X0201 N-CEN/A 0001752724-19-009870 LIVE 0001444822 XXXXXXXX 811-22235 true false false N-1A S000029959 true S000027214 true S000044524 true S000063276 true S000046740 true S000041117 true S000038749 true S000033296 true S000046741 true S000038748 true S000024177 true S000058563 true S000041116 true S000042050 true S000037432 true AQR Funds 811-22235 0001444822 549300V0TAB4ICSX2404 Two Greenwich Plaza 4th Floor Greenwich 06830 US-CT US 203-742-3600 CNH Partners, LLC Two Greenwich Plaza 3rd Floor Greenwich 06830 203-742-3600 Sub-Adviser ALPS Fund Services, Inc. 1290 Broadway Suite 1100 Denver 80203 303-623-2577 Transfer Agent JPMorgan Chase Bank, N.A. 4 Metro Tech Center Brooklyn 10005 212-648-0466 Administrator and Custodian State Street Bank and Trust Company 1 Lincoln Street Boston 02111 617-786-3000 Custodian ALPS Distributors, Inc. 1290 Broadway Suite 1100 Denver 80203 303-623-2577 Principal Underwriter AQR Capital Management, LLC Two Greenwich Plaza 4th Floor Greenwich 06830 203-742-3600 Investment Adviser Y N N-1A 39 Y Gregg D. Behrens N/A N Brian Posner N/A N L. Joe Moravy N/A N David Kabiller N/A Y Mark A. Zurack N/A N William L. Atwell N/A N Timothy K. Armour N/A N Marco Hanig N/A Y H.J. Willcox N/A Two Greenwich Plaza 4th Floor Greenwich 06830 XXXXXX N N N N N N ALPS Distributors, Inc. 008-34626 000016853 N/A N N Pricewaterhousecoopers, LLP 238 5493002GVO7EO8RNNS37 N N N N N N AQR Volatility Risk Premium Fund S000063276 549300NNL1O8O41UZ823 Y 3 0 0 N/A N N Y N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Y Y Y N AQR Capital Management, LLC 801-55543 000111883 549300GC5MDF1KXYMP06 N ALPS Fund Services, Inc. 84-05730 N/A N N N ICE Data Pricing & Reference Data, LLC 000110037 CRD N REFINITIV GLOBAL MARKETS INC. 000109120 CRD N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N N N Merrill Lynch, Pierce, Fenner & Smith Inc. 8-7221 000007691 8NAV47T0Y26Q87Y0QP81 3.88 Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 44.3 CIBC World Markets Corp. 8-18333 000000630 549300445CON3DBMU275 3.45 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 421.06 Credit Suisse Securities (USA) LLC 8-422 000000816 1V8Y6QCX6YMJ2OELII46 42.35 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 48.99 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 47.56 UBS Securities LLC 8-22651 000007654 T6FIZBDPKLYJKFCRVK44 9.48 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 25.75 Royal Bank of Scotland Group PLC N/A N/A 2138005O9XJIJN4JPN90 GB 735.29 1382.11 Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 12359 Merrill Lynch, Pierce, Fenner & Smith Inc. 8-7221 000007691 8NAV47T0Y26Q87Y0QP81 7316 Credit Suisse Securities (USA) LLC 8-422 000000816 1V8Y6QCX6YMJ2OELII46 108 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 21468214 BOFA SECURITIES, INC 8-69787 000283942 549300HN4UKV1E2R3U73 1658 21489655 N 10824289 Committed 350000000 N N N N AQR Managed Futures Strategy Fund S000027214 07BUS8UTTPW0D72K9M62 Y 3 0 0 N/A Y Y N N/A N/A N/A Rule 17a-6 (17 CFR 270.17a-6) Rule 12d1-1 (17 CFR 270.12d1-1) Y N Y N AQR Capital Management, LLC 801-55543 000111883 549300GC5MDF1KXYMP06 N ALPS Fund Services, Inc. 84-05730 N/A N N N REFINITIV GLOBAL MARKETS INC. 000109120 CRD N ICE Data Pricing & Reference Data, LLC 000110037 CRD N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N N N Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 4618040.13 Barclays Capital, Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 1291187.38 Merrill Lynch, Pierce, Fenner & Smith Inc. 8-7221 000007691 8NAV47T0Y26Q87Y0QP81 254680.7 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 1701807.22 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 1380180.69 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 11683.66 Royal Bank of Scotland Group PLC N/A N/A 2138005O9XJIJN4JPN90 GB 250851.04 9508430.82 Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 1866844864 Wells Fargo Securities, LLC 8-65876 000126292 VYVVCKR63DVZZN70PB21 966341025 The Toronto-Dominion Bank N/A N/A PT3QB789TSUIDF371261 CA 2482638418 SCOTIABANK 8-3716 000002739 549300BLWPABP1VNME36 255061743 HSBC SECURITIES (USA) INC. 8-41562 000019585 CYYGQCGNHMHPSMRL3R97 2014605278 Royal Bank of Scotland Group PLC N/A N/A 2138005O9XJIJN4JPN90 GB 2509100779 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 3755202482 BOFA SECURITIES, INC 8-69787 000283942 549300HN4UKV1E2R3U73 398687042 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 2086022194 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 49271680877 66076327544 N 9536850995 Committed 350000000 N N N N AQR Style Premia Alternative LV Fund S000046741 549300GKADYBIRUXRU21 Y 3 0 0 N/A Y Y N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Rule 17a-6 (17 CFR 270.17a-6) Y Y Y Y AQR Capital Management, LLC 801-55543 000111883 549300GC5MDF1KXYMP06 N ALPS Fund Services, Inc. 84-05730 N/A N N N ICE Data Pricing & Reference Data, LLC 000110037 CRD N REFINITIV GLOBAL MARKETS INC. 000109120 CRD N N Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) The Hongkong and Shanghai Banking Corporation Limtied 2HI3YI5320L3RW6NJ957 NZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Depository Trust and Clearing Corporation MLDY5N6PZ58ZE60QU102 N Y Securities depository - rule 17f-4 (17 CFR 270.17f-4) Standard Chartered Bank (Hong Kong) Limited X5AV1MBDXGRPX5UGMX13 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) ClearStream Banking S.A. 549300OL514RA0SXJJ44 LU N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Deutsche Bank AG 7LTWFZYICNSX8D621K86 BE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank, Sociedad Anonima Espanola 529900SICIK5OVMVY186 ES N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) UniCredit Bank Austria AG D1HEB8VEU6D9M8ZUXG17 AT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) ClearStream Banking AG 549300298FD7AS4PPU70 DE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Deutsche Bank AG 7LTWFZYICNSX8D621K86 FR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, N.A. E57ODZWZ7FF32TWEFA76 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank, Ltd. RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 FI N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Deutsche Bank AG 7LTWFZYICNSX8D621K86 PT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) HSBC Bank Australia Limited DY9DBNI4W8J63Z298033 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 DK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Mutui S.P.A. 8156006ACD5E92B0C985 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street (UK) Service Company Limited 549300YVXI5VCEJ6PE67 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N N N Credit Suisse Securities (USA) LLC 8-422 000000816 1V8Y6QCX6YMJ2OELII46 3268.87 Instinet, LLC 8-23669 000007897 549300MGMN3RKMU8FT57 1337.82 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 73736.97 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 57687.27 Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 5108.56 Barclays Capital, Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 42436.54 Merrill Lynch, Pierce, Fenner & Smith Inc. 8-7221 000007691 8NAV47T0Y26Q87Y0QP81 14436.86 Royal Bank of Scotland Group PLC N/A N/A 2138005O9XJIJN4JPN90 GB 8744.39 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 2241.79 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 80525.91 291108.78 HSBC SECURITIES (USA) INC. 8-41562 000019585 CYYGQCGNHMHPSMRL3R97 48575761 Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 49249973 The Toronto-Dominion Bank N/A N/A PT3QB789TSUIDF371261 CA 16062176 Wells Fargo Securities, LLC 8-65876 000126292 VYVVCKR63DVZZN70PB21 27138922 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 17926905 Royal Bank of Scotland Group PLC N/A N/A 2138005O9XJIJN4JPN90 GB 42165975 Scotia Capital (USA) Inc. 8-3716 000002739 549300BLWPABP1VNME36 32141448 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 34201399 Barclays Capital, Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 3370302 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 1881655683 2154059981 N 467040208 Committed 350000000 N N N N AQR Diversified Arbitrage Fund S000024177 9SU636C3FFO5J0KHWM63 Y 3 0 0 N/A N N Y N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Rule 17a-6 (17 CFR 270.17a-6) Y Y Y Y AQR Capital Management, LLC 801-55543 000111883 549300GC5MDF1KXYMP06 N CNH PARTNERS, LLC 801-60678 000114626 549300WLXLBQZIFLTZ73 Y N ALPS Fund Services, Inc. 84-05730 N/A N N N REFINITIV GLOBAL MARKETS INC. 000109120 CRD N ICE Data Pricing & Reference Data, LLC 000110037 CRD N N JP Morgan Bank Luxembourg SA 7W1GMC6J4KGLBBUSYP52 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) J.P. Morgan Bank International (Limited Liability Company)** 549300B831LSRSI6RA15 RU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Nordea Bank AB (publ) 6SCPQ280AIY8EP3XFW53 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Czech Republic and Slovakia, a.s. KR6LSKV3BTSJRD41IF75 CZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Hong Kong) Limited X5AV1MBDXGRPX5UGMX13 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JP Morgan Bank Luxembourg SA 7W1GMC6J4KGLBBUSYP52 FR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank, Ltd. RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Nordea Bank AB (publ) 6SCPQ280AIY8EP3XFW53 FI N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 BE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Depository Trust and Clearing Corporation MLDY5N6PZ58ZE60QU102 N Y Securities depository - rule 17f-4 (17 CFR 270.17f-4) Deutsche Bank, Sociedad Anonima Espanola 529900SICIK5OVMVY186 ES N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 PH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) HSBC Bank Middle East Limited 549300F99IL9YJDWH369 AE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Austria AG D1HEB8VEU6D9M8ZUXG17 AT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) DBS Bank Ltd ATUEL7OJR5057F2PV266 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas Securities Services S.C.A. 549300WCGB70D06XZS54 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street (UK) Service Company Limited 549300YVXI5VCEJ6PE67 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) HSBC France Athens Branch MP6I5ZYZBEU3UXPYFY54 GR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Nordea Bank AB (publ) 6SCPQ280AIY8EP3XFW53 DK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 IE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) HSBC France Athens Branch MP6I5ZYZBEU3UXPYFY54 CY N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Citibank, N.A. E57ODZWZ7FF32TWEFA76 MX N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limtied 2HI3YI5320L3RW6NJ957 NZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JP Morgan Bank Luxembourg SA 7W1GMC6J4KGLBBUSYP52 BE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Nordea Bank AB (publ) 6SCPQ280AIY8EP3XFW53 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 DK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 NZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, N.A. E57ODZWZ7FF32TWEFA76 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) ClearStream Banking AG 549300298FD7AS4PPU70 DE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) Deutsche Bank Mutui S.P.A. 8156006ACD5E92B0C985 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) ClearStream Banking S.A. 549300OL514RA0SXJJ44 LU N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Santander Securities Services, S.A. 95980020140005970915 ES N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) J.P. Morgan S.A. DTVM 5493001LS7J56NZZ3G07 BR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 PT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) HSBC Bank Australia Limited DY9DBNI4W8J63Z298033 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Banco Nacional de Mexico, S.A. 2SFFM4FUIE05S37WFU55 MX N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 FR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N N N Cantor Fitzgerald & Co. 8-00201 000000134 5493004J7H4GCPG6OB62 56009.4 Cowen and Company, LLC 8-22522 000007616 549300WR155U7DVMIW58 34650.19 Maxim Group LLC 8-65337 000120708 254900OJ6JZO6SDMHQ83 5899.91 Bank of New York Mellon Corp. N/A N/A WFLLPEPC7FZXENRZV188 6776.57 Mizuho Securities USA LLC 8-37710 000019647 7TK5RJIZDFROZCA6XF66 36687.59 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 73299.57 Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 8910.6 Barclays Capital, Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 11463.52 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 7709.25 Merrill Lynch, Pierce, Fenner & Smith Inc. 8-7221 000007691 8NAV47T0Y26Q87Y0QP81 22018.73 300166.78 HSBC SECURITIES (USA) INC. 8-41562 000019585 CYYGQCGNHMHPSMRL3R97 90043059 Wells Fargo Securities, LLC 8-65876 000126292 VYVVCKR63DVZZN70PB21 84412373 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 205034100 Merrill Lynch, Pierce, Fenner & Smith Inc. 8-7221 000007691 8NAV47T0Y26Q87Y0QP81 475120998 Credit Suisse Securities (USA) LLC 8-422 000000816 1V8Y6QCX6YMJ2OELII46 167333481 Citigroup Global Markets Inc. 8-8177 000007059 MBNUM2BPBDO7JBLYG310 228442868 Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 113210380 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 2012663816 Barclays Capital, Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 163989701 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 338626717 4385206916 N 457481017 Committed 350000000 N N N N AQR Alternative Risk Premia Fund S000058563 5493003TFOLYCKBNVM51 Y 3 0 0 N/A N N Y N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Y Y Y N AQR Capital Management, LLC 801-55543 000111883 549300GC5MDF1KXYMP06 N ALPS Fund Services, Inc. 84-05730 N/A N N N ICE Data Pricing & Reference Data, LLC 000110037 CRD N REFINITIV GLOBAL MARKETS INC. 000109120 CRD N N The Depository Trust and Clearing Corporation MLDY5N6PZ58ZE60QU102 N Y Securities depository - rule 17f-4 (17 CFR 270.17f-4) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank Ltd. 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LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 8011.02 Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 5129.52 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 54017.89 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 2785.53 Merrill Lynch, Pierce, Fenner & Smith Inc. 8-7221 000007691 8NAV47T0Y26Q87Y0QP81 1904.82 Barclays Capital, Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 20199.73 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 9248.41 Credit Suisse Securities (USA) LLC 8-422 000000816 1V8Y6QCX6YMJ2OELII46 4626.01 Royal Bank of Scotland Group PLC N/A N/A 2138005O9XJIJN4JPN90 GB 46933.36 156959.47 HSBC SECURITIES (USA) INC. 8-41562 000019585 CYYGQCGNHMHPSMRL3R97 1200099 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 35048394 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 35052649 Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 16204 J.P. 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LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 1288550.02 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 748076.34 Credit Suisse Securities (USA) LLC 8-422 000000816 1V8Y6QCX6YMJ2OELII46 40370.51 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 1172337.29 Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 35039.55 Merrill Lynch, Pierce, Fenner & Smith Inc. 8-7221 000007691 8NAV47T0Y26Q87Y0QP81 482358.56 Royal Bank of Scotland Group PLC N/A N/A 2138005O9XJIJN4JPN90 GB 96584.7 Instinet, LLC 8-23669 000007897 549300MGMN3RKMU8FT57 18122.54 Barclays Capital, Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 1169339.69 5083818.45 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 6007196779 Scotia Capital (USA) Inc. 8-3716 000002739 549300BLWPABP1VNME36 355215079 Royal Bank of Scotland Group PLC N/A N/A 2138005O9XJIJN4JPN90 GB 214458169 HSBC SECURITIES (USA) INC. 8-41562 000019585 CYYGQCGNHMHPSMRL3R97 423319047 Instinet, LLC 8-23669 000007897 549300MGMN3RKMU8FT57 114713467 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 17887304530 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 1045265363 The Toronto-Dominion Bank N/A N/A PT3QB789TSUIDF371261 CA 106375790 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 99976087 Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 371459819 26778842002 N 4716895944 Committed 350000000 N N N N AQR Risk Parity II HV Fund S000038749 549300285QV01IANTZ59 Y 3 0 0 N/A Y Y N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Y Y Y N AQR Capital Management, LLC 801-55543 000111883 549300GC5MDF1KXYMP06 N ALPS Fund Services, Inc. 84-05730 N/A N N N REFINITIV GLOBAL MARKETS INC. 000109120 CRD N ICE Data Pricing & Reference Data, LLC 000110037 CRD N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) UniCredit Bank Austria AG D1HEB8VEU6D9M8ZUXG17 AT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JP Morgan Bank Luxembourg SA 7W1GMC6J4KGLBBUSYP52 FR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas Securities Services S.C.A. 549300WCGB70D06XZS54 PT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank, Ltd. RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Nordea Bank AB (publ) 6SCPQ280AIY8EP3XFW53 FI N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 PH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JP Morgan Bank Luxembourg SA 7W1GMC6J4KGLBBUSYP52 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Nordea Bank AB (publ) 6SCPQ280AIY8EP3XFW53 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JP Morgan Bank Luxembourg SA 7W1GMC6J4KGLBBUSYP52 BE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 NZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Czech Republic and Slovakia, a.s. KR6LSKV3BTSJRD41IF75 CZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Nordea Bank AB (publ) 6SCPQ280AIY8EP3XFW53 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas Securities Services S.C.A. 549300WCGB70D06XZS54 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 IE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N N N Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 12912.25 Barclays Capital, Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 3635.09 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 4833.15 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 939.72 Merrill Lynch, Pierce, Fenner & Smith Inc. 8-7221 000007691 8NAV47T0Y26Q87Y0QP81 910.45 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 16.65 Royal Bank of Scotland Group PLC N/A N/A 2138005O9XJIJN4JPN90 GB 1497.25 24744.56 Barclays Capital, Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 2090191 Citigroup Global Markets Inc. 8-8177 000007059 MBNUM2BPBDO7JBLYG310 1755242 HSBC SECURITIES (USA) INC. 8-41562 000019585 CYYGQCGNHMHPSMRL3R97 1842246 BOFA SECURITIES, INC 8-69787 000283942 549300HN4UKV1E2R3U73 14264480 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 17031457 Wells Fargo Securities, LLC 8-65876 000126292 VYVVCKR63DVZZN70PB21 2728675 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 244897877 The Toronto-Dominion Bank N/A N/A PT3QB789TSUIDF371261 CA 2062625 Royal Bank of Scotland Group PLC N/A N/A 2138005O9XJIJN4JPN90 GB 6943478 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 3578940 305055496 N 43509644 Committed 350000000 N N N N AQR Managed Futures Strategy HV Fund S000041117 549300EEULX15SC8N094 Y 3 0 0 N/A Y Y N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Y Y Y Y AQR Capital Management, LLC 801-55543 000111883 549300GC5MDF1KXYMP06 N ALPS Fund Services, Inc. 84-05730 N/A N N N REFINITIV GLOBAL MARKETS INC. 000109120 CRD N ICE Data Pricing & Reference Data, LLC 000110037 CRD N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N N N Merrill Lynch, Pierce, Fenner & Smith Inc. 8-7221 000007691 8NAV47T0Y26Q87Y0QP81 101676.97 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 375984.83 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 144405.76 Barclays Capital, Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 135583.81 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 179904.55 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 10022.07 Royal Bank of Scotland Group PLC N/A N/A 2138005O9XJIJN4JPN90 GB 26211.07 973789.06 Citigroup Global Markets Inc. 8-8177 000007059 MBNUM2BPBDO7JBLYG310 109675892 Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 68553641 Wells Fargo Securities, LLC 8-65876 000126292 VYVVCKR63DVZZN70PB21 69311124 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 175390595 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 4262380849 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 62644820 Royal Bank of Scotland Group PLC N/A N/A 2138005O9XJIJN4JPN90 GB 197006353 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 18202206 BOFA SECURITIES, INC 8-69787 000283942 549300HN4UKV1E2R3U73 12411775 The Toronto-Dominion Bank N/A N/A PT3QB789TSUIDF371261 CA 312306760 5310289057 N 667000868 Committed 350000000 N N N AQR Equity Market Neutral Fund S000046740 5493004VUEKIV6063V70 Y 3 0 0 N/A N N Y N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Rule 17a-6 (17 CFR 270.17a-6) Y N Y Y AQR Capital Management, LLC 801-55543 000111883 549300GC5MDF1KXYMP06 N ALPS Fund Services, Inc. 84-05730 N/A N N N REFINITIV GLOBAL MARKETS INC. 000109120 CRD N ICE Data Pricing & Reference Data, LLC 000110037 CRD N N ClearStream Banking S.A. 549300OL514RA0SXJJ44 LU N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) HSBC Bank Australia Limited DY9DBNI4W8J63Z298033 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank, Sociedad Anonima Espanola 529900SICIK5OVMVY186 ES N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, N.A. E57ODZWZ7FF32TWEFA76 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Austria AG D1HEB8VEU6D9M8ZUXG17 AT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Santander Securities Services, S.A. 95980020140005970915 ES N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Nordea Bank AB (publ) 6SCPQ280AIY8EP3XFW53 DK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) State Street (UK) Service Company Limited 549300YVXI5VCEJ6PE67 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 NZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) DBS Bank Ltd ATUEL7OJR5057F2PV266 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 DK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 FI N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Depository Trust and Clearing Corporation MLDY5N6PZ58ZE60QU102 N Y Securities depository - rule 17f-4 (17 CFR 270.17f-4) Deutsche Bank AG 7LTWFZYICNSX8D621K86 PT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Mutui S.P.A. 8156006ACD5E92B0C985 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) ClearStream Banking AG 549300298FD7AS4PPU70 DE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Deutsche Bank AG 7LTWFZYICNSX8D621K86 BE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas Securities Services S.C.A. 549300WCGB70D06XZS54 LU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Hong Kong) Limited X5AV1MBDXGRPX5UGMX13 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank, Ltd. RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 FR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N N N CIBC World Markets Corp. 8-18333 000000630 549300445CON3DBMU275 8404.15 Credit Suisse Securities (USA) LLC 8-422 000000816 1V8Y6QCX6YMJ2OELII46 22420.33 UBS Securities LLC 8-22651 000007654 T6FIZBDPKLYJKFCRVK44 10025.55 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 3129.7 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 32557.7 Merrill Lynch, Pierce, Fenner & Smith Inc. 8-7221 000007691 8NAV47T0Y26Q87Y0QP81 28140.86 Instinet, LLC 8-23669 000007897 549300MGMN3RKMU8FT57 16218.18 Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 5796.13 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 28538.06 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 509398.38 666937.97 Wells Fargo Securities, LLC 8-65876 000126292 VYVVCKR63DVZZN70PB21 113342962 Scotia Capital (USA) Inc. 8-3716 000002739 549300BLWPABP1VNME36 96005950 Citigroup Global Markets Inc. 8-8177 000007059 MBNUM2BPBDO7JBLYG310 30076741 Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 132881129 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 3849987628 The Toronto-Dominion Bank N/A N/A PT3QB789TSUIDF371261 CA 45858839 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 117658119 HSBC SECURITIES (USA) INC. 8-41562 000019585 CYYGQCGNHMHPSMRL3R97 96581093 Royal Bank of Scotland Group PLC N/A N/A 2138005O9XJIJN4JPN90 GB 87701004 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 52797514 4625755525 N 1924751491 Committed 350000000 N N N N AQR Risk Parity Fund S000029959 L78U4GN0NU02PQQXU194 Y 3 0 0 N/A Y Y N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Y Y Y Y AQR Capital Management, LLC 801-55543 000111883 549300GC5MDF1KXYMP06 N ALPS Fund Services, Inc. 84-05730 N/A N N N ICE Data Pricing & Reference Data, LLC 000110037 CRD N REFINITIV GLOBAL MARKETS INC. 000109120 CRD N N FirstRand Bank Limited ZAYQDKTCATIXF9OQY690 ZA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 IE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 HU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 NZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JP Morgan Bank Luxembourg SA 7W1GMC6J4KGLBBUSYP52 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas Securities Services S.C.A. 549300WCGB70D06XZS54 PT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas Securities Services S.C.A. 549300WCGB70D06XZS54 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) JP Morgan Bank Luxembourg SA 7W1GMC6J4KGLBBUSYP52 BE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Nordea Bank AB (publ) 6SCPQ280AIY8EP3XFW53 FI N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Austria AG D1HEB8VEU6D9M8ZUXG17 AT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Nordea Bank AB (publ) 6SCPQ280AIY8EP3XFW53 DK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank, Ltd. RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 PH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Czech Republic and Slovakia, a.s. KR6LSKV3BTSJRD41IF75 CZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Nordea Bank AB (publ) 6SCPQ280AIY8EP3XFW53 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) DBS Bank Ltd ATUEL7OJR5057F2PV266 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JP Morgan Bank Luxembourg SA 7W1GMC6J4KGLBBUSYP52 FR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Santander Securities Services, S.A. 95980020140005970915 ES N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Nordea Bank AB (publ) 6SCPQ280AIY8EP3XFW53 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N N N Merrill Lynch, Pierce, Fenner & Smith Inc. 8-7221 000007691 8NAV47T0Y26Q87Y0QP81 2548.18 Barclays Capital, Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 18466.05 Goldman Sachs & Co. 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