. International
PLC
|
(23,760,264)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(185,251
)
|
|
|
Moody's Corp.
|
Goldman Sachs Bank USA
|
(24,178,146)
|
08/18/26
|
0.10%
|
1D FEDL01
|
Monthly
|
1,199,641
|
|
|
Moog, Inc.
|
Citibank NA
|
(1,004,858)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
32,572
|
|
|
Morgan Stanley
|
Barclays Bank PLC
|
(667,736)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
24,692
|
|
|
Morgan Stanley
|
Merrill Lynch International
|
(2,968,636)
|
02/15/28
|
(0.15)%
|
1D OBFR01
|
Monthly
|
235,491
|
|
|
Mosaic Co./The
|
Citibank NA
|
(1,745,540)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
50,573
|
|
|
Mosaic Co./The
|
Citibank NA
|
(1,513,230)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
43,842
|
|
|
Mosaic Co./The
|
Goldman Sachs Bank USA
|
(157,432)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
6,286
|
|
|
MP Materials Corp.
|
Citibank NA
|
(922,029)
|
02/22/28
|
(0.26)%
|
1D OBFR01
|
Monthly
|
26,907
|
|
|
MP Materials Corp.
|
Merrill Lynch International
|
(495,362)
|
02/15/28
|
(0.65)%
|
1D OBFR01
|
Monthly
|
21,055
|
|
|
MP Materials Corp.
|
Morgan Stanley & Co. International
PLC
|
(1,165,525)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
109,970
|
|
|
MS&AD Insurance Group
Holdings, Inc.
|
Barclays Bank PLC
|
(1,554,015)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(31,339
)
|
|
|
MS&AD Insurance Group
Holdings, Inc.
|
Citibank NA
|
(21,123)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(426
)
|
|
|
MSA Safety, Inc.
|
Citibank NA
|
(1,648,365)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(176,895
)
|
|
|
MSA Safety, Inc.
|
Goldman Sachs Bank USA
|
(146,964)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(16,477
)
|
|
|
MSCI, Inc.
|
Goldman Sachs Bank USA
|
(4,037,153)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
321,598
|
|
|
Murphy USA, Inc.
|
Goldman Sachs Bank USA
|
(27,308)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(649
)
|
|
|
Murphy USA, Inc.
|
Goldman Sachs Bank USA
|
(128,915)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
3,109
|
|
|
Natera, Inc.
|
Citibank NA
|
(610,348)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(8,177
)
|
|
|
National Bank of Canada
|
Goldman Sachs Bank USA
|
(27,194)
|
08/18/26
|
(0.20)%
|
1D CORRA
|
Monthly
|
990
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
National Bank of Canada
|
Morgan Stanley & Co. International
PLC
|
$(2,376,037)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
$12,700
|
|
|
Navan, Inc.
|
Goldman Sachs Bank USA
|
(227,707)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(33,595
)
|
|
|
Neste OYJ
|
Barclays Bank PLC
|
(128,253)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
9,463
|
|
|
Neste OYJ
|
Citibank NA
|
(5,839,166)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
430,844
|
|
|
NewMarket Corp.
|
Citibank NA
|
(1,801,247)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(191,528
)
|
|
|
NewMarket Corp.
|
Goldman Sachs Bank USA
|
(154,974)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(14,208
)
|
|
|
News Corp.
|
Citibank NA
|
(7,475,275)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(60,152
)
|
|
|
News Corp.
|
Goldman Sachs Bank USA
|
(730,308)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(7,198
)
|
|
|
Nexstar Media Group, Inc.
|
Goldman Sachs Bank USA
|
(1,472,378)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(58,911
)
|
|
|
Next Vision Stabilized Systems
Ltd.
|
Morgan Stanley & Co. International
PLC
|
(28,152)
|
03/27/28
|
(0.75)%
|
SHIR
|
Monthly
|
489
|
|
|
NextEra Energy, Inc.
|
Goldman Sachs Bank USA
|
(66,201)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
1,620
|
|
|
NIDEC Corp.
|
Goldman Sachs Bank USA
|
(1,223,007)
|
08/19/26
|
0.20%
|
1D P TONA
|
Monthly
|
33,122
|
|
|
Nintendo Co Ltd.
|
Citibank NA
|
(3,856,726)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(255,197
)
|
|
|
Nippon Paint Holdings Co Ltd.
|
Barclays Bank PLC
|
(1,197,341)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(111,878
)
|
|
|
Nippon Paint Holdings Co Ltd.
|
Citibank NA
|
(80,743)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(7,545
)
|
|
|
NiSource, Inc.
|
Barclays Bank PLC
|
(312,645)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
10,210
|
|
|
Niterra Co Ltd.
|
Barclays Bank PLC
|
(5,607,146)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
263,672
|
|
|
Niterra Co Ltd.
|
Citibank NA
|
(183,841)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
8,645
|
|
|
Nitori Holdings Co Ltd.
|
Barclays Bank PLC
|
(130,113)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(10,244
)
|
|
|
Nordea Bank Abp
|
Barclays Bank PLC
|
(4,255,521)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(7,947
)
|
|
|
Nordea Bank Abp
|
Goldman Sachs Bank USA
|
(2,201,510)
|
08/19/26
|
(0.26)%
|
1D ESTR
|
Monthly
|
(79,852
)
|
|
|
Northern Star Resources Ltd.
|
Barclays Bank PLC
|
(11,848,959)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
381,037
|
|
|
Northern Trust Corp.
|
Morgan Stanley & Co. International
PLC
|
(22,868)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(452
)
|
|
|
Norwegian Cruise Line
Holdings Ltd.
|
Citibank NA
|
(10,096,414)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
418,269
|
|
|
Norwegian Cruise Line
Holdings Ltd.
|
Morgan Stanley & Co. International
PLC
|
(4,105,912)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
160,134
|
|
|
NOV, Inc.
|
Barclays Bank PLC
|
(7,969)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
353
|
|
|
NOV, Inc.
|
Citibank NA
|
(213,872)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
9,468
|
|
|
Novagold Resources, Inc.
|
Goldman Sachs Bank USA
|
(430,306)
|
08/18/26
|
(0.15)%
|
1D CORRA
|
Monthly
|
(14,596
)
|
|
|
Novartis AG
|
Goldman Sachs Bank USA
|
(19,595,635)
|
08/19/26
|
(0.24)%
|
SSARON
|
Monthly
|
(705,735
)
|
|
|
Novo Nordisk A/S
|
Barclays Bank PLC
|
(16,553,514)
|
02/14/28
|
(0.26)%
|
DESTR
|
Monthly
|
669,456
|
|
|
Novo Nordisk A/S
|
Citibank NA
|
(5,942,000)
|
11/11/26
|
0.00%
|
DESTR
|
Monthly
|
239,748
|
|
|
Novonesis Novozymes B
|
Barclays Bank PLC
|
(6,560,598)
|
02/14/28
|
(0.26)%
|
DESTR
|
Monthly
|
11,070
|
|
|
Novonesis Novozymes B
|
Citibank NA
|
(6,104,358)
|
11/11/26
|
0.00%
|
DESTR
|
Monthly
|
38,808
|
|
|
NRG Energy, Inc.
|
Citibank NA
|
(4,277,600)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
146,571
|
|
|
NRG Energy, Inc.
|
Citibank NA
|
(6,800,332)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
228,851
|
|
|
NTT, Inc.
|
Barclays Bank PLC
|
(23,173,860)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(83,408
)
|
|
|
NTT, Inc.
|
Citibank NA
|
(55,123)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(183
)
|
|
|
NTT, Inc.
|
Morgan Stanley & Co. International
PLC
|
(10,795)
|
12/09/27
|
(0.25)%
|
1D P TONA
|
Monthly
|
(36
)
|
|
|
Nutanix, Inc.
|
Citibank NA
|
(441,394)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(46,737
)
|
|
|
Nutrien Ltd.
|
Morgan Stanley & Co. International
PLC
|
(3,236,141)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
(12,085
)
|
|
|
Obic Co. Ltd.
|
Citibank NA
|
(2,456,727)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(216,580
)
|
|
|
Occidental Petroleum Corp.
|
Citibank NA
|
(8,711,242)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(83,929
)
|
|
|
Occidental Petroleum Corp.
|
Goldman Sachs Bank USA
|
(278,098)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(17,068
)
|
|
|
OGE Energy Corp.
|
Citibank NA
|
(2,222,345)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
87,902
|
|
|
OGE Energy Corp.
|
Goldman Sachs Bank USA
|
(7,166)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
206
|
|
|
Old National Bancorp/IN
|
Barclays Bank PLC
|
(42,066)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(399
)
|
|
|
Old Republic International
Corp.
|
Citibank NA
|
(1,585,334)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(61,355
)
|
|
|
Old Republic International
Corp.
|
Goldman Sachs Bank USA
|
(7,578)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(545
)
|
|
|
Olympus Corp.
|
Barclays Bank PLC
|
(8,265,230)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(442,813
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
Omega Healthcare Investors,
Inc.
|
Citibank NA
|
$(2,192,476)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
$(866
)
|
|
|
Omega Healthcare Investors,
Inc.
|
Goldman Sachs Bank USA
|
(3,596)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(201
)
|
|
|
Omron Corp.
|
Barclays Bank PLC
|
(1,308,195)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
34,153
|
|
|
Omron Corp.
|
Citibank NA
|
(278,120)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
7,261
|
|
|
ON Semiconductor Corp.
|
Citibank NA
|
(18,437,572)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
2,130,997
|
|
|
OneMain Holdings, Inc.
|
Goldman Sachs Bank USA
|
(28,412)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(938
)
|
|
|
ONEOK, Inc.
|
Barclays Bank PLC
|
(11,109,824)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
113,823
|
|
|
ONEOK, Inc.
|
Morgan Stanley & Co. International
PLC
|
(3,892,861)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
39,883
|
|
|
Opendoor Technologies, Inc.
|
Citibank NA
|
(662,828)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
38,392
|
|
|
Opendoor Technologies, Inc.
|
Goldman Sachs Bank USA
|
(1,211,559)
|
08/18/26
|
(0.35)%
|
1D FEDL01
|
Monthly
|
249,964
|
|
|
Oracle Corp.
|
Goldman Sachs Bank USA
|
(1,631,487)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
19,541
|
|
|
Organo Corp.
|
Barclays Bank PLC
|
(48,113)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
3,127
|
|
|
Organo Corp.
|
Citibank NA
|
(105,848)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
6,880
|
|
|
ORIX Corp.
|
Barclays Bank PLC
|
(7,058,446)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
148,928
|
|
|
ORIX Corp.
|
Citibank NA
|
(2,064,308)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
50,378
|
|
|
Ormat Technologies, Inc.
|
Goldman Sachs Bank USA
|
(3,387,073)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
332,038
|
|
|
Oscar Health, Inc.
|
Citibank NA
|
(920,223)
|
02/22/28
|
(0.01)%
|
1D OBFR01
|
Monthly
|
(53,654
)
|
|
|
Otis Worldwide Corp.
|
Goldman Sachs Bank USA
|
(6,901,283)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
34,303
|
|
|
Oversea-Chinese Banking
Corp. Ltd.
|
Goldman Sachs Bank USA
|
(2,218,026)
|
08/19/26
|
(0.30)%
|
SORA
|
Monthly
|
(60,110
)
|
|
|
Oversea-Chinese Banking
Corp. Ltd.
|
Morgan Stanley & Co. International
PLC
|
(21,642,962)
|
12/09/27
|
(0.30)%
|
SORA
|
Monthly
|
38,144
|
|
|
Ovintiv, Inc.
|
Goldman Sachs Bank USA
|
(25,671)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(2,936
)
|
|
|
Packaging Corp of America
|
Citibank NA
|
(10,725)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(830
)
|
|
|
Packaging Corp of America
|
Morgan Stanley & Co. International
PLC
|
(954,747)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(73,848
)
|
|
|
Palantir Technologies, Inc.
|
Morgan Stanley & Co. International
PLC
|
(14,328,091)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
53,992
|
|
|
Palo Alto Networks, Inc.
|
Morgan Stanley & Co. International
PLC
|
(3,350,905)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
27,296
|
|
|
Pan African Resources PLC
|
Citibank NA
|
(358,481)
|
11/11/26
|
0.00%
|
1D SONIA
|
Monthly
|
12,330
|
|
|
Pan Pacific International
Holdings Corp.
|
Goldman Sachs Bank USA
|
(134,275)
|
08/19/26
|
0.20%
|
1D P TONA
|
Monthly
|
(6,353
)
|
|
|
Panasonic Holdings Corp.
|
Citibank NA
|
(154,426)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(4,228
)
|
|
|
Panasonic Holdings Corp.
|
Goldman Sachs Bank USA
|
(7,118,641)
|
08/19/26
|
0.20%
|
1D P TONA
|
Monthly
|
182,783
|
|
|
Pandora A/S
|
Citibank NA
|
(2,274,315)
|
11/11/26
|
0.00%
|
DESTR
|
Monthly
|
(117,048
)
|
|
|
Par Pacific Holdings, Inc.
|
Citibank NA
|
(2,238,612)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(186,316
)
|
|
|
Paramount Skydance Corp.
|
Morgan Stanley & Co. International
PLC
|
(1,484,452)
|
12/09/27
|
(0.68)%
|
1D FEDL01
|
Monthly
|
138,639
|
|
|
Parsons Corp.
|
Barclays Bank PLC
|
(1,483,957)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
208,631
|
|
|
Paychex, Inc.
|
Citibank NA
|
(17,023,949)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(937,747
)
|
|
|
Paychex, Inc.
|
Goldman Sachs Bank USA
|
(4,874,484)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(286,806
)
|
|
|
Paycom Software, Inc.
|
Citibank NA
|
(430,298)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(76,175
)
|
|
|
Paycom Software, Inc.
|
Goldman Sachs Bank USA
|
(1,401,131)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(186,166
)
|
|
|
Paylocity Holding Corp.
|
Goldman Sachs Bank USA
|
(1,018,116)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(122,828
)
|
|
|
PayPal Holdings, Inc.
|
Barclays Bank PLC
|
(252,404)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(7,730
)
|
|
|
PayPal Holdings, Inc.
|
Merrill Lynch International
|
(1,912,831)
|
02/15/28
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(58,226
)
|
|
|
PBF Energy, Inc.
|
Goldman Sachs Bank USA
|
(144,622)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(20,393
)
|
|
|
PBF Energy, Inc.
|
Morgan Stanley & Co. International
PLC
|
(2,240,936)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(276,938
)
|
|
|
Peloton Interactive, Inc.
|
Goldman Sachs Bank USA
|
(454,228)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(4,305
)
|
|
|
Pembina Pipeline Corp.
|
Morgan Stanley & Co. International
PLC
|
(19,210,675)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
821,361
|
|
|
Penguin Solutions, Inc.
|
Goldman Sachs Bank USA
|
(1,756,357)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
179,773
|
|
|
PepsiCo, Inc.
|
Citibank NA
|
(10,555,313)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(293,663
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
PepsiCo, Inc.
|
Citibank NA
|
$(19,262)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
$(555
)
|
|
|
Performance Food Group Co.
|
Citibank NA
|
(5,443,543)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(147,612
)
|
|
|
Performance Food Group Co.
|
Citibank NA
|
(567,319)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(15,384
)
|
|
|
Performance Food Group Co.
|
Goldman Sachs Bank USA
|
(552)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(20
)
|
|
|
Permian Resources Corp.
|
Barclays Bank PLC
|
(7,637,739)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
9,398
|
|
|
PG&E Corp.
|
Citibank NA
|
(3,129,625)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
126,153
|
|
|
Philip Morris International, Inc.
|
Barclays Bank PLC
|
(745,335)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
13,349
|
|
|
Philip Morris International, Inc.
|
Goldman Sachs Bank USA
|
(21,307,090)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(1,114,451
)
|
|
|
Phillips 66
|
Goldman Sachs Bank USA
|
(248,294)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(1,276
)
|
|
|
Pinnacle Financial Partners,
Inc.
|
Citibank NA
|
(8,026,748)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(648,834
)
|
|
|
Pinnacle Financial Partners,
Inc.
|
Goldman Sachs Bank USA
|
(11,079)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(602
)
|
|
|
Pinnacle West Capital Corp.
|
Citibank NA
|
(57,189)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
2,857
|
|
|
Pinterest, Inc.
|
Citibank NA
|
(1,780,277)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(116,105
)
|
|
|
Planet Fitness, Inc.
|
Citibank NA
|
(828,749)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(28,519
)
|
|
|
Planet Labs PBC
|
Goldman Sachs Bank USA
|
(1,640,865)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
227,868
|
|
|
Plug Power, Inc.
|
Morgan Stanley & Co. International
PLC
|
(632,906)
|
12/09/27
|
(0.31)%
|
1D FEDL01
|
Monthly
|
(769
)
|
|
|
PNC Financial Services Group,
Inc./The
|
Citibank NA
|
(94,691)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
990
|
|
|
POET Technologies, Inc.
|
Citibank NA
|
(663,667)
|
02/22/28
|
(0.28)%
|
1D OBFR01
|
Monthly
|
40,103
|
|
|
POET Technologies, Inc.
|
Merrill Lynch International
|
(17,532)
|
02/15/28
|
(0.15)%
|
1D OBFR01
|
Monthly
|
2,714
|
|
|
POET Technologies, Inc.
|
Morgan Stanley & Co. International
PLC
|
(165,722)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
14,298
|
|
|
Polaris, Inc.
|
Goldman Sachs Bank USA
|
(70,918)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
4,375
|
|
|
Porsche Automobil Holding SE
|
Barclays Bank PLC
|
(3,607,566)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(127,562
)
|
|
|
Porsche Automobil Holding SE
|
Citibank NA
|
(3,728,551)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
(131,840
)
|
|
|
Post Holdings, Inc.
|
Citibank NA
|
(1,839,585)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(8,085
)
|
|
|
Powell Industries, Inc.
|
Goldman Sachs Bank USA
|
(2,759,102)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
428,146
|
|
|
Power Assets Holdings Ltd.
|
Barclays Bank PLC
|
(78,659)
|
12/11/28
|
(0.30)%
|
HONIA
|
Monthly
|
(390
)
|
|
|
PPL Corp.
|
Citibank NA
|
(53,284)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
1,314
|
|
|
Praxis Precision Medicines,
Inc.
|
Citibank NA
|
(2,494,356)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
39,411
|
|
|
Primo Brands Corp.
|
Citibank NA
|
(439,290)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
19,067
|
|
|
Pro Medicus Ltd.
|
Barclays Bank PLC
|
(1,431,014)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
97,191
|
|
|
Procore Technologies, Inc.
|
Citibank NA
|
(173,056)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(54,514
)
|
|
|
Procter & Gamble Co./The
|
Morgan Stanley & Co. International
PLC
|
(304,673)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
9,480
|
|
|
Progressive Corp./The
|
Citibank NA
|
(15,324,546)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(515,463
)
|
|
|
Progressive Corp./The
|
Goldman Sachs Bank USA
|
(1,820,712)
|
08/18/26
|
0.10%
|
1D FEDL01
|
Monthly
|
(55,006
)
|
|
|
Prologis, Inc.
|
Goldman Sachs Bank USA
|
(541,327)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
5,547
|
|
|
Prosus NV
|
Barclays Bank PLC
|
(22,870,916)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(1,986,779
)
|
|
|
Protagonist Therapeutics, Inc.
|
Citibank NA
|
(2,909,387)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(25,777
)
|
|
|
Protagonist Therapeutics, Inc.
|
Goldman Sachs Bank USA
|
(1,799,318)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(2,827
)
|
|
|
Prudential Financial, Inc.
|
Barclays Bank PLC
|
(63,941)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(1,738
)
|
|
|
Prudential Financial, Inc.
|
Citibank NA
|
(3,416,700)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(92,856
)
|
|
|
PSP Swiss Property AG
|
Citibank NA
|
(426,645)
|
11/11/26
|
0.00%
|
SSARON
|
Monthly
|
3,029
|
|
|
PTC Therapeutics, Inc.
|
Barclays Bank PLC
|
(3,058,149)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
405,283
|
|
|
Public Service Enterprise
Group, Inc.
|
Citibank NA
|
(94,382)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
3,439
|
|
|
Public Storage
|
Goldman Sachs Bank USA
|
(22,385,365)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(670,254
)
|
|
|
PVH Corp.
|
Goldman Sachs Bank USA
|
(2,846,831)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(289,134
)
|
|
|
QBE Insurance Group Ltd.
|
Barclays Bank PLC
|
(7,917,717)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
41,633
|
|
|
QBE Insurance Group Ltd.
|
Goldman Sachs Bank USA
|
(53,401)
|
08/19/26
|
(0.25)%
|
1D AONIA
|
Monthly
|
1,228
|
|
|
Quanta Services, Inc.
|
Citibank NA
|
(41,161)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(1,550
)
|
|
|
Quantum Computing, Inc.
|
Barclays Bank PLC
|
(121,648)
|
01/11/27
|
(11.63)%
|
1D OBFR01
|
Monthly
|
(2,922
)
|
|
|
Quantum Computing, Inc.
|
Citibank NA
|
(10,987)
|
02/22/28
|
(0.25)%
|
1D OBFR01
|
Monthly
|
(264
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
Quantum Computing, Inc.
|
Goldman Sachs Bank USA
|
$(219,653)
|
08/18/26
|
(11.72)%
|
1D FEDL01
|
Monthly
|
$(1,639
)
|
|
|
Quantum Computing, Inc.
|
Morgan Stanley & Co. International
PLC
|
(182,745)
|
12/09/27
|
(13.28)%
|
1D FEDL01
|
Monthly
|
(4,390
)
|
|
|
QXO, Inc.
|
Merrill Lynch International
|
(611,973)
|
02/15/28
|
(0.51)%
|
1D OBFR01
|
Monthly
|
80,691
|
|
|
QXO, Inc.
|
Morgan Stanley & Co. International
PLC
|
(825,322)
|
12/09/27
|
(0.23)%
|
1D FEDL01
|
Monthly
|
32,774
|
|
|
Raiffeisen Bank International
AG
|
Barclays Bank PLC
|
(2,649,139)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(169,981
)
|
|
|
Raiffeisen Bank International
AG
|
Citibank NA
|
(3,155,095)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
(202,445
)
|
|
|
Rakuten Bank Ltd.
|
Citibank NA
|
(127,577)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
1,124
|
|
|
Ralliant Corp.
|
Goldman Sachs Bank USA
|
(874,784)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
27,981
|
|
|
Ralph Lauren Corp.
|
Morgan Stanley & Co. International
PLC
|
(1,678,252)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
29,478
|
|
|
Rambus, Inc.
|
Citibank NA
|
(1,867,486)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
230,221
|
|
|
Rambus, Inc.
|
Goldman Sachs Bank USA
|
(299,719)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
34,548
|
|
|
Rayonier, Inc.
|
Citibank NA
|
(4,624,666)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(53,700
)
|
|
|
Rayonier, Inc.
|
Goldman Sachs Bank USA
|
(7,481)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
10
|
|
|
RB Global, Inc.
|
Morgan Stanley & Co. International
PLC
|
(10,842,645)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
152,439
|
|
|
Realty Income Corp.
|
Citibank NA
|
(14,567)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
260
|
|
|
Recruit Holdings Co Ltd.
|
Goldman Sachs Bank USA
|
(2,070,506)
|
08/19/26
|
0.20%
|
1D P TONA
|
Monthly
|
(33,044
)
|
|
|
Red Cat Holdings, Inc.
|
Morgan Stanley & Co. International
PLC
|
(535,423)
|
12/09/27
|
(0.53)%
|
1D FEDL01
|
Monthly
|
20,514
|
|
|
Red Rock Resorts, Inc.
|
Citibank NA
|
(291,977)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(2,514
)
|
|
|
Reddit, Inc.
|
Goldman Sachs Bank USA
|
(4,996,909)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
1,243,692
|
|
|
Regal Rexnord Corp.
|
Barclays Bank PLC
|
(20,190)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
899
|
|
|
Regency Centers Corp.
|
Citibank NA
|
(3,650,404)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
85,688
|
|
|
Regency Centers Corp.
|
Goldman Sachs Bank USA
|
(4,735,228)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(7,020
)
|
|
|
Reinsurance Group of America,
Inc.
|
Barclays Bank PLC
|
(454,997)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
1,430
|
|
|
Reinsurance Group of America,
Inc.
|
Citibank NA
|
(1,076,779)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(7,047
)
|
|
|
Reinsurance Group of America,
Inc.
|
Morgan Stanley & Co. International
PLC
|
(31,061)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(203
)
|
|
|
RELX PLC
|
Barclays Bank PLC
|
(1,917,652)
|
02/14/28
|
(0.25)%
|
1D SONIA
|
Monthly
|
(121,652
)
|
|
|
RELX PLC
|
Citibank NA
|
(2,670,676)
|
11/11/26
|
0.00%
|
1D SONIA
|
Monthly
|
(169,423
)
|
|
|
Renault SA
|
Barclays Bank PLC
|
(1,811,541)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(70,277
)
|
|
|
Renault SA
|
Citibank NA
|
(900,208)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
(34,923
)
|
|
|
Republic Services, Inc.
|
Goldman Sachs Bank USA
|
(263,948)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
971
|
|
|
Resona Holdings, Inc.
|
Barclays Bank PLC
|
(9,735,748)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
689,339
|
|
|
Resona Holdings, Inc.
|
Citibank NA
|
(722,410)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
51,150
|
|
|
Resona Holdings, Inc.
|
Goldman Sachs Bank USA
|
(310,287)
|
08/19/26
|
0.20%
|
1D P TONA
|
Monthly
|
3,813
|
|
|
Revvity, Inc.
|
Citibank NA
|
(47,974)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(859
)
|
|
|
Rexford Industrial Realty, Inc.
|
Barclays Bank PLC
|
(11,619)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(316
)
|
|
|
RH
|
Citibank NA
|
(1,620,983)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
88,599
|
|
|
Rheinmetall AG
|
Citibank NA
|
(14,258,151)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
(1,952,904
)
|
|
|
Rhythm Pharmaceuticals, Inc.
|
Citibank NA
|
(496,041)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
22,519
|
|
|
Rigetti Computing, Inc.
|
Goldman Sachs Bank USA
|
(820,095)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
10,478
|
|
|
Rightmove PLC
|
Barclays Bank PLC
|
(897,747)
|
02/14/28
|
(0.25)%
|
1D SONIA
|
Monthly
|
(58,996
)
|
|
|
Rightmove PLC
|
Citibank NA
|
(12,842)
|
11/11/26
|
0.00%
|
1D SONIA
|
Monthly
|
(844
)
|
|
|
RingCentral, Inc.
|
Goldman Sachs Bank USA
|
(1,054,481)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(386,911
)
|
|
|
Rivian Automotive, Inc.
|
Barclays Bank PLC
|
(1,917,546)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
218,765
|
|
|
Robinhood Markets, Inc.
|
Citibank NA
|
(8,718,288)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
1,430,109
|
|
|
Robinhood Markets, Inc.
|
Goldman Sachs Bank USA
|
(2,186,324)
|
08/18/26
|
0.10%
|
1D FEDL01
|
Monthly
|
404,573
|
|
|
Robinhood Markets, Inc.
|
Merrill Lynch International
|
(12,016)
|
02/15/28
|
0.10%
|
1D OBFR01
|
Monthly
|
3,014
|
|
|
ROBLOX Corp.
|
Goldman Sachs Bank USA
|
(1,694,465)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
637,466
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
ROBLOX Corp.
|
Morgan Stanley & Co. International
PLC
|
$(3,510,667)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
$977,549
|
|
|
Roche Holding AG
|
Citibank NA
|
(3,836,096)
|
11/11/26
|
0.00%
|
SSARON
|
Monthly
|
(241,976
)
|
|
|
Rocket Cos, Inc.
|
Citibank NA
|
(1,908,772)
|
02/22/28
|
(0.13)%
|
1D OBFR01
|
Monthly
|
70,200
|
|
|
Rocket Cos, Inc.
|
Citibank NA
|
(7,727,298)
|
02/22/28
|
(0.12)%
|
1D OBFR01
|
Monthly
|
299,775
|
|
|
Rocket Lab Corp.
|
Goldman Sachs Bank USA
|
(6,145,454)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
907,301
|
|
|
ROCKWOOL A/S
|
Barclays Bank PLC
|
(275,565)
|
02/14/28
|
(0.26)%
|
DESTR
|
Monthly
|
(20,141
)
|
|
|
ROCKWOOL A/S
|
Citibank NA
|
(727,546)
|
11/11/26
|
0.00%
|
DESTR
|
Monthly
|
(53,177
)
|
|
|
Rogers Communications, Inc.
|
Goldman Sachs Bank USA
|
(2,848,380)
|
08/18/26
|
(0.15)%
|
1D CORRA
|
Monthly
|
18,317
|
|
|
Rogers Communications, Inc.
|
Morgan Stanley & Co. International
PLC
|
(4,277,449)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
(101,493
)
|
|
|
Roivant Sciences Ltd.
|
Citibank NA
|
(14,732)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
422
|
|
|
Rollins, Inc.
|
Citibank NA
|
(10,749,228)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
1,208,696
|
|
|
Rolls-Royce Holdings PLC
|
Barclays Bank PLC
|
(16,786,841)
|
02/14/28
|
(0.25)%
|
1D SONIA
|
Monthly
|
(1,065,432
)
|
|
|
Rolls-Royce Holdings PLC
|
Goldman Sachs Bank USA
|
(47,932)
|
08/19/26
|
(0.25)%
|
1D SONIA
|
Monthly
|
(3,060
)
|
|
|
Roper Technologies, Inc.
|
Citibank NA
|
(15,750,957)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(2,585,008
)
|
|
|
Roper Technologies, Inc.
|
Goldman Sachs Bank USA
|
(3,197,977)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(377,181
)
|
|
|
Royal Bank of Canada
|
Citibank NA
|
(425)
|
02/22/28
|
0.00%
|
1D CORRA
|
Monthly
|
6
|
|
|
Royal Bank of Canada
|
Goldman Sachs Bank USA
|
(6,633,233)
|
08/18/26
|
(0.15)%
|
1D CORRA
|
Monthly
|
240,104
|
|
|
Royal Bank of Canada
|
Morgan Stanley & Co. International
PLC
|
(2,380,029)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
36,266
|
|
|
Royal Caribbean Cruises Ltd.
|
Citibank NA
|
(8,944,532)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(1,015,393
)
|
|
|
Royal Caribbean Cruises Ltd.
|
Goldman Sachs Bank USA
|
(4,558,408)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(414,711
)
|
|
|
Royal Gold, Inc.
|
Citibank NA
|
(1,544,671)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
22,334
|
|
|
RPM International, Inc.
|
Citibank NA
|
(10,757,610)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
36,049
|
|
|
RPM International, Inc.
|
Goldman Sachs Bank USA
|
(8,243)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(322
)
|
|
|
Rubrik, Inc.
|
Citibank NA
|
(715,235)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
12,909
|
|
|
Rush Street Interactive, Inc.
|
Goldman Sachs Bank USA
|
(128,601)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
25,751
|
|
|
Ryan Specialty Holdings, Inc.
|
Citibank NA
|
(10,058)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(1,247
)
|
|
|
Ryanair Holdings PLC
|
Barclays Bank PLC
|
(724,370)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
7,742
|
|
|
Ryman Hospitality Properties,
Inc.
|
Citibank NA
|
(1,553,524)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(33,971
)
|
|
|
Ryohin Keikaku Co Ltd.
|
Barclays Bank PLC
|
(7,240,618)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(12,050
)
|
|
|
Ryohin Keikaku Co Ltd.
|
Citibank NA
|
(1,519,463)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(4,516
)
|
|
|
S&P Global, Inc.
|
Citibank NA
|
(2,225,963)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
88,870
|
|
|
S&P Global, Inc.
|
Goldman Sachs Bank USA
|
(3,687,850)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
116,829
|
|
|
Saab AB
|
Citibank NA
|
(7,052,899)
|
11/11/26
|
0.00%
|
TN STIBOR
|
Monthly
|
(138,758
)
|
|
|
Safran SA
|
Barclays Bank PLC
|
(8,861,858)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(367,308
)
|
|
|
Sampo OYJ
|
Barclays Bank PLC
|
(8,502,960)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
54,831
|
|
|
Samsara, Inc.
|
Morgan Stanley & Co. International
PLC
|
(2,211,712)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(261,451
)
|
|
|
Sandoz Group AG
|
Morgan Stanley & Co. International
PLC
|
(1,535,689)
|
12/09/27
|
(0.26)%
|
SSARON
|
Monthly
|
(46,654
)
|
|
|
Sanmina Corp.
|
Goldman Sachs Bank USA
|
(2,624,983)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
138,850
|
|
|
Sanmina Corp.
|
Goldman Sachs Bank USA
|
(296,892)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(39,343
)
|
|
|
SAP SE
|
Barclays Bank PLC
|
(1,162,713)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(224,098
)
|
|
|
SAP SE
|
Goldman Sachs Bank USA
|
(1,311,441)
|
08/19/26
|
(0.26)%
|
1D ESTR
|
Monthly
|
(176,732
)
|
|
|
Sartorius Stedim Biotech
|
Barclays Bank PLC
|
(5,132,921)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
223,631
|
|
|
Sartorius Stedim Biotech
|
Citibank NA
|
(263,196)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
11,467
|
|
|
SBA Communications Corp.
|
Citibank NA
|
(1,907,662)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(31,719
)
|
|
|
SBA Communications Corp.
|
Citibank NA
|
(2,223,470)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(36,970
)
|
|
|
Scentre Group
|
Barclays Bank PLC
|
(244,758)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
(114
)
|
|
|
Secom Co Ltd.
|
Barclays Bank PLC
|
(2,254,715)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(41,237
)
|
|
|
Secom Co Ltd.
|
Citibank NA
|
(3,217,121)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(56,658
)
|
|
|
Seibu Holdings, Inc.
|
Barclays Bank PLC
|
(3,059,300)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(19,995
)
|
|
|
Seibu Holdings, Inc.
|
Citibank NA
|
(144,621)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(945
)
|
|
|
Sembcorp Industries Ltd.
|
Goldman Sachs Bank USA
|
(1,277,784)
|
08/19/26
|
(1.12)%
|
SORA
|
Monthly
|
12,405
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
Sembcorp Industries Ltd.
|
Morgan Stanley & Co. International
PLC
|
$(3,039,308)
|
12/09/27
|
(4.50)%
|
SORA
|
Monthly
|
$(42,420
)
|
|
|
Sempra
|
Morgan Stanley & Co. International
PLC
|
(6,979)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
337
|
|
|
SentinelOne, Inc.
|
Barclays Bank PLC
|
(22,502)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(1,037
)
|
|
|
Service Corp International/US
|
Goldman Sachs Bank USA
|
(24,252)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(2,553
)
|
|
|
Shake Shack, Inc.
|
Goldman Sachs Bank USA
|
(1,324,860)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(60,723
)
|
|
|
Shimano, Inc.
|
Barclays Bank PLC
|
(2,305,987)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(193,370
)
|
|
|
Shimano, Inc.
|
Citibank NA
|
(256,221)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(21,486
)
|
|
|
Sigma Healthcare Ltd.
|
Barclays Bank PLC
|
(2,363,449)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
(33,061
)
|
|
|
Signet Jewelers Ltd.
|
Citibank NA
|
(89,351)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(2,248
)
|
|
|
Simon Property Group, Inc.
|
Goldman Sachs Bank USA
|
(16,949,714)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(491,122
)
|
|
|
Simon Property Group, Inc.
|
Goldman Sachs Bank USA
|
(40,628)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(1,347
)
|
|
|
Singapore Exchange Ltd.
|
Goldman Sachs Bank USA
|
(2,164,328)
|
08/19/26
|
(0.30)%
|
SORA
|
Monthly
|
(41,398
)
|
|
|
Sirius XM Holdings, Inc.
|
Citibank NA
|
(1,761,044)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
12,398
|
|
|
SiteOne Landscape Supply,
Inc.
|
Goldman Sachs Bank USA
|
(29,443)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
2,906
|
|
|
Skandinaviska Enskilda
Banken AB
|
Barclays Bank PLC
|
(9,900,683)
|
02/14/28
|
(0.26)%
|
1D STIBOR
|
Monthly
|
(239,849
)
|
|
|
Skandinaviska Enskilda
Banken AB
|
Morgan Stanley & Co. International
PLC
|
(405,422)
|
12/09/27
|
(0.26)%
|
1D STIBOR
|
Monthly
|
(9,920
)
|
|
|
Skeena Resources Ltd.
|
Goldman Sachs Bank USA
|
(4,311,134)
|
08/18/26
|
(0.15)%
|
1D CORRA
|
Monthly
|
163,926
|
|
|
SM Energy Co.
|
Citibank NA
|
(10,267,360)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
207,265
|
|
|
SM Energy Co.
|
Goldman Sachs Bank USA
|
(1,507,873)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(130,484
)
|
|
|
SM Energy Co.
|
Goldman Sachs Bank USA
|
(796,369)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(35,883
)
|
|
|
SMC Corp.
|
Barclays Bank PLC
|
(1,219,289)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
52,726
|
|
|
Snap, Inc.
|
Morgan Stanley & Co. International
PLC
|
(825,998)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(40,653
)
|
|
|
Snap-on, Inc.
|
Citibank NA
|
(7,649,806)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(79,856
)
|
|
|
Snowflake, Inc.
|
Goldman Sachs Bank USA
|
(230,176)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(20,871
)
|
|
|
SoFi Technologies, Inc.
|
Goldman Sachs Bank USA
|
(737,384)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
45,693
|
|
|
SoftBank Corp.
|
Citibank NA
|
(2,854,453)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(24,705
)
|
|
|
SoftBank Group Corp.
|
Barclays Bank PLC
|
(1,474,059)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
193,150
|
|
|
SoftBank Group Corp.
|
Citibank NA
|
(2,813,774)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
368,697
|
|
|
SoftBank Group Corp.
|
Goldman Sachs Bank USA
|
(12,279,578)
|
08/19/26
|
0.20%
|
1D P TONA
|
Monthly
|
2,497,058
|
|
|
SoftBank Group Corp.
|
Morgan Stanley & Co. International
PLC
|
(6,720,798)
|
12/09/27
|
(0.25)%
|
1D P TONA
|
Monthly
|
880,645
|
|
|
SOITEC
|
Barclays Bank PLC
|
(1,467,444)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(147,113
)
|
|
|
SolarEdge Technologies, Inc.
|
Goldman Sachs Bank USA
|
(228,254)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
55,955
|
|
|
SolarEdge Technologies, Inc.
|
Merrill Lynch International
|
(1,595,701)
|
02/15/28
|
(0.15)%
|
1D OBFR01
|
Monthly
|
391,178
|
|
|
Solaris Energy Infrastructure,
Inc.
|
Citibank NA
|
(2,107,326)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
141,871
|
|
|
Solventum Corp.
|
Citibank NA
|
(304,038)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(30,545
)
|
|
|
Somnigroup International, Inc.
|
Citibank NA
|
(15,180,681)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
1,041,048
|
|
|
Somnigroup International, Inc.
|
Goldman Sachs Bank USA
|
(13,995)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
1,517
|
|
|
Sompo Holdings, Inc.
|
Barclays Bank PLC
|
(11,445,977)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(261,406
)
|
|
|
Sompo Holdings, Inc.
|
Citibank NA
|
(156,259)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(3,569
)
|
|
|
SoundHound AI, Inc.
|
Barclays Bank PLC
|
(3,999)
|
01/11/27
|
(11.38)%
|
1D OBFR01
|
Monthly
|
204
|
|
|
Southern Co./The
|
Barclays Bank PLC
|
(3,804,176)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
56,705
|
|
|
Southern Co./The
|
Citibank NA
|
(1,984,305)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
26,098
|
|
|
Southern Co./The
|
Goldman Sachs Bank USA
|
(359,783)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
3,650
|
|
|
Southwest Airlines Co.
|
Citibank NA
|
(13,583)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
767
|
|
|
Sprott, Inc.
|
Morgan Stanley & Co. International
PLC
|
(545)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
31
|
|
|
Sprouts Farmers Market, Inc.
|
Citibank NA
|
(5,198,500)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(929,459
)
|
|
|
Spyre Therapeutics, Inc.
|
Citibank NA
|
(1,220,684)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
10,340
|
|
|
Square Enix Holdings Co. Ltd.
|
Barclays Bank PLC
|
(620,110)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(62,740
)
|
|
|
Square Enix Holdings Co. Ltd.
|
Citibank NA
|
(610,643)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(61,782
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
SS&C Technologies Holdings,
Inc.
|
Barclays Bank PLC
|
$(34,850)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
$(5,216
)
|
|
|
Starbucks Corp.
|
Goldman Sachs Bank USA
|
(3,661,166)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(28,057
)
|
|
|
Starwood Property Trust, Inc.
|
Goldman Sachs Bank USA
|
(4,709,116)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
192,209
|
|
|
Starwood Property Trust, Inc.
|
Morgan Stanley & Co. International
PLC
|
(10,637,774)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
322,748
|
|
|
State Street Corp.
|
Barclays Bank PLC
|
(62,982)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
367
|
|
|
Steel Dynamics, Inc.
|
Citibank NA
|
(6,223,015)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(329,092
)
|
|
|
Stellantis NV
|
Merrill Lynch International
|
(2,159,713)
|
02/15/28
|
(0.05)%
|
1D OBFR01
|
Monthly
|
51,247
|
|
|
Stellantis NV
|
Morgan Stanley & Co. International
PLC
|
(443,172)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
3,056
|
|
|
Sterling Infrastructure, Inc.
|
Goldman Sachs Bank USA
|
(4,700,584)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
462,323
|
|
|
STMicroelectronics NV
|
Barclays Bank PLC
|
(2,294,072)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
470,314
|
|
|
StoneX Group, Inc.
|
Citibank NA
|
(1,079,952)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(37,205
)
|
|
|
StoneX Group, Inc.
|
Goldman Sachs Bank USA
|
(1,962)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
48
|
|
|
StoneX Group, Inc.
|
Goldman Sachs Bank USA
|
(1,564,729)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
7,525
|
|
|
Sumitomo Mitsui Financial
Group, Inc.
|
Citibank NA
|
(520,280)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(8,238
)
|
|
|
Sumitomo Mitsui Financial
Group, Inc.
|
Goldman Sachs Bank USA
|
(8,075,942)
|
08/19/26
|
0.20%
|
1D P TONA
|
Monthly
|
281,382
|
|
|
Suncorp Group Ltd.
|
Barclays Bank PLC
|
(1,756,583)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
19,859
|
|
|
Sunrun, Inc.
|
Barclays Bank PLC
|
(165,783)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
17,260
|
|
|
Suntory Beverage & Food Ltd.
|
Barclays Bank PLC
|
(3,825,818)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
19,163
|
|
|
Suntory Beverage & Food Ltd.
|
Citibank NA
|
(26,224)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
131
|
|
|
Super Micro Computer, Inc.
|
Morgan Stanley & Co. International
PLC
|
(1,159,660)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
81,966
|
|
|
Suzuki Motor Corp.
|
Barclays Bank PLC
|
(2,510,800)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(25,504
)
|
|
|
Suzuki Motor Corp.
|
Citibank NA
|
(175,743)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(1,785
)
|
|
|
Suzuki Motor Corp.
|
Goldman Sachs Bank USA
|
(412,471)
|
08/19/26
|
0.19%
|
1D P TONA
|
Monthly
|
(10,464
)
|
|
|
Svenska Cellulosa AB SCA
|
Goldman Sachs Bank USA
|
(4,653,228)
|
08/19/26
|
(0.26)%
|
1D STIBOR
|
Monthly
|
(377,120
)
|
|
|
Swedbank AB
|
Citibank NA
|
(5,865,840)
|
11/11/26
|
0.00%
|
TN STIBOR
|
Monthly
|
(175,874
)
|
|
|
Swedbank AB
|
Goldman Sachs Bank USA
|
(17,701,631)
|
08/19/26
|
(0.26)%
|
1D STIBOR
|
Monthly
|
(697,910
)
|
|
|
Swiss Prime Site AG
|
Barclays Bank PLC
|
(4,054,922)
|
02/14/28
|
(0.26)%
|
SSARON
|
Monthly
|
4,495
|
|
|
Swiss Re AG
|
Citibank NA
|
(20,186,214)
|
11/11/26
|
0.00%
|
SSARON
|
Monthly
|
(466,390
)
|
|
|
Swisscom AG
|
Citibank NA
|
(5,014,759)
|
11/11/26
|
0.00%
|
SSARON
|
Monthly
|
45,990
|
|
|
Swissquote Group Holding SA
|
Goldman Sachs Bank USA
|
(57,376)
|
08/19/26
|
(0.26)%
|
SSARON
|
Monthly
|
379
|
|
|
Symbotic, Inc.
|
Citibank NA
|
(1,325,219)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(18,414
)
|
|
|
Synchrony Financial
|
Morgan Stanley & Co. International
PLC
|
(1,421,906)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(58,196
)
|
|
|
Synopsys, Inc.
|
Citibank NA
|
(8,922,169)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(263,452
)
|
|
|
Synopsys, Inc.
|
Morgan Stanley & Co. International
PLC
|
(5,196,669)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(153,446
)
|
|
|
Sysco Corp.
|
Citibank NA
|
(739,442)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(8,113
)
|
|
|
Sysco Corp.
|
Morgan Stanley & Co. International
PLC
|
(75,961)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(2,886
)
|
|
|
T&D Holdings, Inc.
|
Citibank NA
|
(1,032,043)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
10,930
|
|
|
Take-Two Interactive Software,
Inc.
|
Citibank NA
|
(8,164,634)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(316,918
)
|
|
|
Talen Energy Corp.
|
Goldman Sachs Bank USA
|
(3,150,178)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
367,794
|
|
|
Talen Energy Corp.
|
Morgan Stanley & Co. International
PLC
|
(3,661,333)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
346,393
|
|
|
Tamarack Valley Energy Ltd.
|
Morgan Stanley & Co. International
PLC
|
(280,478)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
(4,462
)
|
|
|
TC Energy Corp.
|
Goldman Sachs Bank USA
|
(5,293,209)
|
08/18/26
|
(0.15)%
|
1D CORRA
|
Monthly
|
147,185
|
|
|
TC Energy Corp.
|
Morgan Stanley & Co. International
PLC
|
(4,896,544)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
195,702
|
|
|
TechnipFMC PLC
|
Morgan Stanley & Co. International
PLC
|
(642,826)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
20,458
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
Teleflex, Inc.
|
Barclays Bank PLC
|
$(257,468)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
$(3,648
)
|
|
|
Teleflex, Inc.
|
Citibank NA
|
(3,427,425)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(48,564
)
|
|
|
Teleflex, Inc.
|
Morgan Stanley & Co. International
PLC
|
(34,644)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(491
)
|
|
|
Tempus AI, Inc.
|
Citibank NA
|
(1,645,323)
|
02/22/28
|
(0.16)%
|
1D OBFR01
|
Monthly
|
73,899
|
|
|
Tempus AI, Inc.
|
Merrill Lynch International
|
(22,041)
|
02/15/28
|
(0.51)%
|
1D OBFR01
|
Monthly
|
5,151
|
|
|
Tempus AI, Inc.
|
Morgan Stanley & Co. International
PLC
|
(54,004)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
3,553
|
|
|
Tenable Holdings, Inc.
|
Goldman Sachs Bank USA
|
(704,722)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(7,842
)
|
|
|
Tenet Healthcare Corp.
|
Barclays Bank PLC
|
(2,110,952)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(642,201
)
|
|
|
Teradata Corp.
|
Goldman Sachs Bank USA
|
(479,591)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(33,851
)
|
|
|
Terex Corp.
|
Citibank NA
|
(6,201,359)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
391,110
|
|
|
Terex Corp.
|
Goldman Sachs Bank USA
|
(827,059)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
33,830
|
|
|
Terex Corp.
|
Goldman Sachs Bank USA
|
(6,618)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
271
|
|
|
Terreno Realty Corp.
|
Citibank NA
|
(3,793,159)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
75,240
|
|
|
Terreno Realty Corp.
|
Goldman Sachs Bank USA
|
(6,322)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
17
|
|
|
Terumo Corp.
|
Barclays Bank PLC
|
(3,538,760)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(219,667
)
|
|
|
Tesla, Inc.
|
Goldman Sachs Bank USA
|
(4,550,549)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
811,361
|
|
|
Texas Pacific Land Corp.
|
Barclays Bank PLC
|
(11,836,623)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
834,112
|
|
|
Texas Pacific Land Corp.
|
Goldman Sachs Bank USA
|
(41,344)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
1,086
|
|
|
Textron, Inc.
|
Barclays Bank PLC
|
(70,158)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
4,934
|
|
|
Textron, Inc.
|
Citibank NA
|
(2,065,401)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
145,260
|
|
|
TG Therapeutics, Inc.
|
Citibank NA
|
(110,786)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
1,367
|
|
|
Thales SA
|
Barclays Bank PLC
|
(5,229,380)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
(462,806
)
|
|
|
Thermo Fisher Scientific, Inc.
|
Goldman Sachs Bank USA
|
(23,553)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(1,716
)
|
|
|
thyssenkrupp AG
|
Goldman Sachs Bank USA
|
(7,541,300)
|
08/19/26
|
(0.26)%
|
1D ESTR
|
Monthly
|
(131,892
)
|
|
|
Timken Co./The
|
Citibank NA
|
(1,760,444)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
50,835
|
|
|
Timken Co./The
|
Goldman Sachs Bank USA
|
(1,258,159)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
17,320
|
|
|
TKO Group Holdings, Inc.
|
Citibank NA
|
(6,667,282)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(5,873
)
|
|
|
T-Mobile US, Inc.
|
Merrill Lynch International
|
(77,862)
|
02/15/28
|
0.10%
|
1D OBFR01
|
Monthly
|
6,188
|
|
|
T-Mobile US, Inc.
|
Morgan Stanley & Co. International
PLC
|
(76,567)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
7,310
|
|
|
TMX Group Ltd.
|
Morgan Stanley & Co. International
PLC
|
(2,436,293)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
(28,352
)
|
|
|
Toast, Inc.
|
Citibank NA
|
(2,404,544)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(257,440
)
|
|
|
Toho Co. Ltd./Tokyo
|
Barclays Bank PLC
|
(3,545,374)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(335,556
)
|
|
|
Tokio Marine Holdings, Inc.
|
Barclays Bank PLC
|
(8,191,185)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(141,814
)
|
|
|
Tokio Marine Holdings, Inc.
|
Citibank NA
|
(417,923)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(1
)
|
|
|
Torex Gold Resources, Inc.
|
Goldman Sachs Bank USA
|
(4,537)
|
08/18/26
|
(0.20)%
|
1D CORRA
|
Monthly
|
73
|
|
|
Torex Gold Resources, Inc.
|
Morgan Stanley & Co. International
PLC
|
(1,687,639)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
49,916
|
|
|
TOTO Ltd.
|
Barclays Bank PLC
|
(631,025)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
58,156
|
|
|
TOTO Ltd.
|
Citibank NA
|
(1,515,416)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
139,662
|
|
|
Toyo Suisan Kaisha Ltd.
|
Barclays Bank PLC
|
(4,546,180)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
159,936
|
|
|
Toyo Suisan Kaisha Ltd.
|
Citibank NA
|
(168,128)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
5,915
|
|
|
Toyota Motor Corp.
|
Barclays Bank PLC
|
(1,322,601)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(32,405
)
|
|
|
Toyota Motor Corp.
|
Goldman Sachs Bank USA
|
(13,524,004)
|
08/19/26
|
0.19%
|
1D P TONA
|
Monthly
|
(637,323
)
|
|
|
Toyota Tsusho Corp.
|
Barclays Bank PLC
|
(5,804,767)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(134,647
)
|
|
|
Tradeweb Markets, Inc.
|
Citibank NA
|
(3,527,265)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(58,877
)
|
|
|
Tradeweb Markets, Inc.
|
Goldman Sachs Bank USA
|
(705)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
1
|
|
|
TransDigm Group, Inc.
|
Barclays Bank PLC
|
(1,803,997)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(90,117
)
|
|
|
TransDigm Group, Inc.
|
Morgan Stanley & Co. International
PLC
|
(12,516,872)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(625,267
)
|
|
|
TransMedics Group, Inc.
|
Citibank NA
|
(2,337,994)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(174,364
)
|
|
|
Transocean Ltd.
|
Morgan Stanley & Co. International
PLC
|
(64,559)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(244
)
|
|
|
TransUnion
|
Citibank NA
|
(6,936,046)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(296,208
)
|
|
|
TransUnion
|
Goldman Sachs Bank USA
|
(661,928)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(8,701
)
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
TransUnion
|
Morgan Stanley & Co. International
PLC
|
$(35,287)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
$(1,507
)
|
|
|
Tritax Big Box REIT PLC
|
Barclays Bank PLC
|
(1,871,980)
|
02/14/28
|
(0.25)%
|
1D SONIA
|
Monthly
|
(19,843
)
|
|
|
Tritax Big Box REIT PLC
|
Citibank NA
|
(676,224)
|
11/11/26
|
0.00%
|
1D SONIA
|
Monthly
|
(7,168
)
|
|
|
Truist Financial Corp.
|
Citibank NA
|
(51,730)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(110
)
|
|
|
TUI AG
|
Morgan Stanley & Co. International
PLC
|
(65,745)
|
12/09/27
|
(0.26)%
|
1D ESTR
|
Monthly
|
(6,934
)
|
|
|
Tyler Technologies, Inc.
|
Morgan Stanley & Co. International
PLC
|
(1,531,348)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(136,158
)
|
|
|
Tyson Foods, Inc.
|
Citibank NA
|
(30,299)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(478
)
|
|
|
Uber Technologies, Inc.
|
Morgan Stanley & Co. International
PLC
|
(475,571)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(203
)
|
|
|
UBS Group AG
|
Citibank NA
|
(23,991,204)
|
11/11/26
|
0.00%
|
SSARON
|
Monthly
|
80,843
|
|
|
UDR, Inc.
|
Citibank NA
|
(5,917,715)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
206,536
|
|
|
UDR, Inc.
|
Citibank NA
|
(34,439)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
1,202
|
|
|
UDR, Inc.
|
Goldman Sachs Bank USA
|
(3,087,477)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
102,335
|
|
|
UL Solutions, Inc.
|
Citibank NA
|
(2,796,051)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(180,600
)
|
|
|
Ulta Beauty, Inc.
|
Citibank NA
|
(182,771)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(11,079
)
|
|
|
Ultra Clean Holdings, Inc.
|
Citibank NA
|
(87,053)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
15,573
|
|
|
UMB Financial Corp.
|
Citibank NA
|
(2,416,629)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(84,972
)
|
|
|
UMB Financial Corp.
|
Goldman Sachs Bank USA
|
(9,009)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(26
)
|
|
|
United Airlines Holdings, Inc.
|
Citibank NA
|
(1,257,994)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(41,329
)
|
|
|
United Overseas Bank Ltd.
|
Morgan Stanley & Co. International
PLC
|
(1,071,921)
|
12/09/27
|
(0.30)%
|
SORA
|
Monthly
|
(6,908
)
|
|
|
United Rentals, Inc.
|
Citibank NA
|
(41,402)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(1,768
)
|
|
|
United Rentals, Inc.
|
Citibank NA
|
(4,971,888)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(190,212
)
|
|
|
United Therapeutics Corp.
|
Citibank NA
|
(7,906)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
140
|
|
|
Unity Software, Inc.
|
Citibank NA
|
(118,309)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(9,862
)
|
|
|
Unity Software, Inc.
|
Morgan Stanley & Co. International
PLC
|
(1,928,981)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(160,803
)
|
|
|
Universal Health Services, Inc.
|
Citibank NA
|
(270,903)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(34,647
)
|
|
|
Universal Music Group NV
|
Barclays Bank PLC
|
(15,009,700)
|
02/14/28
|
(0.26)%
|
1D ESTR
|
Monthly
|
3,297,989
|
|
|
Upstart Holdings, Inc.
|
Citibank NA
|
(907,201)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
38,011
|
|
|
US BanCorp.
|
Citibank NA
|
(43,904)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
994
|
|
|
US Foods Holding Corp.
|
Goldman Sachs Bank USA
|
(5,819,881)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(212,702
)
|
|
|
US Foods Holding Corp.
|
Morgan Stanley & Co. International
PLC
|
(571,845)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(26,967
)
|
|
|
Valvoline, Inc.
|
Goldman Sachs Bank USA
|
(47,768)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
1,177
|
|
|
Varonis Systems, Inc.
|
Citibank NA
|
(78,512)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
9,318
|
|
|
Ventas, Inc.
|
Morgan Stanley & Co. International
PLC
|
(1,699,987)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
52,715
|
|
|
Venture Global, Inc.
|
Goldman Sachs Bank USA
|
(1,503,141)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(30,207
)
|
|
|
Venture Global, Inc.
|
Morgan Stanley & Co. International
PLC
|
(6,681,035)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
576,544
|
|
|
Veolia Environnement SA
|
Citibank NA
|
(1,760,461)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
129,570
|
|
|
Veralto Corp.
|
Citibank NA
|
(7,779,666)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(244,277
)
|
|
|
Verisk Analytics, Inc.
|
Citibank NA
|
(2,514,830)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(33,613
)
|
|
|
Vertex Pharmaceuticals, Inc.
|
Goldman Sachs Bank USA
|
(468,648)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
2,044
|
|
|
VF Corp.
|
Morgan Stanley & Co. International
PLC
|
(1,465,892)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
171,507
|
|
|
Viasat, Inc.
|
Barclays Bank PLC
|
(87,459)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(3,011
)
|
|
|
Viasat, Inc.
|
Citibank NA
|
(1,380,828)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(47,532
)
|
|
|
Viasat, Inc.
|
Citibank NA
|
(2,096,118)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(72,154
)
|
|
|
Viavi Solutions, Inc.
|
Goldman Sachs Bank USA
|
(19,980)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
1,579
|
|
|
Vicinity Ltd.
|
Barclays Bank PLC
|
(1,871,228)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
(21,869
)
|
|
|
Vicinity Ltd.
|
Citibank NA
|
(4,681)
|
02/24/27
|
0.00%
|
1D AONIA
|
Monthly
|
(55
)
|
|
|
Victoria's Secret & Co.
|
Citibank NA
|
(1,491,593)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(22,885
)
|
|
|
Viper Energy, Inc.
|
Citibank NA
|
(24,080,470)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
343,801
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
Vistance Networks, Inc.
|
Citibank NA
|
$(630,866)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
$17,756
|
|
|
Vistra Corp.
|
Barclays Bank PLC
|
(4,196,913)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
384,280
|
|
|
Vistra Corp.
|
Citibank NA
|
(3,008,982)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
225,233
|
|
|
VSE Corp.
|
Citibank NA
|
(6,971,311)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
95,153
|
|
|
VSE Corp.
|
Goldman Sachs Bank USA
|
(847,004)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
39,703
|
|
|
Vulcan Materials Co.
|
Citibank NA
|
(1,658,335)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
56,315
|
|
|
Walmart, Inc.
|
Barclays Bank PLC
|
(1,194,321)
|
01/11/27
|
0.10%
|
1D OBFR01
|
Monthly
|
(20,428
)
|
|
|
Waste Connections, Inc.
|
Morgan Stanley & Co. International
PLC
|
(2,793,699)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
45,989
|
|
|
Waters Corp.
|
Citibank NA
|
(14,460,868)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(253,091
)
|
|
|
Wayfair, Inc.
|
Citibank NA
|
(2,481,961)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(17,665
)
|
|
|
Wayfair, Inc.
|
Citibank NA
|
(1,324,690)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(9,428
)
|
|
|
Weatherford International PLC
|
Goldman Sachs Bank USA
|
(261,383)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(19,106
)
|
|
|
WEC Energy Group, Inc.
|
Goldman Sachs Bank USA
|
(90,037)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
2,829
|
|
|
Weir Group PLC/The
|
Barclays Bank PLC
|
(140,559)
|
02/14/28
|
(0.25)%
|
1D SONIA
|
Monthly
|
(6,859
)
|
|
|
Wells Fargo & Co.
|
Citibank NA
|
(4,778,181)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(4,751
)
|
|
|
Welltower, Inc.
|
Citibank NA
|
(20,723,278)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
896,453
|
|
|
Welltower, Inc.
|
Citibank NA
|
(291,108)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
12,593
|
|
|
Welltower, Inc.
|
Goldman Sachs Bank USA
|
(2,883,767)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
2,265
|
|
|
WESCO International, Inc.
|
Citibank NA
|
(30,080)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(1,178
)
|
|
|
Wesfarmers Ltd.
|
Barclays Bank PLC
|
(3,598,313)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
35,427
|
|
|
West Japan Railway Co.
|
Barclays Bank PLC
|
(3,077,448)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(66,262
)
|
|
|
Western Alliance BanCorp.
|
Barclays Bank PLC
|
(148,970)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
5,215
|
|
|
Westinghouse Air Brake
Technologies Corp.
|
Goldman Sachs Bank USA
|
(42,073)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(5,046
)
|
|
|
Westpac Banking Corp.
|
Barclays Bank PLC
|
(5,825,095)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
(215,645
)
|
|
|
WEX, Inc.
|
Goldman Sachs Bank USA
|
(4,664,048)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(862,490
)
|
|
|
Weyerhaeuser Co.
|
Barclays Bank PLC
|
(536,736)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(27,265
)
|
|
|
Weyerhaeuser Co.
|
Citibank NA
|
(9,391,631)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(477,073
)
|
|
|
Weyerhaeuser Co.
|
Morgan Stanley & Co. International
PLC
|
(11,553)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(587
)
|
|
|
Whitecap Resources, Inc.
|
Morgan Stanley & Co. International
PLC
|
(510,181)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
(3,416
)
|
|
|
Whitehaven Coal Ltd.
|
Barclays Bank PLC
|
(1,385,979)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
112,752
|
|
|
Williams Cos., Inc./The
|
Citibank NA
|
(23,740,840)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
900,192
|
|
|
Willis Towers Watson PLC
|
Citibank NA
|
(1,217,381)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(209,943
)
|
|
|
Willis Towers Watson PLC
|
Goldman Sachs Bank USA
|
(1,140)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(203
)
|
|
|
Wingstop, Inc.
|
Goldman Sachs Bank USA
|
(1,185,238)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
115,651
|
|
|
WiseTech Global Ltd.
|
Barclays Bank PLC
|
(2,187,231)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
(180,352
)
|
|
|
Woolworths Group Ltd.
|
Barclays Bank PLC
|
(1,057,655)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
(10,460
)
|
|
|
WP Carey, Inc.
|
Goldman Sachs Bank USA
|
(31,796)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(662
)
|
|
|
WSP Global, Inc.
|
Citibank NA
|
(375)
|
02/22/28
|
0.00%
|
1D CORRA
|
Monthly
|
8
|
|
|
WSP Global, Inc.
|
Morgan Stanley & Co. International
PLC
|
(9,814,886)
|
12/09/27
|
(0.20)%
|
CABROVER
|
Monthly
|
216,876
|
|
|
WW Grainger, Inc.
|
Citibank NA
|
(4,874,436)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(101,556
)
|
|
|
Wynn Resorts Ltd.
|
Citibank NA
|
(502,426)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(26,301
)
|
|
|
Wynn Resorts Ltd.
|
Morgan Stanley & Co. International
PLC
|
(6,384,588)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(326,186
)
|
|
|
Xcel Energy, Inc.
|
Citibank NA
|
(1,622,645)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
40,268
|
|
|
Xero Ltd.
|
Barclays Bank PLC
|
(3,186,414)
|
12/11/28
|
(0.25)%
|
1D AONIA
|
Monthly
|
(180,830
)
|
|
|
XPO, Inc.
|
Morgan Stanley & Co. International
PLC
|
(37,602)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
2,232
|
|
|
Yangzijiang Shipbuilding
Holdings Ltd.
|
Goldman Sachs Bank USA
|
(194,674)
|
08/19/26
|
(0.30)%
|
SORA
|
Monthly
|
(14,118
)
|
|
|
Yara International ASA
|
Citibank NA
|
(1,702,118)
|
11/11/26
|
0.00%
|
NOWA
|
Monthly
|
(7,152
)
|
|
|
Yokogawa Electric Corp.
|
Barclays Bank PLC
|
(1,126,647)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
10,342
|
|
|
Yokohama Rubber Co.
Ltd./The
|
Barclays Bank PLC
|
(1,975,571)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
37,536
|
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
Yum! Brands, Inc.
|
Citibank NA
|
$(22,273,120)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
$(862,044
)
|
|
|
Zalando SE
|
Citibank NA
|
(4,362,160)
|
11/11/26
|
0.00%
|
1D ESTR
|
Monthly
|
(30,030
)
|
|
|
Zebra Technologies Corp.
|
Barclays Bank PLC
|
(876,271)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(103,618
)
|
|
|
Zensho Holdings Co. Ltd.
|
Barclays Bank PLC
|
(4,922,410)
|
12/11/28
|
(0.20)%
|
1D P TONA
|
Monthly
|
(416,337
)
|
|
|
Zensho Holdings Co. Ltd.
|
Citibank NA
|
(4,221,406)
|
02/24/27
|
0.00%
|
1D P TONA
|
Monthly
|
(324,334
)
|
|
|
Zeta Global Holdings Corp.
|
Barclays Bank PLC
|
(475,542)
|
01/11/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(33,462
)
|
|
|
Zillow Group, Inc.
|
Goldman Sachs Bank USA
|
(339,567)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(2,157
)
|
|
|
Zillow Group, Inc.
|
Goldman Sachs Bank USA
|
(54,558)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(347
)
|
|
|
Zimmer Biomet Holdings, Inc.
|
Citibank NA
|
(14,386,734)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(851,718
)
|
|
|
Zimmer Biomet Holdings, Inc.
|
Citibank NA
|
(28,732)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(1,701
)
|
|
|
Zimmer Biomet Holdings, Inc.
|
Goldman Sachs Bank USA
|
(7,164,652)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(305,507
)
|
|
|
Zoetis, Inc.
|
Morgan Stanley & Co. International
PLC
|
(4,842,138)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(200,184
)
|
|
|
Zoom Communications, Inc.
|
Citibank NA
|
(12,614)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(1,508
)
|
|
|
Zoom Communications, Inc.
|
Citibank NA
|
(6,626,568)
|
02/22/28
|
0.00%
|
1D OBFR01
|
Monthly
|
(776,971
)
|
|
|
Zoom Communications, Inc.
|
Morgan Stanley & Co. International
PLC
|
(2,086,384)
|
12/09/27
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(249,462
)
|
|
|
Zscaler, Inc.
|
Goldman Sachs Bank USA
|
(228,509)
|
08/18/26
|
(0.15)%
|
1D FEDL01
|
Monthly
|
(4,641
)
|
|
|
Zurich Insurance Group AG
|
Goldman Sachs Bank USA
|
(7,953,295)
|
08/19/26
|
(0.25)%
|
SSARON
|
Monthly
|
(58,561
)
|
|
|
Total short positions of equity swaps
|
|
|
|
|
(10,415,602
)
|
|||
|
Total long and short positions of equity swaps
|
38,964,155
|
|||||||
|
Net dividends and financing fees
|
(4,982,721
)
|
|||||||
|
Total equity swap contracts including dividends and financing fees
|
$33,981,434
|
|||||||
|
(a)
|
The Fund receives the total return on a reference entity and pays a variable rate
of interest, based on a specified benchmark. The benchmark and spread are determined
based upon
the country and/or currency of the individual underlying position.
|
|
(b)
|
The Fund pays the total return on a reference entity and receives a variable rate
of interest, based on a specified benchmark. The benchmark and spread are determined
based upon
the country and/or currency of the individual underlying position.
|
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Assets
|
|
|
|
|
|
Investments
|
|
|
|
|
|
Long-Term Investments
|
|
|
|
|
|
Common Stocks
|
$8,277,626
|
$—
|
$—
|
$8,277,626
|
|
Grantor Trust
|
506,658
|
—
|
—
|
506,658
|
|
Investment Companies
|
537,713
|
—
|
—
|
537,713
|
|
Short-Term Securities
|
|
|
|
|
|
U.S. Treasury Obligations
|
—
|
4,871,741,791
|
—
|
4,871,741,791
|
|
|
$9,321,997
|
$4,871,741,791
|
$—
|
$4,881,063,788
|
|
Derivative Financial Instruments(a)
|
|
|
|
|
|
Assets
|
|
|
|
|
|
Commodity Contracts
|
$14,640,419
|
$—
|
$—
|
$14,640,419
|
|
Credit Contracts
|
—
|
2,483,592
|
—
|
2,483,592
|
|
Equity Contracts
|
6,987,287
|
256,718,461
|
—
|
263,705,748
|
|
Foreign Currency Exchange Contracts
|
—
|
80,385,198
|
—
|
80,385,198
|
|
Interest Rate Contracts
|
3,715,025
|
10,838,457
|
—
|
14,553,482
|
|
Liabilities
|
|
|
|
|
|
Commodity Contracts
|
(3,486,595
)
|
—
|
—
|
(3,486,595
)
|
|
Credit Contracts
|
—
|
(397,122
)
|
—
|
(397,122
)
|
|
Equity Contracts
|
(10,027,617
)
|
(251,409,411
)
|
—
|
(261,437,028
)
|
|
Foreign Currency Exchange Contracts
|
—
|
(73,458,061
)
|
—
|
(73,458,061
)
|
|
Interest Rate Contracts
|
(4,536,894
)
|
(6,354
)
|
—
|
(4,543,248
)
|
|
|
$7,291,625
|
$25,154,760
|
$—
|
$32,446,385
|
|
(a)
|
Derivative financial instruments are swaps, futures contracts and forward foreign
currency exchange contracts. Swaps, futures contracts and forward foreign currency
exchange
contracts are valued at the unrealized appreciation (depreciation) on the instrument.
|
|
Currency Abbreviation
|
|
|
AUD
|
Australian Dollar
|
|
BRL
|
Brazilian Real
|
|
CAD
|
Canadian Dollar
|
|
CHF
|
Swiss Franc
|
|
CNY
|
Chinese Yuan
|
|
EUR
|
Euro
|
|
GBP
|
British Pound
|
|
INR
|
Indian Rupee
|
|
JPY
|
Japanese Yen
|
|
KRW
|
South Korean Won
|
|
MXN
|
Mexican Peso
|
|
NOK
|
Norwegian Krone
|
|
NZD
|
New Zealand Dollar
|
|
PLN
|
Polish Zloty
|
|
SEK
|
Swedish Krona
|
|
SGD
|
Singapore Dollar
|
|
THB
|
Thai Baht
|
|
TWD
|
New Taiwan Dollar
|
|
USD
|
United States Dollar
|
|
ZAR
|
South African Rand
|
|
Portfolio Abbreviation
|
|
|
1D AONIA
|
AUD - 1D Overnight Reserve Bank of Australia Rate
|
|
1D CORRA
|
CAD - 1D Overnight Bank of Canada Repo Rate
|
|
1D ESTR
|
EUR - 1D Euro Short Term Rate
|
|
1D FEDL01
|
USD - 1D Overnight Fed Funds Effective Rate
|
|
1D NZOCO
|
NZD - 1D New Zealand Official Overnight Deposit Rate
|
|
|
|
|
1D OBFR01
|
USD - 1D Overnight Bank Funding Rate
|
|
1D P TONA
|
JPY - Provisional 1D Overnight Tokyo Average Rate
|
|
1D SONIA
|
GBP - 1D Sterling Overnight Index Average
|
|
1D STIBOR
|
SEK - 1D Overnight Stockholm Interbank Offer Rate
|
|
1M BBR
|
NZD - 1M New Zealand Bank Bill Rate
|
|
AGC
|
Assured Guaranty Corp.
|
|
CABROVER
|
Bank of Canada Overnight Rate Target
|
|
Portfolio Abbreviation (continued)
|
|
|
CME
|
Chicago Mercantile Exchange
|
|
CORRA
|
Canadian Overnight Repo Rate
|
|
DESTR
|
DKK - Denmark Short-Term Rate
|
|
HONIA
|
HKD - Overnight Index Average
|
|
NOWA
|
NOK - Norwegian Overnight Weighted Average
|
|
RB
|
Revenue Bonds
|
|
REIT
|
Real Estate Investment Trust
|
|
S&P
|
Standard & Poor's
|
|
SAP
|
Subject to Appropriations
|
|
|
|
|
SCA
|
Svenska Celluosa Aktiebolaget
|
|
SHIR
|
ILS - Shekel Overnight Interest Rate
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
SONIA
|
Sterling Overnight Interbank Average Rate
|
|
SORA
|
SGD - Overnight Rate Average
|
|
SSARON
|
CHF - Swiss Average Rate O/N
|
|
ST
|
Special Tax
|
|
TN STIBOR
|
SEK - TN Stockholm Interbank Offer Rate
|