iShares MSCI USA Min Vol Factor ETF

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Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity International Equity Central Fund 31606V716 5367278.56800000 NS USD 427181701.23000000 11.36342481227 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity Floating Rate Central Fund 31606V708 1451679.17340000 NS USD 136327191.17000000 3.626428244159 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity High Income Central Fund 31606V690 305139.90370000 NS USD 30388883.01000000 0.808372142858 Long EC RF US N 1 N N N Fidelity Hanover Street Trust 13LNM41WRMGAYS9Y7N22 Fidelity Emerging Markets Debt Local Currency Central Fund 315808709 112451.92800000 NS USD 9154711.46000000 0.243523716147 Long EC RF US N 1 N N N Fidelity Oxford Street Trust II 549300OEP6Z1TBUGHH59 Fidelity Commodity Strategy Central Fund 316167303 11928562.84400000 NS USD 70855663.29000000 1.884825590612 Long EC RF US N 1 N N N Fidelity Hanover Street Trust 13LNM41WRMGAYS9Y7N22 Fidelity Emerging Markets Debt Central Fund 315808600 1356592.56600000 NS USD 10160878.32000000 0.270288676887 Long EC RF US N 1 N N N Fidelity Revere Street Trust 549300BDV45LJNXBZC55 Fidelity Cash Central Fund 31635A105 5228801.29700000 NS USD 5229847.06000000 0.139118725532 Long STIV RF US N 1 N N N Fidelity Revere Street Trust 549300BDV45LJNXBZC55 Fidelity Securities Lending Cash Central Fund 31635A303 72631536.88900000 NS USD 72638800.04000000 1.932258662605 Long STIV RF US N 1 N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity Emerging Markets Equity Central Fund 31606V682 1162123.80700000 NS USD 222837239.99000000 5.927674838855 Long EC RF US N 1 N N N UST BILLS 254900HROIFWPRGM1V77 UST BILLS 0% 07/21/2022 912796S42 500000.00000000 PA USD 499718.06000000 0.013292958443 Long DBT UST US N 2 2022-07-21 Fixed 0.00000000 N N N N N N Fidelity Central Investment Portfolios II LLC 0VPAEPVECBYQ0ULYZJ60 Fidelity Investment Grade Bond Central Fund 31606V500 9661551.43630000 NS USD 976299772.64000000 25.97046883958 Long EC RF US N 1 N N N ICE FUTURES US N/A MSCI EMGMKT FUT SEP22 MESU2 N/A 970.00000000 NC USD -31196.90000000 -0.00082986613 N/A DE CORP US N 1 ICE FUTURES US N/A Long MSCI EMERGING MARKETS INDEX MXEF 2022-09-16 48662146.90000000 USD -31196.90000000 N N N ISHARES CORE TOTAL USD BOND MARKET ETF 549300G3FWQPUM47D181 iShares 20+ Year Treasury Bond ETF 464287432 634435.00000000 NS USD 72877548.45000000 1.938609589150 Long EC RF US N 1 N N UST BILLS 254900HROIFWPRGM1V77 UST BILLS 0% 09/01/2022 912796T66 4130000.00000000 PA USD 4119170.81000000 0.109573719224 Long DBT UST US N 2 2022-09-01 Fixed 0.00000000 N N N N N N ICE FUTURES US N/A MSCI EAFE FUT SEP22 MFSU2 N/A -92.00000000 NC USD -52203.17000000 -0.00138865217 N/A DE CORP US N 1 ICE FUTURES US N/A Short MSCI EAFE INDX(UN FOR FUTURES) EI09MXEA 2022-09-16 -8488156.83000000 USD -52203.17000000 N N N UST BILLS 254900HROIFWPRGM1V77 UST BILLS 0% 09/08/2022 912796M71 2910000.00000000 PA USD 2901403.69000000 0.077179997613 Long DBT UST US N 2 2022-09-08 Fixed 0.00000000 N N N N N N 2022-07-30 Laura M. Del Prato Laura M. Del Prato Laura M. Del Prato President and Treasurer XXXX