MSCI Japan Quality TR Swap (Long)

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Balanced-Risk Allocation Fund S000030663 549300AJVQQLSUGWNL95 2021-12-31 2021-09-30 N 1012061885.05 31116727.69 980945157.36 0.00000000 240861256.28000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 88531733.14000000 AUD CAD EUR GBP JPY USD N N/A N/A MSCI Japan Quality TR Swap (Long) N/A 1.00000000 NC -1069772.29000000 -0.10905525981 N/A DE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 MSCI Japan Quality Index M4JPQU N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2021-11-19 0.00000000 JPY 0.00000000 JPY 2611511745.81000000 JPY -1069772.29000000 N N N Invesco Treasury Portfolio 5493004B3TM8ZIDDDC39 Invesco Treasury Portfolio, Institutional Class 825252406 137171531.30000000 NS USD 137171531.30000000 13.98360859124 Long STIV RF US N 1 N N N N/A N/A MSCI Emerging Markets Index Option N/A 33.00000000 NC USD 351780.00000000 0.035861332038 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased MSCI Emerging Markets Index MXEF N/A 100.00000000 1220.00000000 USD 2022-08-19 XXXX 41083.85000000 N N N N/A N/A MSCI UK Min Vol TR Swap (Long) N/A 1.00000000 NC -55700.62000000 -0.00567826035 N/A DE N/A N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 MSCI UNITED KINGDOM MINIMUM VOLATILITY (GBP) MXUKMVNG MXUKMVNG N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-03-09 0.00000000 GBP 0.00000000 GBP 4978997.38000000 GBP -55700.62000000 N N N U.S. Treasury Bills 254900HROIFWPRGM1V77 U.S. Treasury Bills 912796J59 12600000.00000000 PA USD 12599436.53000000 1.284418036570 Long DBT UST US N 2 2021-12-09 None 0.00000000 N N N N N N N/A N/A MSCI Emerging Markets Index Option N/A 33.00000000 NC USD 428175.00000000 0.043649229193 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased MSCI Emerging Markets Index MXEF N/A 100.00000000 1250.00000000 USD 2022-09-16 XXXX 87319.82000000 N N N N/A N/A FTSE 100 Index Option N/A 42.00000000 NC 82905.53000000 0.008451596847 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased FTSE 100 Index UKX N/A 10.00000000 6875.00000000 GBP 2021-12-17 XXXX -55740.45000000 N N N N/A N/A S&P 500 Index Option N/A 5.00000000 NC USD 71400.00000000 0.007278694375 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased S&P 500 Index SPX N/A 100.00000000 4075.00000000 USD 2022-02-18 XXXX -34215.18000000 N N N N/A N/A S&P 500 Index Option N/A 5.00000000 NC USD 75525.00000000 0.007699207181 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased S&P 500 Index SPX N/A 100.00000000 3925.00000000 USD 2022-04-14 XXXX -56190.18000000 N N N N/A N/A EURO STOXX 50 Index Option N/A 60.00000000 NC 52890.26000000 0.005391765238 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased EURO STOXX 50 Index SX5E N/A 10.00000000 3450.00000000 EUR 2022-03-18 XXXX -13004.39000000 N N N N/A N/A Brent Crude Future N/A 276.00000000 NC USD 2023872.67000000 0.206318636145 N/A DCO N/A N 1 Goldman Sachs International W22LROWP2IHZNBB6K528 Long Brent Crude COY N/A 2021-11-30 19374407.33000000 USD 2023872.67000000 N N N N/A N/A EURO STOXX 50 Index Option N/A 60.00000000 NC 20224.79000000 0.002061765619 N/A DE N/A N 1 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Put Purchased EURO STOXX 50 Index SX5E N/A 10.00000000 3400.00000000 EUR 2021-12-17 XXXX -156548.34000000 N N N N/A N/A MSCI Emerging Markets Index Option N/A 33.00000000 NC USD 301785.00000000 0.030764716838 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased MSCI Emerging Markets Index MXEF N/A 100.00000000 1290.00000000 USD 2022-02-18 XXXX -10523.16000000 N N N N/A N/A Nikkei 225 Index Option N/A 18.00000000 NC 221573.30000000 0.022587735750 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased Nikkei 225 Index NKY N/A 1000.00000000 27750.00000000 JPY 2022-06-10 XXXX -78769.79000000 N N N N/A N/A Copper CIBC Optim ExtdRoll Idx ER Swap (Long) N/A 1.00000000 NC USD -1331662.50000000 -0.13575300209 N/A DCO N/A N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 Canadian Imperial Bank of Commerce Dynamic Roll LME Copper Excess Return Index 2 CIBZDLPA index comprised of copper futures LME COPPER FUTURE Aug22LPQ22 20290147.50000000 USD -1331662.50000000 USD Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-02-08 0.00000000 USD 0.00000000 USD 20290147.50000000 USD -1331662.50000000 N N N N/A N/A FTSE 100 Index Option N/A 40.00000000 NC 188905.51000000 0.019257499624 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased FTSE 100 Index UKX N/A 10.00000000 6625.00000000 GBP 2022-08-19 XXXX -25758.42000000 N N N N/A N/A S&P 500 Index Option N/A 5.00000000 NC USD 111875.00000000 0.011404816993 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased S&P 500 Index SPX N/A 100.00000000 4050.00000000 USD 2022-06-17 XXXX -24860.18000000 N N N N/A N/A MSCI UK Momentum TR Swap (Long) N/A 1.00000000 NC -19231.36000000 -0.00196049288 N/A DE N/A N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 MSCI UNITED KINGDOM MOMENTUM MXUKMONG MXUKMONG N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-03-08 0.00000000 GBP 0.00000000 GBP 4757960.79000000 GBP -19231.36000000 N N N N/A N/A Nikkei 225 Index Option N/A 18.00000000 NC 256345.75000000 0.026132526174 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased Nikkei 225 Index NKY N/A 1000.00000000 27500.00000000 JPY 2022-09-09 XXXX -51453.27000000 N N N N/A N/A Canadian 10 Year Bond Future N/A 1496.00000000 NC -3608464.80000000 -0.36785591660 N/A DIR N/A N 1 Goldman Sachs International W22LROWP2IHZNBB6K528 Long Canadian Government Bond Canadian Government Bond 2021-12-20 173288376.57000000 USD -3608464.80000000 N N N N/A N/A S&P 500 Index Option N/A 5.00000000 NC USD 15800.00000000 0.001610691472 N/A DE N/A N 1 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Put Purchased S&P 500 Index SPX N/A 100.00000000 3625.00000000 USD 2021-12-17 XXXX -133420.18000000 N N N N/A N/A FTSE 100 Index Option N/A 42.00000000 NC 59703.30000000 0.006086303556 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased FTSE 100 Index UKX N/A 10.00000000 6900.00000000 GBP 2021-11-19 XXXX -68039.94000000 N N N N/A N/A Nat Gas Seasonal BAML Swap (Long) N/A 1.00000000 NC USD 2583438.75000000 0.263362200283 N/A DCO N/A N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 MLCX Natural Gas Annual Excess Return Index MLCXNGAE index comprised of natural gas futures Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-02-04 91217.25000000 USD 0.00000000 USD 7902607.50000000 USD 2492221.50000000 N N N Invesco Government & Agency Portfolio 5493007T1J7WZ5QI1A47 Invesco Government & Agency Portfolio, Institutional Class 825252885 234067840.33000000 NS USD 234067840.33000000 23.86146040620 Long STIV RF US N 1 N N N N/A N/A MSCI Emerging Markets Index Option N/A 33.00000000 NC USD 225390.00000000 0.022976819683 N/A DE N/A N 1 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 Put Purchased MSCI Emerging Markets Index MXEF N/A 100.00000000 1280.00000000 USD 2021-12-17 XXXX -67462.18000000 N N N N/A N/A MSCI UK Momentum TR Swap (Long) N/A 1.00000000 NC -19178.38000000 -0.00195509196 N/A DE N/A N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 MSCI UNITED KINGDOM MOMENTUM MXUKMONG MXUKMONG N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-03-09 0.00000000 GBP 0.00000000 GBP 4744853.46000000 GBP -19178.38000000 N N N N/A N/A M1EFMVOL TR Swap (Long) N/A 1.00000000 NC USD -198334.53000000 -0.02021871747 N/A DE N/A N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 MSCI Emerging Markets Minimum Volatility Index M1EFMVOL N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-03-11 0.00000000 USD 0.00000000 USD 10828383.03000000 USD -198334.53000000 N N N N/A N/A New York Harbor Ultra-Low Sulfur Diesel Future N/A 56.00000000 NC USD 470983.64000000 0.048013248902 N/A DCO N/A N 1 Goldman Sachs International W22LROWP2IHZNBB6K528 Long COMMODITY FUTURES New York Harbor Ultra-Low Sulfur Diesel 2022-02-28 4899337.96000000 USD 470983.64000000 N N N N/A N/A S&P 500 Index Option N/A 5.00000000 NC USD 31000.00000000 0.003160217446 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased S&P 500 Index SPX N/A 100.00000000 4075.00000000 USD 2021-11-19 XXXX -78670.18000000 N N N Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 Canadian Imperial Bank of Commerce 13605VBX0 7800000.00000000 PA USD 13867361.90000000 1.413673516399 Long DBT CORP CA N 2 2021-10-25 Fixed 0.10000000 N N N N N N Cargill, Inc. QXZYQNMR4JZ5RIRN4T31 Cargill, Inc. CARGAG401 16550000.00000000 PA USD 17979921.66000000 1.832918132588 Long DBT CORP US N 2 2022-05-31 Fixed 0.10000000 N N N N N N N/A N/A MSCI Emerging Markets Index Option N/A 33.00000000 NC USD 339570.00000000 0.034616614135 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased MSCI Emerging Markets Index MXEF N/A 100.00000000 1350.00000000 USD 2021-10-15 XXXX 164479.84000000 N N N N/A N/A MSCI Emerging Markets Index Option N/A 33.00000000 NC USD 340230.00000000 0.034683896183 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased MSCI Emerging Markets Index MXEF N/A 100.00000000 1280.00000000 USD 2022-04-14 XXXX -6486.18000000 N N N N/A N/A WTI Crude Future N/A 218.00000000 NC USD 1275498.34000000 0.130027487309 N/A DCO N/A N 1 Goldman Sachs International W22LROWP2IHZNBB6K528 Long WTI Crude USCRWTIC N/A 2022-03-22 14503341.66000000 USD 1275498.34000000 N N N N/A N/A FTSE 100 Index Option N/A 42.00000000 NC 176563.32000000 0.017999305942 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased FTSE 100 Index UKX N/A 10.00000000 6775.00000000 GBP 2022-05-20 XXXX -34468.51000000 N N N N/A N/A EURO STOXX 50 Index Option N/A 60.00000000 NC 154709.21000000 0.015771443371 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased EURO STOXX 50 Index SX5E N/A 10.00000000 3850.00000000 EUR 2022-06-17 XXXX -26973.07000000 N N N N/A N/A FTSE 100 Index Option N/A 42.00000000 NC 158454.26000000 0.016153223124 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased FTSE 100 Index UKX N/A 10.00000000 6800.00000000 GBP 2022-04-14 XXXX -37835.83000000 N N N N/A N/A FTSE 100 Index Option N/A 42.00000000 NC 179958.77000000 0.018345446598 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased FTSE 100 Index UKX N/A 10.00000000 6700.00000000 GBP 2022-06-17 XXXX -29750.25000000 N N N N/A N/A Gold Cargill ER Swap (Long) N/A 1.00000000 NC USD -498119.70000000 -0.05077956665 N/A DCO N/A N 2 Cargill Inc QXZYQNMR4JZ5RIRN4T31 CARGILL GOLD INDEX 1 INDEX CARGILL GOLD INDEX 1 INDEX CPASGCI1 index comprised of gold futures Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2021-12-09 0.00000000 USD 0.00000000 USD 21587119.90000000 USD -498119.70000000 N N N N/A N/A Long Gilt Future N/A 892.00000000 NC -4478649.37000000 -0.45656470562 N/A DIR N/A N 1 Goldman Sachs International W22LROWP2IHZNBB6K528 Long United Kingdom Gilt United Kingdom Gilt 2021-12-29 158384069.41000000 USD -4478649.37000000 N N N N/A N/A Nikkei 225 Index Option N/A 18.00000000 NC 145559.10000000 0.014838658298 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased Nikkei 225 Index NKY N/A 1000.00000000 28000.00000000 JPY 2022-02-10 XXXX -83921.84000000 N N N N/A N/A MSCI UK Quality TR Swap (Long) N/A 1.00000000 NC -98899.30000000 -0.01008204171 N/A DE N/A N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 MSCI UNITED KINGDOM QUALITY MXUKQUNG MXUKQUNG N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-03-08 0.00000000 GBP 0.00000000 GBP 4829108.64000000 GBP -98899.30000000 N N N N/A N/A Agric Index GS FLEX Swap (Long) N/A 1.00000000 NC USD 288316.42000000 0.029391696144 N/A DCO N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs Commodity i-Select Strategy 1121 Index ABGS1121 index comprised of commodity futures Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2021-12-22 0.00000000 USD 0.00000000 USD 13918009.18000000 USD 288316.42000000 N N N Invesco V.I. Government Money Market Fund 549300BTSK7KTYK5O237 Invesco V.I. Government Money Market Fund, Series I 008892606 16640309.66000000 NS USD 16640309.66000000 1.696354738605 Long STIV RF US N 1 N N N N/A N/A MSCI Japan MinVol TR Swap (Long) N/A 1.00000000 NC -565902.78000000 -0.05768954316 N/A DE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 MSCI Japan Minimum Volatility Index M4JPVOJ N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2021-11-08 0.00000000 JPY 0.00000000 JPY 2792740650.00000000 JPY -565902.78000000 N N N N/A N/A Nikkei 225 Index Option N/A 18.00000000 NC 67118.92000000 0.006842270385 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased Nikkei 225 Index NKY N/A 1000.00000000 27250.00000000 JPY 2021-12-10 XXXX -131520.60000000 N N N N/A N/A FTSE 100 Index Option N/A 42.00000000 NC 124499.78000000 0.012691818606 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased FTSE 100 Index UKX N/A 10.00000000 6850.00000000 GBP 2022-02-18 XXXX -44226.34000000 N N N U.S. Treasury Bills 254900HROIFWPRGM1V77 U.S. Treasury Bills 912796J67 44300000.00000000 PA USD 44297101.01000000 4.515757142755 Long DBT UST US N 2 2021-12-16 None 0.00000000 N N N N N N Invesco Treasury Obligations Portfolio 549300AX0P1O1RVENL43 Invesco Treasury Obligations Portfolio, Institutional Class 825252505 171324066.89000000 NS USD 171324066.89000000 17.46520339129 Long STIV RF US N 1 N N N N/A N/A EURO STOXX 50 Index Option N/A 60.00000000 NC 186054.16000000 0.018966825882 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased EURO STOXX 50 Index SX5E N/A 10.00000000 3850.00000000 EUR 2022-09-16 XXXX -3986.54000000 N N N N/A N/A Nikkei 225 Index Option N/A 18.00000000 NC 208634.71000000 0.021268743561 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased Nikkei 225 Index NKY N/A 1000.00000000 26500.00000000 JPY 2022-09-09 XXXX -99929.67000000 N N N N/A N/A Nikkei 225 Index Future N/A 189.00000000 NC -125594.53000000 -0.01280342015 N/A DE N/A N 1 Goldman Sachs International W22LROWP2IHZNBB6K528 Long Nikkei 225 Index NKY N/A 2021-12-09 50814001.30000000 USD -125594.53000000 N N N N/A N/A June 22 Puts on MXEFMXEF US 06/17/22 P1330 N/A 33.00000000 NC USD 486750.00000000 0.049620511029 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased MSCI Emerging Markets Index MXEF N/A 100.00000000 1330.00000000 USD 2022-06-17 XXXX 137659.84000000 N N N N/A N/A M1EFMMT TR Swap (Long) N/A 1.00000000 NC USD -46859.87000000 -0.00477701221 N/A DE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 MSCI Emerging Markets Momentum Index M1EFMMT N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-01-20 0.00000000 USD 0.00000000 USD 6482272.35000000 USD -46859.87000000 N N N N/A N/A MSCI Emerging Markets Index Option N/A 33.00000000 NC USD 280335.00000000 0.028578050250 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased MSCI Emerging Markets Index MXEF N/A 100.00000000 1290.00000000 USD 2022-01-21 XXXX -4477.16000000 N N N N/A N/A M1EFMMT TR Swap (Long) N/A 1.00000000 NC USD -759611.33000000 -0.07743667668 N/A DE N/A N 2 JP Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 MSCI Emerging Markets Momentum Index M1EFMMT N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2021-11-09 0.00000000 USD 0.00000000 USD 13418134.02000000 USD -759611.33000000 N N N N/A N/A E-Mini Russell 2000 Index Future N/A 743.00000000 NC USD -1184964.28000000 -0.12079821905 N/A DE N/A N 1 Goldman Sachs International W22LROWP2IHZNBB6K528 Long Russell 2000 Index RTY N/A 2021-12-17 82944684.28000000 USD -1184964.28000000 N N N N/A N/A EURO STOXX 50 Index Option N/A 60.00000000 NC 57407.82000000 0.005852296590 N/A DE N/A N 1 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Put Purchased EURO STOXX 50 Index SX5E N/A 10.00000000 3500.00000000 EUR 2022-03-18 XXXX -40655.50000000 N N N N/A N/A S&P 500 Index Option N/A 5.00000000 NC USD 135325.00000000 0.013795368577 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased S&P 500 Index SPX N/A 100.00000000 4150.00000000 USD 2022-07-15 XXXX 2059.82000000 N N N N/A N/A Copper BARC Optim Idx ER Swap (Long) N/A 1.00000000 NC USD -671842.50000000 -0.06848930288 N/A DCO N/A N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Commodity Strategy 1452 Excess Return Index BXCS1452 index comprised of copper futures Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2021-11-23 0.00000000 USD 0.00000000 USD 9545586.25000000 USD -671842.50000000 N N N N/A N/A S&P 500 Index Option N/A 5.00000000 NC USD 194850.00000000 0.019863495786 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased S&P 500 Index SPX N/A 100.00000000 4375.00000000 USD 2022-09-16 XXXX 46384.82000000 N N N N/A N/A Nikkei 225 Index Option N/A 18.00000000 NC 208634.71000000 0.021268743561 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased Nikkei 225 Index NKY N/A 1000.00000000 27500.00000000 JPY 2022-06-10 XXXX -55116.03000000 N N N N/A N/A Nikkei 225 Index Option N/A 18.00000000 NC 243407.16000000 0.024813533985 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased Nikkei 225 Index NKY N/A 1000.00000000 27250.00000000 JPY 2022-09-09 XXXX -44681.26000000 N N N N/A N/A MSCI EMU MinVol TR Swap (Long) N/A 1.00000000 NC -692490.19000000 -0.07059417999 N/A DE N/A N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 MSCI EMU Minimum Volatility Index M7CXDBFR N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-03-14 0.00000000 EUR 0.00000000 EUR 15777577.20000000 EUR -692490.19000000 N N N N/A N/A S&P 500 Index Option N/A 5.00000000 NC USD 59225.00000000 0.006037544459 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased S&P 500 Index SPX N/A 100.00000000 4075.00000000 USD 2022-01-21 XXXX -37340.18000000 N N N N/A N/A M1EFMVOL TR Swap (Long) N/A 1.00000000 NC USD -16928.00000000 -0.00172568261 N/A DE N/A N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 MSCI Emerging Markets Minimum Volatility Index M1EFMVOL N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-01-21 0.00000000 USD 0.00000000 USD 6597728.00000000 USD -16928.00000000 N N N N/A N/A MSCI Japan Quality TR Swap (Long) N/A 1.00000000 NC -60059.31000000 -0.00612259610 N/A DE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 MSCI Japan Quality Index M4JPQU N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2021-11-17 0.00000000 JPY 0.00000000 JPY 146615850.00000000 JPY -60059.31000000 N N N N/A N/A M1EFMVOL TR Swap (Long) N/A 1.00000000 NC USD -82080.00000000 -0.00836744025 N/A DE N/A N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 MSCI Emerging Markets Minimum Volatility Index M1EFMVOL N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2021-11-26 0.00000000 USD 0.00000000 USD 4195080.00000000 USD -82080.00000000 N N N N/A N/A S&P 500 Index Option N/A 5.00000000 NC USD 9100.00000000 0.000927676734 N/A DE N/A N 1 MORGAN STANLEY AND CO. 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INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased Nikkei 225 Index NKY N/A 1000.00000000 27750.00000000 JPY 2022-03-11 XXXX -87220.07000000 N N N N/A N/A MSCI EMU Momentum TR Swap (Long) N/A 1.00000000 NC -397092.63000000 -0.04048061474 N/A DE N/A N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 MSCI EMU MOMENTUM NET EUR INDEX MXEMUMNE MXEMUMNE N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2021-12-09 0.00000000 EUR 0.00000000 EUR 16427458.13000000 EUR -397092.63000000 N N N N/A N/A EURO STOXX 50 Index Option N/A 60.00000000 NC 133233.41000000 0.013582146667 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased EURO STOXX 50 Index SX5E N/A 10.00000000 3750.00000000 EUR 2022-06-17 XXXX -55583.06000000 N N N N/A N/A FTSE 100 Index Future N/A 380.00000000 NC 245501.72000000 0.025027058664 N/A DE N/A N 1 Goldman Sachs International W22LROWP2IHZNBB6K528 Long FTSE 100 Index UKX N/A 2021-12-17 36907582.84000000 USD 245501.72000000 N N N N/A N/A MSCI Emerging Markets Index Option N/A 33.00000000 NC USD 408045.00000000 0.041597126703 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased MSCI Emerging Markets Index MXEF N/A 100.00000000 1330.00000000 USD 2022-03-18 XXXX 120304.84000000 N N N N/A N/A M1EFMVOL TR Swap (Long) N/A 1.00000000 NC USD -264913.20000000 -0.02700591343 N/A DE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 MSCI Emerging Markets Minimum Volatility Index M1EFMVOL N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2021-12-06 0.00000000 USD 0.00000000 USD 13539620.70000000 USD -264913.20000000 N N N N/A N/A FTSE 100 Index Option N/A 40.00000000 NC 227171.67000000 0.023158447574 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased FTSE 100 Index UKX N/A 10.00000000 6750.00000000 GBP 2022-09-16 XXXX 9869.40000000 N N N N/A N/A FTSE 100 Index Option N/A 42.00000000 NC 108371.40000000 0.011047651256 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased FTSE 100 Index UKX N/A 10.00000000 6875.00000000 GBP 2022-01-21 XXXX -48260.37000000 N N N Invesco STIC (Global Series) PLC, U.S. Dollar Liquidity Portfolio 54930019DCE0F2PV4F17 Invesco STIC (Global Series) PLC, U.S. Dollar Liquidity Portfolio, Institutional Class G8114D159 58582109.02000000 NS USD 58582109.02000000 5.972006546998 Long STIV RF IE N 1 N N N N/A N/A MSCI Japan MinVol TR Swap (Long) N/A 1.00000000 NC -486731.99000000 -0.04961867504 N/A DE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 MSCI Japan Minimum Volatility Index M4JPVOJ N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2021-11-12 0.00000000 JPY 0.00000000 JPY 2402031333.52000000 JPY -486731.99000000 N N N N/A N/A FTSE 100 Index Option N/A 42.00000000 NC 141477.02000000 0.014422520865 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased FTSE 100 Index UKX N/A 10.00000000 6800.00000000 GBP 2022-03-18 XXXX -39336.45000000 N N N N/A N/A M1EFMMT TR Swap (Long) N/A 1.00000000 NC USD -646413.46000000 -0.06589700302 N/A DE N/A N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 MSCI Emerging Markets Momentum Index M1EFMMT N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-03-10 0.00000000 USD 0.00000000 USD 11221720.15000000 USD -646413.46000000 N N N N/A N/A Nikkei 225 Index Option N/A 18.00000000 NC 38007.10000000 0.003874538725 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased Nikkei 225 Index NKY N/A 1000.00000000 27250.00000000 JPY 2021-11-12 XXXX -190892.25000000 N N N Invesco Premier U.S. Government Money Portfolio 549300TCMEM5428K3T88 Invesco Premier U.S. Government Money Portfolio, Institutional Class 00142W843 111575292.36000000 NS USD 111575292.36000000 11.37426404757 Long STIV RF US N 1 N N N N/A N/A FTSE 100 Index Option N/A 42.00000000 NC 22919.28000000 0.002336448661 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased FTSE 100 Index UKX N/A 10.00000000 6925.00000000 GBP 2021-10-15 XXXX -82262.53000000 N N N N/A N/A EURO STOXX 50 Index Option N/A 60.00000000 NC 198911.85000000 0.020277570923 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased EURO STOXX 50 Index SX5E N/A 10.00000000 3900.00000000 EUR 2022-09-16 XXXX 5449.84000000 N N N N/A N/A M1USMVOL US LC MinVol TR Swap (Long) N/A 1.00000000 NC USD -42831.52000000 -0.00436635215 N/A DE N/A N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 MSCI USA Minimum Volatility Index M1USMVOL N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-03-22 0.00000000 USD 0.00000000 USD 12934027.46000000 USD -42831.52000000 N N N N/A N/A M1EFMMT TR Swap (Long) N/A 1.00000000 NC USD -167210.04000000 -0.01704580921 N/A DE N/A N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 MSCI Emerging Markets Momentum Index M1EFMMT N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2021-11-10 0.00000000 USD 0.00000000 USD 2953677.30000000 USD -167210.04000000 N N N N/A N/A M1EFMVOL TR Swap (Long) N/A 1.00000000 NC USD -16928.00000000 -0.00172568261 N/A DE N/A N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 MSCI Emerging Markets Minimum Volatility Index M1EFMVOL N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-03-25 0.00000000 USD 0.00000000 USD 6597728.00000000 USD -16928.00000000 N N N N/A N/A MSCI UK Momentum TR Swap (Long) N/A 1.00000000 NC -117404.84000000 -0.01196854269 N/A DE N/A N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 MSCI UNITED KINGDOM MOMENTUM MXUKMONG MXUKMONG N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-03-07 0.00000000 GBP 0.00000000 GBP 8568273.23000000 GBP -117404.84000000 N N N N/A N/A Australia 10 Year Bond Future N/A 1793.00000000 NC -3444281.97000000 -0.35111870874 N/A DIR N/A N 1 Goldman Sachs International W22LROWP2IHZNBB6K528 Long Australia Government Bond AUSTRALIA GOVERNMENT BOND ACGB 1 12/21/30 2021-12-15 190255689.57000000 USD -3444281.97000000 N N N N/A N/A Gasoline RBOB Future N/A 221.00000000 NC USD 980018.13000000 0.099905496514 N/A DCO N/A N 1 Goldman Sachs International W22LROWP2IHZNBB6K528 Long NYH RBOB Gasoline RBOB87PM N/A 2021-10-29 19384689.87000000 USD 980018.13000000 N N N N/A N/A MSCI Emerging Markets Index Future N/A 535.00000000 NC USD -1490618.34000000 -0.15195735753 N/A DE N/A N 1 Goldman Sachs International W22LROWP2IHZNBB6K528 Long MSCI Emerging Markets Index MXEF N/A 2021-12-17 34810418.34000000 USD -1490618.34000000 N N N N/A N/A Aluminum MS GSCI Dynamic Roll Swap (Long) N/A 1.00000000 NC USD 38623.20000000 0.003937345498 N/A DCO N/A N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 S&P GSCI Aluminum Dynamic Roll Index Excess Return SPDYIAP index comprised of aluminum futures Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-07-14 0.00000000 USD 0.00000000 USD 14618917.50000000 USD 38623.20000000 N N N N/A N/A EURO STOXX 50 Index Option N/A 60.00000000 NC 114537.64000000 0.011676253166 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased EURO STOXX 50 Index SX5E N/A 10.00000000 3900.00000000 EUR 2022-03-18 XXXX -33749.83000000 N N N N/A N/A Nikkei 225 Index Option N/A 18.00000000 NC 4205.04000000 0.000428672282 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased Nikkei 225 Index NKY N/A 1000.00000000 27250.00000000 JPY 2021-10-08 XXXX -208232.66000000 N N N N/A N/A Agric FLEX Index 2019-02 CARG Swap (Long) N/A 1.00000000 NC USD 597463.97000000 0.060906969723 N/A DCO N/A N 2 Cargill Inc QXZYQNMR4JZ5RIRN4T31 CARGILL 11 COMMODITY INDEX 5 CARGILL 11 COMMODITY INDEX 5 CPAS11C5 index comprised of commodity futures Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-02-16 0.00000000 USD 0.00000000 USD 25891233.27000000 USD 597463.97000000 N N N N/A N/A Gold Idx BAML Gold ER Swap (Long) N/A 1.00000000 NC USD -596127.45000000 -0.06077072153 N/A DCO N/A N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 Merrill Lynch Gold Excess Return Index MLCX2GCE index comprised of gold futures GOLD 100 OZ FUTR Dec21GCZ1 COMB 17738338.56000000 USD -596127.45000000 USD Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-02-04 0.00000000 USD 0.00000000 USD 17738338.56000000 USD -596127.45000000 N N N N/A N/A EURO STOXX 50 Index Option N/A 60.00000000 NC 55253.29000000 0.005632658419 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased EURO STOXX 50 Index SX5E N/A 10.00000000 3950.00000000 EUR 2021-11-19 XXXX -57025.88000000 N N N N/A N/A E-Mini S&P 500 Index Future N/A 146.00000000 NC USD -1501021.84000000 -0.15301791631 N/A DE N/A N 1 Goldman Sachs International W22LROWP2IHZNBB6K528 Long S&P 500 Index SPX N/A 2021-12-17 32874596.84000000 USD -1501021.84000000 N N N N/A N/A MSCI Emerging Markets Index Option N/A 33.00000000 NC USD 369270.00000000 0.037644306333 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased MSCI Emerging Markets Index MXEF N/A 100.00000000 1280.00000000 USD 2022-05-20 XXXX -1990.16000000 N N N N/A N/A MSCI EMU Quality TR Swap (Long) N/A 1.00000000 NC -904973.62000000 -0.09225527168 N/A DE N/A N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 MSCI EMU Quality Index M7CXEMQ N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-03-15 0.00000000 EUR 0.00000000 EUR 15694657.65000000 EUR -904973.62000000 N N N N/A N/A MSCI Emerging Markets Index Option N/A 33.00000000 NC USD 487245.00000000 0.049670972566 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased MSCI Emerging Markets Index MXEF N/A 100.00000000 1310.00000000 USD 2022-07-15 XXXX 120937.62000000 N N N N/A N/A Nikkei 225 Index Option N/A 18.00000000 NC 196504.78000000 0.020032188193 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased Nikkei 225 Index NKY N/A 1000.00000000 27250.00000000 JPY 2022-06-10 XXXX -52171.32000000 N N N N/A N/A S&P 500 Index Option N/A 5.00000000 NC USD 163200.00000000 0.016637015716 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased S&P 500 Index SPX N/A 100.00000000 4250.00000000 USD 2022-08-19 XXXX 17684.82000000 N N N N/A N/A MSCI UK Min Vol TR Swap (Long) N/A 1.00000000 NC -169448.68000000 -0.01727402176 N/A DE N/A N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 MSCI UNITED KINGDOM MINIMUM VOLATILITY (GBP) MXUKMVNG MXUKMVNG N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-03-07 0.00000000 GBP 0.00000000 GBP 8140925.38000000 GBP -169448.68000000 N N N N/A N/A EURO STOXX 50 Index Option N/A 60.00000000 NC 227337.75000000 0.023175378184 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased EURO STOXX 50 Index SX5E N/A 10.00000000 4000.00000000 EUR 2022-09-16 XXXX 43752.61000000 N N N N/A N/A S&P 500 Index Option N/A 5.00000000 NC USD 102775.00000000 0.010477140258 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased S&P 500 Index SPX N/A 100.00000000 4050.00000000 USD 2022-05-20 XXXX -52620.18000000 N N N N/A N/A MSCI Japan Quality TR Swap (Long) N/A 1.00000000 NC -1052323.05000000 -0.10727644069 N/A DE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 MSCI Japan Quality Index M4JPQU N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2021-11-09 0.00000000 JPY 0.00000000 JPY 2568914954.19000000 JPY -1052323.05000000 N N N Invesco Government Money Market Fund-Cash Reserve Shares 549300FZWHBQKHBZX613 Invesco Government Money Market Fund-Cash Reserve Shares, Cash Reserve Shares 00142C771 31193032.59000000 NS USD 31193032.59000000 3.179895670615 Long STIV RF US N 1 N N N N/A N/A M1EFMMT TR Swap (Long) N/A 1.00000000 NC USD -46956.49000000 -0.00478686190 N/A DE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 MSCI Emerging Markets Momentum Index M1EFMMT N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-03-23 0.00000000 USD 0.00000000 USD 6495637.86000000 USD -46956.49000000 N N N N/A N/A Nikkei 225 Index Option N/A 18.00000000 NC 88144.12000000 0.008985631799 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased Nikkei 225 Index NKY N/A 1000.00000000 27000.00000000 JPY 2022-01-14 XXXX -154349.97000000 N N N N/A N/A U.S. Treasury Long Bonds Future N/A 546.00000000 NC USD -1833109.38000000 -0.18687174978 N/A DIR N/A N 1 Goldman Sachs International W22LROWP2IHZNBB6K528 Long United States Treasury Note/Bond U.S. Treasury Bond 2021-12-21 88766546.88000000 USD -1833109.38000000 N N N N/A N/A MSCI Emerging Markets Index Option N/A 33.00000000 NC USD 324555.00000000 0.033085947523 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased MSCI Emerging Markets Index MXEF N/A 100.00000000 1340.00000000 USD 2021-11-19 XXXX 131065.84000000 N N N N/A N/A GasOil JPM Opt Roll Swap (Long) N/A 1.00000000 NC USD 343002.48000000 0.034966529721 N/A DCO N/A N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 J.P. 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INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased EURO STOXX 50 Index SX5E N/A 10.00000000 3850.00000000 EUR 2021-10-15 XXXX -94671.17000000 N N N U.S. Treasury Bills 254900HROIFWPRGM1V77 U.S. Treasury Bills 912796N39 45400000.00000000 PA USD 45391049.39000000 4.627276973583 Long DBT UST US N 2 2022-03-31 None 0.00000000 N N N N N N N/A N/A MSCI UK Quality TR Swap (Long) N/A 1.00000000 NC -265403.20000000 -0.02705586525 N/A DE N/A N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 MSCI UNITED KINGDOM QUALITY MXUKQUNG MXUKQUNG N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-03-07 0.00000000 GBP 0.00000000 GBP 8193794.82000000 GBP -265403.20000000 N N N N/A N/A MSCI Japan MinVol TR Swap (Long) N/A 1.00000000 NC -19856.24000000 -0.00202419471 N/A DE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 MSCI Japan Minimum Volatility Index M4JPVOJ N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2021-11-16 0.00000000 JPY 0.00000000 JPY 97990900.00000000 JPY -19856.24000000 N N N N/A N/A FTSE 100 Index Option N/A 42.00000000 NC 146570.19000000 0.014941731339 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased FTSE 100 Index UKX N/A 10.00000000 6400.00000000 GBP 2022-07-15 XXXX -22449.89000000 N N N N/A N/A M1USMMT US LC Mmntm TR Swap (Long) N/A 1.00000000 NC USD -568816.21000000 -0.05798654549 N/A DE N/A N 2 JP Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 MSCI USA Momentum Index M1USMMT N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-03-22 0.00000000 USD 0.00000000 USD 13342111.82000000 USD -568816.21000000 N N N N/A N/A Aluminum MACQ Dynamic ER Swap (Long) N/A 1.00000000 NC USD -41953.80000000 -0.00427687518 N/A DCO N/A N 2 Macquarie Bank Ltd 4ZHCHI4KYZG2WVRT8631 Macquarie Aluminum Dynamic Selection Index MQCP178E index comprised of aluminum futures Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-02-10 0.00000000 USD 0.00000000 USD 6352516.80000000 USD -41953.80000000 N N N N/A N/A EURO STOXX 50 Index Option N/A 60.00000000 NC 143519.55000000 0.014630741476 N/A DE N/A N 1 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Purchased EURO STOXX 50 Index SX5E N/A 10.00000000 3800.00000000 EUR 2022-06-17 XXXX -21944.43000000 N N N N/A N/A M1USQU US LC Qual TR Swap (Long) N/A 1.00000000 NC USD -103864.32000000 -0.01058818826 N/A DE N/A N 2 Citigroup Global Markets Ltd XKZZ2JZF41MRHTR1V493 MSCI USA Quality Index M1USQU N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-03-22 0.00000000 USD 0.00000000 USD 12841635.84000000 USD -103864.32000000 N N N N/A N/A Japan 10 year Bonds Future N/A 29.00000000 NC -113665.04000000 -0.01158729814 N/A DIR N/A N 1 Goldman Sachs International W22LROWP2IHZNBB6K528 Long Japan Government Ten Year Bond Japanese Government Bond 2021-12-13 39923645.15000000 USD -113665.04000000 N N N N/A N/A MSCI UK Min Vol TR Swap (Long) N/A 1.00000000 NC -55700.62000000 -0.00567826035 N/A DE N/A N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 MSCI UNITED KINGDOM MINIMUM VOLATILITY (GBP) MXUKMVNG MXUKMVNG N/A Y The Fund makes or receives payments based on any positive or negative return on the reference instrument 2022-03-08 0.00000000 GBP 0.00000000 GBP 4978997.38000000 GBP -55700.62000000 N N N N/A N/A S&P 500 Index Option N/A 5.00000000 NC USD 50225.00000000 0.005120061975 N/A DE N/A N 1 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Put Purchased S&P 500 Index SPX N/A 100.00000000 3750.00000000 USD 2022-03-18 XXXX -103820.18000000 N N N 2021-10-30 AIM Variable Insurance Funds (Invesco Variable Insurance Funds) Sheri Morris Sheri Morris President XXXX